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INVESTMENTS

12 Months Ended

Dec. 31, 2019

Investments, Debt and Equity Securities [Abstract]

The following table presents Citi’s investments by category:



	December 31,
In millions of dollars	2019		2018
Debt securities AFS	$	280,265	$	288,038
Debt securities HTM⁽¹⁾	80,775		63,357
Marketable equity securities carried at fair value⁽²⁾	458		220
Non-marketable equity securities carried at fair value⁽²⁾	704		889
Non-marketable equity securities measured using the measurement alternative⁽³⁾	700		538
Non-marketable equity securities carried at cost⁽⁴⁾	5,661		5,565
Total investments	$	368,563	$	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)	Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.

The following table presents interest and dividend income on investments:



In millions of dollars	2019		2018		2017
Taxable interest	$	9,269	$	8,704	$	7,538
Interest exempt from U.S. federal income tax	404		521		535
Dividend income	187		269		222
Total interest and dividend income	$	9,860	$	9,494	$	8,295

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



In millions of dollars	2019			2018			2017
Gross realized investment gains	$	1,599		$	682		$	1,039
Gross realized investment losses	(125		)	(261		)	(261		)
Net realized gains on sale of investments	$	1,474		$	421		$	778

The Company from time to time may sell certain debt securities that were classified as HTM. These sales were in response to significant deterioration in the creditworthiness of the issuers or securities or because the Company has collected a substantial portion (at least 85%) of the principal outstanding at acquisition of the security. In addition, certain other debt securities were reclassified to AFS investments in

response to significant credit deterioration. Because the Company generally intends to sell these reclassified debt securities, Citi recorded OTTI on the securities. The following table presents, for the periods indicated, the carrying value of HTM debt securities sold and reclassified to AFS, as well as the related gain (loss) or the OTTI losses recorded on these securities:



In millions of dollars	2019		2018		2017
Carrying value of HTM debt securities sold	$	—	$	61	$	81
Net realized gain (loss) on sale of HTM debt securities	—		—		13
Carrying value of debt securities reclassified to AFS	—		8		74
OTTI losses on debt securities reclassified to AFS	—		—		—

Debt Securities Available-for-Sale

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



	2019								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 agency guaranteed	$	34,963	$	547	$	280	$	35,230	$	43,504	$	241	$	725	$	43,020
Non-U.S. residential	789		3		—		792		1,310		4		2		1,312
Commercial	75		—		—		75		174		1		2		173
Total mortgage-backed securities	$	35,827	$	550	$	280	$	36,097	$	44,988	$	246	$	729	$	44,505
U.S. Treasury and federal agency securities
U.S. Treasury	$	106,429	$	50	$	380	$	106,099	$	109,376	$	33	$	1,339	$	108,070
Agency obligations	5,336		3		20		5,319		9,283		1		132		9,152
Total U.S. Treasury and federal agency securities	$	111,765	$	53	$	400	$	111,418	$	118,659	$	34	$	1,471	$	117,222
State and municipal	$	5,024	$	43	$	89	$	4,978	$	9,372	$	96	$	262	$	9,206
Foreign government	110,958		586		241		111,303		100,872		415		596		100,691
Corporate	11,266		52		101		11,217		11,714		42		157		11,599
Asset-backed securities⁽¹⁾	524		—		2		522		845		2		4		843
Other debt securities	4,729		1		—		4,730		3,973		—		1		3,972
Total debt securities AFS	$	280,093	$	1,285	$	1,113	$	280,265	$	290,423	$	835	$	3,220	$	288,038

(1)

The Company invests in mortgage- and asset-backed securities. These securitization entities 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 21 to the Consolidated Financial Statements.

At December 31, 2019, the amortized cost of fixed income securities exceeded their fair value by $1,113 million. Of the $1,113 million, $802 million represented unrealized losses on fixed income investments that have been in a gross-unrealized-loss position for less than a year and, of these, 93% were rated investment grade; and $311 million represented unrealized losses on fixed income investments that have been in a gross-unrealized-loss position for a year or more and, of these, 92% were rated investment grade. Of the $311 million mentioned above, $132 million represents U.S. Treasury securities.

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
December 31, 2019
Debt securities AFS
Mortgage-backed securities
U.S. government agency guaranteed	$	9,780	$	242	$	1,877	$	38	$	11,657	$	280
Non-U.S. residential	208		—		1		—		209		—
Commercial	16		—		27		—		43		—
Total mortgage-backed securities	$	10,004	$	242	$	1,905	$	38	$	11,909	$	280
U.S. Treasury and federal agency securities
U.S. Treasury	$	45,484	$	248	$	26,907	$	132	$	72,391	$	380
Agency obligations	781		2		3,897		18		4,678		20
Total U.S. Treasury and federal agency securities	$	46,265	$	250	$	30,804	$	150	$	77,069	$	400
State and municipal	$	362	$	62	$	266	$	27	$	628	$	89
Foreign government	35,485		149		8,170		92		43,655		241
Corporate	2,916		98		123		3		3,039		101
Asset-backed securities	112		1		166		1		278		2
Other debt securities	1,307		—		—		—		1,307		—
Total debt securities AFS	$	96,451	$	802	$	41,434	$	311	$	137,885	$	1,113
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

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



	December 31,
	2019				2018
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities⁽¹⁾
Due within 1 year	$	20	$	20	$	14	$	14
After 1 but within 5 years	573		574		662		661
After 5 but within 10 years	594		626		2,779		2,828
After 10 years⁽²⁾	34,640		34,877		41,533		41,002
Total	$	35,827	$	36,097	$	44,988	$	44,505
U.S. Treasury and federal agency securities
Due within 1 year	$	40,757	$	40,688	$	41,941	$	41,867
After 1 but within 5 years	70,128		69,850		76,139		74,800
After 5 but within 10 years	854		851		489		462
After 10 years⁽²⁾	26		29		90		93
Total	$	111,765	$	111,418	$	118,659	$	117,222
State and municipal
Due within 1 year	$	932	$	932	$	2,586	$	2,586
After 1 but within 5 years	714		723		1,676		1,675
After 5 but within 10 years	195		215		585		602
After 10 years⁽²⁾	3,183		3,108		4,525		4,343
Total	$	5,024	$	4,978	$	9,372	$	9,206
Foreign government
Due within 1 year	$	42,611	$	42,666	$	39,078	$	39,028
After 1 but within 5 years	58,820		59,071		50,125		49,962
After 5 but within 10 years	8,192		8,198		10,153		10,149
After 10 years⁽²⁾	1,335		1,368		1,516		1,552
Total	$	110,958	$	111,303	$	100,872	$	100,691
All other⁽³⁾
Due within 1 year	$	7,306	$	7,311	$	6,166	$	6,166
After 1 but within 5 years	8,279		8,275		8,459		8,416
After 5 but within 10 years	818		797		1,474		1,427
After 10 years⁽²⁾	116		86		433		405
Total	$	16,519	$	16,469	$	16,532	$	16,414
Total debt securities AFS	$	280,093	$	280,265	$	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.

Debt Securities Held-to-Maturity

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
December 31, 2019
Debt securities HTM
Mortgage-backed securities⁽¹⁾⁽²⁾
U.S. government agency guaranteed	$	46,637	$	1,047	$	21	$	47,663
Non-U.S. residential	1,039		5		—		1,044
Commercial	582		1		—		583
Total mortgage-backed securities	$	48,258	$	1,053	$	21	$	49,290
State and municipal⁽³⁾	$	9,104	$	455	$	28	$	9,531
Foreign government	1,934		37		1		1,970
Asset-backed securities⁽¹⁾	21,479		12		59		21,432
Total debt securities HTM	$	80,775	$	1,557	$	109	$	82,223
December 31, 2018
Debt securities HTM
Mortgage-backed securities⁽¹⁾⁽⁴⁾
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.


(3)	In December 2019, Citibank transferred $173 million of state and municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the bonds were in an unrealized gain position of $5 million. The gain amounts will remain in AOCI and be amortized over the remaining life of the securities.

(4)

In November 2018, Citibank transferred $10 billion of agency residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS) 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 $598 million. This amount will remain in AOCI and be amortized over the remaining life of the securities.

The Company has the positive intent and ability to hold these securities to maturity or, where applicable, to exercise any issuer call options, absent any unforeseen significant changes in circumstances, including deterioration in credit or changes in regulatory capital requirements.

The net unrealized losses classified in AOCI for HTM securities primarily relate to debt securities previously classified as AFS that were transferred to HTM, and include any cumulative fair value hedge adjustments. The net unrealized loss amount also includes any non-credit-related changes in fair value of HTM debt securities that have suffered credit impairment recorded in earnings. The AOCI balance related to HTM debt securities is amortized as an adjustment of yield, in a manner consistent with the accretion of any difference between the carrying value at the transfer date and par value of the same debt securities.

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
December 31, 2019
Debt securities HTM
Mortgage-backed securities	$	3,590	$	10	$	1,116	$	11	$	4,706	$	21
State and municipal	34		1		1,125		27		1,159		28
Foreign government	1,970		1		—		—		1,970		1
Asset-backed securities	7,972		11		765		48		8,737		59
Total debt securities HTM	$	13,566	$	23	$	3,006	$	86	$	16,572	$	109
December 31, 2018
Debt securities HTM
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 HTM	$	17,814	$	190	$	19,328	$	663	$	37,142	$	853

Note: Excluded from the gross unrecognized losses presented in the above table are $(582) million and $(653) million of net unrealized losses recorded in AOCI as of December 31, 2019 and 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 December 31, 2019 and 2018.

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



	December 31,
	2019				2018
In millions of dollars	Carrying value		Fair value		Carrying value		Fair value
Mortgage-backed securities
Due within 1 year	$	17	$	17	$	3	$	3
After 1 but within 5 years	458		463		539		540
After 5 but within 10 years	1,662		1,729		997		1,011
After 10 years⁽¹⁾	46,121		47,081		34,407		34,024
Total	$	48,258	$	49,290	$	35,946	$	35,578
State and municipal
Due within 1 year	$	2	$	26	$	37	$	37
After 1 but within 5 years	123		160		168		174
After 5 but within 10 years	597		590		540		544
After 10 years⁽¹⁾	8,382		8,755		6,883		6,902
Total	$	9,104	$	9,531	$	7,628	$	7,657
Foreign government
Due within 1 year	$	650	$	652	$	60	$	36
After 1 but within 5 years	1,284		1,318		967		967
After 5 but within 10 years	—		—		—		—
After 10 years⁽¹⁾	—		—		—		—
Total	$	1,934	$	1,970	$	1,027	$	1,003
All other⁽²⁾
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	—		—		—		—
After 5 but within 10 years	8,545		8,543		2,535		2,539
After 10 years⁽¹⁾	12,934		12,889		16,221		16,113
Total	$	21,479	$	21,432	$	18,756	$	18,652
Total debt securities HTM	$	80,775	$	82,223	$	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.

Evaluating Investments for Other-Than-Temporary Impairment (OTTI)

Debt Securities

Overview

The Company conducts periodic reviews of all debt securities with unrealized losses to evaluate whether the impairment is other-than-temporary. This review applies to all debt securities that are not measured at fair value through earnings. Effective January 1, 2018, the AFS category was eliminated for equity securities and, therefore, other-than-temporary impairment (OTTI) review is not required for those securities.

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

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


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


•	the severity of the impairment;


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


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


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

The Company’s review for impairment generally entails:


•	identification and evaluation of impaired investments;


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


•	consideration of evidential matter, including an evaluation of factors or triggers that could cause individual positions to qualify as having other-than-

temporary impairment and those that would not support other-than-temporary impairment; and


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

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

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

The sections below describe the Company’s process for identifying credit-related impairments for debt security types that have the most significant unrealized losses as of December 31, 2019.

Mortgage-Backed Securities

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

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

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

State and Municipal Securities

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

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

Equity Method Investments

Management assesses equity method investments that have fair values that are lower than their respective carrying values for OTTI. Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 24 to the Consolidated Financial Statements).

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

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


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


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


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

Recognition and Measurement of OTTI

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



	Year ended December 31, 2019
In millions of dollars	AFS		HTM		Other assets		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	$	1	$	—	$	1	$	2
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	$	1	$	—	$	1	$	2
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	20		—		1		21
Total OTTI losses recognized in earnings	$	21	$	—	$	2	$	23



	Year ended December 31, 2018
In millions of dollars	AFS⁽¹⁾		HTM		Other assets		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	125		—		—		125
Total OTTI losses recognized in earnings	$	125	$	—	$	—	$	125


(1)	For the year ended December 31, 2018, amounts represent AFS debt securities.



	Year ended December 31, 2017
In millions of dollars	AFS⁽¹⁾		HTM		Other assets		Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:
Total OTTI losses recognized during the period	$	2	$	—	$	—	$	2
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
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	59		2		—		61
Total OTTI losses recognized in earnings	$	61	$	2	$	—	$	63


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

The following are 12-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	Dec. 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⁽¹⁾		Dec. 31, 2019 balance
AFS debt securities
Mortgage-backed securities⁽¹⁾	$	1	$	—	$	—	$	—	$	1
State and municipal	—		—		4		—		4
Corporate	4		—		—		—		4
All other debt securities	—		1		—		—		1
Total OTTI credit losses recognized for AFS debt securities	$	5	$	1	$	4	$	—	$	10
HTM debt securities
State and municipal	3		—		—		—		3
Total OTTI credit losses recognized for HTM debt securities	$	3	$	—	$	—	$	—	$	3



	Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollars	Dec. 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⁾			Dec. 31, 2018 balance
AFS debt securities
Mortgage-backed securities⁽¹⁾	$	38	$	—	$	—	$	(37	)	$	1
State and municipal	4		—		—		(4		)	—
Corporate	4		—		—		—			4
All other debt securities	2		—		—		(2		)	—
Total OTTI credit losses recognized for AFS debt securities	$	48	$	—	$	—	$	(43	)	$	5
HTM debt securities
Mortgage-backed securities⁽²⁾	$	54	$	—	$	—	$	(54	)	$	—
State and municipal	3		—		—		—			3
Total OTTI credit losses recognized for HTM debt securities	$	57	$	—	$	—	$	(54	)	$	3


(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 Hedging 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.

Non-Marketable Equity Securities Not Carried at

Fair Value

Non-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost. See Note 1 to the Consolidated Financial Statements for additional details.

The election to measure a non-marketable equity security using the measurement alternative is made on an instrument-by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. The carrying value of the equity security is adjusted to fair value on the date of an observed transaction. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.

Equity securities under the measurement alternative are also assessed for impairment. On a quarterly basis, management qualitatively assesses whether each equity security under the measurement alternative is impaired. Impairment indicators that are considered include, but are not limited to, the following:


•	a significant deterioration in the earnings performance, credit rating, asset quality or business prospects of the investee;


•	a significant adverse change in the regulatory, economic or technological environment of the investee;


•	a significant adverse change in the general market condition of either the geographical area or the industry in which the investee operates;


•	a bona fide offer to purchase, an offer by the investee to sell or a completed auction process for the same or similar investment for an amount less than the carrying amount of that investment; and


•	factors that raise significant concerns about the investee’s ability to continue as a going concern, such as negative cash flows from operations, working capital deficiencies or noncompliance with statutory capital requirements or debt covenants.

When the qualitative assessment indicates that impairment exists, the investment is written down to fair value, with the full difference between the fair value of the investment and its carrying amount recognized in earnings.

Below is the carrying value of non-marketable equity securities measured using the measurement alternative at December 31, 2019 and 2018:

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



	Years Ended December 31,
In millions of dollars	2019		2018
Measurement alternative:
Impairment losses⁽¹⁾	$	9	$	7
Downward changes for observable prices⁽¹⁾	16		18
Upward changes for observable prices⁽¹⁾	123		219


(1)	See Note 24 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	December 31, 2019
Measurement alternative:
Impairment losses	$	16
Downward changes for observable prices	34
Upward changes for observable prices	342

A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the years ended December 31, 2019 and 2018, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.

Investments in Alternative Investment Funds That Calculate Net Asset Value

The Company holds investments in certain alternative investment funds that calculate net asset value (NAV), or its equivalent, including private equity funds, funds of funds and real estate funds, as provided by third-party asset managers. Investments in such funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV of the Company’s ownership interest in the funds. Some of these investments are in “covered funds” for purposes of the

Volcker Rule, which prohibits certain proprietary investment activities and limits the ownership of, and relationships with, covered funds. On April 21, 2017, Citi’s request for extension of the permitted holding period under the Volcker Rule for certain of its investments in illiquid funds was approved, allowing the Company to hold such investments until the earlier of five years from the July 21, 2017 expiration date of the general conformance period, or the date such investments mature or are otherwise conformed with the Volcker Rule.



	Fair value				Unfunded commitments				Redemption frequency (if currently eligible) monthly, quarterly, annually	Redemption notice period
In millions of dollars	December 31, 2019		December 31, 2018		December 31, 2019		December 31, 2018
Private equity funds⁽¹⁾⁽²⁾	$	134	$	168	$	62	$	62	—	—
Real estate funds⁽²⁾⁽³⁾	10		14		18		19		—	—
Mutual/collective investment funds	26		25		—		—
Total	$	170	$	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

December 31, 2019

December 31, 2018

Measurement alternative:

Carrying value