INVESTMENTS (Tables)

12 Months Ended

Dec. 31, 2023

Investments, Debt and Equity Securities [Abstract]

Schedule of investments

The following table presents Citi’s investments by category:

	December 31,
In millions of dollars	2023		2022
Debt securities available-for-sale (AFS)	$	256,936	$	249,679
Debt securities held-to-maturity (HTM)(1)	254,247		268,863
Marketable equity securities carried at fair value(2)	258		429
Non-marketable equity securities carried at fair value(2)(5)	508		466
Non-marketable equity securities measured using the measurement alternative(3)	1,639		1,676
Non-marketable equity securities carried at cost(4)	5,497		5,469
Total investments(6)	$	519,085	$	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 $25 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 December 31, 2023 and 2022, respectively.

(6)Not included in the balances above is approximately $2 billion of accrued interest receivable at December 31, 2023 and 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 years ended December 31, 2023 and 2022.

Interest and dividends on investments

The following table presents interest and dividend income on investments:

In millions of dollars	2023		2022		2021
Taxable interest	$	17,654	$	10,643	$	6,975
Interest exempt from U.S. federal income tax	334		348		279
Dividend income	312		223		134
Total interest and dividend income on investments	$	18,300	$	11,214	$	7,388

Realized gains and losses on investments

The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:

In millions of dollars	2023		2022		2021
Gross realized investment gains	$	324	$	323	$	860
Gross realized investment losses	(136)		(256)		(195)
Net realized gains on sales of investments	$	188	$	67	$	665

Amortized cost and fair value of AFS securities

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

	December 31, 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)	$	30,279	$	170	$	734	$	—	$	29,715	$	12,009	$	8	$	755	$	—	$	11,262
Residential	426		—		3		—		423		488		—		3		—		485
Commercial	1		—		—		—		1		2		—		—		—		2
Total mortgage-backed securities	$	30,706	$	170	$	737	$	—	$	30,139	$	12,499	$	8	$	758	$	—	$	11,749
U.S. Treasury and federal agency securities
U.S. Treasury	$	81,684	$	59	$	1,382	$	—	$	80,361	$	94,732	$	50	$	2,492	$	—	$	92,290
Agency obligations	—		—		—		—		—		—		—		—		—		—
Total U.S. Treasury and federal agency securities	$	81,684	$	59	$	1,382	$	—	$	80,361	$	94,732	$	50	$	2,492	$	—	$	92,290
State and municipal	$	2,204	$	18	$	91	$	—	$	2,131	$	2,363	$	19	$	159	$	—	$	2,223
Foreign government	132,045		528		1,375		—		131,198		135,648		569		2,940		—		133,277
Corporate	5,610		18		208		8		5,412		5,146		19		246		3		4,916
Asset-backed securities(1)	921		17		—		—		938		1,022		12		4		—		1,030
Other debt securities	6,754		4		1		—		6,757		4,198		1		5		—		4,194
Total debt securities AFS	$	259,924	$	814	$	3,794	$	8	$	256,936	$	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 23 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.

(3)Amortized cost includes unallocated portfolio layer cumulative basis adjustments of $0.2 billion as of December 31, 2023. Gross unrealized gains and gross unrealized (losses) on mortgage-backed securities excluding the effect of unallocated portfolio layer cumulative basis adjustments were $368 million and $(683) million, respectively, as of December 31, 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
December 31, 2023
Debt securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	8,602	$	86	$	9,734	$	648	$	18,336	$	734
Residential	352		1		34		2		386		3
Commercial	—		—		—		—		—		—
Total mortgage-backed securities	$	8,954	$	87	$	9,768	$	650	$	18,722	$	737
U.S. Treasury and federal agency securities
U.S. Treasury	$	11,851	$	113	$	57,669	$	1,269	$	69,520	$	1,382
Total U.S. Treasury and federal agency securities	$	11,851	$	113	$	57,669	$	1,269	$	69,520	$	1,382
State and municipal	$	906	$	17	$	324	$	74	$	1,230	$	91
Foreign government	42,250		540		29,176		835		71,426		1,375
Corporate	2,319		103		1,619		105		3,938		208
Asset-backed securities	154		—		16		—		170		—
Other debt securities	1,864		1		228		—		2,092		1
Total debt securities AFS	$	68,298	$	861	$	98,800	$	2,933	$	167,098	$	3,794
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
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:

	December 31, 2023
In millions of dollars	Amortized cost		Fair value		Weighted- average yield(1)
Mortgage-backed securities(2)
Due within 1 year	$	10	$	11	1.48	%
After 1 but within 5 years	570		559		3.14
After 5 but within 10 years	552		528		3.64
After 10 years	29,326		29,041		4.76
Total(3)	$	30,458	$	30,139	4.71	%
U.S. Treasury and federal agency securities
Due within 1 year	$	45,716	$	45,425	2.19	%
After 1 but within 5 years	35,439		34,449		1.25
After 5 but within 10 years	529		487		3.61
After 10 years	—		—		—
Total	$	81,684	$	80,361	1.79	%
State and municipal
Due within 1 year	$	12	$	11	1.39	%
After 1 but within 5 years	132		131		3.28
After 5 but within 10 years	272		269		4.04
After 10 years	1,788		1,720		3.82
Total	$	2,204	$	2,131	3.81	%
Foreign government
Due within 1 year	$	63,008	$	62,733	5.24	%
After 1 but within 5 years	64,760		64,238		5.26
After 5 but within 10 years	3,781		3,765		3.95
After 10 years	496		462		2.61
Total	$	132,045	$	131,198	5.20	%
All other(4)
Due within 1 year	$	6,408	$	6,395	1.86	%
After 1 but within 5 years	6,042		5,913		5.70
After 5 but within 10 years	766		772		13.01
After 10 years	69		27		1.34
Total	$	13,285	$	13,107	4.25	%
Total debt securities AFS(3)	$	259,676	$	256,936	4.01	%

(1)Weighted-average yields are weighted based on the amortized cost of each security. The effective 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. See Note 23 for additional information about mortgage- and asset-backed securitizations in which the Company has other involvement.

(3)Amortized cost excludes unallocated portfolio layer cumulative basis adjustments of $0.2 billion as of December 31, 2023.

(4)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:

	December 31, 2023
In millions of dollars	Amortized cost(1)		Fair value		Weighted- average yield(2)
Mortgage-backed securities
Due within 1 year	$	20	$	20	2.14	%
After 1 but within 5 years	1,213		1,156		3.46
After 5 but within 10 years	708		650		2.47
After 10 years	79,092		70,457		2.88
Total	$	81,033	$	72,283	2.89	%
U.S. Treasury securities
Due within 1 year	$	5,607	$	5,424	0.68	%
After 1 but within 5 years	126,169		116,444		1.10
After 5 but within 10 years	—		—		—
After 10 years	—		—		—
Total	$	131,776	$	121,868	1.08	%
State and municipal
Due within 1 year	$	34	$	34	3.13	%
After 1 but within 5 years	117		115		3.04
After 5 but within 10 years	1,388		1,351		3.14
After 10 years	7,643		7,278		3.34
Total	$	9,182	$	8,778	3.31	%
Foreign government
Due within 1 year	$	1,553	$	1,493	10.77	%
After 1 but within 5 years	657		659		9.82
After 5 but within 10 years	—		—		—
After 10 years	—		—		—
Total	$	2,210	$	2,152	10.49	%
All other(3)
Due within 1 year	$	—	$	—	—	%
After 1 but within 5 years	1		1		1.22
After 5 but within 10 years	11,365		11,362		4.97
After 10 years	18,680		18,557		5.70
Total	$	30,046	$	29,920	5.42	%
Total debt securities HTM	$	254,247	$	235,001	2.33	%

(1)Amortized cost is reported net of ACL of $95 million at December 31, 2023.

(2)Weighted-average yields are weighted based on the amortized cost of each security. The effective 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.

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
December 31, 2023
Debt securities HTM
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed(3)	$	79,689	$	7	$	8,603	$	71,093
Non-U.S. residential	198		—		—		198
Commercial	1,146		2		156		992
Total mortgage-backed securities	$	81,033	$	9	$	8,759	$	72,283
U.S. Treasury securities	$	131,776	$	—	$	9,908	$	121,868
State and municipal	9,182		73		477		8,778
Foreign government	2,210		—		58		2,152
Asset-backed securities(2)	30,046		9		135		29,920
Total debt securities HTM, net	$	254,247	$	91	$	19,337	$	235,001
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 December 31, 2023 and 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 23 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.

Total other-than-temporary impairments recognized

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

			Year ended
In millions of dollars	2023		2022		2021
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	$	188	$	360	$	181

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 December 31, 2023 and 2022:

In millions of dollars	December 31, 2023		December 31, 2022
Measurement alternative:
Carrying value	$	1,639	$	1,676

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

	Year ended December 31,
In millions of dollars	2023		2022
Measurement alternative(1):
Impairment losses	$	135	$	139
Downward changes for observable prices	24		3
Upward changes for observable prices	87		177

(1)     See Note 26 for additional information on these nonrecurring fair value measurements.

	Life-to-date amounts on securities still held
In millions of dollars	December 31, 2023
Measurement alternative:
Impairment losses	$	338
Downward changes for observable prices	34
Upward changes for observable prices	951