The amortized cost and fair value of securities available-for-sale (AFS) at September 30, 2012 and December 31, 2011 were as follows:

	September 30, 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	$	42,511	$	1,768	$	62	$	44,217	$	44,394	$	1,438	$	51	$	45,781
Prime		122		4		—		126		118		1		6		113
Alt-A		149		—		—		149		1		—		—		1
Subprime		—		—		—		—		—		—		—		—
Non-U.S. residential		7,122		156		—		7,278		4,671		9		22		4,658
Commercial		458		20		4		474		465		16		9		472

Total mortgage-backed securities	$	50,362	$	1,948	$	66	$	52,244	$	49,649	$	1,464	$	88	$	51,025

U.S. Treasury and federal agency securities
U.S. Treasury	$	56,015	$	1,425	$	18	$	57,422	$	48,790	$	1,439	$	—	$	50,229
Agency obligations		26,530		456		—		26,986		34,310		601		2		34,909

Total U.S. Treasury and federal agency securities	$	82,545	$	1,881	$	18	$	84,408	$	83,100	$	2,040	$	2	$	85,138

State and municipal(2)	$	19,775	$	134	$	1,806	$	18,103	$	16,819	$	134	$	2,554	$	14,399
Foreign government		90,358		887		181		91,064		84,360		558		404		84,514
Corporate		9,401		397		31		9,767		10,005		305		53		10,257
Asset-backed securities(1)		12,090		76		155		12,011		11,053		31		81		11,003
Other debt securities		51		3		—		54		670		13		—		683

Total debt securities AFS	$	264,582	$	5,326	$	2,257	$	267,651	$	255,656	$	4,545	$	3,182	$	257,019

Marketable equity securities AFS	$	3,736	$	37	$	163	$	3,610	$	6,722	$	1,658	$	195	$	8,185

Total securities AFS	$	268,318	$	5,363	$	2,420	$	271,261	$	262,378	$	6,203	$	3,377	$	265,204

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 accumulated other comprehensive income (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 September 30, 2012 and December 31, 2011:

	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
September 30, 2012
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	2,548	$	35	$	462	$	27	$	3,010	$	62
Prime		—		—		16		—		16		—
Alt-A		—		—		—		—		—		—
Subprime		—		—		—		—		—		—
Non-U.S. residential		12		—		18		—		30		—
Commercial		6		—		32		4		38		4

Total mortgage-backed securities	$	2,566	$	35	$	528	$	31	$	3,094	$	66

U.S. Treasury and federal agency securities
U.S. Treasury	$	4,831	$	18	$	—	$	—	$	4,831	$	18
Agency obligations		224		—		—		—		224		—

Total U.S. Treasury and federal agency securities	$	5,055	$	18	$	—	$	—	$	5,055	$	18

State and municipal	$	345	$	26	$	11,097	$	1,780	$	11,442	$	1,806
Foreign government		21,103		71		5,950		110		27,053		181
Corporate		1,385		8		254		23		1,639		31
Asset-backed securities		962		5		3,248		150		4,210		155
Other debt securities		—		—		—		—		—		—
Marketable equity securities AFS		1,619		27		1,070		136		2,689		163

Total securities AFS	$	33,035	$	190	$	22,147	$	2,230	$	55,182	$	2,420

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

The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates as of September 30, 2012 and December 31, 2011:

	September 30, 2012				December 31, 2011

*In millions of dollars*	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities(1)
Due within 1 year	$	21	$	22	$	—	$	—
After 1 but within 5 years		287		289		422		423
After 5 but within 10 years		2,418		2,548		2,757		2,834
After 10 years(2)		47,636		49,385		46,470		47,768

Total	$	50,362	$	52,244	$	49,649	$	51,025

U.S. Treasury and federal agency securities
Due within 1 year	$	7,358	$	7,359	$	14,615	$	14,637
After 1 but within 5 years		69,323		70,867		62,241		63,823
After 5 but within 10 years		2,899		3,167		5,862		6,239
After 10 years(2)		2,965		3,015		382		439

Total	$	82,545	$	84,408	$	83,100	$	85,138

State and municipal
Due within 1 year	$	201	$	201	$	142	$	142
After 1 but within 5 years		2,888		2,891		455		457
After 5 but within 10 years		249		445		182		188
After 10 years(2)		16,437		14,566		16,040		13,612

Total	$	19,775	$	18,103	$	16,819	$	14,399

Foreign government
Due within 1 year	$	37,139	$	37,149	$	34,924	$	34,864
After 1 but within 5 years		45,261		45,627		41,612		41,675
After 5 but within 10 years		7,060		7,191		6,993		6,998
After 10 years(2)		898		1,097		831		977

Total	$	90,358	$	91,064	$	84,360	$	84,514

All other(3)
Due within 1 year	$	1,319	$	1,327	$	4,055	$	4,072
After 1 but within 5 years		10,890		10,947		9,843		9,928
After 5 but within 10 years		3,419		3,598		3,009		3,160
After 10 years(2)		5,914		5,960		4,821		4,783

Total	$	21,542	$	21,832	$	21,728	$	21,943

Total debt securities AFS	$	264,582	$	267,651	$	255,656	$	257,019

The following table presents interest and dividends on investments for the three and nine months ended September 30, 2012 and 2011:

The following table presents realized gains and losses on all investments for the three and nine months ended September 30, 2012 and 2011. The gross realized investment losses exclude losses from other-than-temporary impairment:

(1): During the periods presented, 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. In addition, certain securities were reclassified to AFS investments in response to significant credit deterioration. The Company intends to sell the securities and recorded other-than-temporary-impairment reflected in the following table. For the three months ended September 30, 2012, the securities sold had a carrying value of $302 million and the Company recorded a realized loss of $4 million; the securities reclassified to AFS investments had a carrying value of $137 million and the Company recorded other-than-temporary-impairment of $33 million. For the nine months ended September 30, 2012 and 2011, the securities sold had a carrying value of $1,545 million and $1,067 million respectively, and the Company recorded a realized loss of $173 million and $138 million, respectively. For the nine months ended September 30, 2012, securities reclassified to AFS totaled $244 million and the Company recorded other-than-temporary impairment of $59 million.

The carrying value and fair value of debt securities held-to-maturity (HTM) at September 30, 2012 and December 31, 2011 were as follows:

	Amortized cost(1)		Net unrealized loss recognized in AOCI		Carrying value(2)		Gross unrealized gains		Gross unrealized losses		Fair value

In millions of dollars
September 30, 2012
Debt securities held-to-maturity
Mortgage-backed securities(3)
Prime	$	298	$	55	$	243	$	24	$	13	$	254
Alt-A		3,170		934		2,236		508		223		2,521
Subprime		245		42		203		11		24		190
Non-U.S. residential		2,649		418		2,231		53		165		2,119
Commercial		308		1		307		—		5		302

Total mortgage-backed securities	$	6,670	$	1,450	$	5,220	$	596	$	430	$	5,386

State and municipal	$	1,307	$	84	$	1,223	$	176	$	34	$	1,365
Foreign government(4)		2,849		—		2,849		7		1		2,855
Corporate		935		117		818		53		—		871
Asset-backed securities(3)		864		31		833		8		61		780

Total debt securities held-to-maturity	$	12,625	$	1,682	$	10,943	$	840	$	526	$	11,257

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
Foreign government		—		—		—		—		—		—
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.
(4): During the second quarter of 2012, the Company (via its Banamex entity) purchased Mexican government bonds with a par value $2.6 billion and classified them as held-to-maturity.

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 $1.7 billion as of September 30, 2012, compared to $2.3 billion as of December 31, 2011. 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.

For any credit-related impairment on HTM securities, the credit loss component is recognized in earnings.

The table below shows the fair value of debt securities in HTM that have been in an unrecognized loss position for less than 12 months or for 12 months or longer as of September 30, 2012 and December 31, 2011:

	Less than 12 months				12 months or longer				Total

	Fair value		Gross unrecognized losses		Fair value		Gross unrecognized losses		Fair value		Gross unrecognized losses
In millions of dollars
September 30, 2012
Debt securities held-to-maturity
Mortgage-backed securities	$	203	$	11	$	1,755	$	419	$	1,958	$	430
State and municipal		—		—		368		34		368		34
Foreign government		552		1		—		—		552		1
Corporate		—		—		—		—		—		—
Asset-backed securities		228		28		404		33		632		61

Total debt securities held-to-maturity	$	983	$	40	$	2,527	$	486	$	3,510	$	526

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
Foreign government		—		—		—		—		—		—
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

Excluded from the gross unrecognized losses presented in the above table are the $1.7 billion and $2.3 billion of gross unrealized losses recorded in AOCI as of September 30, 2012 and December 31, 2011, respectively, mainly related to the HTM securities that were reclassified from AFS investments. Virtually all of these unrecognized losses relate to securities that have been in a loss position for 12 months or longer at September 30, 2012 and December 31, 2011.

The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates as of September 30, 2012 and December 31, 2011:

	September 30, 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		252		249		275		239
After 5 but within 10 years		55		54		238		224
After 10 years(1)		4,913		5,083		6,917		6,320

Total	$	5,220	$	5,386	$	7,430	$	6,783

State and municipal
Due within 1 year	$	15	$	16	$	4	$	4
After 1 but within 5 years		34		36		43		46
After 5 but within 10 years		62		66		31		30
After 10 years(1)		1,112		1,247		1,249		1,243

Total	$	1,223	$	1,365	$	1,327	$	1,323

Foreign government
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years		2,849		2,855		—		—
After 5 but within 10 years		—		—		—		—
After 10 years(1)		—		—		—		—

Total	$	2,849	$	2,855	$	—	$	—

All other(2)
Due within 1 year	$	—	$	—	$	21	$	21
After 1 but within 5 years		843		897		470		438
After 5 but within 10 years		40		41		1,404		1,182
After 10 years(1)		768		713		831		753

Total	$	1,651	$	1,651	$	2,726	$	2,394

Total debt securities held-to-maturity	$	10,943	$	11,257	$	11,483	$	10,500

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

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 (OTTI). Factors considered in determining whether a loss is temporary include:

Under the guidance for debt securities, 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.

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 cannot be 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.

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 or whether it is more-likely-than-not that the Company will be required to sell the security prior to recovery of its cost basis. 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.

Management assesses equity method investments with fair value less than carrying value for OTTI. Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 19 to the Consolidated Financial Statements).

For impaired equity method investments that Citi plans to sell prior to recovery of value, or would likely be required to sell and there is no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized in the Consolidated Statement of Income as OTTI regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.

For impaired equity method investments that management does not plan to sell prior to recovery of value and is not likely to be required to sell, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary is based on all of the following indicators, regardless of the time and extent of impairment:

The sections below describe current circumstances related to certain of the Company's significant equity method investments, specific impairments and the Company's process for identifying credit-related impairments in its security types with the most significant unrealized losses as of September 30, 2012.

As previously announced on March 23, 2012, Citi decided to reduce its ownership interest in Akbank T.A.S., an equity investment in Turkey (Akbank), to below 10%. As of March 31, 2012, Citi held a 20% equity interest in Akbank, which it purchased in January 2007, accounted for as an equity method investment. As a result of its decision to sell its share holdings in Akbank, in the first quarter of 2012 Citi recorded an impairment charge related to its total investment in Akbank amounting to approximately $1.2 billion pretax ($763 million after-tax). This impairment charge was primarily driven by the recognition of all respective net investment foreign currency hedging and translation losses previously reflected in AOCI as well as a reduction in carrying value of the investment to reflect the market price of Akbank's shares. The impairment charge was recorded in other-than-temporary impairment losses on investments in the Consolidated Statement of Income. During the second quarter of 2012, Citi sold a 10.1% stake in Akbank, resulting in a loss on sale of $424 million ($274 million after tax), recorded within other revenue. The remaining 9.9% stake in Akbank is recorded within marketable equity securities available-for-sale.

On September 17, 2012, Citi sold to Morgan Stanley a 14% interest (the "14% Interest") in MSSB as to which Morgan Stanley exercised its purchase option on June 1, 2012. Morgan Stanley paid to Citi $1.89 billion in cash as the purchase price of the 14% Interest. The purchase price was based on an implied 100% valuation of MSSB of $13.5 billion, as agreed between Morgan Stanley and Citi pursuant to an agreement dated September 11, 2012 (for additional information, see Citi's Form 8-K filed with the U.S. Securities and Exchange Commission on September 11, 2012). The related approximately $5.5 billion deposits were transferred to Morgan Stanley at no premium, as agreed between the parties.

In addition, Morgan Stanley has agreed, subject to obtaining regulatory approval, to purchase Citi's remaining 35% interest in MSSB no later than June 1, 2015 at a purchase price of $4.725 billion which is based on the same implied 100% valuation of MSSB of $13.5 billion.

Citi's carrying value of its 49% interest in MSSB was approximately $11.3 billion. As a result of the agreement entered into with Morgan Stanley on September 11, 2012, Citi recorded a charge to net income in the third quarter of 2012 of approximately $2.9 billion after-tax ($4.7 billion pre-tax), consisting of (1) a charge to net income of approximately $800 million after-tax ($1.3 billion pre-tax), representing a loss on sale of the 14% interest, and (2) an other-than-temporary impairment of the carrying value of its remaining 35% interest in MSSB of approximately $2.1 billion after-tax ($3.4 billion pre-tax).

After the sale, Citi continues to account for its remaining 35% interest in MSSB under the equity method, with the carrying value capped at the agreed selling price of $4.725 billion.

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 September 30, 2012 are in the table below:

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 impairments for these bonds is largely based on third-party credit ratings. Individual bond positions that are financed through Tender Option Bonds are 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 rating downgrade, the subject bond is specifically reviewed for potential shortfall in contractual principal and interest. 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.

For impaired AFS state and municipal bonds that Citi plans to sell, or would likely be required to sell and there is no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized in earnings.

The following table presents the total OTTI recognized in earnings during the three and nine months ended September 30, 2012:

	Three Months Ended September 30, 2012								Nine Months Ended September 30, 2012

OTTI on Investments and Other Assets *In millions of dollars*	Three Months Ended September 30, 2012								Nine Months Ended September 30, 2012
	AFS		HTM		Other Assets		Total		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 September 30, 2012	$	2	$	73	$	—	$	75	$	12	$	328	$	—	$	340
Less: portion of OTTI loss recognized in AOCI (before taxes)		—		—		—		—		1		65		—		66

Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell	$	2	$	73	$	—	$	75	$	11	$	263	$	—	$	274
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)
		55		—		3,340		3,395		108		—		4,521		4,629

Total impairment losses recognized in earnings	$	57	$	73	$	3,340	$	3,470	$	119	$	263	$	4,521	$	4,903

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 September 30, 2012 that the Company does not intend to sell nor will likely be required to sell:

	Cumulative OTTI credit losses recognized in earnings

*In millions of dollars*	June 30, 2012 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			Sept. 30, 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		7		—		—		—			7
U.S. Treasury securities		67		—		—		—			67
Foreign government securities		168		2		—		—			170
Corporate		147		—		—		(28	)		119
Asset-backed securities		10		—		—		—			10
Other debt securities		52		—		—		—			52

Total OTTI credit losses recognized for AFS debt securities	$	747	$	2	$	—	$	(28	)	$	721

HTM debt securities
Mortgage-backed securities
Prime	$	98	$	1	$	—	$	(1	)	$	98
Alt-A		2,376		7		65		(11	)		2,437
Subprime		254		—		—		(2	)		252
Non-U.S. residential		80		—		—		—			80
Commercial real estate		10		—		—		—			10

Total mortgage-backed securities	$	2,818	$	8	$	65	$	(14	)	$	2,877
State and municipal securities		11		—		—		—			11
Corporate		403		—		—		—			403
Asset-backed securities		113		—		—		—			113
Other debt securities		11		—		—		—			11

Total OTTI credit losses recognized for HTM debt securities	$	3,356	$	8	$	65	$	(14	)	$	3,415

The following is a nine month roll-forward of the credit-related impairments recognized in earnings for AFS and HTM debt securities held as of September 30, 2012 that the Company does not intend to sell nor will likely be required to sell:

	Cumulative OTTI credit losses recognized in earnings

*In millions of dollars*	Dec. 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			Sept. 30, 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		4		—		—			7
U.S. Treasury securities		67		—		—		—			67
Foreign government securities		168		2		—		—			170
Corporate		151		1		4		(37	)		119
Asset-backed securities		10		—		—		—			10
Other debt securities		52		—		—		—			52

Total OTTI credit losses recognized for AFS debt securities	$	747	$	7	$	4	$	(37	)	$	721

HTM debt securities
Mortgage-backed securities
Prime	$	84	$	6	$	9	$	(1	)	$	98
Alt-A		2,218		18		212		(11	)		2,437
Subprime		252		—		2		(2	)		252
Non-U.S. residential		96		—		—		(16	)		80
Commercial real estate		10		—		—		—			10

Total mortgage-backed securities	$	2,660	$	24	$	223	$	(30	)	$	2,877
State and municipal securities		9		1		1		—			11
Foreign Government		—		—		—		—			—
Corporate		391		3		9		—			403
Asset-backed securities		113		—		—		—			113
Other debt securities		9		2		—		—			11

Total OTTI credit losses recognized for HTM debt securities	$	3,182	$	30	$	233	$	(30	)	$	3,415

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, funds 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.

(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): Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia. Real estate funds include investments to be sold carried at their estimated sales price of $29 million.
(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.

Under The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act), the Company will be required to limit its investments in and arrangements with "private equity funds" and "hedge funds" as defined under the statute and impending regulations. Citi does not believe the implementation of the fund provisions of the Dodd-Frank Act will have a material negative impact on its overall results of operations.