INVESTMENTS (Tables)

12 Months Ended

Dec. 31, 2019

Investments, Debt and Equity Securities [Abstract]

Schedule of investments

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.

Interest and dividends on investments

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

Realized gains and losses on investments

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

Schedule of gain (loss) on HTM securities sold, securities reclassified to AFS and OTTI recorded on AFS securities reclassified

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	—		—		—

Amortized cost and fair value of AFS securities

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.

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
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 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

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:

	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.

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.

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
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) 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.

(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.

Total other-than-temporary impairments recognized

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.

Cumulative other-than-temporary impairment credit losses recognized in earnings

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.

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 December 31, 2019 and 2018:

In millions of dollars	December 31, 2019		December 31, 2018
Measurement alternative:
Carrying value	$	700	$	538

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

Investments in alternative investment funds

	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.