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INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2019

Investments, Debt and Equity Securities [Abstract]

The following table presents Citi’s investments by category:



In millions of dollars	September 30, 2019		December 31, 2018
In millions of dollars	September 30, 2019		December 31, 2018
Debt securities available-for-sale (AFS)	$	275,425	$	288,038
Debt securities held-to-maturity (HTM)⁽¹⁾	75,841		63,357
Marketable equity securities carried at fair value⁽²⁾	510		220
Non-marketable equity securities carried at fair value⁽²⁾	627		889
Non-marketable equity securities measured using the measurement alternative⁽³⁾	688		538
Non-marketable equity securities carried at cost⁽⁴⁾	5,292		5,565
Total investments	$	358,383	$	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 September 30,				Nine Months Ended September 30,
In millions of dollars	2019		2018		2019		2018
Taxable interest	$	2,291	$	2,195	$	6,987	$	6,395
Interest exempt from U.S. federal income tax	75		130		328		392
Dividend income	45		63		149		209
Total interest and dividend income	$	2,411	$	2,388	$	7,464	$	6,996

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 September 30,						Nine Months Ended September 30,
In millions of dollars	2019			2018			2019			2018
Gross realized investment gains	$	393		$	153		$	1,036		$	550
Gross realized investment losses	(32		)	(84		)	(77		)	(209		)
Net realized gains on sale of investments	$	361		$	69		$	959		$	341

Amortized cost and fair value of AFS debt securities

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



	September 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	$	38,735	$	777	$	311	$	39,201	$	43,504	$	241	$	725	$	43,020
Alt-A	1		—		—		1		1		—		—		1
Non-U.S. residential	789		3		—		792		1,310		4		2		1,312
Commercial	84		1		—		85		173		1		2		172
Total mortgage-backed securities	$	39,609	$	781	$	311	$	40,079	$	44,988	$	246	$	729	$	44,505
U.S. Treasury and federal agency securities
U.S. Treasury	$	102,384	$	56	$	474	$	101,966	$	109,376	$	33	$	1,339	$	108,070
Agency obligations	6,293		5		31		6,267		9,283		1		132		9,152
Total U.S. Treasury and federal agency securities	$	108,677	$	61	$	505	$	108,233	$	118,659	$	34	$	1,471	$	117,222
State and municipal	$	5,997	$	149	$	192	$	5,954	$	9,372	$	96	$	262	$	9,206
Foreign government	105,041		716		228		105,529		100,872		415		596		100,691
Corporate	11,207		86		110		11,183		11,714		42		157		11,599
Asset-backed securities⁽¹⁾	541		2		2		541		845		2		4		843
Other debt securities	3,906		1		1		3,906		3,973		—		1		3,972
Total debt securities AFS	$	274,978	$	1,796	$	1,349	$	275,425	$	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
September 30, 2019
Debt securities held-to-maturity
Mortgage-backed securities	$	2,816	$	8	$	2,448	$	20	$	5,264	$	28
State and municipal	25		—		1,050		14		1,075		14
Foreign government	1,907		1		—		—		1,907		1
Asset-backed securities	4,092		9		574		49		4,666		58
Total debt securities held-to-maturity	$	8,840	$	18	$	4,072	$	83	$	12,912	$	101
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 $(623) million and $(653) million of net unrealized losses recorded in AOCI as of September 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 September 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
September 30, 2019
Debt securities AFS
Mortgage-backed securities
U.S. government agency guaranteed	$	13,850	$	261	$	2,346	$	50	$	16,196	$	311
Non-U.S. residential	101		—		1		—		102		—
Commercial	11		—		37		—		48		—
Total mortgage-backed securities	$	13,962	$	261	$	2,384	$	50	$	16,346	$	311
U.S. Treasury and federal agency securities
U.S. Treasury	$	30,024	$	210	$	41,972	$	264	$	71,996	$	474
Agency obligations	355		1		5,699		30		6,054		31
Total U.S. Treasury and federal agency securities	$	30,379	$	211	$	47,671	$	294	$	78,050	$	505
State and municipal	$	249	$	149	$	351	$	43	$	600	$	192
Foreign government	29,617		130		9,132		98		38,749		228
Corporate	2,423		105		427		5		2,850		110
Asset-backed securities	253		2		16		—		269		2
Other debt securities	1,819		1		—		—		1,819		1
Total debt securities AFS	$	78,702	$	859	$	59,981	$	490	$	138,683	$	1,349
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:



	September 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	483		489		539		540
After 5 but within 10 years	1,733		1,832		997		1,011
After 10 years⁽¹⁾	42,143		42,994		34,407		34,024
Total	$	44,362	$	45,318	$	35,946	$	35,578
State and municipal
Due within 1 year	$	13	$	25	$	37	$	37
After 1 but within 5 years	117		195		168		174
After 5 but within 10 years	594		631		540		544
After 10 years⁽¹⁾	8,099		8,497		6,883		6,902
Total	$	8,823	$	9,348	$	7,628	$	7,657
Foreign government
Due within 1 year	$	642	$	645	$	60	$	36
After 1 but within 5 years	1,227		1,262		967		967
After 5 but within 10 years	—		—		—		—
After 10 years⁽¹⁾	—		—		—		—
Total	$	1,869	$	1,907	$	1,027	$	1,003
All other⁽²⁾
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	—		—		—		—
After 5 but within 10 years	6,177		6,180		2,535		2,539
After 10 years⁽¹⁾	14,610		14,564		16,221		16,113
Total	$	20,787	$	20,744	$	18,756	$	18,652
Total debt securities HTM	$	75,841	$	77,317	$	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:



	September 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	$	15	$	15	$	14	$	14
After 1 but within 5 years	564		565		662		661
After 5 but within 10 years	1,738		1,908		2,779		2,828
After 10 years⁽²⁾	37,292		37,591		41,533		41,002
Total	$	39,609	$	40,079	$	44,988	$	44,505
U.S. Treasury and federal agency securities
Due within 1 year	$	51,529	$	51,392	$	41,941	$	41,867
After 1 but within 5 years	56,986		56,673		76,139		74,800
After 5 but within 10 years	137		138		489		462
After 10 years⁽²⁾	25		30		90		93
Total	$	108,677	$	108,233	$	118,659	$	117,222
State and municipal
Due within 1 year	$	1,255	$	1,105	$	2,586	$	2,586
After 1 but within 5 years	1,100		973		1,676		1,675
After 5 but within 10 years	290		266		585		602
After 10 years⁽²⁾	3,352		3,610		4,525		4,343
Total	$	5,997	$	5,954	$	9,372	$	9,206
Foreign government
Due within 1 year	$	40,374	$	40,409	$	39,078	$	39,028
After 1 but within 5 years	54,451		54,750		50,125		49,962
After 5 but within 10 years	8,648		8,763		10,153		10,149
After 10 years⁽²⁾	1,568		1,607		1,516		1,552
Total	$	105,041	$	105,529	$	100,872	$	100,691
All other⁽³⁾
Due within 1 year	$	6,609	$	6,612	$	6,166	$	6,166
After 1 but within 5 years	8,129		8,140		8,459		8,416
After 5 but within 10 years	731		719		1,474		1,427
After 10 years⁽²⁾	185		159		433		405
Total	$	15,654	$	15,630	$	16,532	$	16,414
Total debt securities AFS	$	274,978	$	275,425	$	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
September 30, 2019
Debt securities HTM
Mortgage-backed securities⁽¹⁾
U.S. government agency guaranteed⁽²⁾	$	43,135	$	979	$	26	$	44,088
Prime	32		—		—		32
Non-U.S. residential	693		5		1		697
Commercial	502		—		1		501
Total mortgage-backed securities	$	44,362	$	984	$	28	$	45,318
State and municipal	$	8,823	$	539	$	14	$	9,348
Foreign government	1,869		39		1		1,907
Asset-backed securities⁽¹⁾	20,787		15		58		20,744
Total debt securities HTM	$	75,841	$	1,577	$	101	$	77,317
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 September 30, 2019						Nine Months Ended September 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	13		—		13		18		—		18
Total OTTI losses recognized in earnings	$	13	$	—	$	13	$	18	$	—	$	18



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

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	June 30, 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		September 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	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⁽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 nine-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		September 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⁾			September 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 September 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 September 30,				Nine Months Ended September 30,
In millions of dollars	2019		2018		2019		2018
Measurement alternative:
Impairment losses⁽¹⁾	$	1	$	—	$	9	$	4
Downward changes for observable prices⁽¹⁾	4		14		16		18
Upward changes for observable prices⁽¹⁾	23		21		108		133


(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	September 30, 2019
Measurement alternative:
Impairment losses	$	16
Downward changes for observable prices	34
Upward changes for observable prices	327

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, 2019		December 31, 2018		September 30, 2019		December 31, 2018
Hedge funds	$	—	$	—	$	—	$	—	Generally quarterly	10–95 days
Private equity funds⁽¹⁾⁽²⁾	135		168		62		62		—	—
Real estate funds⁽²⁾⁽³⁾	10		14		17		19		—	—
Mutual/collective investment funds	24		25		—		—		—	—
Total	$	169	$	207	$	79	$	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

September 30, 2019

December 31, 2018

Measurement alternative:

Carrying value