INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2023

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, 2023		December 31, 2022
Debt securities available-for-sale (AFS)	$	241,783	$	249,679
Debt securities held-to-maturity (HTM)(1)	259,456		268,863
Marketable equity securities carried at fair value(2)	283		429
Non-marketable equity securities carried at fair value(2)(5)	455		466
Non-marketable equity securities measured using the measurement alternative(3)	1,621		1,676
Non-marketable equity securities carried at cost(4)	5,400		5,469
Total investments(6)	$	508,998	$	526,582

(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 $24 million and $27 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, 2023 and December 31, 2022, respectively.

(6)    Not included in the balances above is approximately $2 billion of accrued interest receivable at September 30, 2023 and December 31, 2022, which is included in Other assets on the Consolidated Balance Sheet. The Company does not recognize an allowance for credit losses on accrued interest receivable for AFS and HTM debt securities, consistent with its non-accrual policy, which results in timely write-off of accrued interest. The Company did not reverse through interest income any accrued interest receivables for the quarters ended September 30, 2023 and 2022.

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	2023		2022		2023		2022
Taxable interest	$	4,547	$	2,714	$	12,831	$	7,001
Interest exempt from U.S. federal income tax	83		220		252		263
Dividend income	89		59		231		149
Total interest and dividend income on investments	$	4,719	$	2,993	$	13,314	$	7,413

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	2023		2022		2023		2022
Gross realized investment gains	$	83	$	102	$	262	$	282
Gross realized investment losses	(53)		(50)		(111)		(208)
Net realized gains on sales of investments	$	30	$	52	$	151	$	74

Amortized cost and fair value of AFS debt securities

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

	September 30, 2023										December 31, 2022
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)(3)	$	20,750	$	23	$	958	$	—	$	19,815	$	12,009	$	8	$	755	$	—	$	11,262
Residential	310		—		3		—		307		488		—		3		—		485
Commercial	1		—		—		—		1		2		—		—		—		2
Total mortgage-backed securities	$	21,061	$	23	$	961	$	—	$	20,123	$	12,499	$	8	$	758	$	—	$	11,749
U.S. Treasury and federal agency securities
U.S. Treasury	$	83,029	$	21	$	1,782	$	—	$	81,268	$	94,732	$	50	$	2,492	$	—	$	92,290
Agency obligations	—		—		—		—		—		—		—		—		—		—
Total U.S. Treasury and federal agency securities	$	83,029	$	21	$	1,782	$	—	$	81,268	$	94,732	$	50	$	2,492	$	—	$	92,290
State and municipal	$	2,204	$	6	$	179	$	—	$	2,031	$	2,363	$	19	$	159	$	—	$	2,223
Foreign government	127,245		234		2,083		—		125,396		135,648		569		2,940		—		133,277
Corporate	5,653		13		268		5		5,393		5,146		19		246		3		4,916
Asset-backed securities(1)	681		3		2		—		682		1,022		12		4		—		1,030
Other debt securities	6,890		2		2		—		6,890		4,198		1		5		—		4,194
Total debt securities AFS	$	246,763	$	302	$	5,277	$	5	$	241,783	$	255,608	$	678	$	6,604	$	3	$	249,679

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

(2)In January 2023, Citi adopted ASU 2022-01. Upon adoption, Citi transferred $3.3 billion of mortgage-backed securities from HTM classification to AFS classification as allowed under the ASU. At the time of transfer, the securities were in an unrealized gain position of $0.1 billion, which was recorded in AOCI upon transfer. See Note 1 to the Consolidated Financial Statements in Citi’s 2022 Form 10-K.

(3)Amortized cost includes unallocated portfolio layer cumulative basis adjustments of $(0.5) billion as of September 30, 2023. Gross unrealized gains and gross unrealized losses on mortgage-backed securities excluding the effect of unallocated portfolio layer cumulative basis adjustments were $2 million and $1.5 billion, respectively, as of September 30, 2023.

Fair value of securities in unrealized loss position

The following table presents 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, 2023
Debt securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	7,751	$	154	$	8,945	$	804	$	16,696	$	958
Residential	298		3		4		—		302		3
Commercial	—		—		—		—		—		—
Total mortgage-backed securities	$	8,049	$	157	$	8,949	$	804	$	16,998	$	961
U.S. Treasury and federal agency securities
U.S. Treasury	$	23,045	$	705	$	48,721	$	1,077	$	71,766	$	1,782
Total U.S. Treasury and federal agency securities	$	23,045	$	705	$	48,721	$	1,077	$	71,766	$	1,782
State and municipal	$	751	$	39	$	864	$	140	$	1,615	$	179
Foreign government	73,044		1,425		19,780		658		92,824		2,083
Corporate	2,858		213		1,583		55		4,441		268
Asset-backed securities	214		2		—		—		214		2
Other debt securities	1,359		2		—		—		1,359		2
Total debt securities AFS	$	109,320	$	2,543	$	79,897	$	2,734	$	189,217	$	5,277
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

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, 2023				December 31, 2022
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities(1)
Due within 1 year	$	10	$	10	$	42	$	44
After 1 but within 5 years	364		354		523		513
After 5 but within 10 years	570		527		468		440
After 10 years	20,659		19,232		11,466		10,752
Total(2)	$	21,603	$	20,123	$	12,499	$	11,749
U.S. Treasury and federal agency securities
Due within 1 year	$	35,939	$	35,588	$	25,935	$	25,829
After 1 but within 5 years	46,561		45,219		68,455		66,166
After 5 but within 10 years	529		461		342		295
After 10 years	—		—		—		—
Total	$	83,029	$	81,268	$	94,732	$	92,290
State and municipal
Due within 1 year	$	13	$	12	$	19	$	18
After 1 but within 5 years	106		103		94		92
After 5 but within 10 years	326		310		305		302
After 10 years	1,759		1,606		1,945		1,811
Total	$	2,204	$	2,031	$	2,363	$	2,223
Foreign government
Due within 1 year	$	60,383	$	59,996	$	64,795	$	64,479
After 1 but within 5 years	60,881		59,656		67,935		66,150
After 5 but within 10 years	5,490		5,326		2,491		2,250
After 10 years	491		418		427		398
Total	$	127,245	$	125,396	$	135,648	$	133,277
All other(3)
Due within 1 year	$	6,169	$	6,161	$	4,452	$	4,441
After 1 but within 5 years	6,172		5,962		5,162		4,988
After 5 but within 10 years	818		813		695		693
After 10 years	65		29		57		18
Total	$	13,224	$	12,965	$	10,366	$	10,140
Total debt securities AFS(2)	$	247,305	$	241,783	$	255,608	$	249,679

(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. See Note 20 for more information about mortgage- and asset-backed securitizations in which the Company has other involvement.

(2)Amortized cost excludes unallocated portfolio layer cumulative basis adjustments of $(0.5) billion as of September 30, 2023.

(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, 2023				December 31, 2022
In millions of dollars	Amortized cost(1)		Fair value		Amortized cost(1)		Fair value
Mortgage-backed securities
Due within 1 year	$	20	$	20	$	27	$	27
After 1 but within 5 years	660		622		520		505
After 5 but within 10 years	1,229		1,094		1,496		1,374
After 10 years	80,996		67,646		89,579		79,745
Total	$	82,905	$	69,382	$	91,622	$	81,651
U.S. Treasury securities
Due within 1 year	$	3,403	$	3,360	$	3,148	$	3,017
After 1 but within 5 years	130,534		117,304		86,617		79,104
After 5 but within 10 years	997		857		45,196		39,118
After 10 years	—		—		—		—
Total	$	134,934	$	121,521	$	134,961	$	121,239
State and municipal
Due within 1 year	$	30	$	30	$	22	$	21
After 1 but within 5 years	116		113		102		100
After 5 but within 10 years	1,289		1,187		1,002		967
After 10 years	7,668		6,594		8,111		7,419
Total	$	9,103	$	7,924	$	9,237	$	8,507
Foreign government
Due within 1 year	$	1,131	$	1,090	$	143	$	139
After 1 but within 5 years	1,183		1,135		1,932		1,843
After 5 but within 10 years	—		—		—		—
After 10 years	—		—		—		—
Total	$	2,314	$	2,225	$	2,075	$	1,982
All other(2)
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	1		1		—		—
After 5 but within 10 years	12,016		11,970		11,751		11,583
After 10 years	18,183		17,979		19,217		18,686
Total	$	30,200	$	29,950	$	30,968	$	30,269
Total debt securities HTM	$	259,456	$	231,002	$	268,863	$	243,648

(1)Amortized cost is reported net of ACL of $95 million and $120 million at September 30, 2023 and December 31, 2022, 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
September 30, 2023
Debt securities HTM
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed(3)	$	81,442	$	—	$	13,354	$	68,088
Non-U.S. residential	330		—		—		330
Commercial	1,133		—		169		964
Total mortgage-backed securities	$	82,905	$	—	$	13,523	$	69,382
U.S. Treasury securities	$	134,934	$	—	$	13,413	$	121,521
State and municipal	9,103		9		1,188		7,924
Foreign government	2,314		—		89		2,225
Asset-backed securities(2)	30,200		1		251		29,950
Total debt securities HTM, net	$	259,456	$	10	$	28,464	$	231,002
December 31, 2022
Debt securities HTM
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed	$	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	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

(1)Amortized cost is reported net of ACL of $95 million and $120 million at September 30, 2023 and December 31, 2022, 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 20 for mortgage- and asset-backed securitizations in which the Company has other involvement.

(3)In January 2023, Citi adopted ASU 2022-01. Upon adoption, Citi transferred $3.3 billion of mortgage-backed securities from HTM classification to AFS classification as allowed under the ASU. At the time of transfer, the securities were in an unrealized gain position of $0.1 billion, which was recorded in AOCI upon transfer. See Note 1 to the Consolidated Financial Statements in Citi’s 2022 Form 10-K.

Total other-than-temporary impairments recognized

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

	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2023		2022		2023		2022
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	43		74		137		254
Total impairment losses recognized in earnings	$	43	$	74	$	137	$	254

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, 2023 and December 31, 2022:

In millions of dollars	September 30, 2023		December 31, 2022
Measurement alternative:
Carrying value	$	1,621	$	1,676

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	2023		2022		2023		2022
Measurement alternative(1):
Impairment losses	$	27	$	17	$	90	$	23
Downward changes for observable prices	4		—		24		—
Upward changes for observable prices	17		7		49		141

(1)     See Note 22 for additional information on these nonrecurring fair value measurements.

	Life-to-date amounts on securities still held
In millions of dollars	September 30, 2023
Measurement alternative:
Impairment losses	$	299
Downward changes for observable prices	28
Upward changes for observable prices	913