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INVESTMENTS (Tables)

6 Months Ended

Jun. 30, 2019

Investments, Debt and Equity Securities [Abstract]

The following table presents Citi’s investments by category:



In millions of dollars	June 30, 2019		December 31, 2018
In millions of dollars	June 30, 2019		December 31, 2018
Debt securities available-for-sale (AFS)	$	273,435	$	288,038
Debt securities held-to-maturity (HTM)⁽¹⁾	68,693		63,357
Marketable equity securities carried at fair value⁽²⁾	533		220
Non-marketable equity securities carried at fair value⁽²⁾	740		889
Non-marketable equity securities measured using the measurement alternative⁽³⁾	642		538
Non-marketable equity securities carried at cost⁽⁴⁾	5,659		5,565
Total investments	$	349,702	$	358,607


(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	2019		2018		2019		2018
Taxable interest	$	2,324	$	2,158	$	4,696	$	4,200
Interest exempt from U.S. federal income tax	126		132		253		262
Dividend income	55		84		104		146
Total interest and dividend income	$	2,505	$	2,374	$	5,053	$	4,608

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 exclude OTTI losses:



	Three Months Ended June 30,						Six Months Ended June 30,
In millions of dollars	2019			2018			2019			2018
Gross realized investment gains	$	474		$	170		$	642		$	396
Gross realized investment losses	(6		)	(68		)	(44		)	(124		)
Net realized gains on sale of investments	$	468		$	102		$	598		$	272

Amortized cost and fair value of AFS debt securities

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



	June 30, 2019								December 31, 2018
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	$	37,488	$	717	$	345	$	37,860	$	43,504	$	241	$	725	$	43,020
Alt-A	1		—		—		1		1		—		—		1
Non-U.S. residential	907		3		1		909		1,310		4		2		1,312
Commercial	114		1		—		115		173		1		2		172
Total mortgage-backed securities	$	38,510	$	721	$	346	$	38,885	$	44,988	$	246	$	729	$	44,505
U.S. Treasury and federal agency securities
U.S. Treasury	$	102,563	$	82	$	583	$	102,062	$	109,376	$	33	$	1,339	$	108,070
Agency obligations	7,488		7		48		7,447		9,283		1		132		9,152
Total U.S. Treasury and federal agency securities	$	110,051	$	89	$	631	$	109,509	$	118,659	$	34	$	1,471	$	117,222
State and municipal	$	6,228	$	139	$	197	$	6,170	$	9,372	$	96	$	262	$	9,206
Foreign government	101,400		803		463		101,740		100,872		415		596		100,691
Corporate	12,380		74		131		12,323		11,714		42		157		11,599
Asset-backed securities⁽¹⁾	618		2		2		618		845		2		4		843
Other debt securities	4,191		—		1		4,190		3,973		—		1		3,972
Total debt securities AFS	$	273,378	$	1,828	$	1,771	$	273,435	$	290,423	$	835	$	3,220	$	288,038

(1)

The Company invests in mortgage- 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- 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
June 30, 2019
Debt securities held-to-maturity
Mortgage-backed securities	$	304	$	1	$	9,980	$	81	$	10,284	$	82
State and municipal	9		—		268		13		277		13
Foreign government	1,929		8		—		—		1,929		8
Asset-backed securities	11,532		46		501		5		12,033		51
Total debt securities held-to-maturity	$	13,774	$	55	$	10,749	$	99	$	24,523	$	154
December 31, 2018
Debt securities held-to-maturity
Mortgage-backed securities	$	2,822	$	20	$	18,086	$	559	$	20,908	$	579
State and municipal	981		34		1,242		104		2,223		138
Foreign government	1,003		24		—		—		1,003		24
Asset-backed securities	13,008		112		—		—		13,008		112
Total debt securities held-to-maturity	$	17,814	$	190	$	19,328	$	663	$	37,142	$	853

Note: Excluded from the gross unrecognized losses presented in the table above are $(658) million and $(653) million of net unrealized losses recorded in AOCI as of June 30, 2019 and December 31, 2018, 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, 2019 and December 31, 2018.

The following table shows the fair value of AFS debt 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, 2019
Debt securities AFS
Mortgage-backed securities
U.S. government agency guaranteed	$	8,595	$	255	$	5,718	$	90	$	14,313	$	345
Non-U.S. residential	175		1		1		—		176		1
Commercial	7		—		61		—		68		—
Total mortgage-backed securities	$	8,777	$	256	$	5,780	$	90	$	14,557	$	346
U.S. Treasury and federal agency securities
U.S. Treasury	$	19,187	$	135	$	54,921	$	448	$	74,108	$	583
Agency obligations	316		2		6,857		46		7,173		48
Total U.S. Treasury and federal agency securities	$	19,503	$	137	$	61,778	$	494	$	81,281	$	631
State and municipal	$	925	$	156	$	960	$	41	$	1,885	$	197
Foreign government	25,294		337		7,038		126		32,332		463
Corporate	2,598		126		493		5		3,091		131
Asset-backed securities	476		2		29		—		505		2
Other debt securities	1,535		1		—		—		1,535		1
Total debt securities AFS	$	59,108	$	1,015	$	76,078	$	756	$	135,186	$	1,771
December 31, 2018
Debt securities AFS
Mortgage-backed securities
U.S. government agency guaranteed	$	11,160	$	286	$	13,143	$	439	$	24,303	$	725
Non-U.S. residential	284		2		2		—		286		2
Commercial	79		1		82		1		161		2
Total mortgage-backed securities	$	11,523	$	289	$	13,227	$	440	$	24,750	$	729
U.S. Treasury and federal agency securities
U.S. Treasury	$	8,389	$	42	$	77,883	$	1,297	$	86,272	$	1,339
Agency obligations	277		2		8,660		130		8,937		132
Total U.S. Treasury and federal agency securities	$	8,666	$	44	$	86,543	$	1,427	$	95,209	$	1,471
State and municipal	$	1,614	$	34	$	1,303	$	228	$	2,917	$	262
Foreign government	40,655		265		15,053		331		55,708		596
Corporate	4,547		115		2,077		42		6,624		157
Asset-backed securities	441		4		55		—		496		4
Other debt securities	1,790		1		—		—		1,790		1
Total debt securities AFS	$	69,236	$	752	$	118,258	$	2,468	$	187,494	$	3,220

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:



	June 30, 2019				December 31, 2018
In millions of dollars	Carrying value		Fair value		Carrying value		Fair value
Mortgage-backed securities
Due within 1 year	$	3	$	3	$	3	$	3
After 1 but within 5 years	534		541		539		540
After 5 but within 10 years	1,816		1,885		997		1,011
After 10 years⁽¹⁾	38,217		38,796		34,407		34,024
Total	$	40,570	$	41,225	$	35,946	$	35,578
State and municipal
Due within 1 year	$	38	$	38	$	37	$	37
After 1 but within 5 years	229		239		168		174
After 5 but within 10 years	502		526		540		544
After 10 years⁽¹⁾	7,123		7,435		6,883		6,902
Total	$	7,892	$	8,238	$	7,628	$	7,657
Foreign government
Due within 1 year	$	661	$	664	$	60	$	36
After 1 but within 5 years	823		825		967		967
After 5 but within 10 years	436		440		—		—
After 10 years⁽¹⁾	—		—		—		—
Total	$	1,920	$	1,929	$	1,027	$	1,003
All other⁽²⁾
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	—		—		—		—
After 5 but within 10 years	3,161		3,162		2,535		2,539
After 10 years⁽¹⁾	15,150		15,106		16,221		16,113
Total	$	18,311	$	18,268	$	18,756	$	18,652
Total debt securities HTM	$	68,693	$	69,660	$	63,357	$	62,890


(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:



	June 30, 2019				December 31, 2018
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities⁽¹⁾
Due within 1 year	$	12	$	12	$	14	$	14
After 1 but within 5 years	589		590		662		661
After 5 but within 10 years	1,986		2,133		2,779		2,828
After 10 years⁽²⁾	35,923		36,150		41,533		41,002
Total	$	38,510	$	38,885	$	44,988	$	44,505
U.S. Treasury and federal agency securities
Due within 1 year	$	42,893	$	42,803	$	41,941	$	41,867
After 1 but within 5 years	66,636		66,189		76,139		74,800
After 5 but within 10 years	497		489		489		462
After 10 years⁽²⁾	25		28		90		93
Total	$	110,051	$	109,509	$	118,659	$	117,222
State and municipal
Due within 1 year	$	1,282	$	1,251	$	2,586	$	2,586
After 1 but within 5 years	1,188		1,165		1,676		1,675
After 5 but within 10 years	446		454		585		602
After 10 years⁽²⁾	3,312		3,300		4,525		4,343
Total	$	6,228	$	6,170	$	9,372	$	9,206
Foreign government
Due within 1 year	$	41,222	$	41,247	$	39,078	$	39,028
After 1 but within 5 years	49,183		49,472		50,125		49,962
After 5 but within 10 years	9,758		9,836		10,153		10,149
After 10 years⁽²⁾	1,237		1,185		1,516		1,552
Total	$	101,400	$	101,740	$	100,872	$	100,691
All other⁽³⁾
Due within 1 year	$	7,424	$	7,420	$	6,166	$	6,166
After 1 but within 5 years	8,297		8,306		8,459		8,416
After 5 but within 10 years	1,249		1,213		1,474		1,427
After 10 years⁽²⁾	219		192		433		405
Total	$	17,189	$	17,131	$	16,532	$	16,414
Total debt securities AFS	$	273,378	$	273,435	$	290,423	$	288,038


(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.

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, 2019
Debt securities HTM
Mortgage-backed securities⁽¹⁾
U.S. government agency guaranteed⁽²⁾	$	38,885	$	726	$	80	$	39,531
Non-U.S. residential	1,242		11		1		1,252
Commercial	443		—		1		442
Total mortgage-backed securities	$	40,570	$	737	$	82	$	41,225
State and municipal	$	7,892	$	359	$	13	$	8,238
Foreign government	1,920		17		8		1,929
Asset-backed securities⁽¹⁾	18,311		8		51		18,268
Total debt securities HTM	$	68,693	$	1,121	$	154	$	69,660
December 31, 2018
Debt securities HTM
Mortgage-backed securities⁽¹⁾
U.S. government agency guaranteed	$	34,239	$	199	$	578	$	33,860
Non-U.S. residential	1,339		12		1		1,350
Commercial	368		—		—		368
Total mortgage-backed securities	$	35,946	$	211	$	579	$	35,578
State and municipal	$	7,628	$	167	$	138	$	7,657
Foreign government	1,027		—		24		1,003
Asset-backed securities⁽¹⁾	18,756		8		112		18,652
Total debt securities HTM	$	63,357	$	386	$	853	$	62,890

(1)

(2)

In March 2019, Citibank transferred $5 billion of agency residential mortgage-backed securities (RMBS) from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized loss position of $56 million. The loss amounts will remain in AOCI and be amortized over the remaining life of the securities.

Total other-than-temporary impairments recognized

The following tables present total OTTI on Investments recognized in earnings:



	Three Months Ended June 30, 2019						Six Months Ended June 30, 2019
In millions of dollars	AFS		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	2		—		2		5		—		5
Total OTTI losses recognized in earnings	$	2	$	—	$	2	$	5	$	—	$	5



	Three Months Ended June 30, 2018						Six Months Ended June 30, 2018
In millions of dollars	AFS		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	12		—		12		39		—		39
Total impairment losses recognized in earnings	$	12	$	—	$	12	$	39	$	—	$	39

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 will likely be required to sell:



	Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollars	March 31, 2019 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, 2019 balance
AFS debt securities
Mortgage-backed securities⁽¹⁾	$	1	$	—	$	—	$	—	$	1
State and municipal	—		—		—		—		—
Foreign government securities	—		—		—		—		—
Corporate	4		—		—		—		4
All other debt securities	—		—		—		—		—
Total OTTI credit losses recognized for AFS debt securities	$	5	$	—	$	—	$	—	$	5
HTM debt securities
Mortgage-backed securities⁽²⁾	$	—	$	—	$	—	$	—	$	—
State and municipal	—		—		—		—		—
Total OTTI credit losses recognized for HTM debt securities	$	—	$	—	$	—	$	—	$	—



	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⁽²⁾	$	—	$	—	$	—	$	—		$	—
State and municipal	—		—		—		—			—
Total OTTI credit losses recognized for HTM debt securities	$	—	$	—	$	—	$	—		$	—


(1)	Primarily consists of Prime securities.


(2)	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 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, 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, 2019 balance
AFS debt securities
Mortgage-backed securities⁽¹⁾	$	1	$	—	$	—	$	—	$	1
State and municipal	—		—		—		—		—
Foreign government securities	—		—		—		—		—
Corporate	4		—		—		—		4
All other debt securities	—		—		—		—		—
Total OTTI credit losses recognized for AFS debt securities	$	5	$	—	$	—	$	—	$	5
HTM debt securities
Mortgage-backed securities⁽²⁾	$	—	$	—	$	—	$	—	$	—
State and municipal	—		—		—		—		—
Total OTTI credit losses recognized for HTM debt securities	$	—	$	—	$	—	$	—	$	—



	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⁽³⁾			June 30, 2018 balance
AFS debt securities
Mortgage-backed securities⁽¹⁾	$	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⁽²⁾	$	54	$	—	$	—	$	(54	)	$	—
State and municipal	3		—		—		(3		)	—
Total OTTI credit losses recognized for HTM debt securities	$	57	$	—	$	—	$	(57	)	$	—


(1)	Primarily consists of Prime securities.


(2)	Primarily consists of Alt-A securities.

(3) 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.

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, 2019 and December 31, 2018:

Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:



	Three Months Ended June 30,				Six Months Ended June 30,
In millions of dollars	2019		2018		2019		2018
Measurement alternative:
Impairment losses⁽¹⁾	$	3	$	3	$	8	$	4
Downward changes for observable prices⁽¹⁾	12		2		12		4
Upward changes for observable prices⁽¹⁾	19		4		85		112


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



	Life-to-date amounts on securities still held
In millions of dollars	June 30, 2019
Measurement alternative:
Impairment losses	$	15
Downward changes for observable prices	30
Upward changes for observable prices	304

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, 2019		December 31, 2018		June 30, 2019		December 31, 2018
Hedge funds	$	—	$	—	$	—	$	—	Generally quarterly	10–95 days
Private equity funds⁽¹⁾⁽²⁾	158		168		62		62		—	—
Real estate funds⁽²⁾⁽³⁾	12		14		18		19		—	—
Mutual/collective investment funds	26		25		—		—		—	—
Total	$	196	$	207	$	80	$	81	—	—


(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.

In millions of dollars

June 30, 2019

December 31, 2018

Measurement alternative:

Carrying value