INVESTMENTS (Tables)

6 Months Ended

Jun. 30, 2022

Investments, Debt and Equity Securities [Abstract]

Schedule of investments by category

The following table presents Citi’s investments by category:

In millions of dollars	June 30, 2022		December 31, 2021
Debt securities available-for-sale (AFS)	$	238,499	$	288,522
Debt securities held-to-maturity (HTM)(1)	267,592		216,963
Marketable equity securities carried at fair value(2)	588		543
Non-marketable equity securities carried at fair value(2)	458		489
Non-marketable equity securities measured using the measurement alternative(3)	1,670		1,413
Non-marketable equity securities carried at cost(4)	5,071		4,892
Total investments	$	513,878	$	512,822

(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 June 30,				Six Months Ended June 30,
In millions of dollars	2022		2021		2022		2021
Taxable interest	$	2,274	$	1,723	$	4,287	$	3,375
Interest exempt from U.S. federal income tax	38		57		43		123
Dividend income	58		38		90		72
Total interest and dividend income on investments	$	2,370	$	1,818	$	4,420	$	3,570

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 June 30,				Six Months Ended June 30,
In millions of dollars	2022		2021		2022		2021
Gross realized investment gains	$	27	$	155	$	180	$	615
Gross realized investment losses	(85)		(18)		(158)		(77)
Net realized gains (losses) on sales of investments	$	(58)	$	137	$	22	$	538

Amortized cost and fair value of AFS debt securities

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

	June 30, 2022										December 31, 2021
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(2)	$	12,982	$	25	$	492	$	—	$	12,515	$	33,064	$	453	$	301	$	—	$	33,216
Non-U.S. residential	281		—		3		—		278		380		1		1		—		380
Commercial	7		—		—		—		7		25		—		—		—		25
Total mortgage-backed securities	$	13,270	$	25	$	495	$	—	$	12,800	$	33,469	$	454	$	302	$	—	$	33,621
U.S. Treasury and federal agency securities
U.S. Treasury	$	94,740	$	42	$	2,918	$	—	$	91,864	$	122,669	$	615	$	844	$	—	$	122,440
Agency obligations	—		—		—		—		—		—		—		—		—		—
Total U.S. Treasury and federal agency securities	$	94,740	$	42	$	2,918	$	—	$	91,864	$	122,669	$	615	$	844	$	—	$	122,440
State and municipal	$	2,677	$	16	$	201	$	—	$	2,492	$	2,643	$	79	$	101	$	—	$	2,621
Foreign government	122,184		424		2,922		—		119,686		119,426		337		1,023		—		118,740
Corporate	6,646		19		214		6		6,445		5,972		33		77		8		5,920
Asset-backed securities(1)	275		2		1		—		276		304		—		1		—		303
Other debt securities	4,948		—		12		—		4,936		4,880		1		4		—		4,877
Total debt securities AFS	$	244,740	$	528	$	6,763	$	6	$	238,499	$	289,363	$	1,519	$	2,352	$	8	$	288,522

(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. See Note 18 for mortgage- and asset-backed securitizations in which the Company has other involvement.

(2)In June 2022, Citibank transferred $21.5 billion of agency residential mortgage-backed securities 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 $2.3 billion. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities.

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
June 30, 2022
Debt securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	10,219	$	387	$	1,048	$	105	$	11,267	$	492
Non-U.S. residential	197		3		—		—		197		3
Commercial	6		—		1		—		7		—
Total mortgage-backed securities	$	10,422	$	390	$	1,049	$	105	$	11,471	$	495
U.S. Treasury	$	53,236	$	1,322	$	29,263	$	1,596	$	82,499	$	2,918
State and municipal	842		53		1,037		148		1,879		201
Foreign government	85,907		2,407		10,757		515		96,664		2,922
Corporate	4,601		196		254		18		4,855		214
Asset-backed securities	174		1		—		—		174		1
Other debt securities	3,475		12		—		—		3,475		12
Total debt securities AFS	$	158,657	$	4,381	$	42,360	$	2,382	$	201,017	$	6,763
December 31, 2021
Debt securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	17,039	$	270	$	698	$	31	$	17,737	$	301
Non-U.S. residential	96		1		1		—		97		1
Commercial	—		—		—		—		—		—
Total mortgage-backed securities	$	17,135	$	271	$	699	$	31	$	17,834	$	302
U.S. Treasury and federal agency securities
U.S. Treasury	$	56,448	$	713	$	6,310	$	131	$	62,758	$	844
Agency obligations	—		—		—		—		—		—
Total U.S. Treasury and federal agency securities	$	56,448	$	713	$	6,310	$	131	$	62,758	$	844
State and municipal	$	229	$	3	$	874	$	98	$	1,103	$	101
Foreign government	64,319		826		9,924		197		74,243		1,023
Corporate	2,655		77		22		—		2,677		77
Asset-backed securities	108		1		—		—		108		1
Other debt securities	3,439		4		—		—		3,439		4
Total debt securities AFS	$	144,333	$	1,895	$	17,829	$	457	$	162,162	$	2,352

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:

	June 30, 2022				December 31, 2021
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities(1)
Due within 1 year	$	92	$	92	$	188	$	189
After 1 but within 5 years	250		245		211		211
After 5 but within 10 years	418		402		523		559
After 10 years	12,510		12,061		32,547		32,662
Total	$	13,270	$	12,800	$	33,469	$	33,621
U.S. Treasury and federal agency securities
Due within 1 year	$	14,951	$	14,893	$	34,321	$	34,448
After 1 but within 5 years	79,446		76,660		87,987		87,633
After 5 but within 10 years	343		311		361		359
After 10 years	—		—		—		—
Total	$	94,740	$	91,864	$	122,669	$	122,440
State and municipal
Due within 1 year	$	25	$	26	$	40	$	40
After 1 but within 5 years	103		103		121		124
After 5 but within 10 years	233		221		156		161
After 10 years	2,316		2,142		2,326		2,296
Total	$	2,677	$	2,492	$	2,643	$	2,621
Foreign government
Due within 1 year	$	58,444	$	58,203	$	49,263	$	49,223
After 1 but within 5 years	59,663		57,644		64,555		63,961
After 5 but within 10 years	2,555		2,324		3,736		3,656
After 10 years	1,522		1,515		1,872		1,900
Total	$	122,184	$	119,686	$	119,426	$	118,740
All other(2)
Due within 1 year	$	5,902	$	5,882	$	5,175	$	5,180
After 1 but within 5 years	5,096		4,965		5,177		5,149
After 5 but within 10 years	812		806		750		750
After 10 years	59		4		54		21
Total	$	11,869	$	11,657	$	11,156	$	11,100
Total debt securities AFS	$	244,740	$	238,499	$	289,363	$	288,522

(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)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:

	June 30, 2022				December 31, 2021
In millions of dollars	Amortized cost(1)		Fair value		Amortized cost(1)		Fair value
Mortgage-backed securities
Due within 1 year	$	15	$	15	$	152	$	151
After 1 but within 5 years	722		722		684		725
After 5 but within 10 years	1,563		1,504		1,655		1,739
After 10 years	88,142		82,040		63,200		63,232
Total	$	90,442	$	84,281	$	65,691	$	65,847
U.S. Treasury securities
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	89,460		83,848		65,498		64,516
After 5 but within 10 years	45,518		40,978		46,321		45,701
After 10 years	—		—		—		—
Total	$	134,978	$	124,826	$	111,819	$	110,217
State and municipal
Due within 1 year	$	54	$	54	$	51	$	50
After 1 but within 5 years	159		160		166		170
After 5 but within 10 years	919		902		908		951
After 10 years	7,944		7,426		7,798		8,329
Total	$	9,076	$	8,542	$	8,923	$	9,500
Foreign government
Due within 1 year	$	—	$	—	$	292	$	291
After 1 but within 5 years	2,016		1,926		1,359		1,328
After 5 but within 10 years	—		—		—		—
After 10 years	—		—		—		—
Total	$	2,016	$	1,926	$	1,651	$	1,619
All other(2)
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	—		—		—		—
After 5 but within 10 years	11,926		11,720		11,520		11,515
After 10 years	19,154		18,509		17,359		17,340
Total	$	31,080	$	30,229	$	28,879	$	28,855
Total debt securities HTM	$	267,592	$	249,804	$	216,963	$	216,038

(1)Amortized cost is reported net of ACL of $105 million and $87 million at June 30, 2022 and December 31, 2021, respectively.

(2)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
June 30, 2022
Debt securities HTM
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed(3)	$	88,744	$	446	$	6,611	$	82,579
Non-U.S. residential	541		—		—		541
Commercial	1,157		5		1		1,161
Total mortgage-backed securities	$	90,442	$	451	$	6,612	$	84,281
U.S. Treasury securities	$	134,978	$	—	$	10,152	$	124,826
State and municipal	9,076		60		594		8,542
Foreign government	2,016		—		90		1,926
Asset-backed securities(2)	31,080		4		855		30,229
Total debt securities HTM, net	$	267,592	$	515	$	18,303	$	249,804
December 31, 2021
Debt securities HTM
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed	$	63,885	$	1,076	$	925	$	64,036
Non-U.S. residential	736		3		—		739
Commercial	1,070		4		2		1,072
Total mortgage-backed securities	$	65,691	$	1,083	$	927	$	65,847
U.S. Treasury securities	$	111,819	$	30	$	1,632	$	110,217
State and municipal(4)	8,923		589		12		9,500
Foreign government	1,651		4		36		1,619
Asset-backed securities(2)	28,879		8		32		28,855
Total debt securities HTM, net	$	216,963	$	1,714	$	2,639	$	216,038

(1)Amortized cost is reported net of ACL of $105 million and $87 million at June 30, 2022 and December 31, 2021, 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. See Note 18 for mortgage- and asset-backed securitizations in which the Company has other involvement.

(3)In June 2022, Citibank transferred $21.5 billion of agency residential mortgage-backed securities 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 $2.3 billion. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities.

(4)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.

Total other-than-temporary impairments recognized

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

	Three Months Ended June 30, 2022						Three Months Ended June 30, 2021
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	90		—		90		9		—		9
Total impairment losses recognized in earnings	$	90	$	—	$	90	$	9	$	—	$	9
	Six Months Ended June 30, 2022						Six Months Ended  June 30, 2021
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	180		—		180		78		—		78
Total impairment losses recognized in earnings	$	180	$	—	$	180	$	78	$	—	$	78

Schedule of allowance for credit losses on available for sale securities

Allowance for Credit Losses on AFS Debt Securities

	Three Months Ended June 30, 2022
In millions of dollars	Corporate		Total AFS
Allowance for credit losses at beginning of period	$	8	$	8
Gross write-offs	—		—
Gross recoveries	—		—
Net credit losses (NCLs)	$	—	$	—
NCLs	$	—	$	—
Credit losses on securities without previous credit losses	—		—
Net reserve builds (releases) on securities with previous credit losses	(2)		(2)
Total provision for credit losses	$	(2)	$	(2)
Initial allowance on newly purchased credit-deteriorated securities during the period	—		—
Allowance for credit losses at end of period	$	6	$	6
	Six Months Ended June 30, 2022
In millions of dollars	Corporate		Total AFS
Allowance for credit losses at beginning of period	$	8	$	8
Gross write-offs	—		—
Gross recoveries	—		—
Net credit losses (NCLs)	$	—	$	—
NCLs	$	—	$	—
Credit losses on securities without previous credit losses	—		—
Net reserve builds (releases) on securities with previous credit losses	(2)		(2)
Total provision for credit losses	$	(2)	$	(2)
Initial allowance on newly purchased credit-deteriorated securities during the period	—		—
Allowance for credit losses at end of period	$	6	$	6

	Three Months Ended June 30, 2021
In millions of dollars	Corporate		Total AFS
Allowance for credit losses at beginning of period	$	5	$	5
Gross write-offs	—		—
Gross recoveries	—		—
Net credit losses (NCLs)	$	—	$	—
NCLs	$	—	$	—
Credit losses on securities without previous credit losses	—		—
Net reserve builds (releases) on securities with previous credit losses	—		—
Total provision for credit losses	$	—	$	—
Initial allowance on newly purchased credit-deteriorated securities during the period	—		—
Allowance for credit losses at end of period	$	5	$	5
	Six Months Ended June 30, 2021
In millions of dollars	Corporate		Total AFS
Allowance for credit losses at beginning of period	$	5	$	5
Gross write-offs	—		—
Gross recoveries	—		—
Net credit losses (NCLs)	$	—	$	—
NCLs	$	—	$	—
Credit losses on securities without previous credit losses	—		—
Net reserve builds (releases) on securities with previous credit losses	—		—
Total provision for credit losses	$	—	$	—
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 June 30, 2022 and December 31, 2021:

In millions of dollars	June 30, 2022		December 31, 2021
Measurement alternative:
Carrying value	$	1,670	$	1,413

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

	Three Months Ended June 30,				Six Months Ended June 30,
In millions of dollars	2022		2021		2022		2021
Measurement alternative:(1)
Impairment losses	$	6	$	4	$	6	$	4
Downward changes for observable prices	—		—		—		—
Upward changes for observable prices	48		215		134		296

(1)     See Note 20 for additional information on these nonrecurring fair value measurements.

	Life-to-date amounts on securities still held
In millions of dollars	June 30, 2022
Measurement alternative:
Impairment losses	$	86
Downward changes for observable prices	3
Upward changes for observable prices	824

Investments in alternative investment funds

	Fair value				Unfunded commitments				Redemption frequency (if currently eligible) monthly, quarterly, annually	Redemption  notice period
In millions of dollars	June 30, 2022		December 31, 2021		June 30, 2022		December 31, 2021
Private equity funds(1)(2)	$	118	$	123	$	60	$	60	N/A	N/A
Real estate funds(2)(3)	1		2		1		1		N/A	N/A
Mutual/collective investment funds	22		20		—		—		N/A	N/A
Total	$	141	$	145	$	61	$	61	N/A	N/A

(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.

N/A Not applicable