At December 31, 2022, the amortized cost of AFS fixed income securities for those in a loss position exceeded their fair value by $6,604 million. Of the $6,604 million, $3,997 million represented unrealized losses on fixed income investments that have been in a gross unrealized loss position for less than a year and, of these, 73% were rated investment grade; and $2,607 million represented unrealized losses on fixed income investments that have been in a gross unrealized loss position for a year or more and, of these, 99% were rated investment grade. Of the $2,607 million, $1,491 million represents U.S. Treasury and federal agency 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
December 31, 2022
Debt securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	7,908	$	412	$	3,290	$	343	$	11,198	$	755
Residential	158		3		1		—		159		3
Commercial	1		—		1		—		2		—
Total mortgage-backed securities	$	8,067	$	415	$	3,292	$	343	$	11,359	$	758
U.S. Treasury and federal agency securities
U.S. Treasury	$	40,701	$	1,001	$	34,692	$	1,491	$	75,393	$	2,492
Agency obligations	—		—		—		—		—		—
Total U.S. Treasury and federal agency securities	$	40,701	$	1,001	$	34,692	$	1,491	$	75,393	$	2,492
State and municipal	$	896	$	31	$	707	$	128	$	1,603	$	159
Foreign government	82,900		2,332		14,220		608		97,120		2,940
Corporate	3,082		209		784		37		3,866		246
Asset-backed securities	708		4		—		—		708		4
Other debt securities	2,213		5		—		—		2,213		5
Total debt securities AFS	$	138,567	$	3,997	$	53,695	$	2,607	$	192,262	$	6,604
December 31, 2021
Debt securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	17,039	$	270	$	698	$	31	$	17,737	$	301
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:


	December 31,
	2022						2021
In millions of dollars	Amortized cost		Fair value		Weighted average yield(1)		Amortized cost		Fair value		Weighted average yield(1)
Mortgage-backed securities(2)
Due within 1 year	$	42	$	44	2.02	%	$	188	$	189	0.79	%
After 1 but within 5 years	523		513		2.31		211		211		1.07
After 5 but within 10 years	468		440		3.46		523		559		3.41
After 10 years	11,466		10,752		3.46		32,547		32,662		2.73
Total	$	12,499	$	11,749	3.41	%	$	33,469	$	33,621	2.72	%
U.S. Treasury and federal agency securities
Due within 1 year	$	25,935	$	25,829	2.81	%	$	34,321	$	34,448	1.05	%
After 1 but within 5 years	68,455		66,166		1.17		87,987		87,633		0.81
After 5 but within 10 years	342		295		2.53		361		359		1.42
After 10 years	—		—		—		—		—		—
Total	$	94,732	$	92,290	1.62	%	$	122,669	$	122,440	0.87	%
State and municipal
Due within 1 year	$	19	$	18	1.79	%	$	40	$	40	2.09	%
After 1 but within 5 years	94		92		3.07		121		124		3.16
After 5 but within 10 years	305		302		3.55		156		161		3.18
After 10 years	1,945		1,811		3.51		2,326		2,296		3.15
Total	$	2,363	$	2,223	3.49	%	$	2,643	$	2,621	3.14	%
Foreign government
Due within 1 year	$	64,795	$	64,479	4.25	%	$	49,263	$	49,223	2.53	%
After 1 but within 5 years	67,935		66,150		4.80		64,555		63,961		3.14
After 5 but within 10 years	2,491		2,250		2.86		3,736		3,656		1.72
After 10 years	427		398		3.80		1,872		1,900		1.52
Total	$	135,648	$	133,277	4.50	%	$	119,426	$	118,740	2.82	%
All other(3)
Due within 1 year	$	4,452	$	4,441	1.52	%	$	5,175	$	5,180	0.94	%
After 1 but within 5 years	5,162		4,988		4.82		5,177		5,149		1.91
After 5 but within 10 years	695		693		11.35		750		750		2.08
After 10 years	57		18		3.81		54		21		4.28
Total	$	10,366	$	10,140	3.83	%	$	11,156	$	11,100	1.48	%
Total debt securities AFS	$	255,608	$	249,679	3.34	%	$	289,363	$	288,522	1.94	%

(1)Weighted average yields are weighted based on the amortized cost of each security. The average yield considers the contractual coupon, amortization of premiums and accretion of discounts and excludes the effects of any related hedging derivatives.

(2)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.

(3)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
December 31, 2022
Debt securities HTM
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed(3)	$	90,063	$	58	$	10,033	$	80,088
Non-U.S. residential	445		—		—		445
Commercial	1,114		5		1		1,118
Total mortgage-backed securities	$	91,622	$	63	$	10,034	$	81,651
U.S. Treasury securities	$	134,961	$	—	$	13,722	$	121,239
State and municipal(4)	9,237		34		764		8,507
Foreign government	2,075		—		93		1,982
Asset-backed securities(2)	30,968		4		703		30,269
Total debt securities HTM, net	$	268,863	$	101	$	25,316	$	243,648
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	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 $120 million and $87 million at December 31, 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 22 for mortgage- and asset-backed securitizations in which the Company has other involvement.

(3)In 2022, Citibank transferred $21.5 billion of agency residential mortgage-backed securities and $165 million of municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities and bonds were in an unrealized loss position of $2.3 billion and $12 million, respectively. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities and bonds.

The Company has the positive intent and ability to hold these securities to maturity or, where applicable, until the exercise of any issuer call option, absent any unforeseen significant changes in circumstances, including deterioration in credit or changes in regulatory capital requirements.

The net unrealized losses classified in AOCI for HTM debt securities primarily relate to debt securities previously classified as AFS that were transferred to HTM, and include any cumulative fair value hedge adjustments. The net unrealized loss amount also includes any non-credit-related changes in fair value of HTM debt securities that have suffered credit impairment recorded in earnings. The AOCI balance related to HTM debt securities is amortized as an adjustment of yield, in a manner consistent with the accretion of any difference between the carrying value at the transfer date and par value of the same debt securities.

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


	December 31,
	2022						2021
In millions of dollars	Amortized cost(1)		Fair value		Weighted average yield(2)		Amortized cost(1)		Fair value		Weighted average yield(2)
Mortgage-backed securities
Due within 1 year	$	27	$	27	2.93	%	$	152	$	151	1.70	%
After 1 but within 5 years	520		505		3.84		684		725		3.01
After 5 but within 10 years	1,496		1,374		2.74		1,655		1,739		2.74
After 10 years	89,579		79,745		2.89		63,200		63,232		2.55
Total	$	91,622	$	81,651	2.90	%	$	65,691	$	65,847	2.56	%
U.S. Treasury securities
Due within 1 year	$	3,148	$	3,017	0.18	%	$	—	$	—	—	%
After 1 but within 5 years	86,617		79,104		1.04		65,498		64,516		0.69
After 5 but within 10 years	45,196		39,118		1.16		46,321		45,701		1.15
After 10 years	—		—		—		—		—		—
Total	$	134,961	$	121,239	1.06	%	$	111,819	$	110,217	0.88	%
State and municipal
Due within 1 year	$	22	$	21	2.73	%	$	51	$	50	3.82	%
After 1 but within 5 years	102		100		2.99		166		170		2.82
After 5 but within 10 years	1,002		967		3.16		908		951		3.23
After 10 years	8,111		7,419		3.32		7,798		8,329		2.65
Total	$	9,237	$	8,507	3.30	%	$	8,923	$	9,500	2.72	%
Foreign government
Due within 1 year	$	143	$	139	10.83	%	$	292	$	291	7.86	%
After 1 but within 5 years	1,932		1,843		9.94		1,359		1,328		6.30
After 5 but within 10 years	—		—		—		—		—		—
After 10 years	—		—		—		—		—		—
Total	$	2,075	$	1,982	10.00	%	$	1,651	$	1,619	6.58	%
All other(3)
Due within 1 year	$	—	$	—	—	%	$	—	$	—	—	%
After 1 but within 5 years	—		—		—		—		—		—
After 5 but within 10 years	11,751		11,583		2.81		11,520		11,515		2.78
After 10 years	19,217		18,686		1.53		17,359		17,340		1.34
Total	$	30,968	$	30,269	2.02	%	$	28,879	$	28,855	1.92	%
Total debt securities HTM	$	268,863	$	243,648	1.94	%	$	216,963	$	216,038	1.65	%

(1)Amortized cost is reported net of ACL of $120 million and $87 million at December 31, 2022 and 2021, respectively.

(2)Weighted average yields are weighted based on the amortized cost of each security. The average yield considers the contractual coupon, amortization of premiums and accretion of discounts and excludes the effects of any related hedging derivatives.

(3)Includes corporate and asset-backed securities.

HTM Debt Securities Delinquency and Non-Accrual

Details

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

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

An AFS debt security is impaired when the current fair value of an individual AFS debt security is less than its amortized cost basis.

The Company recognizes the entire difference between amortized cost basis and fair value in earnings for impaired AFS debt securities that Citi has an intent to sell or for which Citi believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those AFS debt securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings by recording an allowance for credit losses. Any remaining fair value decline for such securities is recorded in AOCI. The Company does not consider the length of time that the fair value of a security is below its amortized cost when determining if a credit loss exists.

For AFS debt securities, credit losses exist where Citi does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security. The allowance for credit losses is limited to the amount by which the AFS debt security’s amortized cost basis exceeds its fair value. The allowance is increased or decreased if credit conditions subsequently worsen or improve. Reversals of credit losses are recognized in earnings.

The Company’s review for impairment of AFS debt securities generally entails:

•identification and evaluation of impaired investments;

•consideration of evidential matter, including an evaluation of factors or triggers that could cause individual positions to qualify as credit impaired and those that would not support credit impairment; and

•documentation of the results of these analyses, as required under business policies.

The sections below describe the Company’s process for identifying expected credit impairments for debt security types that have the most significant unrealized losses as of December 31, 2022.

Agency Mortgage-Backed Securities

Citi records no allowances for credit losses on U.S. government-agency-guaranteed mortgage-backed securities, because the Company expects to incur no credit losses in the event of default due to a history of incurring no credit losses and due to the nature of the counterparties.

State and Municipal Securities

The process for estimating credit losses in Citigroup’s AFS state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. Citi monitors the bond issuers and any insurers providing default protection in the form of financial guarantee insurance. The average external credit rating, disregarding any insurance, is Aa2/AA. In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.

For AFS state and municipal bonds with unrealized losses that Citi plans to sell or would more-likely-than-not be required to sell prior to recovery of value, the full impairment is recognized in earnings. For AFS state and municipal bonds where Citi has no intent to sell and it is not more-likely-than-not that the Company will be required to sell, Citi records an allowance for expected credit losses for the amount it expects not to collect, capped at the difference between the bond’s amortized cost basis and fair value.

Equity Method Investments

Management assesses equity method investments that have fair values that are less than their respective carrying values for other-than-temporary impairment (OTTI). Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 25).

For impaired equity method investments that Citi plans to sell prior to recovery of value or would more-likely-than-not be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized as OTTI in Other revenue regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.

For impaired equity method investments that management does not plan to sell and is not more-likely-than-not to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators:

•the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;

•the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and

•the length of time and extent to which fair value has been less than the carrying value.

Recognition and Measurement of Impairment

The following table presents total impairment on AFS investments recognized in earnings:


			Year ended
In millions of dollars	2022		2021		2020
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	360		181		109
Total impairment losses recognized in earnings	$	360	$	181	$	109

The following presents the credit-related impairments recognized in earnings for AFS securities held that the Company does not intend to sell nor will likely be required to sell at December 31, 2022 and 2021:

Allowance for Credit Losses on AFS Debt Securities


	Year ended December 31, 2022
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 year	$	—	$	—	$	—	$	—	$	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	—		—		—		—		2		2
Net reserve builds (releases) on securities with previous credit losses	—		—		—		—		(2)		(2)


Total provision for credit losses	$	—	$	—	$	—	$	—	$	(5)	$	(5)
Initial allowance on newly purchased credit-deteriorated securities during the year	—		—		—		—		—		—
Allowance for credit losses at end of year	$	—	$	—	$	—	$	—	$	3	$	3


	Year ended December 31, 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 year	$	—	$	—	$	—	$	—	$	5	$	5
Gross write-offs	—		—		—		—		—		—
Gross recoveries	—		—		—		—		—		—
Net credit losses (NCLs)	$	—	$	—	$	—	$	—	$	—	$	—
NCLs	$	—	$	—	$	—	$	—	$	—	$	—
Credit losses on securities without previous credit losses	—		—		—		—		3		3
Net reserve builds (releases) on securities with previous credit losses	—		—		—		—		—		—


Total provision for credit losses	$	—	$	—	$	—	$	—	$	3	$	3
Initial allowance on newly purchased credit-deteriorated securities during the year	—		—		—		—		—		—
Allowance for credit losses at end of year	$	—	$	—	$	—	$	—	$	8	$	8


	Year ended December 31, 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 year	$	—	$	—	$	—	$	—	$	—	$	—
Gross write-offs	—		—		—		—		—		—
Gross recoveries	—		—		—		—		2		2
Net credit losses (NCLs)	$	—	$	—	$	—	$	—	$	2	$	2
NCLs	$	—	$	—	$	—	$	—	$	(2)	$	(2)
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	$	—	$	—	$	—	$	—	$	3	$	3
Initial allowance on newly purchased credit-deteriorated securities during the year	—		—		—		—		—		—
Allowance for credit losses at end of year	$	—	$	—	$	—	$	—	$	5	$	5

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. Impairment indicators that are considered include, but are not limited to, the following:

•a significant deterioration in the earnings performance, credit rating, asset quality or business prospects of the investee;

•a significant adverse change in the regulatory, economic or technological environment of the investee;

•a significant adverse change in the general market condition of either the geographical area or the industry in which the investee operates;

•a bona fide offer to purchase, an offer by the investee to sell or a completed auction process for the same or similar investment for an amount less than the carrying amount of that investment; and

•factors that raise significant concerns about the investee’s ability to continue as a going concern, such as negative cash flows from operations, working capital deficiencies or noncompliance with statutory capital requirements or debt covenants.

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 December 31, 2022 and 2021:


In millions of dollars	December 31, 2022		December 31, 2021
Measurement alternative:
Carrying value	$	1,676	$	1,413

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	2022		2021
Measurement alternative(1):
Impairment losses	$	139	$	25
Downward changes for observable prices	3		—
Upward changes for observable prices	177		406

(1) See Note 25 for additional information on these nonrecurring fair value measurements.


	Life-to-date amounts on securities still held
In millions of dollars	December 31, 2022
Measurement alternative:
Impairment losses	$	219
Downward changes for observable prices	6
Upward changes for observable prices	867

A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the years ended December 31, 2022 and 2021, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.