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INVESTMENTS (Tables)
 6 Months Ended
Jun. 30, 2011
INVESTMENTS  
Schedule of Investments

 

In millions of dollars   June 30,
2011 		  December 31,
2010 		 

Securities available-for-sale

   $ 278,297   $ 274,572  

Debt securities held-to-maturity(1)

     14,910     29,107  

Non-marketable equity securities carried at fair value(2)

     8,345     6,602  

Non-marketable equity securities carried at cost(3)

     8,022     7,883  
           

Total investments

   $ 309,574   $ 318,164  
           
(1)
Recorded at amortized cost less impairment on securities that have credit-related impairment.

(2)
Unrealized gains and losses for non-marketable equity securities carried at fair value are recognized in earnings.

(3)
Non-marketable equity securities carried at cost primarily consist of shares issued by the Federal Reserve Bank, the Federal Home Loan Banks, foreign central banks and various clearing houses of which Citigroup is a member.
Amortized cost and fair value of securities available-for-sale

 
   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  
                                   
(1)
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.
Available-for-sale securities in 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 		 

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  
                           
Debt securities available-for-sale by contractual maturity dates

 

 
   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  
                   
(1)
Includes mortgage-backed securities of U.S. government-sponsored agencies.

(2)
Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.

(3)
Includes corporate, asset-backed and other debt securities.
Interest and dividends on investments

 

 
   Three months ended   Six months ended  
In millions of dollars   June 30,
2011 		  June 30,
2010 		  June 30,
2011 		  June 30,
2010 		 

Taxable interest

   $ 1,881   $ 2,675   $ 4,057   $ 5,543  

Interest exempt from U.S. federal income tax

     127     135     293     239  

Dividends

     117     114     186     182  
                   

Total interest and dividends

   $ 2,125   $ 2,924   $ 4,536   $ 5,964  
                   
Realized gains and losses on investments

 
   Three months ended   Six months ended  
In millions of dollars   June 30,
2011 		  June 30,
2010 		  June 30,
2011 		  June 30,
2010 		 

Gross realized investment gains

   $ 624   $ 554   $ 1,304   $ 1,147  

Gross realized investment losses(1)

     (41 )   (31 )   (141 )   (86 )
                   

Net realized gains

   $ 583   $ 523   $ 1,163   $ 1,061  
                   
(1)
During the first quarter of 2010, the Company sold four corporate debt securities that were classified as held-to-maturity. These sales were in response to a significant deterioration in the creditworthiness of the issuers. The securities sold had a carrying value of $413 million, and the Company recorded a realized loss of $49 million. During the second quarter of 2011, the Company sold several mortgage-backed securities that were classified as held-to-maturity. These sales were in response to a significant deterioration in the creditworthiness of the mortgage-backed securities. The securities sold had a carrying value of $82 million and the Company recorded a realized loss of $15 million.
Carrying value and fair value of securities held-to-maturity (HTM)

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.
Held-to-maturity securities in unrecognized loss position

 

 
   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  
                           
Held-to-maturity debt securities by contractual maturity dates

 

 
   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  
                   
(1)
Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.

(2)
Includes corporate and asset-backed securities.
Key assumptions for mortgage-backed securities

 
   June 30, 2011  

Prepayment rate(1)

     3%-8% CRR  

Loss severity(2)

     45%-85%  
       
(1)
Conditional Repayment Rate (CRR) represents the annualized expected rate of voluntary prepayment of principal for mortgage-backed securities over a certain period of time.

(2)
Loss severity rates are estimated considering collateral characteristics and generally range from 45%-60% for prime bonds, 50%-85% for Alt-A bonds and 65%-85% for subprime bonds.
Total other-than-temporary impairments recognized

 

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  
                           
Cumulative Other-Than-Temporary Impairment Credit Losses Recognized in Earnings

 

 
   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  
                       

      

 
   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

 

In millions of dollars at June 30, 2011   Fair
value 		  Unfunded commitments   Redemption frequency
(if currently eligible)		   Redemption notice
period 		 

Hedge funds

   $ 989   $ 9     Monthly, quarterly, annually     10-95 days  

Private equity funds(1)(2)

     2,767     2,376     —     —  

Real estate funds(3)

     386     163     —     —  
                   

Total

   $ 4,142 (4) $ 2,548     —     —  
                   
(1)
Includes investments in private equity funds carried at cost with a carrying value of $250 million.

(2)
Private equity funds include funds that invest in infrastructure, leveraged buyout transactions, emerging markets and venture capital.

(3)
This category includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia. These investments can never be redeemed with the funds. Distributions from each fund will be received as the underlying assets of the funds are liquidated. It is estimated that the underlying assets of the fund will be liquidated over a period of several years as market conditions allow.

(4)
Included in the total fair values of investments above is $0.8 billion of fund assets that are valued using NAVs provided by third-party asset managers.