The amortized cost and fair value of securities available-for-sale (AFS) at June 30, 2011 and December 31, 2010 were as follows:

		June 30, 2011								December 31, 2010

*In millions of dollars*		Amortized cost		Gross unrealized gains		Gross unrealized losses		Fair value		Amortized cost		Gross unrealized gains		Gross unrealized losses		Fair value
Debt securities AFS
Mortgage-backed securities(1)
	U.S. government-sponsored agency guaranteed	$	35,708	$	621	$	123	$	36,206	$	23,433	$	425	$	235	$	23,623
	Prime		186		2		4		184		1,985		18		177		1,826
	Alt-A		23		1		13		11		46		2		—		48
	Subprime		—		—		—		—		119		1		1		119
	Non-U.S. residential		1,637		6		—		1,643		315		1		—		316
	Commercial		510		19		7		522		592		21		39		574

Total mortgage-backed securities(1)		$	38,064	$	649	$	147	$	38,566	$	26,490	$	468	$	452	$	26,506
U.S. Treasury and federal agency securities
	U.S. Treasury		42,668		743		31		43,380		58,069		435		56		58,448
	Agency obligations		46,465		509		4		46,970		43,294		375		55		43,614

Total U.S. Treasury and federal agency securities		$	89,133	$	1,252	$	35	$	90,350	$	101,363	$	810	$	111	$	102,062
State and municipal			15,527		69		2,265		13,331		15,660		75		2,500		13,235
Foreign government			101,723		784		424		102,083		99,110		984		415		99,679
Corporate			16,350		355		38		16,667		15,910		319		59		16,170
Asset-backed securities(1)			9,646		47		39		9,654		9,085		31		68		9,048
Other debt securities			2,218		22		55		2,185		1,948		24		60		1,912

Total debt securities AFS		$	272,661	$	3,178	$	3,003	$	272,836	$	269,566	$	2,711	$	3,665	$	268,612

Marketable equity securities AFS		$	3,570	$	2,099	$	208	$	5,461	$	3,791	$	2,380	$	211	$	5,960

Total securities AFS		$	276,231	$	5,277	$	3,211	$	278,297	$	273,357	$	5,091	$	3,876	$	274,572

As discussed in more detail below, the Company conducts and documents periodic reviews of all securities with unrealized losses to evaluate whether the impairment is other than temporary. Any credit-related impairment related to debt securities the Company does not plan to sell and is not likely to be required to sell is recognized in the Consolidated Statement of Income, with the non-credit-related impairment recognized in AOCI. For other impaired debt securities, the entire impairment is recognized in the Consolidated Statement of Income.

The table below shows the fair value of AFS securities that have been in an unrealized loss position for less than 12 months or for 12 months or longer as of June 30, 2011 and December 31, 2010:

		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
June 30, 2011
Securities AFS
Mortgage-backed securities
	U.S. government-sponsored agency guaranteed	$	8,721	$	114	$	419	$	9	$	9,140	$	123
	Prime		26		—		66		4		92		4
	Alt-A		1		—		10		13		11		13
	Subprime		—		—		—		—		—		—
	Non-U.S. residential		—		—		240		—		240		—
	Commercial		59		—		35		7		94		7

Total mortgage-backed securities		$	8,807	$	114	$	770	$	33	$	9,577	$	147
U.S. Treasury and federal agency securities
	U.S. Treasury		3,195		8		558		23		3,753		31
	Agency obligations		4,161		4		—		—		4,161		4

Total U.S. Treasury and federal agency securities		$	7,356	$	12	$	558	$	23	$	7,914	$	35
State and municipal			17		1		11,995		2,264		12,012		2,265
Foreign government			34,850		232		8,022		192		42,872		424
Corporate			665		12		724		26		1,389		38
Asset-backed securities			2,190		31		184		8		2,374		39
Other debt securities			—		—		536		55		536		55
Marketable equity securities AFS			57		7		1,615		201		1,672		208

Total securities AFS		$	53,942	$	409	$	24,404	$	2,802	$	78,346	$	3,211

December 31, 2010
Securities AFS
Mortgage-backed securities
	U.S. government-sponsored agency guaranteed	$	8,321	$	214	$	38	$	21	$	8,359	$	235
	Prime		89		3		1,506		174		1,595		177
	Alt-A		10		—		—		—		10		—
	Subprime		118		1		—		—		118		1
	Non-U.S. residential		—		—		135		—		135		—
	Commercial		81		9		53		30		134		39

Total mortgage-backed securities		$	8,619	$	227	$	1,732	$	225	$	10,351	$	452
U.S. Treasury and federal agency securities
	U.S. Treasury		9,229		21		725		35		9,954		56
	Agency obligations		9,680		55		—		—		9,680		55

Total U.S. Treasury and federal agency securities		$	18,909	$	76	$	725	$	35	$	19,634	$	111
State and municipal			626		60		11,322		2,440		11,948		2,500
Foreign government			32,731		271		6,609		144		39,340		415
Corporate			1,128		30		860		29		1,988		59
Asset-backed securities			2,533		64		14		4		2,547		68
Other debt securities			—		—		559		60		559		60
Marketable equity securities AFS			68		3		2,039		208		2,107		211

Total securities AFS		$	64,614	$	731	$	23,860	$	3,145	$	88,474	$	3,876

The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates as of June 30, 2011 and December 31, 2010:

	June 30, 2011				December 31, 2010

*In millions of dollars*	Amortized Cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities(1)
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years		313		321		403		375
After 5 but within 10 years		1,341		1,355		402		419
After 10 years(2)		36,410		36,890		25,685		25,712

Total	$	38,064	$	38,566	$	26,490	$	26,506

U.S. Treasury and federal agencies
Due within 1 year	$	5,569	$	5,575	$	36,411	$	36,443
After 1 but within 5 years		73,818		74,849		52,558		53,118
After 5 but within 10 years		8,863		9,009		10,604		10,647
After 10 years(2)		883		917		1,790		1,854

Total	$	89,133	$	90,350	$	101,363	$	102,062

State and municipal
Due within 1 year	$	88	$	88	$	9	$	9
After 1 but within 5 years		178		179		145		149
After 5 but within 10 years		210		211		230		235
After 10 years(2)		15,051		12,853		15,276		12,842

Total	$	15,527	$	13,331	$	15,660	$	13,235

Foreign government
Due within 1 year	$	41,061	$	40,951	$	41,856	$	41,387
After 1 but within 5 years		53,142		53,404		49,983		50,739
After 5 but within 10 years		6,879		6,936		6,143		6,264
After 10 years(2)		641		792		1,128		1,289

Total	$	101,723	$	102,083	$	99,110	$	99,679

All other(3)
Due within 1 year	$	9,745	$	9,720	$	2,162	$	2,164
After 1 but within 5 years		9,650		9,808		17,838		17,947
After 5 but within 10 years		4,103		4,245		2,610		2,714
After 10 years(2)		4,716		4,733		4,333		4,305

Total	$	28,214	$	28,506	$	26,943	$	27,130

Total debt securities AFS	$	272,661	$	272,836	$	269,566	$	268,612

The following table presents interest and dividends on all investments for the three- and six-month periods ended June 30, 2011 and 2010:

The following table presents realized gains and losses on all investments for the three- and six-month periods ended June 30, 2011 and 2010. The gross realized investment losses exclude losses from other-than-temporary impairment:

The carrying value and fair value of securities held-to-maturity (HTM) at June 30, 2011 and December 31, 2010 were as follows:

*In millions of dollars*		Amortized cost(1)		Net unrealized loss recognized in AOCI		Carrying value(2)		Gross unrealized gains		Gross unrealized losses		Fair value

June 30, 2011
Debt securities held-to-maturity
Mortgage-backed securities(3)
	Prime	$	1,098	$	210	$	888	$	28	$	3	$	913
	Alt-A		5,641		1,697		3,944		19		175		3,788
	Subprime		445		48		397		—		60		337
	Non-U.S. residential		4,758		725		4,033		215		93		4,155
	Commercial		744		2		742		1		53		690

	Total mortgage-backed securities	$	12,686	$	2,682	$	10,004	$	263	$	384	$	9,883
State and municipal			1,547		96		1,451		128		199		1,380
Corporate			2,269		8		2,261		7		142		2,126
Asset-backed securities(3)			1,245		51		1,194		24		15		1,203

Total debt securities held-to-maturity		$	17,747	$	2,837	$	14,910	$	422	$	740	$	14,592

December 31, 2010
Debt securities held-to-maturity
Mortgage-backed securities(3)
	Prime	$	4,748	$	794	$	3,954	$	379	$	11	$	4,322
	Alt-A		11,816		3,008		8,808		536		166		9,178
	Subprime		708		75		633		9		72		570
	Non-U.S. residential		5,010		793		4,217		259		72		4,404
	Commercial		908		21		887		18		96		809

	Total mortgage-backed securities	$	23,190	$	4,691	$	18,499	$	1,201	$	417	$	19,283
State and municipal			2,523		127		2,396		11		104		2,303
Corporate			6,569		145		6,424		447		267		6,604
Asset-backed securities(3)			1,855		67		1,788		57		54		1,791

Total debt securities held-to-maturity		$	34,137	$	5,030	$	29,107	$	1,716	$	842	$	29,981

(1): For securities transferred to HTM from Trading account assets in 2008, amortized cost is defined as the fair value of the securities at the date of transfer plus any accretion income and less any impairments recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS in 2008, amortized cost is defined as the original purchase cost, plus or minus any accretion or amortization of a purchase discount or premium, less any impairment recognized in earnings.
(2): HTM securities are carried on the Consolidated Balance Sheet at amortized cost less any unrealized gains and losses recognized in AOCI. The changes in the values of these securities are not reported in the financial statements, except for other-than-temporary impairments. For HTM securities, only the credit loss component of the impairment is recognized in earnings, while the remainder of the impairment is recognized in AOCI.
(3): The Company invests in mortgage-backed 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. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, information is provided in Note 17 to the Consolidated Financial Statements.

The Company has the positive intent and ability to hold these securities to maturity absent any unforeseen further significant changes in circumstances, including deterioration in credit or with regard to regulatory capital requirements.

The net unrealized losses classified in AOCI relate to debt securities reclassified from AFS investments to HTM investments in a prior year. Additionally, for HTM securities that have suffered credit impairment, declines in fair value for reasons other than credit losses are recorded in AOCI. The AOCI balance was $2.8 billion as of June 30, 2011, compared to $5.0 billion as of December 31, 2010. The AOCI balance for HTM securities is amortized over the remaining life of the related securities as an adjustment of yield in a manner consistent with the accretion of discount on the same debt securities. This will have no impact on the Company's net income because the amortization of the unrealized holding loss reported in equity will offset the effect on interest income of the accretion of the discount on these securities.

The table below shows the fair value of investments in HTM that have been in an unrecognized loss position for less than 12 months or for 12 months or longer as of June 30, 2011 and December 31, 2010:

	Less than 12 months				12 months or longer				Total

*In millions of dollars*	Fair value		Gross unrecognized losses		Fair value		Gross unrecognized losses		Fair value		Gross unrecognized losses
June 30, 2011
Debt securities held-to-maturity
Mortgage-backed securities	$	—	$	—	$	7,061	$	384	$	7,061	$	384
State and municipal		—		—		805		199		805		199
Corporate		—		—		2,074		142		2,074		142
Asset-backed securities		—		—		523		15		523		15

Total debt securities held-to-maturity	$	—	$	—	$	10,463	$	740	$	10,463	$	740

December 31, 2010
Debt securities held-to-maturity
Mortgage-backed securities	$	339	$	30	$	14,410	$	387	$	14,749	$	417
State and municipal		24		—		1,273		104		1,297		104
Corporate		1,584		143		1,579		124		3,163		267
Asset-backed securities		159		11		494		43		653		54

Total debt securities held-to-maturity	$	2,106	$	184	$	17,756	$	658	$	19,862	$	842

Excluded from the gross unrecognized losses presented in the above table are the $2.8 billion and $5.0 billion of gross unrealized losses recorded in AOCI as of June 30, 2011 and December 31, 2010, respectively, mainly related to the HTM securities that were reclassified from AFS investments. Virtually all of these unrealized losses relate to securities that have been in a loss position for 12 months or longer at both June 30, 2011 and December 31, 2010.

The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates as of June 30, 2011 and December 31, 2010:

	June 30, 2011				December 31, 2010

*In millions of dollars*	Carrying value		Fair value		Carrying value		Fair value
Mortgage-backed securities
Due within 1 year	$	89	$	81	$	21	$	23
After 1 but within 5 years		249		231		321		309
After 5 but within 10 years		428		401		493		434
After 10 years(1)		9,238		9,170		17,664		18,517

Total	$	10,004	$	9,883	$	18,499	$	19,283

State and municipal
Due within 1 year	$	3	$	3	$	12	$	12
After 1 but within 5 years		41		42		55		55
After 5 but within 10 years		32		32		86		85
After 10 years(1)		1,375		1,303		2,243		2,151

Total	$	1,451	$	1,380	$	2,396	$	2,303

All other(2)
Due within 1 year	$	51	$	53	$	351	$	357
After 1 but within 5 years		357		346		1,344		1,621
After 5 but within 10 years		2,039		1,916		4,885		4,765
After 10 years(1)		1,008		1,014		1,632		1,652

Total	$	3,455	$	3,329	$	8,212	$	8,395

Total debt securities held-to-maturity	$	14,910	$	14,592	$	29,107	$	29,981

The Company conducts and documents periodic reviews of all securities with unrealized losses to evaluate whether the impairment is other than temporary.

Under the guidance for debt securities, other-than-temporary impairment (OTTI) is recognized in earnings for debt securities that the Company has an intent to sell or that the Company believes it is more-likely-than-not that it will be required to sell prior to recovery of the amortized cost basis. For those securities that the Company does not intend to sell or expect to be required to sell, credit-related impairment is recognized in earnings, with the non-credit-related impairment recorded in AOCI.

An unrealized loss exists when the current fair value of an individual security is less than its amortized cost basis. Unrealized losses that are determined to be temporary in nature are recorded, net of tax, in AOCI for AFS securities, while such losses related to HTM securities are not recorded, as these investments are carried at their amortized cost. For securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, plus or minus any accretion or amortization of a purchase discount or premium, less any impairment recognized in earnings.

Regardless of the classification of the securities as AFS or HTM, the Company has assessed each position with an unrealized loss for other-than-temporary impairment.

For equity securities, management considers the various factors described above, including its intent and ability to hold the equity security for a period of time sufficient for recovery to cost. Where management lacks that intent or ability, the security's decline in fair value is deemed to be other than temporary and is recorded in earnings. AFS equity securities deemed other-than-temporarily impaired are written down to fair value, with the full difference between fair value and cost recognized in earnings.

For debt securities that are not deemed to be credit impaired, management assesses whether it intends to sell or whether it is more-likely-than-not that it would be required to sell the investment before the expected recovery of the amortized cost basis. In most cases, management has asserted that it has no intent to sell and that it believes it is not likely to be required to sell the investment before recovery of its amortized cost basis. Where such an assertion has not been made, the security's decline in fair value is deemed to be other than temporary and is recorded in earnings.

For debt securities, a critical component of the evaluation for OTTI is the identification of credit impaired securities, where management does not expect to receive cash flows sufficient to recover the entire amortized cost basis of the security. For securities purchased and classified as AFS with the expectation of receiving full principal and interest cash flows as of the date of purchase, this analysis considers the likelihood of receiving all contractual principal and interest. For securities reclassified out of the trading category in the fourth quarter of 2008, the analysis considers the likelihood of receiving the expected principal and interest cash flows anticipated as of the date of reclassification in the fourth quarter of 2008. The extent of the Company's analysis regarding credit quality and the stress on assumptions used in the analysis have been refined for securities where the current fair value or other characteristics of the security warrant. The paragraphs below describe the Company's process for identifying credit impairment in security types with the most significant unrealized losses as of June 30, 2011.

For U.S. mortgage-backed securities (and in particular for Alt-A and other mortgage-backed securities that have significant unrealized losses as a percentage of amortized cost), credit impairment is assessed using a cash flow model that estimates the cash flows on the underlying mortgages, using the security-specific collateral and transaction structure. The model estimates cash flows from the underlying mortgage loans and distributes those cash flows to various tranches of securities, considering the transaction structure and any subordination and credit enhancements that exist in that structure. The cash flow model incorporates actual cash flows on the mortgage-backed securities through the current period and then projects the remaining cash flows using a number of assumptions, including default rates, prepayment rates and recovery rates (on foreclosed properties).

Management develops specific assumptions using as much market data as possible and includes internal estimates as well as estimates published by rating agencies and other third-party sources. Default rates are projected by considering current underlying mortgage loan performance, generally assuming the default of (1) 10% of current loans, (2) 25% of 30-59 day delinquent loans, (3) 70% of 60-90 day delinquent loans and (4) 100% of 91+ day delinquent loans. These estimates are extrapolated along a default timing curve to estimate the total lifetime pool default rate. Other assumptions used contemplate the actual collateral attributes, including geographic concentrations, rating agency loss projections, rating actions and current market prices.

The key assumptions for mortgage-backed securities as of June 30, 2011 are in the table below:

The valuation as of June 30, 2011 assumes that U.S. housing prices will decrease 4% in 2011, 1% in 2012, remain flat in 2013 and increase 3% per year from 2014 onwards, while unemployment decreases to 8.5% by the end of the fourth quarter of 2011.

In addition, cash flow projections are developed using more stressful parameters. Management assesses the results of those stress tests (including the severity of any cash shortfall indicated and the likelihood of the stress scenarios actually occurring based on the underlying pool's characteristics and performance) to assess whether management expects to recover the amortized cost basis of the security. If cash flow projections indicate that the Company does not expect to recover its amortized cost basis, the Company recognizes the estimated credit loss in earnings.

Citigroup's AFS state and municipal bonds consist mainly of bonds that are financed through Tender Option Bond programs or were previously financed in this program. The process for identifying credit impairment for these bonds is largely based on third-party credit ratings. Individual bond positions were required to meet minimum ratings requirements, which vary based on the sector of the bond issuer.

Citigroup monitors the bond issuer and insurer ratings on a daily basis. The average portfolio rating, ignoring any insurance, is Aa3/AA-. In the event of a downgrade of the bond below Aa3/AA-, the subject bond is specifically reviewed for potential shortfall in contractual principal and interest. Citigroup has not recorded any credit impairments on bonds held as part of the Tender Option Bond program or on bonds that were previously held as part of the Tender Option Bond program.

The remainder of Citigroup's AFS and HTM state and municipal bonds are specifically reviewed for credit impairment based on instrument-specific estimates of cash flows, probability of default and loss given default.

Because Citigroup does not intend to sell the AFS state and municipal bond securities or expect to be required to sell them prior to recovery, the unrealized losses associated with the AFS state and municipal bond portfolio (other than credit-related losses) remain classified in Accumulated other comprehensive income and are not reclassified into earnings as other-than-temporary impairment.

The following table presents the total OTTI recognized in earnings during the three and six months ended June 30, 2011:

OTTI on Investments		Three months ended June 30, 2011						Six months ended June 30, 2011

*In millions of dollars*		AFS		HTM		Total		AFS		HTM		Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:
	Total OTTI losses recognized during the periods ended June 30, 2011	$	23	$	122	$	145	$	68	$	240	$	308
	Less: portion of OTTI loss recognized in AOCI (before taxes)		19		—		19		45		—		45

Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell		$	4	$	122	$	126	$	23	$	240	$	263
OTTI losses recognized in earnings for securities that the Company intends to sell or more-likely-than-not will be required to sell before recovery			45		—		45		228		1,387		1,615

Total impairment losses recognized in earnings		$	49	$	122	$	171	$	251	$	1,627	$	1,878

The following is a three month roll-forward of the credit-related impairments recognized in earnings for AFS and HTM debt securities held as of June 30, 2011 that the Company does not intend to sell nor likely will be required to sell:

		Cumulative OTTI Credit Losses Recognized in Earnings

*In millions of dollars*		March 31, 2011 balance		Credit impairments recognized in earnings on securities not previously impaired		Credit impairments recognized in earnings on securities that have been previously impaired		Reductions due to credit impaired securities sold, transferred or matured			June 30, 2011 balance
AFS debt securities
Mortgage-backed securities
	Prime	$	292	$	—	$	—	$	—		$	292
	Alt-A		2		—		—		—			2
	Commercial real estate		2		—		—		—			2

	Total mortgage-backed securities	$	296	$	—	$	—	$	—		$	296
State and municipal			3		—		—		—			3
U.S. Treasury			66		—		—		—			66
Foreign government			159		—		4		—			163
Corporate			155		—		—		—			155
Asset-backed securities			10		—		—		—			10
Other debt securities			52		—		—		—			52

Total OTTI credit losses recognized for AFS debt securities		$	741	$	—	$	4	$	—		$	745

HTM debt securities
Mortgage-backed securities
	Prime	$	84	$	—	$	—	$	—		$	84
	Alt-A		1,845		15		105		(13	)		1,952
	Subprime		250		1		1		—			252
	Non-U.S. residential		96		—		—		—			96
	Commercial real estate		10		—		—		—			10

	Total mortgage-backed Securities	$	2,285	$	16	$	106	$	(13	)	$	2,394
State and municipal			9		—		—		—			9
Corporate			351		—		—		—			351
Asset-backed securities			113		—		—		—			113
Other debt securities			5		—		—		—			5

Total OTTI credit losses recognized for HTM debt securities		$	2,763	$	16	$	106	$	(13	)	$	2,872

The following is a six month roll-forward of the credit-related impairments recognized in earnings for AFS and HTM debt securities held as of June 30, 2011 that the Company does not intend to sell nor likely will be required to sell:

		Cumulative OTTI Credit Losses Recognized in Earnings

*In millions of dollars*		December 31, 2010 balance		Credit impairments recognized in earnings on securities not previously impaired		Credit impairments recognized in earnings on securities that have been previously impaired		Reductions due to credit impaired securities sold, transferred or matured			June 30, 2011 balance
AFS debt securities
Mortgage-backed securities
	Prime	$	292	$	—	$	—	$	—		$	292
	Alt-A		2		—		—		—			2
	Commercial real estate		2		—		—		—			2

	Total mortgage-backed securities	$	296	$	—	$	—	$	—		$	296
State and municipal			3		—		—		—			3
U.S. Treasury			48		18		—		—			66
Foreign government			159		—		4		—			163
Corporate			154		1		—		—			155
Asset-backed securities			10		—		—		—			10
Other debt securities			52		—		—		—			52

Total OTTI credit losses recognized for AFS debt securities		$	722	$	19	$	4	$	—		$	745

HTM debt securities
Mortgage-backed securities
	Prime	$	308	$	—	$	2	$	(226	)	$	84
	Alt-A		3,149		18		194		(1,409	)		1,952
	Subprime		232		2		22		(4	)		252
	Non-U.S. residential		96		—		—		—			96
	Commercial real estate		10		—		—		—			10

	Total mortgage-backed securities	$	3,795	$	20	$	218	$	(1,639	)	$	2,394
State and municipal			7		2		—		—			9
Corporate			351		—		—		—			351
Asset-backed securities			113		—		—		—			113
Other debt securities			5		—		—		—			5

Total OTTI credit losses recognized for HTM debt securities		$	4,271	$	22	$	218	$	(1,639	)	$	2,872

Investments in Alternative Investment Funds that Calculate Net Asset Value per Share

The Company holds investments in certain alternative investment funds that calculate net asset value (NAV) per share, including hedge funds, private equity funds, fund of funds and real estate funds. The Company's investments include co-investments in funds that are managed by the Company and investments in funds that are managed by third parties. Investments in funds are generally classified as non-marketable equity securities carried at fair value.

The fair values of these investments are estimated using the NAV per share of the Company's ownership interest in the funds, where it is not probable that the Company will sell an investment at a price other than NAV.