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INVESTMENTS
 3 Months Ended
Mar. 31, 2024
Investments, Debt and Equity Securities [Abstract]  
INVESTMENTS INVESTMENTS
For additional information regarding Citi’s investment portfolios, including evaluating investments for impairment, see Note 14 to the Consolidated Financial Statements
in Citi’s 2023 Form 10-K.




The following table presents Citi’s investments by category:

In millions of dollarsMarch 31,
2024		December 31, 2023
Debt securities available-for-sale (AFS)$254,898 $256,936 
Debt securities held-to-maturity (HTM)(1)
252,459 254,247 
Marketable equity securities carried at fair value(2)
287 258 
Non-marketable equity securities carried at fair value(2)(5)
515 508 
Non-marketable equity securities measured using the measurement alternative(3)
1,706 1,639 
Non-marketable equity securities carried at cost(4)
5,318 5,497 
Total investments(6)
$515,183 $519,085 

(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 $27 million and $25 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 March 31, 2024 and December 31, 2023, respectively.
(6)    Not included in the balances above is approximately $2 billion of accrued interest receivable at March 31, 2024 and December 31, 2023, 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 March 31, 2024 and 2023.

The following table presents interest and dividend income on investments:

Three Months Ended March 31,
In millions of dollars20242023
Taxable interest$4,691 $4,000 
Interest exempt from U.S. federal income tax80 85 
Dividend income78 59 
Total interest and dividend income on investments$4,849 $4,144 


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

Three Months Ended March 31,
In millions of dollars20242023
Gross realized investment gains$141 $88 
Gross realized investment losses(26)(16)
Net realized gains on sales of investments$115 $72 
Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:

 March 31, 2024December 31, 2023
In millions of dollarsAmortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value		Amortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value
Debt securities AFS        
Mortgage-backed securities(1)
        
U.S. government-sponsored agency guaranteed(2)(3)
$32,547 $134 $739 $— $31,942 $30,279 $170 $734 $— $29,715 
Residential530 — 3 — 527 426 — 3 — 423 
Commercial1 — — — 1 1 — — — 1 
Total mortgage-backed securities$33,078 $134 $742 $— $32,470 $30,706 $170 $737 $— $30,139 
U.S. Treasury and federal agency securities     
U.S. Treasury$76,206 $8 $1,181 $— $75,033 $81,684 $59 $1,382 $— $80,361 
Total U.S. Treasury and federal agency securities$76,206 $8 $1,181 $— $75,033 $81,684 $59 $1,382 $— $80,361 
State and municipal$2,064 $21 $97 $— $1,988 $2,204 $18 $91 $— $2,131 
Foreign government134,579 444 1,325 — 133,698 132,045 528 1,375 — 131,198 
Corporate5,203 19 192 9 5,021 5,610 18 208 8 5,412 
Asset-backed securities(1)
930 10 1 — 939 921 17 — — 938 
Other debt securities5,746 4 1 — 5,749 6,754 4 1 — 6,757 
Total debt securities AFS$257,806 $640 $3,539 $9 $254,898 $259,924 $814 $3,794 $8 $256,936 

(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 21 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 2023 Form 10-K.
(3)Amortized cost includes unallocated portfolio layer cumulative basis adjustments of $(0.1) billion as of March 31, 2024. Gross unrealized gains and gross unrealized (losses) on mortgage-backed securities excluding the effect of unallocated portfolio layer cumulative basis adjustments were $140 million and $(860) million, respectively, as of March 31, 2024.
The following table presents the fair value of AFS debt securities that have been in an unrealized loss position:

 Less than 12 months12 months or longerTotal
In millions of dollarsFair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses
March 31, 2024      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$10,796 $76 $9,367 $663 $20,163 $739 
Residential50 2 234 1 284 3 
Total mortgage-backed securities$10,846 $78 $9,601 $664 $20,447 $742 
U.S. Treasury and federal agency securities    
U.S. Treasury$10,162 $82 $54,381 $1,099 $64,543 $1,181 
Total U.S. Treasury and federal agency securities$10,162 $82 $54,381 $1,099 $64,543 $1,181 
State and municipal$359 $18 $850 $79 $1,209 $97 
Foreign government44,535 220 33,951 1,105 78,486 1,325 
Corporate1,787 68 1,869 124 3,656 192 
Asset-backed securities186 1 14 — 200 1 
Other debt securities3,081 1 125 — 3,206 1 
Total debt securities AFS$70,956 $468 $100,791 $3,071 $171,747 $3,539 
December 31, 2023      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$8,602 $86 $9,734 $648 $18,336 $734 
Residential352 1 34 2 386 3 
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 government42,250 540 29,176 835 71,426 1,375 
Corporate2,319 103 1,619 105 3,938 208 
Asset-backed securities154 — 16 — 170 — 
Other debt securities1,864 1 228 — 2,092 1 
Total debt securities AFS$68,298 $861 $98,800 $2,933 $167,098 $3,794 
The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:

 March 31, 2024
In millions of dollarsAmortized costFair value
Mortgage-backed securities(1)
  
Due within 1 year$26 $26 
After 1 but within 5 years775 763 
After 5 but within 10 years466 438 
After 10 years31,924 31,243 
Total(2)
$33,191 $32,470 
U.S. Treasury and federal agency securities 
Due within 1 year$42,338 $42,004 
After 1 but within 5 years33,351 32,554 
After 5 but within 10 years517 475 
After 10 years— — 
Total$76,206 $75,033 
State and municipal  
Due within 1 year$11 $11 
After 1 but within 5 years131 127 
After 5 but within 10 years393 383 
After 10 years1,529 1,467 
Total$2,064 $1,988 
Foreign government  
Due within 1 year$62,481 $62,287 
After 1 but within 5 years66,860 66,288 
After 5 but within 10 years4,694 4,639 
After 10 years544 484 
Total$134,579 $133,698 
All other(3)
 
Due within 1 year$5,786 $5,772 
After 1 but within 5 years5,363 5,243 
After 5 but within 10 years667 668 
After 10 years63 26 
Total$11,879 $11,709 
Total debt securities AFS(2)
$257,919 $254,898 

(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 21 for additional 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 $(0.1) billion as of March 31, 2024.
(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
March 31, 2024    
Debt securities HTM    
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed(3)
$78,115 $7 $10,060 $68,062 
Non-U.S. residential191 — — 191 
Commercial1,193 3 133 1,063 
Total mortgage-backed securities$79,499 $10 $10,193 $69,316 
U.S. Treasury securities$131,767 $— $10,264 $121,503 
State and municipal9,068 50 582 8,536 
Foreign government2,262 — 48 2,214 
Asset-backed securities(2)
29,863 23 81 29,805 
Total debt securities HTM, net$252,459 $83 $21,168 $231,374 
December 31, 2023    
Debt securities HTM   
Mortgage-backed securities(2)
    
U.S. government-sponsored agency guaranteed$79,689 $7 $8,603 $71,093 
Non-U.S. residential198 — — 198 
Commercial1,146 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 municipal9,182 73 477 8,778 
Foreign government2,210 — 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 

(1)Amortized cost is reported net of ACL of $106 million and $95 million at March 31, 2024 and December 31, 2023, 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 21 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 (amortized cost) 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 2023 Form 10-K.
The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:

 March 31, 2024
In millions of dollars
Amortized cost(1)
Fair value
Mortgage-backed securities  
Due within 1 year$21 $21 
After 1 but within 5 years1,313 1,242 
After 5 but within 10 years588 531 
After 10 years77,577 67,522 
Total$79,499 $69,316 
U.S. Treasury securities
Due within 1 year$25,638 $24,777 
After 1 but within 5 years106,129 96,726 
After 5 but within 10 years— — 
After 10 years— — 
Total$131,767 $121,503 
State and municipal  
Due within 1 year$28 $27 
After 1 but within 5 years116 114 
After 5 but within 10 years1,460 1,403 
After 10 years7,464 6,992 
Total$9,068 $8,536 
Foreign government  
Due within 1 year$1,983 $1,941 
After 1 but within 5 years279 273 
After 5 but within 10 years— — 
After 10 years— — 
Total$2,262 $2,214 
All other(2)
Due within 1 year$— $— 
After 1 but within 5 years1 1 
After 5 but within 10 years9,156 9,163 
After 10 years20,706 20,641 
Total$29,863 $29,805 
Total debt securities HTM$252,459 $231,374 

(1)Amortized cost is reported net of ACL of $106 million at March 31, 2024.
(2)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 March 31, 2024 and December 31, 2023.

There were no purchased credit-deteriorated HTM debt securities held by the Company as of March 31, 2024 and December 31, 2023.

Evaluating Investments for Impairment—AFS Debt Securities

Overview
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 14 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.











Recognition and Measurement of Impairment
The following table presents total impairment on AFS investments recognized in earnings:

Three Months Ended March 31,
In millions of dollars20242023
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$14 $51 


Allowance for Credit Losses on AFS Debt Securities
The allowance for credit losses on AFS debt securities held that the Company does not intend to sell nor will likely be required to sell was $9 million and $8 million as of March 31, 2024 and December 31, 2023, respectively.


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 14 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.
When the qualitative assessment indicates that the equity security is impaired, its fair value is determined. If the fair value of the investment is less than its carrying value, the investment is written down to fair value through earnings.
Below is the carrying value of non-marketable equity securities measured using the measurement alternative at March 31, 2024 and December 31, 2023:

In millions of dollarsMarch 31, 2024December 31, 2023
Measurement alternative:
Carrying value$1,706 $1,639 

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

Three Months Ended March 31,
In millions of dollars20242023
Measurement alternative(1):
Impairment losses$16 $35 
Downward changes for observable prices— 20 
Upward changes for observable prices49 30 

(1)     See Note 23 for additional information on these nonrecurring fair value measurements.

Life-to-date amounts on securities still held
In millions of dollarsMarch 31, 2024
Measurement alternative:
Impairment losses$351 
Downward changes for observable prices34 
Upward changes for observable prices999 

A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended March 31, 2024 and 2023, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.