For additional information regarding Citi’s investment portfolios, including evaluating investments for impairment, see Note 13 to the Consolidated Financial Statements

in Citi’s 2021 Form 10-K.

The following table presents Citi’s investments by category:


In millions of dollars	September 30, 2022		December 31, 2021

Debt securities available-for-sale (AFS)	$	232,143	$	288,522
Debt securities held-to-maturity (HTM)(1)	267,864		216,963
Marketable equity securities carried at fair value(2)	431		543
Non-marketable equity securities carried at fair value(2)(5)	419		489
Non-marketable equity securities measured using the measurement alternative(3)	1,690		1,413
Non-marketable equity securities carried at cost(4)	5,469		4,892
Total investments	$	508,016	$	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.

(5) Includes $26 million and $145 million of investments in funds for which the fair values are estimated using the net asset value of the Company’s ownership interest in the funds at September 30, 2022 and December 31, 2021, respectively.

The following table presents interest and dividend income on investments:


	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2022		2021		2022		2021
Taxable interest	$	2,714	$	1,777	$	7,001	$	5,152
Interest exempt from U.S. federal income tax	220		73		263		196
Dividend income	59		35		149		107
Total interest and dividend income on investments	$	2,993	$	1,885	$	7,413	$	5,455

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	2022		2021		2022		2021
Gross realized investment gains	$	102	$	142	$	282	$	757
Gross realized investment losses	(50)		(25)		(208)		(102)
Net realized gains (losses) on sales of investments	$	52	$	117	$	74	$	655

Debt Securities Available-for-Sale

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


	September 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)	$	12,214	$	7	$	890	$	—	$	11,331	$	33,064	$	453	$	301	$	—	$	33,216



Residential	479		—		3		—		476		380		1		1		—		380
Commercial	4		—		—		—		4		25		—		—		—		25
Total mortgage-backed securities	$	12,697	$	7	$	893	$	—	$	11,811	$	33,469	$	454	$	302	$	—	$	33,621
U.S. Treasury and federal agency securities
U.S. Treasury	$	92,595	$	41	$	2,973	$	—	$	89,663	$	122,669	$	615	$	844	$	—	$	122,440
Agency obligations	—		—		—		—		—		—		—		—		—		—
Total U.S. Treasury and federal agency securities	$	92,595	$	41	$	2,973	$	—	$	89,663	$	122,669	$	615	$	844	$	—	$	122,440
State and municipal(3)	$	2,368	$	8	$	223	$	—	$	2,153	$	2,643	$	79	$	101	$	—	$	2,621
Foreign government	121,815		400		3,244		—		118,971		119,426		337		1,023		—		118,740
Corporate	5,773		37		296		1		5,513		5,972		33		77		8		5,920
Asset-backed securities(1)	277		1		2		—		276		304		—		1		—		303
Other debt securities	3,764		—		8		—		3,756		4,880		1		4		—		4,877
Total debt securities AFS	$	239,289	$	494	$	7,639	$	1	$	232,143	$	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.

(3) In September 2022, Citibank transferred $165 million of municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the bonds were in an unrealized loss position of $12 million. The loss amounts will remain in AOCI and will be amortized over the remaining life of the 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
September 30, 2022
Debt securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	9,471	$	615	$	1,922	$	275	$	11,393	$	890

Residential	46		3		—		—		46		3
Commercial	3		—		1		—		4		—
Total mortgage-backed securities	$	9,520	$	618	$	1,923	$	275	$	11,443	$	893

U.S. Treasury	$	44,899	$	1,300	$	33,305	$	1,673	$	78,204	$	2,973


State and municipal	488		40		1,308		183		1,796		223
Foreign government	79,279		2,514		13,266		730		92,545		3,244
Corporate	4,068		270		394		26		4,462		296
Asset-backed securities	159		2		—		—		159		2
Other debt securities	2,271		8		—		—		2,271		8
Total debt securities AFS	$	140,684	$	4,752	$	50,196	$	2,887	$	190,880	$	7,639
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

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



	September 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	$	42	$	42	$	188	$	189
After 1 but within 5 years	514		502		211		211
After 5 but within 10 years	365		337		523		559
After 10 years	11,776		10,930		32,547		32,662
Total	$	12,697	$	11,811	$	33,469	$	33,621
U.S. Treasury and federal agency securities
Due within 1 year	$	16,839	$	16,737	$	34,321	$	34,448
After 1 but within 5 years	75,414		72,631		87,987		87,633
After 5 but within 10 years	342		295		361		359
After 10 years	—		—		—		—
Total	$	92,595	$	89,663	$	122,669	$	122,440
State and municipal
Due within 1 year	$	18	$	19	$	40	$	40
After 1 but within 5 years	101		99		121		124
After 5 but within 10 years	263		247		156		161
After 10 years	1,986		1,788		2,326		2,296
Total	$	2,368	$	2,153	$	2,643	$	2,621
Foreign government
Due within 1 year	$	55,925	$	55,735	$	49,263	$	49,223
After 1 but within 5 years	62,444		60,195		64,555		63,961
After 5 but within 10 years	2,564		2,239		3,736		3,656
After 10 years	882		802		1,872		1,900
Total	$	121,815	$	118,971	$	119,426	$	118,740
All other(2)
Due within 1 year	$	4,396	$	4,378	$	5,175	$	5,180
After 1 but within 5 years	4,592		4,420		5,177		5,149
After 5 but within 10 years	770		743		750		750
After 10 years	56		4		54		21
Total	$	9,814	$	9,545	$	11,156	$	11,100
Total debt securities AFS	$	239,289	$	232,143	$	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.

Debt Securities Held-to-Maturity

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, 2022
Debt securities HTM
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed(3)	$	89,020	$	2	$	11,160	$	77,862

Non-U.S. residential	467		—		—		467
Commercial	1,100		4		1		1,103
Total mortgage-backed securities	$	90,587	$	6	$	11,161	$	79,432
U.S. Treasury securities	$	134,969	$	—	$	14,672	$	120,297
State and municipal(4)	9,215		18		1,111		8,122
Foreign government	2,014		—		115		1,899
Asset-backed securities(2)	31,079		4		1,026		30,057

Total debt securities HTM, net	$	267,864	$	28	$	28,085	$	239,807
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(5)	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 $115 million and $87 million at September 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 September 2022, Citibank transferred $165 million of municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the bonds were in an unrealized loss position of $12 million. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities.

(5)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.

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



	September 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	$	32	$	32		$	152	$	151
After 1 but within 5 years	683		663			684		725
After 5 but within 10 years	1,520		1,386			1,655		1,739
After 10 years	88,352		77,351			63,200		63,232
Total	$	90,587	$	79,432		$	65,691	$	65,847
U.S. Treasury securities
Due within 1 year	$	—	$	—		$	—	$	—
After 1 but within 5 years	89,774		81,540			65,498		64,516
After 5 but within 10 years	45,195		38,757			46,321		45,701
After 10 years	—		—			—		—
Total	$	134,969	$	120,297		$	111,819	$	110,217
State and municipal
Due within 1 year	$	41	$	41		$	51	$	50
After 1 but within 5 years	121		120			166		170
After 5 but within 10 years	935		880			908		951
After 10 years	8,118		7,081			7,798		8,329
Total	$	9,215	$	8,122		$	8,923	$	9,500
Foreign government
Due within 1 year	$	—	$	—		$	292	$	291
After 1 but within 5 years	2,014		1,899			1,359		1,328
After 5 but within 10 years	—		—			—		—
After 10 years	—		—			—		—
Total	$	2,014	$	1,899		$	1,651	$	1,619
All other(2)
Due within 1 year	$	—	$	—		$	—	$	—
After 1 but within 5 years	—		—			—		—
After 5 but within 10 years	11,857		11,603			11,520		11,515
After 10 years	19,222		18,454			17,359		17,340
Total	$	31,079	$	30,057		$	28,879	$	28,855
Total debt securities HTM	$	267,864	$	239,807		$	216,963	$	216,038

(1)Amortized cost is reported net of ACL of $115 million and $87 million at September 30, 2022 and December 31, 2021, respectively.

(2)Includes corporate and asset-backed securities.

HTM Debt Securities Delinquency and Non-Accrual Details

Citi did not have any HTM securities that were delinquent or on non-accrual status at September 30, 2022 or December 31, 2021.

There were no purchased credit-deteriorated HTM debt securities held by the Company as of September 30, 2022 or December 31, 2021.

Evaluating Investments for Impairment

AFS Debt Securities

Overview—AFS Debt Securities

The Company conducts periodic reviews of all AFS debt securities with unrealized losses to evaluate whether the impairment resulted from expected credit losses or from other factors and to evaluate the Company’s intent to sell such securities.

For more information on evaluating investments for impairment, see Note 13 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.

Recognition and Measurement of Impairment

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


	Three Months Ended September 30, 2022						Three Months Ended September 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	74		—		74		21		—		21
Total impairment losses recognized in earnings	$	74	$	—	$	74	$	21	$	—	$	21
	Nine Months Ended September 30, 2022						Nine Months Ended September 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	254		—		254		99		—		99
Total impairment losses recognized in earnings	$	254	$	—	$	254	$	99	$	—	$	99

Allowance for Credit Losses on AFS Debt Securities


	Three Months Ended September 30, 2022
In millions of dollars	Corporate		Total AFS
Allowance for credit losses at beginning of period	$	6	$	6
Gross write-offs	—		—
Gross recoveries	5		5
Net credit losses (NCLs)	$	5	$	5
NCLs	$	(5)	$	(5)
Credit losses on securities without previous credit losses	—		—
Net reserve builds (releases) on securities with previous credit losses	—		—


Total provision for credit losses	$	(5)	$	(5)
Initial allowance on newly purchased credit-deteriorated securities during the period	—		—
Allowance for credit losses at end of period	$	1	$	1

	Nine Months Ended September 30, 2022
In millions of dollars	Corporate		Total AFS
Allowance for credit losses at beginning of period	$	8	$	8
Gross write-offs	—		—
Gross recoveries	5		5
Net credit losses (NCLs)	$	5	$	5
NCLs	$	(5)	$	(5)
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	$	(7)	$	(7)
Initial allowance on newly purchased credit-deteriorated securities during the period	—		—
Allowance for credit losses at end of period	$	1	$	1


	Three Months Ended September 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	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	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	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

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.

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. For details on impairment indicators that are considered, see Note 13 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.

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 September 30, 2022 and December 31, 2021:


In millions of dollars	September 30, 2022		December 31, 2021
Measurement alternative:
Carrying value	$	1,690	$	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 September 30,				Nine Months Ended September 30,
In millions of dollars	2022		2021		2022		2021
Measurement alternative:(1)
Impairment losses	$	17	$	9	$	23	$	13
Downward changes for observable prices	—		—		—		—
Upward changes for observable prices	7		86		141		382

(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	September 30, 2022
Measurement alternative:
Impairment losses	$	103
Downward changes for observable prices	3
Upward changes for observable prices	831

A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended September 30, 2022 and 2021, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.