INVESTMENTS (Tables)

3 Months Ended

Mar. 31, 2012

Schedule of Investments disclosures

Schedule of Investments

In millions of dollars	March 31, 2012		December 31, 2011
Securities available-for-sale	$	270,582	$	265,204
Debt securities held-to-maturity(1)		10,126		11,483
Non-marketable equity securities carried at fair value(2)		8,842		8,836
Non-marketable equity securities carried at cost(3)		7,773		7,890
Total investments	$	297,323	$	293,413

(1)

Recorded at amortized cost less impairment for 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, 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

	March 31, 2012								December 31,2011
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	$	43,934	$	1,246	$	78	$	45,102	$	44,394	$	1,438	$	51	$	45,781
Prime		119		1		3		117		118		1		6		113
Alt-A		1		—		—		1		1		—		—		1
Subprime		—		—		—		—		—		—		—		—
Non-U.S. residential		6,404		27		5		6,426		4,671		9		22		4,658
Commercial		477		18		7		488		465		16		9		472
Total mortgage-backed securities	$	50,935	$	1,292	$	93	$	52,134	$	49,649	$	1,464	$	88	$	51,025
U.S. Treasury and federal agency securities
U.S. Treasury	$	53,764	$	1,198	$	47	$	54,915	$	48,790	$	1,439	$	—	$	50,229
Agency obligations		33,759		505		5		34,259		34,310		601		2		34,909
Total U.S. Treasury and federal agency securities	$	87,523	$	1,703	$	52	$	89,174	$	83,100	$	2,040	$	2	$	85,138
State and municipal(2)	$	16,018	$	123	$	1,997	$	14,144	$	16,819	$	134	$	2,554	$	14,399
Foreign government		88,981		595		299		89,277		84,360		558		404		84,514
Corporate		11,688		318		32		11,974		10,005		305		53		10,257
Asset-backed securities(1)		10,871		39		64		10,846		11,053		31		81		11,003
Other debt securities		595		15		—		610		670		13		—		683
Total debt securities AFS	$	266,611	$	4,085	$	2,537	$	268,159	$	255,656	$	4,545	$	3,182	$	257,019
Marketable equity securities AFS	$	2,542	$	48	$	167	$	2,423	$	6,722	$	1,658	$	195	$	8,185
Total securities AFS	$	269,153	$	4,133	$	2,704	$	270,582	$	262,378	$	6,203	$	3,377	$	265,204

(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, see Note 17 to the Consolidated Financial Statements.

(2)

The unrealized losses on state and municipal debt securities are primarily attributable to the result of yields on taxable fixed income instruments decreasing relatively faster than the general tax-exempt municipal yields and the effects of fair value hedge accounting.

Interest and dividends on investments

	Three months ended
In millions of dollars	March 31, 2012		March 31, 2011
Taxable interest	$	1,660	$	2,121
Interest exempt from U.S. federal income tax		174		221
Dividends		76		69
Total interest and dividends	$	1,910	$	2,411

Realized gains and losses on investments

	Three months ended
In millions of dollars	March 31, 2012			March 31, 2011
Gross realized investment gains	$	2,166		$	680
Gross realized investment losses(1)		(241	)		(100	)
Net realized gains	$	1,925		$	580

(1)

During the first quarter of 2012, the Company sold various debt securities that were classified as held-to-maturity. These sales were in response to a significant deterioration in the creditworthiness of the issuers or securities. The securities sold had a carrying value of $967 million, and the Company recorded a realized loss of $144 million. In addition, a security with a carrying value of $39 million was reclassified to AFS securities in response to significant credit deterioration. The Company intends to sell the security and recorded an other-than-temporary-impairment loss of $13 million, reflected in the following table.

Carrying value and fair value of debt 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
March 31, 2012
Debt securities held-to-maturity
Mortgage-backed securities(3)
Prime	$	341	$	61	$	280	$	22	$	7	$	295
Alt-A		4,117		1,241		2,876		2		237		2,641
Subprime		274		44		230		1		37		194
Non-U.S. residential		3,446		499		2,947		72		224		2,795
Commercial		492		2		490		6		30		466
Total mortgage-backed securities	$	8,670	$	1,847	$	6,823	$	103	$	535	$	6,391
State and municipal	$	1,377	$	91	$	1,286	$	90	$	70	$	1,306
Corporate		1,201		127		1,074		8		1		1,081
Asset-backed securities(3)		976		33		943		9		74		878
Total debt securities held-to-maturity	$	12,224	$	2,098	$	10,126	$	210	$	680	$	9,656
December 31, 2011
Debt securities held-to-maturity
Mortgage-backed securities(3)
Prime	$	360	$	73	$	287	$	21	$	20	$	288
Alt-A		4,732		1,404		3,328		20		319		3,029
Subprime		383		47		336		1		71		266
Non-U.S. residential		3,487		520		2,967		59		290		2,736
Commercial		513		1		512		4		52		464
Total mortgage-backed securities	$	9,475	$	2,045	$	7,430	$	105	$	752	$	6,783
State and municipal	$	1,422	$	95	$	1,327	$	68	$	72	$	1,323
Corporate		1,862		113		1,749		—		254		1,495
Asset-backed securities(3)		1,000		23		977		9		87		899
Total debt securities held-to-maturity	$	13,759	$	2,276	$	11,483	$	182	$	1,165	$	10,500

(1)

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 impairments 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.

(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, see Note 17 to the Consolidated Financial Statements.

Carrying value and fair value of debt securities transferred to Trading account assets or sold

Through March 31, 2012, the Company has sold substantially all of the $12.7 billion of HTM securities that were reclassified to Trading account assets in the first quarter of 2011. The carrying value and fair value of debt securities at the date of reclassification or sale were as follows:

In millions of dollars	Amortized cost(2)		Net unrealized loss recognized in AOCI		Carrying value(3)		Gross gains		Gross losses		Fair value
Held-to-maturity debt securities transferred to Trading account assets or sold(1)
Mortgage-backed securities
Prime	$	3,410	$	528	$	2,882	$	131	$	131	$	2,882
Alt-A		5,357		896		4,461		605		188		4,878
Subprime		240		7		233		5		36		202
Non-U.S. residential		317		75		242		76		2		316
Commercial		117		18		99		22		—		121
Total mortgage-backed securities	$	9,441	$	1,524	$	7,917	$	839	$	357	$	8,399
State and municipal	$	900	$	8	$	892	$	68	$	7	$	953
Corporate		3,569		115		3,454		396		41		3,809
Asset-backed securities		456		9		447		50		2		495
Total held-to-maturity debt securities transferred to Trading account assets or sold(1)	$	14,366	$	1,656	$	12,710	$	1,353	$	407	$	13,656

(1)

During the fourth quarter of 2008, $6.647 billion and $6.063 billion carrying value of these debt securities were transferred from Trading account assets and Investments available-for-sale to Investments held-to-maturity, respectively. The transfer of these debt securities from Trading account assets was in response to the significant deterioration in market conditions, which was especially acute during the fourth quarter of 2008.

(2)

For securities transferred to held-to-maturity from Trading account assets, amortized cost is defined as the fair value amount 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 held-to-maturity from available-for-sale, 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.

(3)

Held-to-maturity securities are carried on the Consolidated Balance Sheet at amortized cost and the changes in the value of these securities other than impairment charges are not reported in the financial statements.

Key assumptions for mortgage-backed securities

	March 31, 2012
Prepayment rate(1)	1%-8% CRR
Loss severity(2)	45%-95%

(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%-95% for Alt-A bonds and 65%-90% for subprime bonds.

Total other-than-temporary impairments recognized

	Three months ended March 31, 2012
OTTI on Investments and Other Assets In millions of dollars
	AFS		HTM		Other Assets		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 period ended March 31, 2012	$	3	$	117	$	—	$	120
Less: portion of OTTI loss recognized in AOCI (before taxes)		1		21		—		22
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell	$	2	$	96	$	—	$	98
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(1)		26		—		1,181		1,207
Total impairment losses recognized in earnings	$	28	$	96	$	1,181	$	1,305

(1)

In the first quarter of 2012, the Company recorded an impairment charge relating to its total investment in Akbank amounting to $1.2 billion pretax ($763 million after-tax). See "Evaluating Investments for Other-Than-Temporary Impairments" above.

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

	Cumulative OTTI credit losses recognized in earnings
In millions of dollars	December 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			March 31, 2012 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 securities		3		—		—		—			3
U.S. Treasury securities		67		—		—		—			67
Foreign government securities		168		—		—		—			168
Corporate		151		1		1		(3	)		150
Asset-backed securities		10		—		—		—			10
Other debt securities		52		—		—		—			52
Total OTTI credit losses recognized for AFS debt securities	$	747	$	1	$	1	$	(3	)	$	746
HTM debt securities
Mortgage-backed securities
Prime	$	84	$	5	$	7	$	—		$	96
Alt-A		2,218		3		74		—			2,295
Subprime		252		—		1		—			253
Non-U.S. residential		96		—		—		(16	)		80
Commercial real estate		10		—		—		—			10
Total mortgage-backed securities	$	2,660	$	8	$	82	$	(16	)	$	2,734
State and municipal securities		9		—		—		—			9
Corporate		391		3		1		—			395
Asset-backed securities		113		—		—		—			113
Other debt securities		9		2		—		—			11
Total OTTI credit losses recognized for HTM debt securities	$	3,182	$	13	$	83	$	(16	)	$	3,262

Investments in Alternative Investment Funds

In millions of dollars at March 31, 2012	Fair value			Unfunded commitments		Redemption frequency (if currently eligible) monthly, quarterly, annually		Redemption notice period
Hedge funds	$	1,244		$	—		Generally quarterly		10-95 days
Private equity funds(1)(2)(3)		957			431		—		—
Real estate funds(3)(4)		216			158		—		—
Total	$	2,417	(5)	$	589		—		—

(1)

Includes investments in private equity funds carried at cost with a carrying value of $7 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.

(4)

With respect to the Company's investments that it holds in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. While certain investments within the portfolio may be sold, no specific assets have been identified for sale. Because it is not probable that any individual investment will be sold, the fair value of each individual investment has been estimated using the NAV of the Company's ownership interest in the partners' capital. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.

(5)

Included in the total fair value of investments above is $0.5 billion of fund assets that are valued using NAVs provided by third-party asset managers. Amounts exclude investments in funds that are consolidated by Citi.

AFS debt securities

Schedule of Investments disclosures

Fair value of 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
March 31, 2012
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	7,701	$	60	$	301	$	18	$	8,002	$	78
Prime		23		—		34		3		57		3
Alt-A		—		—		—		—		—		—
Subprime		—		—		—		—		—		—
Non-U.S. residential		1,737		5		49		—		1,786		5
Commercial		31		—		29		7		60		7
Total mortgage-backed securities	$	9,492	$	65	$	413	$	28	$	9,905	$	93
U.S. Treasury and federal agency securities
U.S. Treasury	$	14,795	$	46	$	49	$	1	$	14,844	$	47
Agency obligations		3,753		5		—		—		3,753		5
Total U.S. Treasury and federal agency securities	$	18,548	$	51	$	49	$	1	$	18,597	$	52
State and municipal	$	3	$	29	$	11,110	$	1,968	$	11,113	$	1,997
Foreign government		32,177		132		8,783		167		40,960		299
Corporate		1,893		11		203		21		2,096		32
Asset-backed securities		3,261		51		504		13		3,765		64
Other debt securities		—		—		—		—		—		—
Marketable equity securities AFS		17		2		1,331		165		1,348		167
Total securities AFS	$	65,391	$	341	$	22,393	$	2,363	$	87,784	$	2,704
December 31, 2011
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	5,398	$	32	$	51	$	19	$	5,449	$	51
Prime		27		1		40		5		67		6
Alt-A		—		—		—		—		—		—
Subprime		—		—		—		—		—		—
Non-U.S. residential		3,418		22		57		—		3,475		22
Commercial		35		1		31		8		66		9
Total mortgage-backed securities	$	8,878	$	56	$	179	$	32	$	9,057	$	88
U.S. Treasury and federal agency securities
U.S. Treasury	$	553	$	—	$	—	$	—	$	553	$	—
Agency obligations		2,970		2		—		—		2,970		2
Total U.S. Treasury and federal agency securities	$	3,523	$	2	$	—	$	—	$	3,523	$	2
State and municipal	$	59	$	2	$	11,591	$	2,552	$	11,650	$	2,554
Foreign government		33,109		211		11,205		193		44,314		404
Corporate		2,104		24		203		29		2,307		53
Asset-backed securities		4,625		68		466		13		5,091		81
Other debt securities		164		—		—		—		164		—
Marketable equity securities AFS		47		5		1,457		190		1,504		195
Total securities AFS	$	52,509	$	368	$	25,101	$	3,009	$	77,610	$	3,377

Amortized cost and fair value of debt securities available-for-sale by contractual maturity dates

	March 31, 2012				December 31, 2011
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities(1)
Due within 1 year	$	16	$	16	$	—	$	—
After 1 but within 5 years		429		431		422		423
After 5 but within 10 years		2,031		2,104		2,757		2,834
After 10 years(2)		48,459		49,583		46,470		47,768
Total	$	50,935	$	52,134	$	49,649	$	51,025
U.S. Treasury and federal agency securities
Due within 1 year	$	17,667	$	17,687	$	14,615	$	14,637
After 1 but within 5 years		65,596		66,914		62,241		63,823
After 5 but within 10 years		4,201		4,515		5,862		6,239
After 10 years(2)		59		58		382		439
Total	$	87,523	$	89,174	$	83,100	$	85,138
State and municipal
Due within 1 year	$	138	$	139	$	142	$	142
After 1 but within 5 years		498		500		455		457
After 5 but within 10 years		194		204		182		188
After 10 years(2)		15,188		13,301		16,040		13,612
Total	$	16,018	$	14,144	$	16,819	$	14,399
Foreign government
Due within 1 year	$	31,140	$	31,112	$	34,924	$	34,864
After 1 but within 5 years		49,469		49,215		41,612		41,675
After 5 but within 10 years		7,121		7,554		6,993		6,998
After 10 years(2)		1,251		1,396		831		977
Total	$	88,981	$	89,277	$	84,360	$	84,514
All other(3)
Due within 1 year	$	3,814	$	3,827	$	4,055	$	4,072
After 1 but within 5 years		10,863		10,980		9,843		9,928
After 5 but within 10 years		3,873		4,026		3,009		3,160
After 10 years(2)		4,604		4,597		4,821		4,783
Total	$	23,154	$	23,430	$	21,728	$	21,943
Total debt securities AFS	$	266,611	$	268,159	$	255,656	$	257,019

(1)

Includes mortgage-backed securities of U.S. government-sponsored entities.

(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.

HTM debt securities

Schedule of Investments disclosures

Fair value of available-for-sale securities in unrealized 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
March 31, 2012
Debt securities held-to-maturity
Mortgage-backed securities	$	981	$	69	$	4,195	$	466	$	5,176	$	535
State and municipal		—		—		634		70		634		70
Corporate		—		—		606		1		606		1
Asset-backed securities		177		23		604		51		781		74
Total debt securities held-to-maturity	$	1,158	$	92	$	6,039	$	588	$	7,197	$	680
December 31, 2011
Debt securities held-to-maturity
Mortgage-backed securities	$	735	$	63	$	4,827	$	689	$	5,562	$	752
State and municipal		—		—		682		72		682		72
Corporate		—		—		1,427		254		1,427		254
Asset-backed securities		480		71		306		16		786		87
Total debt securities held-to-maturity	$	1,215	$	134	$	7,242	$	1,031	$	8,457	$	1,165

Amortized cost and fair value of debt securities available-for-sale by contractual maturity dates

	March 31, 2012				December 31, 2011
In millions of dollars	Carrying value		Fair value		Carrying value		Fair value
Mortgage-backed securities
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years		307		281		275		239
After 5 but within 10 years		184		186		238		224
After 10 years(1)		6,332		5,924		6,917		6,320
Total	$	6,823	$	6,391	$	7,430	$	6,783
State and municipal
Due within 1 year	$	4	$	4	$	4	$	4
After 1 but within 5 years		43		49		43		46
After 5 but within 10 years		64		73		31		30
After 10 years(1)		1,175		1,180		1,249		1,243
Total	$	1,286	$	1,306	$	1,327	$	1,323
All other(2)
Due within 1 year	$	11	$	11	$	21	$	21
After 1 but within 5 years		644		657		470		438
After 5 but within 10 years		554		550		1,404		1,182
After 10 years(1)		808		741		831		753
Total	$	2,017	$	1,959	$	2,726	$	2,394
Total debt securities held-to-maturity	$	10,126	$	9,656	$	11,483	$	10,500

(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.