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INVESTMENTS (Tables)
 3 Months Ended
Mar. 31, 2013
Schedule of Investments disclosures  
Schedule of Investments

 

 

In millions of dollars   March 31,
2013		   December 31,
2012		  

Securities available-for-sale

   $ 281,749   $ 288,695  

Debt securities held-to-maturity(1)

     10,056     10,130  

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

     5,590     5,768  

Non-marketable equity securities carried at cost(3)

     7,464     7,733  
           

Total investments

   $ 304,859   $ 312,326  
           
(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, 2013   December 31, 2012  
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

   $ 47,590   $ 1,254   $ 199   $ 48,645   $ 46,001   $ 1,507   $ 163   $ 47,345  

Prime

     156     6     —     162     85     1     —     86  

Alt-A

     517     52     —     569     1     —     —     1  

Subprime

     62     —     —     62     —     —     —     —  

Non-U.S. residential

     8,132     150     3     8,279     7,442     148     —     7,590  

Commercial

     423     14     2     435     436     16     3     449  
                                   

Total mortgage-backed securities

   $ 56,880   $ 1,476   $ 204   $ 58,152   $ 53,965   $ 1,672   $ 166   $ 55,471  
                                   

U.S. Treasury and federal agency securities

                                                  

U.S. Treasury

   $ 64,931   $ 1,009   $ 112   $ 65,828   $ 64,456   $ 1,172   $ 34   $ 65,594  

Agency obligations

     21,745     344     1     22,088     25,844     404     1     26,247  
                                   

Total U.S. Treasury and federal agency securities

   $ 86,676   $ 1,353   $ 113   $ 87,916   $ 90,300   $ 1,576   $ 35   $ 91,841  
                                   

State and municipal(2)

   $ 20,148   $ 438   $ 1,940   $ 18,646   $ 20,020   $ 132   $ 1,820   $ 18,332  

Foreign government

     86,463     808     149     87,122     93,259     918     130     94,047  

Corporate

     9,699     365     14     10,050     9,302     398     26     9,674  

Asset-backed securities(1)

     14,722     105     110     14,717     14,188     85     143     14,130  

Other debt securities

     256     1     —     257     256     2     —     258  
                                   

Total debt securities AFS

   $ 274,844   $ 4,546   $ 2,530   $ 276,860   $ 281,290   $ 4,783   $ 2,320   $ 283,753  
                                   

Marketable equity securities AFS

   $ 4,447   $ 585   $ 143   $ 4,889   $ 4,643   $ 444   $ 145   $ 4,942  
                                   

Total securities AFS

   $ 279,291   $ 5,131   $ 2,673   $ 281,749   $ 285,933   $ 5,227   $ 2,465   $ 288,695  
                                   
(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 18 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,
2013		   March 31,
2012		  

Taxable interest

   $ 1,510   $ 1,660  

Interest exempt from U.S. federal income tax

     172     174  

Dividends

     120     76  
           

Total interest and dividends

   $ 1,802   $ 1,910  
           
Realized gains and losses on investments

 

 

 
   Three months ended  
In millions of dollars   March 31,
2013		   March 31,
2012		  

Gross realized investment gains

   $ 494   $ 2,166  

Gross realized investment losses(1)

     (44 )   (241 )
           

Net realized gains

   $ 450   $ 1,925  
           
(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 table under "Recognition and Measurement of OTTI" below. For the three months ended March 31, 2013 and 2012, the securities sold had a carrying value of $167 million and $967 million, respectively, and the Company recorded a realized loss of $10 million and $144 million, respectively. Securities reclassified to AFS totaled $602 million and $39 million, respectively, and the Company recorded other-than-temporary impairment of $94 million and $13 million, respectively.
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, 2013

                                      

Debt securities held-to-maturity

                                      

Mortgage-backed securities(3)

                                      

Prime

   $ 135   $ 26   $ 109   $ 19   $ 2   $ 126  

Alt-A

     2,135     617     1,518     570     224     1,864  

Subprime

     83     9     74     5     8     71  

Non-U.S. residential

     2,334     374     1,960     48     55     1,953  

Commercial

     90     —     90     1     1     90  
                           

Total mortgage-backed securities

   $ 4,777   $ 1,026   $ 3,751   $ 643   $ 290   $ 4,104  
                           

State and municipal

   $ 1,343   $ 72   $ 1,271   $ 80   $ 38   $ 1,313  

Foreign government

     3,816     —     3,816     50     —     3,866  

Corporate

     821     97     724     104     —     828  

Asset-backed securities(3)

     519     25     494     15     3     506  
                           

Total debt securities held-to-maturity

   $ 11,276   $ 1,220   $ 10,056   $ 892   $ 331   $ 10,617  
                           

December 31, 2012

                                      

Debt securities held-to-maturity

                                      

Mortgage-backed securities(3)

                                      

Prime

   $ 258   $ 49   $ 209   $ 30   $ 4   $ 235  

Alt-A

     2,969     837     2,132     653     250     2,535  

Subprime

     201     43     158     13     21     150  

Non-U.S. residential

     2,488     401     2,087     50     81     2,056  

Commercial

     123     —     123     1     2     122  
                           

Total mortgage-backed securities

   $ 6,039   $ 1,330   $ 4,709   $ 747   $ 358   $ 5,098  
                           

State and municipal

   $ 1,278   $ 73   $ 1,205   $ 89   $ 37   $ 1,257  

Foreign government

     2,987     —     2,987     —     —     2,987  

Corporate

     829     103     726     73     —     799  

Asset-backed securities(3)

     529     26     503     8     8     503  
                           

Total debt securities held-to-maturity

   $ 11,662   $ 1,532   $ 10,130   $ 917   $ 403   $ 10,644  
                           
(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, plus or minus any unamortized unrealized gains and losses recognized in AOCI prior to reclassifying the securities from AFS to HTM. 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 18 to the Consolidated Financial Statements.
Key assumptions for mortgage-backed securities

 

 

 
   March 31, 2013

Prepayment rate(1)

   1%-8% CRR

Loss severity(2)

   45%-90%
(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%-90% for Alt-A bonds and 65%-90% for subprime bonds.
Total other-than-temporary impairments recognized

 

 

 
   Three Months Ended March 31, 2013  
OTTI on Investments and Other Assets
In millions of dollars		   AFS(1)   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, 2013

   $ 2   $ 11   $ —   $ 13  

Less: portion of impairment loss recognized in AOCI (before taxes)               

     —     —     —     —  
                   

Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell

   $ 2   $ 11   $ —   $ 13  

Impairment losses recognized in earnings for securities that the Company intends to sell or more-likely-than-not will be required to sell before recovery(2)

     143     —     105     248  
                   

Total impairment losses recognized in earnings

   $ 145   $ 11   $ 105   $ 261  
                   
(1)
Includes OTTI on non-marketable equity securities.

(2)
The first quarter of 2013 included the recognition of a $105 million impairment charge related to the carrying value of Citi's remaining 35% interest in MSSB which was offset by the equity pickup from MSSB in the quarter which was recorded in Other revenue.
Cumulative Other-Than-Temporary Impairment Credit Losses Recognized in Earnings

 

 

 
   Cumulative OTTI credit losses recognized in earnings  
In millions of dollars   Dec. 31, 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		   Mar. 31, 2013
balance		  

AFS debt securities

                                

Mortgage-backed securities

                                

Prime

   $ 291   $ —   $ —   $ —   $ 291  

Alt-A

     2     —     —     —     2  

Commercial real estate

     2     —     —     —     2  
                       

Total mortgage-backed securities

   $ 295   $ —   $ —   $ —   $ 295  

State and municipal securities

     7     —     —     —     7  

U.S. Treasury securities

     67     —     —     —     67  

Foreign government securities

     169     —     —     —     169  

Corporate

     116     —     —     —     116  

Asset-backed securities

     10     —     —     —     10  

Other debt securities

     53     2     —     —     55  
                       

Total OTTI credit losses recognized for AFS debt securities

   $ 717   $ 2   $ —   $ —   $ 719  
                       

HTM debt securities

                                

Mortgage-backed securities

                                

Prime

   $ 104   $ —   $ —   $ —   $ 104  

Alt-A

     2,413     10     —     (33 )   2,390  

Subprime

     252     —     1     (1 )   252  

Non-U.S. residential

     80     —     —     —     80  

Commercial real estate

     10     —     —     —     10  
                       

Total mortgage-backed securities

   $ 2,859   $ 10   $ 1   $ (34 ) $ 2,836  

State and municipal securities

     11     —     —     —     11  

Foreign government

     —     —     —     —     —  

Corporate

     397     —     —     —     397  

Asset-backed securities

     113     —     —     —     113  

Other debt securities

     11     —     —     —     11  
                       

Total OTTI credit losses recognized for HTM debt securities

   $ 3,391   $ 10   $ 1   $ (34 ) $ 3,368  
                       
Investments in Alternative Investment Funds

 

 

 
   Fair value   Unfunded commitments    
    
 
   Redemption frequency
(if currently eligible)
monthly, quarterly,
annually		    
In millions of dollars   March 31,
2013		   December 31,
2012		   March 31,
2013		   December 31,
2012		   Redemption
notice period

Hedge funds

   $ 1,195   $ 1,316   $ —   $ —   Generally quarterly   10-95 days

Private equity funds(1)(2)(3)

     814     837     304     342   —   —

Real estate funds(3)(4)

     230     228     53     57   —   —
                         

Total(5)

   $ 2,239   $ 2,381   $ 357   $ 399   —   —
                         
(1)
Includes investments in private equity funds carried at cost with a carrying value of $4 million and $6 million at March 31, 2013 and December 31, 2012, respectively.

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

(3)
With respect to the Company's investments 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. 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.

(4)
Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.

(5)
Included in the total fair value of investments above are $1.3 billion and $0.4 billion of fund assets that are valued using NAVs provided by third-party asset managers as of March 31, 2013 and December 31, 2012, respectively. Amounts exclude investments in funds that are consolidated by Citi.
AFS debt securities
  
Schedule of Investments disclosures  
Fair value of 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, 2013

                                      

Securities AFS

                                      

Mortgage-backed securities

                                      

U.S. government-sponsored agency guaranteed

   $ 13,862   $ 171   $ 424   $ 28   $ 14,286   $ 199  

Prime

     17     —     4     —     21     —  

Alt-A

     64     —     —     —     64     —  

Non-U.S. residential

     239     3     11     —     250     3  

Commercial

     73     1     9     1     82     2  
                           

Total mortgage-backed securities

   $ 14,255   $ 175   $ 448   $ 29   $ 14,703   $ 204  
                           

U.S. Treasury and federal agency securities

                                      

U.S. Treasury

   $ 6,785   $ 112   $ —   $ —   $ 6,785   $ 112  

Agency obligations

     1,727     1     —     —     1,727     1  
                           

Total U.S. Treasury and federal agency securities

   $ 8,512   $ 113   $ —   $ —   $ 8,512   $ 113  
                           

State and municipal

   $ 20   $ —   $ 11,334   $ 1,940   $ 11,354   $ 1,940  

Foreign government

     19,390     100     3,511     49     22,901     149  

Corporate

     1,888     12     60     2     1,948     14  

Asset-backed securities

     2,527     78     843     32     3,370     110  

Marketable equity securities AFS

     21     2     758     141     779     143  
                           

Total securities AFS

   $ 46,613   $ 480   $ 16,954   $ 2,193   $ 63,567   $ 2,673  
                           

December 31, 2012

                                      

Securities AFS

                                      

Mortgage-backed securities

                                      

U.S. government-sponsored agency guaranteed

   $ 8,759   $ 138   $ 464   $ 25   $ 9,223   $ 163  

Prime

     15     —     5     —     20     —  

Non-U.S. residential

     5     —     7     —     12     —  

Commercial

     29     —     24     3     53     3  
                           

Total mortgage-backed securities

   $ 8,808   $ 138   $ 500   $ 28   $ 9,308   $ 166  
                           

U.S. Treasury and federal agency securities

                                      

U.S. Treasury

   $ 10,558   $ 34   $ —   $ —   $ 10,558   $ 34  

Agency obligations

     496     1     —     —     496     1  
                           

Total U.S. Treasury and federal agency securities

   $ 11,054   $ 35   $ —   $ —   $ 11,054   $ 35  
                           

State and municipal

   $ 10   $ —   $ 11,095   $ 1,820   $ 11,105   $ 1,820  

Foreign government

     22,806     54     3,910     76     26,716     130  

Corporate

     1,420     8     225     18     1,645     26  

Asset-backed securities

     1,942     4     2,888     139     4,830     143  

Marketable equity securities AFS

     15     1     764     144     779     145  
                           

Total securities AFS

   $ 46,055   $ 240   $ 19,382   $ 2,225   $ 65,437   $ 2,465  
                           
Amortized cost and fair value of debt securities by contractual maturity dates

 

 

 
   March 31, 2013   December 31, 2012  
In millions of dollars   Amortized
cost		   Fair value   Amortized
cost		   Fair value  

Mortgage-backed securities(1)

                          

Due within 1 year

   $ 2   $ 2   $ 10   $ 10  

After 1 but within 5 years

     371     380     365     374  

After 5 but within 10 years

     2,044     2,159     1,992     2,124  

After 10 years(2)

     54,463     55,611     51,598     52,963  
                   

Total

   $ 56,880   $ 58,152   $ 53,965   $ 55,471  
                   

U.S. Treasury and federal agency securities

                          

Due within 1 year

   $ 7,776   $ 7,797   $ 9,492   $ 9,499  

After 1 but within 5 years

     74,132     75,248     75,967     77,267  

After 5 but within 10 years

     1,914     2,123     2,171     2,408  

After 10 years(2)

     2,854     2,748     2,670     2,667  
                   

Total

   $ 86,676   $ 87,916   $ 90,300   $ 91,841  
                   

State and municipal

                          

Due within 1 year

   $ 298   $ 298   $ 208   $ 208  

After 1 but within 5 years

     3,212     3,214     3,221     3,223  

After 5 but within 10 years

     161     172     155     165  

After 10 years(2)

     16,477     14,962     16,436     14,736  
                   

Total

   $ 20,148   $ 18,646   $ 20,020   $ 18,332  
                   

Foreign government

                          

Due within 1 year

   $ 29,868   $ 29,852   $ 34,873   $ 34,869  

After 1 but within 5 years

     46,588     46,918     49,548     49,933  

After 5 but within 10 years

     8,585     8,725     7,239     7,380  

After 10 years(2)

     1,422     1,627     1,599     1,865  
                   

Total

   $ 86,463   $ 87,122   $ 93,259   $ 94,047  
                   

All other(3)

                          

Due within 1 year

   $ 998   $ 1,001   $ 1,001   $ 1,009  

After 1 but within 5 years

     11,808     11,906     11,285     11,351  

After 5 but within 10 years

     4,278     4,443     4,330     4,505  

After 10 years(2)

     7,593     7,674     7,130     7,197  
                   

Total

   $ 24,677   $ 25,024   $ 23,746   $ 24,062  
                   

Total debt securities AFS

   $ 274,844   $ 276,860   $ 281,290   $ 283,753  
                   
(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 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, 2013

                                      

Debt securities held-to-maturity

                                      

Mortgage-backed securities

   $ 54   $ 2   $ 1,160   $ 288   $ 1,214   $ 290  

State and municipal

     —     —     418     38     418     38  

Foreign government

     —     —     294     —     294     —  

Corporate

     —     —     —     —     —     —  

Asset-backed securities

     —     —     256     3     256     3  
                           

Total debt securities held-to-maturity

   $ 54   $ 2   $ 2,128   $ 329   $ 2,182   $ 331  
                           

December 31, 2012

                                      

Debt securities held-to-maturity

                                      

Mortgage-backed securities

   $ 88   $ 7   $ 1,522   $ 351   $ 1,610   $ 358  

State and municipal

     —     —     383     37     383     37  

Foreign government

     294     —     —     —     294     —  

Corporate

     —     —     —     —     —     —  

Asset-backed securities

     —     —     406     8     406     8  
                           

Total debt securities held-to-maturity

   $ 382   $ 7   $ 2,311   $ 396   $ 2,693   $ 403  
                           
Amortized cost and fair value of debt securities by contractual maturity dates

 

 

 
   March 31, 2013   December 31, 2012  
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

     45     44     69     67  

After 5 but within 10 years

     44     45     54     54  

After 10 years(1)

     3,662     4,015     4,586     4,977  
                   

Total

   $ 3,751   $ 4,104   $ 4,709   $ 5,098  
                   

State and municipal

                          

Due within 1 year

   $ 12   $ 13   $ 14   $ 15  

After 1 but within 5 years

     32     33     36     37  

After 5 but within 10 years

     55     60     58     62  

After 10 years(1)

     1,172     1,207     1,097     1,143  
                   

Total

   $ 1,271   $ 1,313   $ 1,205   $ 1,257  
                   

Foreign government

                          

Due within 1 year

   $ —   $ —   $ —   $ —  

After 1 but within 5 years

     3,816     3,866     2,987     2,987  

After 5 but within 10 years

     —     —     —     —  

After 10 years(1)

     —     —     —     —  
                   

Total

   $ 3,816   $ 3,866   $ 2,987   $ 2,987  
                   

All other(2)

                          

Due within 1 year

   $ —   $ —   $ —   $ —  

After 1 but within 5 years

     724     828     728     802  

After 5 but within 10 years

     —     —     —     —  

After 10 years(1)

     494     506     501     500  
                   

Total

   $ 1,218   $ 1,334   $ 1,229   $ 1,302  
                   

Total debt securities held-to-maturity

   $ 10,056   $ 10,617   $ 10,130   $ 10,644  
                   
(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.