INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2018

Investments, Debt and Equity Securities [Abstract]

The following tables present Citi’s investments by category:



In millions of dollars	September 30, 2018
In millions of dollars	September 30, 2018
Debt securities available-for-sale (AFS)	$	284,782
Debt securities held-to-maturity (HTM)⁽¹⁾	53,249
Marketable equity securities carried at fair value⁽²⁾	260
Non-marketable equity securities carried at fair value⁽²⁾	1,128
Non-marketable equity securities measured using the measurement alternative⁽³⁾	452
Non-marketable equity securities carried at cost⁽⁴⁾	5,642
Total investments	$	345,513



In millions of dollars	December 31, 2017
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 September 30,				Nine Months Ended September 30,
In millions of dollars	2018		2017		2018		2017
Taxable interest	$	2,195	$	1,922	$	6,395	$	5,545
Interest exempt from U.S. federal income tax	130		129		392		412
Dividend income	63		53		209		165
Total interest and dividend income	$	2,388	$	2,104	$	6,996	$	6,122

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 September 30,						Nine Months Ended September 30,
In millions of dollars	2018			2017			2018			2017
Gross realized investment gains	$	153		$	293		$	550		$	840
Gross realized investment losses	(84		)	(80		)	(209		)	(214		)
Net realized gains on sale of investments	$	69		$	213		$	341		$	626

Amortized cost and fair value of AFS

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



	September 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	$	46,675	$	61	$	1,575	$	45,161	$	42,116	$	125	$	500	$	41,741
Prime	—		—		—		—		11		6		—		17
Alt-A	1		—		—		1		26		90		—		116
Non-U.S. residential	1,620		7		1		1,626		2,744		13		6		2,751
Commercial	233		1		3		231		334		—		2		332
Total mortgage-backed securities	$	48,529	$	69	$	1,579	$	47,019	$	45,231	$	234	$	508	$	44,957
U.S. Treasury and federal agency securities
U.S. Treasury	$	108,509	$	28	$	1,949	$	106,588	$	108,344	$	77	$	971	$	107,450
Agency obligations	9,752		—		197		9,555		10,813		7		124		10,696
Total U.S. Treasury and federal agency securities	$	118,261	$	28	$	2,146	$	116,143	$	119,157	$	84	$	1,095	$	118,146
State and municipal⁽²⁾	$	9,662	$	87	$	269	$	9,480	$	8,870	$	140	$	245	$	8,765
Foreign government	94,937		293		769		94,461		100,615		508		590		100,533
Corporate	12,498		21		139		12,380		14,144		51		86		14,109
Asset-backed securities⁽¹⁾	1,265		3		6		1,262		3,906		14		2		3,918
Other debt securities	4,036		1		—		4,037		297		—		—		297
Total debt securities AFS	$	289,188	$	502	$	4,908	$	284,782	$	292,220	$	1,031	$	2,526	$	290,725
Marketable equity securities AFS⁽³⁾	$	—	$	—	$	—	$	—	$	186	$	4	$	1	$	189
Total securities AFS	$	289,188	$	502	$	4,908	$	284,782	$	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:



	September 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	$	46,675	$	61	$	1,575	$	45,161	$	42,116	$	125	$	500	$	41,741
Prime	—		—		—		—		11		6		—		17
Alt-A	1		—		—		1		26		90		—		116
Non-U.S. residential	1,620		7		1		1,626		2,744		13		6		2,751
Commercial	233		1		3		231		334		—		2		332
Total mortgage-backed securities	$	48,529	$	69	$	1,579	$	47,019	$	45,231	$	234	$	508	$	44,957
U.S. Treasury and federal agency securities
U.S. Treasury	$	108,509	$	28	$	1,949	$	106,588	$	108,344	$	77	$	971	$	107,450
Agency obligations	9,752		—		197		9,555		10,813		7		124		10,696
Total U.S. Treasury and federal agency securities	$	118,261	$	28	$	2,146	$	116,143	$	119,157	$	84	$	1,095	$	118,146
State and municipal⁽²⁾	$	9,662	$	87	$	269	$	9,480	$	8,870	$	140	$	245	$	8,765
Foreign government	94,937		293		769		94,461		100,615		508		590		100,533
Corporate	12,498		21		139		12,380		14,144		51		86		14,109
Asset-backed securities⁽¹⁾	1,265		3		6		1,262		3,906		14		2		3,918
Other debt securities	4,036		1		—		4,037		297		—		—		297
Total debt securities AFS	$	289,188	$	502	$	4,908	$	284,782	$	292,220	$	1,031	$	2,526	$	290,725
Marketable equity securities AFS⁽³⁾	$	—	$	—	$	—	$	—	$	186	$	4	$	1	$	189
Total securities AFS	$	289,188	$	502	$	4,908	$	284,782	$	292,406	$	1,035	$	2,527	$	290,914

(1)

(2)


(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
September 30, 2018
Debt securities held-to-maturity
Mortgage-backed securities	$	13,815	$	392	$	9,815	$	477	$	23,630	$	869
State and municipal	2,283		58		799		127		3,082		185
Foreign government	1,138		14		—		—		1,138		14
Asset-backed securities	3,670		11		2		—		3,672		11
Total debt securities held-to-maturity	$	20,906	$	475	$	10,616	$	604	$	31,522	$	1,079
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 $(65) million and $(117) million of net unrealized losses recorded in AOCI as of September 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 September 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
September 30, 2018
Debt Securities AFS⁽¹⁾
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	21,723	$	574	$	18,828	$	1,001	$	40,551	$	1,575
Non-U.S. residential	256		1		1		—		257		1
Commercial	168		2		51		1		219		3
Total mortgage-backed securities	$	22,147	$	577	$	18,880	$	1,002	$	41,027	$	1,579
U.S. Treasury and federal agency securities
U.S. Treasury	$	27,095	$	279	$	65,789	$	1,670	$	92,884	$	1,949
Agency obligations	1,549		15		8,004		182		9,553		197
Total U.S. Treasury and federal agency securities	$	28,644	$	294	$	73,793	$	1,852	$	102,437	$	2,146
State and municipal	$	1,811	$	48	$	1,260	$	221	$	3,071	$	269
Foreign government	48,491		463		11,598		306		60,089		769
Corporate	6,556		114		798		25		7,354		139
Asset-backed securities	604		6		27		—		631		6
Other debt securities	1,313		—		—		—		1,313		—
Total debt securities AFS	$	109,566	$	1,502	$	106,356	$	3,406	$	215,922	$	4,908
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:



	September 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	$	434	$	431	$	45	$	45
After 1 but within 5 years	1,201		1,194		1,306		1,304
After 5 but within 10 years	2,159		2,119		1,376		1,369
After 10 years⁽²⁾	44,735		43,275		42,504		42,239
Total	$	48,529	$	47,019	$	45,231	$	44,957
U.S. Treasury and federal agency securities
Due within 1 year	$	34,543	$	34,471	$	4,913	$	4,907
After 1 but within 5 years	81,735		79,739		111,236		110,238
After 5 but within 10 years	1,893		1,842		3,008		3,001
After 10 years⁽²⁾	90		91		—		—
Total	$	118,261	$	116,143	$	119,157	$	118,146
State and municipal
Due within 1 year	$	2,773	$	2,772	$	1,792	$	1,792
After 1 but within 5 years	1,575		1,570		2,579		2,576
After 5 but within 10 years	572		590		514		528
After 10 years⁽²⁾	4,742		4,548		3,985		3,869
Total	$	9,662	$	9,480	$	8,870	$	8,765
Foreign government
Due within 1 year	$	34,686	$	34,649	$	32,130	$	32,100
After 1 but within 5 years	47,933		47,416		53,034		53,165
After 5 but within 10 years	10,371		10,386		12,949		12,680
After 10 years⁽²⁾	1,947		2,010		2,502		2,588
Total	$	94,937	$	94,461	$	100,615	$	100,533
All other⁽³⁾
Due within 1 year	$	6,439	$	6,435	$	3,998	$	3,991
After 1 but within 5 years	9,151		9,068		9,047		9,027
After 5 but within 10 years	1,614		1,603		3,415		3,431
After 10 years⁽²⁾	595		573		1,887		1,875
Total	$	17,799	$	17,679	$	18,347	$	18,324
Total debt securities AFS	$	289,188	$	284,782	$	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:



	September 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	129		127		720		720
After 5 but within 10 years	101		99		148		149
After 10 years⁽¹⁾	26,376		25,533		25,231		25,235
Total	$	26,606	$	25,759	$	26,099	$	26,104
State and municipal
Due within 1 year	$	31	$	31	$	407	$	425
After 1 but within 5 years	131		133		259		270
After 5 but within 10 years	492		495		512		524
After 10 years⁽¹⁾	6,745		6,679		7,719		7,983
Total	$	7,399	$	7,338	$	8,897	$	9,202
Foreign government
Due within 1 year	$	114	$	114	$	381	$	381
After 1 but within 5 years	1,037		1,023		359		341
After 5 but within 10 years	—		—		—		—
After 10 years⁽¹⁾	—		—		—		—
Total	$	1,151	$	1,137	$	740	$	722
All other⁽²⁾
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	—		—		—		—
After 5 but within 10 years	2,244		2,250		1,669		1,680
After 10 years⁽¹⁾	15,849		15,859		15,915		16,044
Total	$	18,093	$	18,109	$	17,584	$	17,724
Total debt securities held-to-maturity	$	53,249	$	52,343	$	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
September 30, 2018
Debt securities held-to-maturity
Mortgage-backed securities⁽¹⁾
U.S. government agency guaranteed	$	25,058	$	3	$	869	$	24,192
Alt-A	—		—		—		—
Non-U.S. residential	1,288		19		—		1,307
Commercial	260		—		—		260
Total mortgage-backed securities	$	26,606	$	22	$	869	$	25,759
State and municipal	$	7,399	$	124	$	185	$	7,338
Foreign government	1,151		—		14		1,137
Asset-backed securities⁽¹⁾	18,093		27		11		18,109
Total debt securities held-to-maturity	$	53,249	$	173	$	1,079	$	52,343
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)

(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 September 30, 2018						Nine Months Ended September 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	70		—		70		109		—		109
Total OTTI losses recognized in earnings	$	70	$	—	$	70	$	109	$	—	$	109


(1)	For the three and nine months ended September 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 September 30, 2017						Nine Months Ended September 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	$	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 and FX losses	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.

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	June 30, 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		September 30, 2018 balance
AFS debt securities
Mortgage-backed securities⁽¹⁾	$	1	$	—	$	—	$	—	$	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	$	7	$	—	$	—	$	—	$	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	June 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.

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 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⁾			September 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			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.

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 September 30, 2018, and amounts recognized in earnings for the three and nine months ended September 30, 2018:



In millions of dollars	Three Months Ended September 30, 2018		Nine Months Ended September 30, 2018
Measurement alternative:
Balance as of September 30, 2018	$	452	$	452
Impairment losses⁽¹⁾	—		4
Downward changes for observable prices⁽¹⁾	14		18
Upward changes for observable prices⁽¹⁾	21		133


(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	September 30, 2018		December 31, 2017		September 30, 2018		December 31, 2017
Hedge funds	$	—	$	1	$	—	$	—	Generally quarterly	10–95 days
Private equity funds⁽¹⁾⁽²⁾	186		372		62		62		—	—
Real estate funds ⁽²⁾⁽³⁾	14		31		19		20		—	—
Mutual/collective investment funds	25		—		—		—		—	—
Total	$	225	$	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.