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INVESTMENTS (Tables)
 6 Months Ended
Jun. 30, 2013
Schedule of Investments disclosures  
Schedule of Investments

 

In millions of dollars   June 30,
2013		   December 31,
2012		  

Securities available-for-sale

   $ 277,378   $ 288,695  

Debt securities held-to-maturity(1)

     9,602     10,130  

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

     5,720     5,768  

Non-marketable equity securities carried at cost(3)

     7,640     7,733  
           

Total investments

   $ 300,340   $ 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 AFS securities
 
   June 30, 2013   December 31, 2012  
In millions of dollars   Amortized
cost		   Gross
unrealized
gains(1)		   Gross
unrealized
losses(1)		   Fair
value		   Amortized
cost		   Gross
unrealized
gains(1)		   Gross
unrealized
losses(1)		   Fair
value		  

Debt securities AFS

                                                  

Mortgage-backed securities(2)

                                                  

U.S. government-sponsored agency guaranteed

   $ 49,450   $ 663   $ 705   $ 49,408   $ 46,001   $ 1,507   $ 163   $ 47,345  

Prime

     30     —     —     30     85     1     —     86  

Alt-A

     1     —     —     1     1     —     —     1  

Non-U.S. residential

     8,791     121     5     8,907     7,442     148     —     7,590  

Commercial

     451     10     9     452     436     16     3     449  
                                   

Total mortgage-backed securities

   $ 58,723   $ 794   $ 719   $ 58,798   $ 53,965   $ 1,672   $ 166   $ 55,471  
                                   

U.S. Treasury and federal agency securities

                                                  

U.S. Treasury

   $ 62,813   $ 577   $ 138   $ 63,252   $ 64,667   $ 943   $ 16   $ 65,594  

Agency obligations

     21,264     137     91     21,310     26,014     237     4     26,247  
                                   

Total U.S. Treasury and federal agency securities

   $ 84,077   $ 714   $ 229   $ 84,562   $ 90,681   $ 1,180   $ 20   $ 91,841  
                                   

State and municipal(3)

   $ 19,185   $ 83   $ 1,939   $ 17,329   $ 20,020   $ 132   $ 1,820   $ 18,332  

Foreign government

     86,351     464     508     86,307     93,298     903     154     94,047  

Corporate

     10,194     262     106     10,350     9,302     398     26     9,674  

Asset-backed securities(2)

     15,951     54     121     15,884     14,188     85     143     14,130  

Other debt securities

     256     —     —     256     256     2     —     258  
                                   

Total debt securities AFS

   $ 274,737   $ 2,371   $ 3,622   $ 273,486   $ 281,710   $ 4,372   $ 2,329   $ 283,753  
                                   

Marketable equity securities AFS

   $ 3,816   $ 224   $ 148   $ 3,892   $ 4,643   $ 444   $ 145   $ 4,942  
                                   

Total securities AFS

   $ 278,553   $ 2,595   $ 3,770   $ 277,378   $ 286,353   $ 4,816   $ 2,474   $ 288,695  
                                   
(1)
Gross unrealized gains and losses, as presented, do not include the impact of minority investments and the related allocations and pick up of unrealized gains and losses of AFS securities. These amounts totaled $76 million and $32 million of unrealized gains as of June 30, 2013 and December 31, 2012 respectively.

(2)
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 19 to the Consolidated Financial Statements.

(3)
The unrealized losses on state and municipal debt securities are primarily attributable to the result of interest rates on taxable fixed income instruments decreasing relatively faster than the general tax-exempt municipal interest rates and the effects of fair value hedge accounting. Citi hedges certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, tax-exempt municipal interest rate yields have slightly decreased while LIBOR yields have significantly decreased. The losses on the LIBOR swaps were recorded in earnings and substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR Swap Rate being hedged. Reclassification of the fair value gains on the state and municipal debt securities attributable to changes in the LIBOR Swap Rate from Accumulated other comprehensive income (AOCI) to earnings pursuant to fair value hedge accounting has resulted in unrealized losses on state and municipal debt securities in AOCI.
Interest and dividends on investments

  Three Months Ended June 30,   Six Months Ended June 30,  
In millions of dollars   2013   2012   2013   2012  

Taxable interest

   $ 1,381   $ 1,604   $ 2,891   $ 3,264  

Interest exempt from U.S. federal income tax

     198     166     370     340  

Dividends

     108     84     228     160  
                   

Total interest and dividends

   $ 1,687   $ 1,854   $ 3,489   $ 3,764  
                   
Realized gains and losses on investments

  Three Months Ended
June 30,		   Six Months Ended
June 30,		  
In millions of dollars   2013   2012   2013   2012  

Gross realized investment gains

   $ 620   $ 329   $ 1,114   $ 2,495  

Gross realized investment losses(1)

     (369 )   (56 )   (413 )   (297 )
                   

Net realized gains

   $ 251   $ 273   $ 701   $ 2,198  
                   
(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 OTTI reflected in the table under "Recognition and Measurement of OTTI" below. For the three months ended June 30, 2013, the securities sold had a carrying value of $318 million and the Company recorded a realized loss of $56 million; the securities reclassified to AFS investments had a carrying value of $300 million and the Company recorded OTTI of $61 million. For the six months ended June 30, 2013 and 2012, the securities sold had a carrying value of $485 million and $1,243 million, respectively, and the Company recorded a realized loss of $66 million and $169 million, respectively. For the six months ended June 30, 2013 and 2012, securities reclassified to AFS totaled $902 million and $107 million and the Company recorded OTTI of $155 million and $26 million, respectively.
Carrying value and fair value of debt securities held-to-maturity (HTM)
In millions of dollars   Amortized
cost(1)		   Net unrealized
losses
recognized in
AOCI		   Carrying
value(2)		   Gross
unrealized
gains		   Gross
unrealized
losses		   Fair
value		  

June 30, 2013

                                      

Debt securities held-to-maturity

                                      

Mortgage-backed securities(3)

                                      

Prime

   $ 130   $ 24   $ 106   $ 17   $ 4   $ 119  

Alt-A

     1,876     547     1,329     558     250     1,637  

Subprime

     17     —     17     2     5     14  

Non-U.S. residential

     1,661     265     1,396     47     39     1,404  

Commercial

     27     —     27     —     —     27  
                           

Total mortgage-backed securities

   $ 3,711   $ 836   $ 2,875   $ 624   $ 298   $ 3,201  
                           

State and municipal

     1,308     70     1,238     63     62     1,239  

Foreign government

     4,123     —     4,123     38     17     4,144  

Corporate

     825     91     734     94     —     828  

Asset-backed securities(3)

     670     38     632     43     10     665  
                           

Total debt securities held-to-maturity

   $ 10,637   $ 1,035   $ 9,602   $ 862   $ 387   $ 10,077  
                           

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 19 to the Consolidated Financial Statements.
Key assumptions for mortgage-backed securities

  June 30, 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 June 30,   Six Months Ended June 30,  
OTTI on Investments and Other Assets
In millions of dollars		   AFS(1)   HTM   Other Assets   Total   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 June 30, 2013

   $ 3   $ 1   $ —   $ 4   $ 5   $ 12   $ —   $ 17  

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

   $ 3   $ 1   $ —   $ 4   $ 5   $ 12   $ —   $ 17  

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)

     71     —     87     158     214     —     192     406  
                                   

Total impairment losses recognized in earnings

   $ 74   $ 1   $ 87   $ 162   $ 219   $ 12   $ 192   $ 423  
                                   
(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 the MSSB joint venture which was offset by the equity pickup from the joint venture in the quarter which was recorded in Other revenue. See "MSSB" above.
Cumulative Other-Than-Temporary Impairment Credit Losses Recognized in Earnings
 
   Cumulative OTTI credit losses recognized in earnings  
In millions of dollars   Mar. 31, 2013
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		   Jun. 30, 2013
balance		  

AFS debt securities

                                

Mortgage-backed securities

   $ 295   $ —   $ —   $ —   $ 295  

Foreign government securities

     169     —     —     —     169  

Corporate

     116     —     —     (1 )   115  

All other debt securities

     139     3     —     —     142  
                       

Total OTTI credit losses recognized for AFS debt securities

   $ 719   $ 3   $ —   $ (1 ) $ 721  
                       

HTM debt securities

                                

Mortgage-backed securities(1)

   $ 846   $ —   $ —   $ (122 ) $ 724  

Corporate

     56     —     —     —     56  

All other debt securities

     135     1     —     (4 )   132  
                       

Total OTTI credit losses recognized for HTM debt securities

   $ 1,037   $ 1   $ —   $ (126 ) $ 912  
                       
(1)
Primarily consists of Alt-A securities.

 
   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		   Jun. 30, 2013
balance		  

AFS debt securities

                                

Mortgage-backed securities

   $ 295   $ —   $ —   $ —   $ 295  

Foreign government securities

     169     —     —     —     169  

Corporate

     116     —     —     (1 )   115  

All other debt securities

     137     5     —     —     142  
                       

Total OTTI credit losses recognized for AFS debt securities

   $ 717   $ 5   $ —   $ (1 ) $ 721  
                       

HTM debt securities

                                

Mortgage-backed securities(1)

   $ 869   $ 10   $ 1   $ (156 ) $ 724  

Corporate

     56     —     —     —     56  

All other debt securities

     135     1     —     (4 )   132  
                       

Total OTTI credit losses recognized for HTM debt securities

   $ 1,060   $ 11   $ 1   $ (160 ) $ 912  
                       
(1)
Primarily consists of Alt-A securities.
Investments in Alternative Investment Funds
  Fair value   Unfunded commitments    
    
  
 
   Redemption frequency
(if currently eligible)
monthly, quarterly,
annually		    
  
In millions of dollars   June 30,
2013		   December 31,
2012		   June 30,
2013		   December 31,
2012		   Redemption
notice period		  

Hedge funds

   $ 1,317   $ 1,316   $ —   $ —     Generally quarterly     10-95 days  

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

     855     837     252     342     —     —  

Real estate funds(3)(4)

     231     228     36     57     —     —  
                           

Total(5)

   $ 2,403   $ 2,381   $ 288   $ 399     —     —  
                           
(1)
Includes investments in private equity funds carried at cost with a carrying value of $1 million and $6 million at June 30, 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 $1.5 billion and $0.4 billion of fund assets that are valued using NAVs provided by third-party asset managers as of June 30, 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		  

June 30, 2013

                                      

Securities AFS

                                      

Mortgage-backed securities

                                      

U.S. government-sponsored agency guaranteed

   $ 24,792   $ 683   $ 539   $ 22   $ 25,331   $ 705  

Prime

     6     —     4     —     10     —  

Alt-A

     —     —     —     —     —     —  

Non-U.S. residential

     1,248     5     11     —     1,259     5  

Commercial

     149   $ 8   $ 9   $ 1   $ 158   $ 9  
                           

Total mortgage-backed securities

   $ 26,195   $ 696   $ 563   $ 23   $ 26,758   $ 719  
                           

U.S. Treasury and federal agency securities

                                      

U.S. Treasury

   $ 26,193   $ 133   $ 105   $ 5   $ 26,298   $ 138  

Agency obligations

     8,575     91     —     —     8,575     91  
                           

Total U.S. Treasury and federal agency securities

   $ 34,768   $ 224   $ 105   $ 5   $ 34,873   $ 229  
                           

State and municipal

   $ 1,005     104   $ 10,832   $ 1,835   $ 11,837   $ 1,939  

Foreign government

     38,893     433     3,534     75     42,427     508  

Corporate

     4,257     101     124     5     4,381     106  

Asset-backed securities

     6,720     75     747     46     7,467     121  

Marketable equity securities AFS

     20     1     753     147     773     148  
                           

Total securities AFS

   $ 111,858   $ 1,634   $ 16,658   $ 2,136   $ 128,516   $ 3,770  
                           

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

   $ 9,374   $ 11   $ 105   $ 5   $ 9,479   $ 16  

Agency obligations

     1,001     4     —     —     1,001     4  
                           

Total U.S. Treasury and federal agency securities

   $ 10,375   $ 15   $ 105   $ 5   $ 10,480   $ 20  
                           

State and municipal

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

Foreign government

     24,235     78     3,910     76     28,145     154  

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

   $ 46,805   $ 244   $ 19,487   $ 2,230   $ 66,292   $ 2,474  
                           
Amortized cost and fair value of debt securities by contractual maturity dates

  June 30, 2013   December 31, 2012  
In millions of dollars   Amortized
cost		   Fair value   Amortized
cost		   Fair value  

Mortgage-backed securities(1)

                          

Due within 1 year

   $ 26   $ 26   $ 10   $ 10  

After 1 but within 5 years

     363     372     365     374  

After 5 but within 10 years

     2,233     2,283     1,992     2,124  

After 10 years(2)

     56,101     56,117     51,598     52,963  
                   

Total

   $ 58,723   $ 58,798   $ 53,965   $ 55,471  
                   

U.S. Treasury and federal agency securities

                          

Due within 1 year

   $ 13,092   $ 13,114   $ 9,387   $ 9,499  

After 1 but within 5 years

     66,233     66,499     76,454     77,267  

After 5 but within 10 years

     1,901     2,019     2,171     2,408  

After 10 years(2)

     2,851     2,930     2,669     2,667  
                   

Total

   $ 84,077   $ 84,562   $ 90,681   $ 91,841  
                   

State and municipal

                          

Due within 1 year

   $ 187   $ 187   $ 208   $ 208  

After 1 but within 5 years

     3,220     3,216     3,221     3,223  

After 5 but within 10 years

     201     207     155     165  

After 10 years(2)

     15,577     13,719     16,436     14,736  
                   

Total

   $ 19,185   $ 17,329   $ 20,020   $ 18,332  
                   

Foreign government

                          

Due within 1 year

   $ 33,166   $ 33,154   $ 34,873   $ 34,869  

After 1 but within 5 years

     46,835     46,778     49,587     49,933  

After 5 but within 10 years

     5,417     5,373     7,239     7,380  

After 10 years(2)

     933     1,002     1,599     1,865  
                   

Total

   $ 86,351   $ 86,307   $ 93,298   $ 94,047  
                   

All other(3)

                          

Due within 1 year

   $ 2,379   $ 2,335   $ 1,001   $ 1,009  

After 1 but within 5 years

     10,302     10,392     11,285     11,351  

After 5 but within 10 years

     5,533     5,582     4,330     4,505  

After 10 years(2)

     8,187     8,181     7,130     7,197  
                   

Total

   $ 26,401   $ 26,490   $ 23,746   $ 24,062  
                   

Total debt securities AFS

   $ 274,737   $ 273,486   $ 281,710   $ 283,753  
                   
(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.
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		  

June 30, 2013

                                      

Debt securities held-to-maturity

                                      

Mortgage-backed securities

   $ 40   $ 2   $ 586   $ 296   $ 626   $ 298  

State and municipal

     305     23     256     39     561     62  

Foreign government

     919     17     —     —     919     17  

Corporate

     —     —     —     —     —     —  

Asset-backed securities

     125     4     207     6     332     10  
                           

Total debt securities held-to-maturity

   $ 1,389   $ 46   $ 1,049   $ 341   $ 2,438   $ 387  
                           

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
  June 30, 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

     —     —     69     67  

After 5 but within 10 years

     27     27     54     54  

After 10 years(1)

     2,848     3,174     4,586     4,977  
                   

Total

   $ 2,875   $ 3,201   $ 4,709   $ 5,098  
                   

State and municipal

                          

Due within 1 year

   $ 7   $ 7   $ 14   $ 15  

After 1 but within 5 years

     24     25     36     37  

After 5 but within 10 years

     54     59     58     62  

After 10 years(1)

     1,153     1,148     1,097     1,143  
                   

Total

   $ 1,238   $ 1,239   $ 1,205   $ 1,257  
                   

Foreign government

                          

Due within 1 year

   $ —   $ —   $ —   $ —  

After 1 but within 5 years

     4,123     4,144     2,987     2,987  

After 5 but within 10 years

     —     —     —     —  

After 10 years(1)

     —     —     —     —  
                   

Total

   $ 4,123   $ 4,144   $ 2,987   $ 2,987  
                   

All other(2)

                          

Due within 1 year

   $ —   $ —   $ —   $ —  

After 1 but within 5 years

     735     828     728     802  

After 5 but within 10 years

     —     —     —     —  

After 10 years(1)

     631     665     501     500  
                   

Total

   $ 1,366   $ 1,493   $ 1,229   $ 1,302  
                   

Total debt securities held-to-maturity

   $ 9,602   $ 10,077   $ 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.