INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2013

Schedule of Investments disclosures

Schedule of Investments

In millions of dollars	September 30, 2013		December 31, 2012
Securities available-for-sale	$	279,877	$	288,695
Debt securities held-to-maturity(1)		10,808		10,130
Non-marketable equity securities carried at fair value(2)		5,435		5,768
Non-marketable equity securities carried at cost(3)		7,405		7,733
Total investments	$	303,525	$	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.

Interest and dividends on investments

	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2013		2012		2013		2012
Taxable interest	$	1,389	$	1,636	$	4,280	$	4,900
Interest exempt from U.S. federal income tax		197		168		567		508
Dividends		103		78		331		238
Total interest and dividends	$	1,689	$	1,882	$	5,178	$	5,646

Realized gains and losses on investments

	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2013			2012			2013			2012
Gross realized investment gains	$	375		$	660		$	1,489		$	3,155
Gross realized investment losses		(312	)		(45	)		(725	)		(342	)
Net realized gains	$	63		$	615		$	764		$	2,813

Schedule of carrying value and realized gain (loss) on the sale of HTM securities, as well as, securities reclassified to AFS investments:

	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2013			2012			2013			2012
Carrying value of HTM securities sold	$	235		$	302		$	720		$	1,545
Net realized gain (loss) on sale of HTM securities		(39	)		(4	)		(105	)		(173	)
Carrying value of securities reclassified to AFS		—			137			902			244
OTTI losses on securities reclassified to AFS		—			(33	)		(155	)		(59	)

Amortized cost and fair value of AFS securities

	September 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	$	43,673	$	521	$	602	$	43,592	$	46,001	$	1,507	$	163	$	47,345
Prime		27		—		—		27		85		1		—		86
Alt-A		1		—		—		1		1		—		—		1
Non-U.S. residential		10,348		105		5		10,448		7,442		148		—		7,590
Commercial		417		8		7		418		436		16		3		449
Total mortgage-backed securities	$	54,466	$	634	$	614	$	54,486	$	53,965	$	1,672	$	166	$	55,471
U.S. Treasury and federal agency securities
U.S. Treasury	$	61,979	$	561	$	85	$	62,455	$	64,667	$	943	$	16	$	65,594
Agency obligations		20,084		120		54		20,150		26,014		237		4		26,247
Total U.S. Treasury and federal agency securities	$	82,063	$	681	$	139	$	82,605	$	90,681	$	1,180	$	20	$	91,841
State and municipal(3)	$	19,944	$	78	$	2,025	$	17,997	$	20,020	$	132	$	1,820	$	18,332
Foreign government		92,419		454		591		92,282		93,298		903		154		94,047
Corporate		11,380		266		106		11,540		9,302		398		26		9,674
Asset-backed securities(2)		16,314		67		107		16,274		14,188		85		143		14,130
Other debt securities		366		—		—		366		256		2		—		258
Total debt securities AFS	$	276,952	$	2,180	$	3,582	$	275,550	$	281,710	$	4,372	$	2,329	$	283,753
Marketable equity securities AFS	$	4,326	$	125	$	124	$	4,327	$	4,643	$	444	$	145	$	4,942
Total securities AFS	$	281,278	$	2,305	$	3,706	$	279,877	$	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 $61 million and $32 million of unrealized gains as of September 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.

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
September 30, 2013
Debt securities held-to-maturity
Mortgage-backed securities(3)
Prime	$	125	$	22	$	103	$	16	$	4	$	115
Alt-A		1,803		494		1,309		556		280		1,585
Subprime		17		—		17		3		5		15
Non-U.S. residential		1,458		215		1,243		43		33		1,253
Commercial		13		—		13		—		—		13
Total mortgage-backed securities	$	3,416	$	731	$	2,685	$	618	$	322	$	2,981
State and municipal		1,247		64		1,183		64		66		1,181
Foreign government		5,607		—		5,607		81		1		5,687
Corporate		838		85		753		110		—		863
Asset-backed securities(3)		608		28		580		27		10		597
Total debt securities held-to-maturity	$	11,716	$	908	$	10,808	$	900	$	399	$	11,309

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.

Total other-than-temporary impairments recognized

	Three Months Ended September 30,								Nine Months Ended September 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 September 30, 2013	$	2	$	15	$	—	$	17	$	7	$	27	$	—	$	34
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	$	15	$	—	$	17	$	7	$	27	$	—	$	34
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)		22		—		—		22		236		—		192		428
Total impairment losses recognized in earnings	$	24	$	15	$	—	$	39	$	243	$	27	$	192	$	462

(1)

Includes OTTI on non-marketable equity securities.

(2)

The first and second quarter of 2013 included the recognition of $105 and $87 million, respectively, impairment charges related to the carrying value of Citi's then-remaining 35% interest in the MSSB joint venture which was offset by the equity pickup from the joint venture in the respective quarter which was recorded in Other revenue. See "MSSB" above for further discussion.

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

	Cumulative OTTI credit losses recognized in earnings
In millions of dollars	June 30, 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			Sept. 30, 2013 balance
AFS debt securities
Mortgage-backed securities	$	295	$	—	$	—	$	—		$	295
Foreign government securities		169		—		—		—			169
Corporate		115		—		—		—			115
All other debt securities		142		2		—		—			144
Total OTTI credit losses recognized for AFS debt securities	$	721	$	2	$	—	$	—		$	723
HTM debt securities
Mortgage-backed securities(1)	$	724	$	15	$	—	$	(31	)	$	708
Corporate		56		—		—		—			56
All other debt securities		132		—		—		—			132
Total OTTI credit losses recognized for HTM debt securities	$	912	$	15	$	—	$	(31	)	$	896

(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			Sept. 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		7		—		—			144
Total OTTI credit losses recognized for AFS debt securities	$	717	$	7	$	—	$	(1	)	$	723
HTM debt securities
Mortgage-backed securities(1)	$	869	$	25	$	1	$	(187	)	$	708
Corporate		56		—		—		—			56
All other debt securities		135		1		—		(4	)		132
Total OTTI credit losses recognized for HTM debt securities	$	1,060	$	26	$	1	$	(191	)	$	896

(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	September 30, 2013		December 31, 2012		September 30, 2013		December 31, 2012				Redemption notice period
Hedge funds	$	1,177	$	1,316	$	1	$	—		Generally quarterly		10-95 days
Private equity funds(1)(2)(3)		830		837		252		342		—		—
Real estate funds(3)(4)		234		228		36		57		—		—
Total(5)	$	2,241	$	2,381	$	289	$	399		—		—

(1)

Includes investments in private equity funds carried at cost with a carrying value of $6 million at December 31, 2012. No investments in private equity funds were carried at cost at September 30, 2013.

(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 $1.6 billion and $0.4 billion of fund assets that are valued using NAVs provided by third-party asset managers as of September 30, 2013 and December 31, 2012, respectively. The increase in these investments is driven by the sale of certain Citi Capital Advisors Business as discussed in Note 2 to the Consolidated Financial Statements. Amounts presented 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
September 30, 2013
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	22,185	$	522	$	2,291	$	80	$	24,476	$	602
Prime		3		—		3		—		6		—
Non-U.S. residential		2,063		5		6		—		2,069		5
Commercial		142		6		10		1		152		7
Total mortgage-backed securities	$	24,393	$	533	$	2,310	$	81	$	26,703	$	614
U.S. Treasury and federal agency securities
U.S. Treasury	$	18,185	$	72	$	510	$	13	$	18,695	$	85
Agency obligations		7,008		54		—		—		7,008		54
Total U.S. Treasury and federal agency securities	$	25,193	$	126	$	510	$	13	$	25,703	$	139
State and municipal	$	641	$	38	$	11,739	$	1,987	$	12,380	$	2,025
Foreign government		36,206		519		3,900		72		40,106		591
Corporate		4,062		99		270		7		4,332		106
Asset-backed securities		6,513		81		758		26		7,271		107
Marketable equity securities AFS		101		6		833		118		934		124
Total securities AFS	$	97,109	$	1,402	$	20,320	$	2,304	$	117,429	$	3,706

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

	September 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	$	78	$	78	$	10	$	10
After 1 but within 5 years		345		353		365		374
After 5 but within 10 years		2,222		2,264		1,992		2,124
After 10 years(2)		51,821		51,791		51,598		52,963
Total	$	54,466	$	54,486	$	53,965	$	55,471
U.S. Treasury and federal agency securities
Due within 1 year	$	10,852	$	10,883	$	9,387	$	9,499
After 1 but within 5 years		66,261		66,630		76,454		77,267
After 5 but within 10 years		2,036		2,151		2,171		2,408
After 10 years(2)		2,914		2,941		2,669		2,667
Total	$	82,063	$	82,605	$	90,681	$	91,841
State and municipal
Due within 1 year	$	1,164	$	1,165	$	208	$	208
After 1 but within 5 years		2,966		2,966		3,221		3,223
After 5 but within 10 years		375		377		155		165
After 10 years(2)		15,439		13,489		16,436		14,736
Total	$	19,944	$	17,997	$	20,020	$	18,332
Foreign government
Due within 1 year	$	32,405	$	32,360	$	34,873	$	34,869
After 1 but within 5 years		52,754		53,159		49,587		49,933
After 5 but within 10 years		6,288		5,722		7,239		7,380
After 10 years(2)		972		1,041		1,599		1,865
Total	$	92,419	$	92,282	$	93,298	$	94,047
All other(3)
Due within 1 year	$	2,462	$	2,402	$	1,001	$	1,009
After 1 but within 5 years		11,070		11,189		11,285		11,351
After 5 but within 10 years		5,830		5,871		4,330		4,505
After 10 years(2)		8,698		8,718		7,130		7,197
Total	$	28,060	$	28,180	$	23,746	$	24,062
Total debt securities AFS	$	276,952	$	275,550	$	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
September 30, 2013
Debt securities held-to-maturity
Mortgage-backed securities	$	29	$	2	$	376	$	320	$	405	$	322
State and municipal		241		16		299		50		540		66
Foreign government		924		1		—		—		924		1
Corporate		—		—		—		—		—		—
Asset-backed securities		100		6		198		4		298		10
Total debt securities held-to-maturity	$	1,294	$	25	$	873	$	374	$	2,167	$	399
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

	September 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		13		14		54		54
After 10 years(1)		2,672		2,967		4,586		4,977
Total	$	2,685	$	2,981	$	4,709	$	5,098
State and municipal
Due within 1 year	$	8	$	8	$	14	$	15
After 1 but within 5 years		20		20		36		37
After 5 but within 10 years		72		76		58		62
After 10 years(1)		1,083		1,077		1,097		1,143
Total	$	1,183	$	1,181	$	1,205	$	1,257
Foreign government
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years		5,607		5,687		2,987		2,987
After 5 but within 10 years		—		—		—		—
After 10 years(1)		—		—		—		—
Total	$	5,607	$	5,687	$	2,987	$	2,987
All other(2)
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years		752		863		728		802
After 5 but within 10 years		—		—		—		—
After 10 years(1)		581		597		501		500
Total	$	1,333	$	1,460	$	1,229	$	1,302
Total debt securities held-to-maturity	$	10,808	$	11,309	$	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.