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INVESTMENTS (Tables)

3 Months Ended

Mar. 31, 2014

In millions of dollars	March 31, 2014		December 31, 2013
Securities available-for-sale (AFS)	$	290,937	$	286,511
Debt securities held-to-maturity (HTM)(1)	10,600		10,599
Non-marketable equity securities carried at fair value(2)	4,459		4,705
Non-marketable equity securities carried at cost(3)	6,904		7,165
Total investments	$	312,900	$	308,980

(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 March 31,
In millions of dollars	2014		2013
Taxable interest	$	1,467	$	1,510
Interest exempt from U.S. federal income tax	164		172
Dividends	126		120
Total interest and dividends	$	1,757	$	1,802

Realized gains and losses on the sale of investments

	Three Months Ended March 31,
In millions of dollars	2014			2013
Gross realized investment gains	$	292		$	494
Gross realized investment losses	(164		)	(44		)
Net realized gains on sale of investments	$	128		$	450

Schedule of gain (loss) on HTM securities sold, securities reclassified to AFS and OTTI recorded on AFS securities reclassified

	Three Months Ended March 31,
In millions of dollars	2014			2013
Carrying value of HTM securities sold	$	—		$	167
Net realized gain (loss) on sale of HTM securities	—			(10		)
Carrying value of securities reclassified to AFS	52			602
OTTI losses on securities reclassified to AFS	(8		)	(94		)

Amortized cost and fair value of AFS

	March 31, 2014								December 31, 2013
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	$	42,028	$	486	$	712	$	41,802	$	42,494	$	391	$	888	$	41,997
Prime	16		—		—		16		33		2		3		32
Alt-A	43		—		—		43		84		10		—		94
Subprime	12		—		—		12		12		—		—		12
Non-U.S. residential	9,659		96		5		9,750		9,976		95		4		10,067
Commercial	472		6		5		473		455		6		8		453
Total mortgage-backed securities	$	52,230	$	588	$	722	$	52,096	$	53,054	$	504	$	903	$	52,655
U.S. Treasury and federal agency securities
U.S. Treasury	$	82,824	$	368	$	178	$	83,014	$	68,891	$	476	$	147	$	69,220
Agency obligations	14,409		102		31		14,480		18,320		123		67		18,376
Total U.S. Treasury and federal agency securities	$	97,233	$	470	$	209	$	97,494	$	87,211	$	599	$	214	$	87,596
State and municipal(3)	$	20,700	$	224	$	1,809	$	19,115	$	20,761	$	184	$	2,005	$	18,940
Foreign government	90,365		463		391		90,437		96,608		403		540		96,471
Corporate	10,960		218		96		11,082		11,039		210		119		11,130
Asset-backed securities(2)	15,158		53		104		15,107		15,352		42		120		15,274
Other debt securities	710		—		—		710		710		1		—		711
Total debt securities AFS	$	287,356	$	2,016	$	3,331	$	286,041	$	284,735	$	1,943	$	3,901	$	282,777
Marketable equity securities AFS	$	4,942	$	103	$	149	$	4,896	$	3,832	$	85	$	183	$	3,734
Total securities AFS	$	292,298	$	2,119	$	3,480	$	290,937	$	288,567	$	2,028	$	4,084	$	286,511

(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 $6 million and $36 million of unrealized gains as of March 31, 2014 and December 31, 2013, 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 20 to the Consolidated Financial Statements.

(3) The unrealized losses on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting. Specifically, Citi hedges the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged. However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from Accumulated other comprehensive income (AOCI) to earnings, attributable solely to changes in the LIBOR swap rate, resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities.

Carrying value and fair value of debt securities 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
March 31, 2014
Debt securities held-to-maturity
Mortgage-backed securities(3)
Prime	$	70	$	15	$	55	$	6	$	2	$	59
Alt-A	1,298		270		1,028		487		257		1,258
Subprime	2		—		2		1		—		3
Non-U.S. residential	1,329		198		1,131		63		18		1,176
Commercial	10		—		10		1		—		11
Total mortgage-backed securities	$	2,709	$	483	$	2,226	$	558	$	277	$	2,507
State and municipal	$	1,496	$	59	$	1,437	$	67	$	57	$	1,447
Foreign government	5,623		—		5,623		77		—		5,700
Corporate	818		72		746		122		—		868
Asset-backed securities(3)	591		23		568		16		10		574
Total debt securities held-to-maturity	$	11,237	$	637	$	10,600	$	840	$	344	$	11,096
December 31, 2013
Debt securities held-to-maturity
Mortgage-backed securities(3)
Prime	$	72	$	16	$	56	$	5	$	2	$	59
Alt-A	1,379		287		1,092		449		263		1,278
Subprime	2		—		2		1		—		3
Non-U.S. residential	1,372		206		1,166		60		20		1,206
Commercial	10		—		10		1		—		11
Total mortgage-backed securities	$	2,835	$	509	$	2,326	$	516	$	285	$	2,557
State and municipal	$	1,394	$	62	$	1,332	$	50	$	70	$	1,312
Foreign government	5,628		—		5,628		70		10		5,688
Corporate	818		78		740		111		—		851
Asset-backed securities(3)	599		26		573		22		10		585
Total debt securities held-to-maturity	$	11,274	$	675	$	10,599	$	769	$	375	$	10,993

(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, the credit loss component of the impairment is recognized in earnings, while the remainder of the difference between amortized cost and fair value 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 20 to the Consolidated Financial Statements.

Total other-than-temporary impairments recognized

Three Months Ended March 31, 2014

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, 2014

—

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

—

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

201

—

201

Total impairment losses recognized in earnings

201

—

201

(1) Includes OTTI on non-marketable equity securities.

	Three Months Ended March 31, 2013
In millions of dollars	AFS(1)		HTM		Other Assets (2)		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	$	22	$	—	$	24
Less: portion of impairment loss recognized in AOCI (before taxes)	—		11		—		11
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 then-remaining 35% interest in the Morgan Stanley Smith Barney joint venture (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, 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			Mar. 31, 2014 balance
AFS debt securities
Mortgage-backed securities	$	295	$	—	$	—	$	—		$	295
Foreign government securities	171		—		—		—			171
Corporate	113		—		—		—			113
All other debt securities	144		—		—		—			144
Total OTTI credit losses recognized for AFS debt securities	$	723	$	—	$	—	$	—		$	723
HTM debt securities
Mortgage-backed securities(1)	$	678	$	—	$	—	$	(13	)	$	665
Corporate	56		—		—		—			56
All other debt securities	133		—		—		—			133
Total OTTI credit losses recognized for HTM debt securities	$	867	$	—	$	—	$	(13	)	$	854

(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			Mar. 31, 2013 balance
AFS debt securities
Mortgage-backed securities	$	295	$	—	$	—	$	—		$	295
Foreign government securities	169		—		—		—			169
Corporate	116		—		—		—			116
All other debt securities	137		2		—		—			139
Total OTTI credit losses recognized for AFS debt securities	$	717	$	2	$	—	$	—		$	719
HTM debt securities
Mortgage-backed securities(1)	$	869	$	10	$	1	$	(34	)	$	846
Corporate	56		—		—		—			56
All other debt securities	135		—		—		—			135
Total OTTI credit losses recognized for HTM debt securities	$	1,060	$	10	$	1	$	(34	)	$	1,037

(1) Primarily consists of Alt-A securities.

Investments in Alternative Investment Funds

	Fair value				Unfunded commitments				Redemption frequency
In millions of dollars	March 31, 2014		December 31, 2013		March 31, 2014		December 31, 2013		(if currently eligible) monthly, quarterly, annually	Redemption notice period
Hedge funds	$	425	$	751	$	—	$	—	Generally quarterly	10-95 days
Private equity funds(1)(2)	733		794		163		170		—	—
Real estate funds (2)(3)	206		294		24		36		—	—
Total(4)(5)	$	1,364	$	1,839	$	187	$	206	—	—

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

(2) 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.

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

(4) Included in the total fair value of investments above are $1.1 billion and $1.6 billion of fund assets that are valued using NAVs provided by third-party asset managers as of March 31, 2014 and December 31, 2013, respectively.

(5) Excluded from the total fair value of investments above are $64 million of fund assets that are considered probable to be sold at a price other than the NAV. Therefore, the fair values of these investments have been estimated using recent transaction information rather than the NAV per share as of March 31, 2014.

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, 2014
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	15,717	$	379	$	6,433	$	333	$	22,150	$	712
Prime	2		—		3		—		5		—
Alt-A	11		—		—		—		11		—
Non-U.S. residential	1,467		4		13		1		1,480		5
Commercial	161		2		47		3		208		5
Total mortgage-backed securities	$	17,358	$	385	$	6,496	$	337	$	23,854	$	722
U.S. Treasury and federal agency securities
U.S. Treasury	$	34,874	$	175	$	100	$	3	$	34,974	$	178
Agency obligations	5,020		30		17		1		5,037		31
Total U.S. Treasury and federal agency securities	$	39,894	$	205	$	117	$	4	$	40,011	$	209
State and municipal	$	602	$	29	$	11,703	$	1,780	$	12,305	$	1,809
Foreign government	32,249		343		4,032		48		36,281		391
Corporate	3,504		83		579		13		4,083		96
Asset-backed securities	5,915		42		1,974		62		7,889		104
Other debt securities	49		—		—		—		49		—
Marketable equity securities AFS	1,342		77		806		72		2,148		149
Total securities AFS	$	100,913	$	1,164	$	25,707	$	2,316	$	126,620	$	3,480
December 31, 2013
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	19,377	$	533	$	5,643	$	355	$	25,020	$	888
Prime	85		3		3		—		88		3
Non-U.S. residential	2,103		4		5		—		2,108		4
Commercial	206		6		28		2		234		8
Total mortgage-backed securities	$	21,771	$	546	$	5,679	$	357	$	27,450	$	903
U.S. Treasury and federal agency securities
U.S. Treasury	$	34,780	$	133	$	268	$	14	$	35,048	$	147
Agency obligations	6,692		66		101		1		6,793		67
Total U.S. Treasury and federal agency securities	$	41,472	$	199	$	369	$	15	$	41,841	$	214
State and municipal	$	595	$	29	$	11,447	$	1,976	$	12,042	$	2,005
Foreign government	35,783		477		5,778		63		41,561		540
Corporate	4,565		108		387		11		4,952		119
Asset-backed securities	11,207		57		1,931		63		13,138		120
Marketable equity securities AFS	1,271		92		806		91		2,077		183
Total securities AFS	$	116,664	$	1,508	$	26,397	$	2,576	$	143,061	$	4,084

Amortized cost and fair value of debt securities by contractual maturity dates

	March 31, 2014				December 31, 2013
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities(1)
Due within 1 year	$	84	$	84	$	87	$	87
After 1 but within 5 years	302		308		346		354
After 5 but within 10 years	2,875		2,927		2,898		2,932
After 10 years(2)	48,969		48,777		49,723		49,282
Total	$	52,230	$	52,096	$	53,054	$	52,655
U.S. Treasury and federal agency securities
Due within 1 year	$	17,703	$	17,773	$	15,789	$	15,853
After 1 but within 5 years	75,394		75,521		66,232		66,457
After 5 but within 10 years	855		855		2,129		2,185
After 10 years(2)	3,281		3,345		3,061		3,101
Total	$	97,233	$	97,494	$	87,211	$	87,596
State and municipal
Due within 1 year	$	137	$	139	$	576	$	581
After 1 but within 5 years	3,912		3,924		3,731		3,735
After 5 but within 10 years	441		484		439		482
After 10 years(2)	16,210		14,568		16,015		14,142
Total	$	20,700	$	19,115	$	20,761	$	18,940
Foreign government
Due within 1 year	$	34,276	$	34,299	$	37,005	$	36,959
After 1 but within 5 years	46,176		46,141		51,344		51,304
After 5 but within 10 years	8,585		8,596		7,314		7,216
After 10 years(2)	1,328		1,401		945		992
Total	$	90,365	$	90,437	$	96,608	$	96,471
All other(3)
Due within 1 year	$	2,849	$	2,807	$	2,786	$	2,733
After 1 but within 5 years	11,083		11,176		10,934		11,020
After 5 but within 10 years	5,534		5,582		5,632		5,641
After 10 years(2)	7,362		7,334		7,749		7,721
Total	$	26,828	$	26,899	$	27,101	$	27,115
Total debt securities AFS	$	287,356	$	286,041	$	284,735	$	282,777

(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
March 31, 2014
Debt securities held-to-maturity
Mortgage-backed securities	$	—	$	—	$	295	$	277	$	295	$	277
State and municipal	38		3		453		54		491		57
Foreign government	—		—		—		—		—		—
Asset-backed securities	—		—		294		10		294		10
Total debt securities held-to-maturity	$	38	$	3	$	1,042	$	341	$	1,080	$	344
December 31, 2013
Debt securities held-to-maturity
Mortgage-backed securities	$	—	$	—	$	358	$	285	$	358	$	285
State and municipal	235		20		302		50		537		70
Foreign government	920		10		—		—		920		10
Asset-backed securities	98		6		198		4		296		10
Total debt securities held-to-maturity	$	1,253	$	36	$	858	$	339	$	2,111	$	375

Amortized cost and fair value of debt securities by contractual maturity dates

	March 31, 2014				December 31, 2013
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	—		—		—		—
After 5 but within 10 years	10		11		10		11
After 10 years(1)	2,216		2,496		2,316		2,546
Total	$	2,226	$	2,507	$	2,326	$	2,557
State and municipal
Due within 1 year	$	3	$	3	$	8	$	9
After 1 but within 5 years	14		15		17		17
After 5 but within 10 years	83		88		69		72
After 10 years(1)	1,337		1,341		1,238		1,214
Total	$	1,437	$	1,447	$	1,332	$	1,312
Foreign government
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	5,623		5,700		5,628		5,688
After 5 but within 10 years	—		—		—		—
After 10 years(1)	—		—		—		—
Total	$	5,623	$	5,700	$	5,628	$	5,688
All other(2)
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	747		868		740		851
After 5 but within 10 years	—		—		—		—
After 10 years(1)	567		574		573		585
Total	$	1,314	$	1,442	$	1,313	$	1,436
Total debt securities held-to-maturity	$	10,600	$	11,096	$	10,599	$	10,993

(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.