INVESTMENTS (Tables)

3 Months Ended

Mar. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Schedule of investments by category

The following table presents Citi’s investments by category:

In millions of dollars	March 31, 2020		December 31, 2019
Debt securities available-for-sale (AFS)	$	308,219	$	280,265
Debt securities held-to-maturity (HTM)(1)	82,315		80,775
Marketable equity securities carried at fair value(2)	682		458
Non-marketable equity securities carried at fair value(2)	532		704
Non-marketable equity securities measured using the measurement alternative(3)	741		700
Non-marketable equity securities carried at cost(4)	6,394		5,661
Total investments	$	398,883	$	368,563

(1) Carried at adjusted amortized cost basis, net of any allowance for credit losses.

(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. See ”Recognition and Measurement of Impairment” below.

(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 March 31,
In millions of dollars	2020		2019
Taxable interest	$	2,179	$	2,372
Interest exempt from U.S. federal income tax	76		127
Dividend income	26		49
Total interest and dividend income	$	2,281	$	2,548

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 impairment losses:

	Three Months Ended March 31,
In millions of dollars	2020			2019
Gross realized investment gains	$	464		$	168
Gross realized investment losses	(32		)	(38		)
Net realized gains on sale of investments	$	432		$	130

Amortized cost and fair value of AFS debt securities

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

	March 31, 2020								December 31, 2019
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	$	42,559	$	1,271	$	277	$	43,553	$	34,963	$	547	$	280	$	35,230
Non-U.S. residential	752		3		3		752		789		3		—		792
Commercial	69		—		1		68		75		—		—		75
Total mortgage-backed securities	$	43,380	$	1,274	$	281	$	44,373	$	35,827	$	550	$	280	$	36,097
U.S. Treasury and federal agency securities
U.S. Treasury	$	118,298	$	2,863	$	2	$	121,159	$	106,429	$	50	$	380	$	106,099
Agency obligations	4,080		30		7		4,103		5,336		3		20		5,319
Total U.S. Treasury and federal agency securities	$	122,378	$	2,893	$	9	$	125,262	$	111,765	$	53	$	400	$	111,418
State and municipal	$	5,677	$	224	$	436	$	5,465	$	5,024	$	43	$	89	$	4,978
Foreign government	116,703		983		319		117,367		110,958		586		241		111,303
Corporate	11,243		116		162		11,197		11,266		52		101		11,217
Asset-backed securities(1)	479		1		14		466		524		—		2		522
Other debt securities	4,086		3		—		4,089		4,729		1		—		4,730
Allowance for AFS securities at the end of the period	$	—	$	—	$	—	$	—
Total debt securities AFS	$	303,946	$	5,494	$	1,221	$	308,219	$	280,093	$	1,285	$	1,113	$	280,265

(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 at December 31, 2019:

	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 held-to-maturity
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 held-to-maturity	$	13,566	$	23	$	3,006	$	86	$	16,572	$	109

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

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
March 31, 2020
Debt securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	7,937	$	225	$	858	$	52	$	8,795	$	277
Non-U.S. residential	360		3		—		—		360		3
Commercial	38		—		8		1		46		1
Total mortgage-backed securities	$	8,335	$	228	$	866	$	53	$	9,201	$	281
U.S. Treasury and federal agency securities
U.S. Treasury	$	3,062	$	2	$	—	$	—	$	3,062	$	2
Agency obligations	—		—		249		7		249		7
Total U.S. Treasury and federal agency securities	$	3,062	$	2	$	249	$	7	$	3,311	$	9
State and municipal	$	968	$	415	$	236	$	21	$	1,204	$	436
Foreign government	26,966		235		2,963		84		29,929		319
Corporate	2,540		155		61		7		2,601		162
Asset-backed securities	136		6		148		8		284		14
Other debt securities	118		—		—		—		118		—
Total debt securities AFS	$	42,125	$	1,041	$	4,523	$	180	$	46,648	$	1,221
December 31, 2019
Debt securities AFS
Mortgage-backed securities
U.S. government-sponsored 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

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:

	March 31, 2020				December 31, 2019
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities
Due within 1 year	$	14	$	14	$	17	$	17
After 1 but within 5 years	474		486		458		463
After 5 but within 10 years	1,604		1,757		1,662		1,729
After 10 years(1)	47,944		49,762		46,121		47,081
Total	$	50,036	$	52,019	$	48,258	$	49,290
State and municipal
Due within 1 year	$	52	$	50	$	2	$	26
After 1 but within 5 years	89		90		123		160
After 5 but within 10 years	577		604		597		590
After 10 years(1)	8,551		9,016		8,382		8,755
Total	$	9,269	$	9,760	$	9,104	$	9,531
Foreign government
Due within 1 year	$	521	$	522	$	650	$	652
After 1 but within 5 years	1,032		1,071		1,284		1,318
After 5 but within 10 years	—		—		—		—
After 10 years(1)	—		—		—		—
Total	$	1,553	$	1,593	$	1,934	$	1,970
All other(2)
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	—		—		—		—
After 5 but within 10 years	7,092		6,753		8,545		8,543
After 10 years(1)	14,441		13,457		12,934		12,889
Total	$	21,533	$	20,210	$	21,479	$	21,432
Total debt securities HTM	$	82,391	$	83,582	$	80,775	$	82,223

(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:

	March 31, 2020				December 31, 2019
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities(1)
Due within 1 year	$	629	$	640	$	20	$	20
After 1 but within 5 years	584		585		573		574
After 5 but within 10 years	1,009		1,067		594		626
After 10 years(2)	41,158		42,081		34,640		34,877
Total	$	43,380	$	44,373	$	35,827	$	36,097
U.S. Treasury and federal agency securities
Due within 1 year	$	27,233	$	27,403	$	40,757	$	40,688
After 1 but within 5 years	88,605		91,130		70,128		69,850
After 5 but within 10 years	6,515		6,697		854		851
After 10 years(2)	25		32		26		29
Total	$	122,378	$	125,262	$	111,765	$	111,418
State and municipal
Due within 1 year	$	937	$	937	$	932	$	932
After 1 but within 5 years	601		608		714		723
After 5 but within 10 years	291		312		195		215
After 10 years(2)	3,848		3,608		3,183		3,108
Total	$	5,677	$	5,465	$	5,024	$	4,978
Foreign government
Due within 1 year	$	46,369	$	46,491	$	42,611	$	42,666
After 1 but within 5 years	59,050		59,561		58,820		59,071
After 5 but within 10 years	9,481		9,505		8,192		8,198
After 10 years(2)	1,803		1,810		1,335		1,368
Total	$	116,703	$	117,367	$	110,958	$	111,303
All other(3)
Due within 1 year	$	5,836	$	5,846	$	7,306	$	7,311
After 1 but within 5 years	8,894		8,908		8,279		8,275
After 5 but within 10 years	921		891		818		797
After 10 years(2)	157		107		116		86
Total	$	15,808	$	15,752	$	16,519	$	16,469
Total debt securities AFS	$	303,946	$	308,219	$	280,093	$	280,265

(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	Amortized cost			Gross unrealized gains		Gross unrealized losses		Fair value
March 31, 2020
Debt securities HTM
Mortgage-backed securities(1)
U.S. government-sponsored agency guaranteed	$	48,270		$	2,010	$	16	$	50,264
Non-U.S. residential	1,112			—		12		1,100
Commercial	654			1		—		655
Total mortgage-backed securities	$	50,036		$	2,011	$	28	$	52,019
State and municipal	$	9,269		$	516	$	25	$	9,760
Foreign government	1,553			40		—		1,593
Asset-backed securities(1)	21,533			4		1,251		20,286
Allowance for HTM securities at the end of the period	$	(76	)	$	—	$	—	$	(76	)
Total debt securities HTM, net	$	82,315		$	2,571	$	1,304	$	83,582
December 31, 2019
Debt securities HTM
Mortgage-backed securities(1)
U.S. government-sponsored 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	$	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

(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.

Total other-than-temporary impairments recognized

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

	Three Months Ended   March 31, 2020						Three Months Ended   March 31, 2019
In millions of dollars	AFS		Other assets		Total		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 impairment 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 more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise	52		—		52		3		—		—		3
Total impairment losses recognized in earnings	$	52	$	—	$	52	$	3	$	—	$	—	$	3

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 debt securities held that the Company does not intend to sell nor will likely be required to sell:

	Cumulative credit losses recognized in earnings on debt securities still held
In millions of dollars	December 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		March 31, 2020 balance
AFS debt securities
Mortgage-backed securities	$	1	$	—	$	—	$	—	$	1
State and municipal	4		—		—		—		4
Corporate	4		—		—		—		4
All other debt securities	1		—		—		—		1
Total credit losses recognized for AFS debt securities	$	10	$	—	$	—	$	—	$	10

	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		March 31, 2019 balance
AFS debt securities
Mortgage-backed securities	$	1	$	—	$	—	$	—	$	1
State and municipal	—		—		—		—		—
Corporate	4		—		—		—		4
All other debt securities	—		—		—		—		—
Total OTTI credit losses recognized for AFS debt securities	$	5	$	—	$	—	$	—	$	5
HTM debt securities
Mortgage-backed securities	$	—	$	—	$	—	$	—	$	—
State and municipal	—		—		—		—		—
Total OTTI credit losses recognized for HTM debt securities	$	—	$	—	$	—	$	—	$	—

Carrying value of non-marketable equity securities measured using the measurement alternative

Below is the carrying value of non-marketable equity securities measured using the measurement alternative at March 31, 2020 and December 31, 2019:

In millions of dollars	March 31, 2020		December 31, 2019
Measurement alternative:
Carrying value	$	741	$	700

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

	Three Months Ended March 31,
In millions of dollars	2020		2019
Measurement alternative(1):
Impairment losses	$	3	$	5
Downward changes for observable prices	—		—
Upward changes for observable prices	25		66

(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	March 31, 2020
Measurement alternative:
Impairment losses	$	19
Downward changes for observable prices	34
Upward changes for observable prices	367

Investments in alternative investment funds

	Fair value				Unfunded commitments				Redemption frequency (if currently eligible) monthly, quarterly, annually	Redemption  notice period
In millions of dollars	March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019
Hedge funds	$	—	$	—	$	—	$	—	Generally quarterly	10–95 days
Private equity funds(1)(2)	123		134		62		62		—	—
Real estate funds(2)(3)	9		10		18		18		—	—
Mutual/collective investment funds	20		26		—		—		—	—
Total	$	152	$	170	$	80	$	80	—	—

(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.