INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2021

Investments, Debt and Equity Securities [Abstract]

Schedule of investments by category

The following table presents Citi’s investments by category:

In millions of dollars	September 30, 2021		December 31, 2020
Debt securities available-for-sale (AFS)	$	295,573	$	335,084
Debt securities held-to-maturity (HTM)(1)	198,056		104,943
Marketable equity securities carried at fair value(2)	379		515
Non-marketable equity securities carried at fair value(2)	539		551
Non-marketable equity securities measured using the measurement alternative(3)	1,392		962
Non-marketable equity securities carried at cost(4)	4,910		5,304
Total investments	$	500,849	$	447,359

(1)Carried at adjusted amortized cost basis, net of any ACL.

(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 “Non-Marketable Equity Securities Not Carried at Fair Value” 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 September 30,				Nine Months Ended September 30,
In millions of dollars	2021		2020		2021		2020
Taxable interest	$	1,777	$	1,752	$	5,152	$	5,915
Interest exempt from U.S. federal income tax	73		85		196		231
Dividend income	35		33		107		102
Total interest and dividend income on investments	$	1,885	$	1,870	$	5,455	$	6,248

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 September 30,				Nine Months Ended September 30,
In millions of dollars	2021		2020		2021		2020
Gross realized investment gains	$	142	$	381	$	757	$	1,619
Gross realized investment losses	(25)		(77)		(102)		(135)
Net realized gains on sales of investments	$	117	$	304	$	655	$	1,484

Amortized cost and fair value of AFS debt securities

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

	September 30, 2021										December 31, 2020
In millions of dollars	Amortized cost		Gross unrealized gains		Gross unrealized losses		Allowance for credit losses		Fair value		Amortized cost		Gross unrealized gains		Gross unrealized losses		Allowance for credit losses		Fair value
Debt securities AFS
Mortgage-backed securities(1)
U.S. government-sponsored agency guaranteed	$	36,127	$	743	$	201	$	—	$	36,669	$	42,836	$	1,134	$	52	$	—	$	43,918
Non-U.S. residential	362		1		—		—		363		568		3		—		—		571
Commercial	34		—		—		—		34		49		1		—		—		50
Total mortgage-backed securities	$	36,523	$	744	$	201	$	—	$	37,066	$	43,453	$	1,138	$	52	$	—	$	44,539
U.S. Treasury and federal agency securities
U.S. Treasury	$	122,491	$	1,119	$	436	$	—	$	123,174	$	144,094	$	2,108	$	49	$	—	$	146,153
Agency obligations	—		—		—		—		—		50		1		—		—		51
Total U.S. Treasury and federal agency securities	$	122,491	$	1,119	$	436	$	—	$	123,174	$	144,144	$	2,109	$	49	$	—	$	146,204
State and municipal	$	2,710	$	85	$	111	$	—	$	2,684	$	3,753	$	123	$	157	$	—	$	3,719
Foreign government	120,322		496		624		—		120,194		123,467		1,623		122		—		124,968
Corporate	6,929		70		65		8		6,926		10,444		152		91		5		10,500
Asset-backed securities(1)	263		1		—		—		264		277		5		4		—		278
Other debt securities	5,265		1		1		—		5,265		4,871		5		—		—		4,876
Total debt securities AFS	$	294,503	$	2,516	$	1,438	$	8	$	295,573	$	330,409	$	5,155	$	475	$	5	$	335,084

(1)The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. 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 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, 2021
Debt securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	10,965	$	182	$	197	$	19	$	11,162	$	201
Non-U.S. residential	58		—		—		—		58		—
Commercial	2		—		—		—		2		—
Total mortgage-backed securities	$	11,025	$	182	$	197	$	19	$	11,222	$	201
U.S. Treasury	$	38,146	$	122	$	19,579	$	314	$	57,725	$	436
State and municipal	198		5		1,182		106		1,380		111
Foreign government	54,437		494		9,452		130		63,889		624
Corporate	1,994		65		21		—		2,015		65
Asset-backed securities	3		—		—		—		3		—
Other debt securities	2,787		1		—		—		2,787		1
Total debt securities AFS	$	108,590	$	869	$	30,431	$	569	$	139,021	$	1,438
December 31, 2020
Debt securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	3,588	$	30	$	298	$	22	$	3,886	$	52
Non-U.S. residential	1		—		—		—		1		—
Commercial	7		—		4		—		11		—
Total mortgage-backed securities	$	3,596	$	30	$	302	$	22	$	3,898	$	52
U.S. Treasury and federal agency securities
U.S. Treasury	$	25,031	$	49	$	—	$	—	$	25,031	$	49
Agency obligations	50		—		—		—		50		—
Total U.S. Treasury and federal agency securities	$	25,081	$	49	$	—	$	—	$	25,081	$	49
State and municipal	$	836	$	34	$	893	$	123	$	1,729	$	157
Foreign government	29,344		61		3,502		61		32,846		122
Corporate	1,083		90		24		1		1,107		91
Asset-backed securities	194		3		39		1		233		4
Other debt securities	182		—		—		—		182		—
Total debt securities AFS	$	60,316	$	267	$	4,760	$	208	$	65,076	$	475

Amortized cost and fair value of debt securities by contractual maturity dates

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

	September 30, 2021				December 31, 2020
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities(1)
Due within 1 year	$	200	$	200	$	27	$	27
After 1 but within 5 years	187		188		567		571
After 5 but within 10 years	726		776		688		757
After 10 years(2)	35,410		35,902		42,171		43,184
Total	$	36,523	$	37,066	$	43,453	$	44,539
U.S. Treasury and federal agency securities
Due within 1 year	$	27,539	$	27,614	$	34,834	$	34,951
After 1 but within 5 years	94,520		95,132		108,160		110,091
After 5 but within 10 years	432		428		1,150		1,162
After 10 years(2)	—		—		—		—
Total	$	122,491	$	123,174	$	144,144	$	146,204
State and municipal
Due within 1 year	$	45	$	45	$	427	$	428
After 1 but within 5 years	137		140		189		198
After 5 but within 10 years	160		168		276		267
After 10 years(2)	2,368		2,331		2,861		2,826
Total	$	2,710	$	2,684	$	3,753	$	3,719
Foreign government
Due within 1 year	$	47,441	$	47,492	$	48,133	$	48,258
After 1 but within 5 years	65,523		65,370		67,365		68,586
After 5 but within 10 years	5,560		5,514		5,908		6,011
After 10 years(2)	1,798		1,818		2,061		2,113
Total	$	120,322	$	120,194	$	123,467	$	124,968
All other(3)
Due within 1 year	$	6,108	$	6,112	$	6,661	$	6,665
After 1 but within 5 years	5,434		5,464		7,814		7,891
After 5 but within 10 years	853		846		1,018		1,034
After 10 years(2)	62		33		99		64
Total	$	12,457	$	12,455	$	15,592	$	15,654
Total debt securities AFS	$	294,503	$	295,573	$	330,409	$	335,084

(1)Includes mortgage-backed securities of U.S. government-sponsored agencies. The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions.

(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.

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

	September 30, 2021				December 31, 2020
In millions of dollars	Amortized cost(1)		Fair value		Amortized cost(1)		Fair value
Mortgage-backed securities
Due within 1 year	$	160	$	160	$	81	$	81
After 1 but within 5 years	737		792		463		477
After 5 but within 10 years	1,637		1,736		1,699		1,873
After 10 years(2)	66,679		67,484		48,710		50,671
Total	$	69,213	$	70,172	$	50,953	$	53,102
U.S. Treasury securities
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	42,783		42,287		18,955		19,127
After 5 but within 10 years	45,487		45,159		2,338		2,115
After 10 years(2)	—		—		—		—
Total	$	88,270	$	87,446	$	21,293	$	21,242
State and municipal
Due within 1 year	$	54	$	54	$	6	$	6
After 1 but within 5 years	168		172		139		142
After 5 but within 10 years	838		881		818		869
After 10 years(2)	7,892		8,402		8,222		8,912
Total	$	8,952	$	9,509	$	9,185	$	9,929
Foreign government
Due within 1 year	$	334	$	335	$	361	$	360
After 1 but within 5 years	1,360		1,353		1,570		1,662
After 5 but within 10 years	—		—		—		—
After 10 years(2)	—		—		—		—
Total	$	1,694	$	1,688	$	1,931	$	2,022
All other(3)
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	—		—		—		—
After 5 but within 10 years	11,299		11,297		11,795		15,020
After 10 years(2)	18,628		18,612		9,786		6,475
Total	$	29,927	$	29,909	$	21,581	$	21,495
Total debt securities HTM	$	198,056	$	198,724	$	104,943	$	107,790

(1)Amortized cost is reported net of ACL of $73 million and $86 million at September 30, 2021 and December 31, 2020, respectively.

(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 and asset-backed 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, net(1)		Gross unrealized gains		Gross unrealized losses		Fair value
September 30, 2021
Debt securities HTM
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed	$	67,517	$	1,490	$	533	$	68,474
Non-U.S. residential	739		1		—		740
Commercial	957		3		2		958
Total mortgage-backed securities	$	69,213	$	1,494	$	535	$	70,172
U.S. Treasury securities	$	88,270	$	26	$	850	$	87,446
State and municipal(3)	8,952		575		18		9,509
Foreign government	1,694		10		16		1,688
Asset-backed securities(2)	29,927		9		27		29,909
Total debt securities HTM, net	$	198,056	$	2,114	$	1,446	$	198,724
December 31, 2020
Debt securities HTM
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed	$	49,004	$	2,162	$	15	$	51,151
Non-U.S. residential	1,124		3		1		1,126
Commercial	825		1		1		825
Total mortgage-backed securities	$	50,953	$	2,166	$	17	$	53,102
U.S. Treasury securities(4)	$	21,293	$	4	$	55	$	21,242
State and municipal	9,185		755		11		9,929
Foreign government	1,931		91		—		2,022
Asset-backed securities(2)	21,581		6		92		21,495
Total debt securities HTM, net	$	104,943	$	3,022	$	175	$	107,790

(1)Amortized cost is reported net of ACL of $73 million and $86 million at September 30, 2021 and December 31, 2020, respectively.

(2)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.

(3)In February 2021, the Company transferred $237 million of state and municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $14 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.

(4)In August 2020, the Company transferred $13.1 billion of investments in U.S. Treasury securities from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $144 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.

Total other-than-temporary impairments recognized

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

	Three Months Ended September 30, 2021						Three Months Ended September 30, 2020
In millions of dollars	AFS		Other assets		Total		AFS		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	21		—		21		30		—		30
Total impairment losses recognized in earnings	$	21	$	—	$	21	$	30	$	—	$	30
	Nine Months Ended September 30, 2021						Nine Months Ended  September 30, 2020
In millions of dollars	AFS		Other assets		Total		AFS		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	99		—		99		101		—		101
Total impairment losses recognized in earnings	$	99	$	—	$	99	$	101	$	—	$	101

Schedule of allowance for credit losses on available for sale securities

Allowance for Credit Losses on AFS Debt Securities

	Three Months Ended September 30, 2021
In millions of dollars	Mortgage-backed		U.S. Treasury and federal agency		State and municipal		Foreign government		Corporate		Total AFS
Allowance for credit losses at beginning of period	$	—	$	—	$	—	$	—	$	5	$	5
Less: Write-offs	—		—		—		—		—		—
Recoveries of amounts written-off	—		—		—		—		—		—
Net credit losses (NCLs)	$	—	$	—	$	—	$	—	$	—	$	—
NCLs	$	—	$	—	$	—	$	—	$	—	$	—
Credit losses on securities without previous credit losses	—		—		—		—		1		1
Net reserve builds (releases) on securities with previous credit losses	—		—		—		—		—		—
Total provision for credit losses	$	—	$	—	$	—	$	—	$	1	$	1
Initial allowance on newly purchased credit-deteriorated securities during the period	—		—		—		—		—		—
Allowance for credit losses at end of period	$	—	$	—	$	—	$	—	$	6	$	6

	Nine Months Ended September 30, 2021
In millions of dollars	Mortgage-backed		U.S. Treasury and federal agency		State and municipal		Foreign government		Corporate		Total AFS
Allowance for credit losses at beginning of period	$	—	$	—	$	—	$	—	$	5	$	5
Less: Write-offs	—		—		—		—		—		—
Recoveries of amounts written-off	—		—		—		—		—		—
Net credit losses (NCLs)	$	—	$	—	$	—	$	—	$	—	$	—
NCLs	$	—	$	—	$	—	$	—	$	—	$	—
Credit losses on securities without previous credit losses	—		—		—		—		1		1
Net reserve builds (releases) on securities with previous credit losses	—		—		—		—		—		—
Total provision for credit losses	$	—	$	—	$	—	$	—	$	1	$	1
Initial allowance on newly purchased credit-deteriorated securities during the period	—		—		—		—		—		—
Allowance for credit losses at end of period	$	—	$	—	$	—	$	—	$	6	$	6

	Three Months Ended September 30, 2020
In millions of dollars	Mortgage-backed		U.S. Treasury and federal agency		State and municipal		Foreign government		Corporate		Total AFS
Allowance for credit losses at beginning of period	$	—	$	—	$	—	$	3	$	5	$	8
Less: Write-offs	—		—		—		—		—		—
Recoveries of amounts written-off	—		—		—		—		1		1
Net credit losses (NCLs)	$	—	$	—	$	—	$	—	$	1	$	1
NCLs	$	—	$	—	$	—	$	—	$	(1)	$	(1)
Credit losses on securities without previous credit losses	—		—		—		—		—		—
Net reserve builds (releases) on securities with previous credit losses	—		—		—		(3)		—		(3)
Total provision for credit losses	$	—	$	—	$	—	$	(3)	$	(1)	$	(4)
Initial allowance on newly purchased credit-deteriorated securities during the period	—		—		—		—		—		—
Allowance for credit losses at end of period	$	—	$	—	$	—	$	—	$	5	$	5

	Nine Months Ended September 30, 2020
In millions of dollars	Mortgage-backed		U.S. Treasury and federal agency		State and municipal		Foreign government		Corporate		Total AFS
Allowance for credit losses at beginning of period	$	—	$	—	$	—	$	—	$	—	$	—
Less: Write-offs	—		—		—		—		—		—
Recoveries of amounts written-off	—		—		—		—		1		1
Net credit losses (NCLs)	$	—	$	—	$	—	$	—	$	1	$	1
NCLs	$	—	$	—	$	—	$	—	$	(1)	$	(1)
Credit losses on securities without previous credit losses	—		—		—		3		5		8
Net reserve builds (releases) on securities with previous credit losses	—		—		—		(3)		—		(3)
Total provision for credit losses	$	—	$	—	$	—	$	—	$	4	$	4
Initial allowance on newly purchased credit-deteriorated securities during the period	—		—		—		—		—		—
Allowance for credit losses at end of period	$	—	$	—	$	—	$	—	$	5	$	5

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, 2021 and December 31, 2020:

In millions of dollars	September 30, 2021		December 31, 2020
Measurement alternative:
Carrying value	$	1,392	$	962

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	2021		2020		2021		2020
Measurement alternative:(1)
Impairment losses	$	9	$	2	$	13	$	55
Downward changes for observable prices	—		—		—		19
Upward changes for observable prices	86		40		382		82

(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, 2021
Measurement alternative:
Impairment losses	$	76
Downward changes for observable prices	53
Upward changes for observable prices	861

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, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Private equity funds(1)(2)	$	123	$	123	$	60	$	62	—	—
Real estate funds(2)(3)	2		9		1		20		—	—
Mutual/collective investment funds	20		20		—		—		—	—
Total	$	145	$	152	$	61	$	82	—	—

(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.