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INVESTMENTS (Tables)

12 Months Ended

Dec. 31, 2012

In millions of dollars	2012		2011
Securities available-for-sale	$	288,695	$	265,204
Debt securities held-to-maturity ⁽¹⁾		10,130		11,483
Non-marketable equity securities carried at fair value ⁽²⁾		5,768		8,836
Non-marketable equity securities carried at cost ⁽³⁾		7,733		7,890
Total investments	$	312,326	$	293,413

(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. During the third quarter of 2012, the Company sold EMI Music resulting in a total $1.5 billion decrease in non-marketable equity securities carried at fair value. During the second quarter of 2012, the Company sold EMI Music Publishing resulting in a total of $1.3 billion decrease in non-marketable equity securities carried at fair value.
(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

	2012								2011
			Gross		Gross						Gross		Gross
	Amortized		unrealized		unrealized		Fair		Amortized		unrealized		unrealized		Fair
In millions of dollars	cost		gains		losses		value		cost		gains		losses		value
Debt securities AFS
Mortgage-backed securities ⁽¹⁾
U.S. government-sponsored agency guaranteed	$	46,001	$	1,507	$	163	$	47,345	$	44,394	$	1,438	$	51	$	45,781
Prime		85		1		—		86		118		1		6		113
Alt-A		1		—		—		1		1		—		—		1
Non-U.S. residential		7,442		148		—		7,590		4,671		9		22		4,658
Commercial		436		16		3		449		465		16		9		472
Total mortgage-backed securities	$	53,965	$	1,672	$	166	$	55,471	$	49,649	$	1,464	$	88	$	51,025
U.S. Treasury and federal agency securities
U.S. Treasury	$	64,456	$	1,172	$	34	$	65,594	$	48,790	$	1,439	$	—	$	50,229
Agency obligations		25,844		404		1		26,247		34,310		601		2		34,909
Total U.S. Treasury and federal agency securities	$	90,300	$	1,576	$	35	$	91,841	$	83,100	$	2,040	$	2	$	85,138
State and municipal ⁽²⁾	$	20,020	$	132	$	1,820	$	18,332	$	16,819	$	134	$	2,554	$	14,399
Foreign government		93,259		918		130		94,047		84,360		558		404		84,514
Corporate		9,302		398		26		9,674		10,005		305		53		10,257
Asset-backed securities ⁽¹⁾		14,188		85		143		14,130		11,053		31		81		11,003
Other debt securities		256		2		—		258		670		13		—		683
Total debt securities AFS	$	281,290	$	4,783	$	2,320	$	283,753	$	255,656	$	4,545	$	3,182	$	257,019
Marketable equity securities AFS	$	4,643	$	444	$	145	$	4,942	$	6,722	$	1,658	$	195	$	8,185
Total securities AFS	$	285,933	$	5,227	$	2,465	$	288,695	$	262,378	$	6,203	$	3,377	$	265,204

(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 22 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

In millions of dollars	2012		2011		2010
Taxable interest	$	6,509	$	7,257	$	9,922
Interest exempt from U.S. federal income tax		683		746		760
Dividends		333		317		322
Total interest and dividends	$	7,525	$	8,320	$	11,004

Realized gains and losses on investments

In millions of dollars	2012			2011			2010
Gross realized investment gains	$	3,663		$	2,498		$	2,873
Gross realized investment losses		(412	)		(501	)		(462	)
Net realized gains	$	3,251		$	1,997		$	2,411

Carrying value and fair value of debt securities held-to-maturity (HTM)

				Net unrealized
				loss					Gross		Gross
	Amortized			recognized in		Carrying			unrealized		unrealized		Fair
In millions of dollars	cost		⁽¹⁾	AOCI		value		⁽²⁾	gains		losses		value
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 ⁽⁴⁾		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
December 31, 2011
Debt securities held-to-maturity
Mortgage-backed securities ⁽³⁾
Prime	$	360		$	73	$	287		$	21	$	20	$	288
Alt-A		4,732			1,404		3,328			20		319		3,029
Subprime		383			47		336			1		71		266
Non-U.S. residential		3,487			520		2,967			59		290		2,736
Commercial		513			1		512			4		52		464
Total mortgage-backed securities	$	9,475		$	2,045	$	7,430		$	105	$	752	$	6,783
State and municipal	$	1,422		$	95	$	1,327		$	68	$	72	$	1,323
Foreign government		—			—		—			—		—		—
Corporate		1,862			113		1,749			—		254		1,495
Asset-backed securities ⁽³⁾		1,000			23		977			9		87		899
Total debt securities held-to-maturity	$	13,759		$	2,276	$	11,483		$	182	$	1,165	$	10,500

(1)	For securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer plus any accretion income and less any impairments recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, plus or minus any accretion or amortization of a purchase discount or premium, less any impairment recognized in earnings.
(2)	HTM securities are carried on the Consolidated Balance Sheet at amortized cost, 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 22 to the Consolidated Financial Statements.
(4)	In 2012, the Company (via its Banamex entity) purchased Mexican government bonds with a par value of $2.6 billion and classified them as held-to-maturity.

Key assumptions for mortgage-backed securities

	December 31, 2012
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

OTTI on Investments and Other Assets	Year Ended December 31, 2012
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 year ended December 31, 2012	$	17		$	365	$	—	$	382
Less: portion of impairment loss recognized in AOCI (before taxes)		1			65		—		66
Net impairment losses recognized in earnings for securities that the Company does not intend
to sell nor will likely be required to sell	$	16		$	300	$	—	$	316
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⁾		139			—		4,516		4,655
Total impairment losses recognized in earnings	$	155		$	300	$	4,516	$	4,971

(1)		Includes OTTI on non-marketable equity securities.
(2)		As described under “MSSB” above, the third quarter of 2012 includes the recognition of a $3,340 million impairment charge related to the carrying value of Citi’s remaining 35% interest in MSSB. Additionally, as described under “Akbank” above, in the first quarter of 2012, the Company recorded an impairment charge relating to its total investment in Akbank amounting to $1.2 billion pretax ($763 million after-tax).

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

	Cumulative OTTI credit losses recognized in earnings
					Credit impairments
			Credit impairments		recognized in		Reductions due to
			recognized in		earnings on		credit-impaired
			earnings on		securities that have		securities sold,
	Dec. 31, 2011		securities not		been previously		transferred or			Dec. 31, 2012
In millions of dollars	balance		previously impaired		impaired		matured			balance
AFS debt securities
Mortgage-backed securities
Prime	$	292	$	—	$	—	$	(1	)	$	291
Alt-A		2		—		—		—			2
Commercial real estate		2		—		—		—			2
Total mortgage-backed securities	$	296	$	—	$	—	$	(1	)	$	295
State and municipal securities		3		4		—		—			7
U.S. Treasury securities		67		—		—		—			67
Foreign government securities		168		6		—		(5	)		169
Corporate		151		1		4		(40	)		116
Asset-backed securities		10		—		—		—			10
Other debt securities		52		1		—		—			53
Total OTTI credit losses recognized for
AFS debt securities	$	747	$	12	$	4	$	(46	)	$	717
HTM debt securities
Mortgage-backed securities
Prime	$	84	$	6	$	15	$	(1	)	$	104
Alt-A		2,218		45		216		(66	)		2,413
Subprime		252		—		2		(2	)		252
Non-U.S. residential		96		—		—		(16	)		80
Commercial real estate		10		—		—		—			10
Total mortgage-backed securities	$	2,660	$	51	$	233	$	(85	)	$	2,859
State and municipal securities		9		1		1		—			11
Foreign Government		—		—		—		—			—
Corporate		391		3		9		(6	)		397
Asset-backed securities		113		—		—		—			113
Other debt securities		9		2		—		—			11
Total OTTI credit losses recognized for
HTM debt securities	$	3,182	$	57	$	243	$	(91	)	$	3,391

Investments in Alternative Investment Funds

						Redemption frequency
	Fair					(if currently eligible)
In millions of dollars at December 31, 2012	value			Unfunded commitments		monthly, quarterly, annually	Redemption notice period
Hedge funds	$	1,316		$	—	Generally quarterly	10–95 days
Private equity funds ^(1)(2)(3)		837			342	—	—
Real estate funds ⁽³⁾⁽⁴⁾		228			57	—	—
Total	$	2,381	⁽⁵⁾	$	399	—	—

(1)		Includes investments in private equity funds carried at cost with a carrying value of $6 million.
(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 is $0.4 billion of fund assets that are valued using NAVs provided by third-party asset managers. Amounts exclude investments in funds that are consolidated by Citi.

AFS debt securities

Schedule of Investments disclosures

Fair value of securities in unrealized loss position

	Less than 12 months				12 months or longer				Total
			Gross				Gross				Gross
	Fair		unrealized		Fair		unrealized		Fair		unrealized
In millions of dollars	value		losses		value		losses		value		losses
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
December 31, 2011

Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	5,398	$	32	$	51	$	19	$	5,449	$	51
Prime		27		1		40		5		67		6
Non-U.S. residential		3,418		22		57		—		3,475		22
Commercial		35		1		31		8		66		9
Total mortgage-backed securities	$	8,878	$	56	$	179	$	32	$	9,057	$	88
U.S. Treasury and federal agency securities
U.S. Treasury	$	553	$	—	$	—	$	—	$	553	$	—
Agency obligations		2,970		2		—		—		2,970		2
Total U.S. Treasury and federal agency securities	$	3,523	$	2	$	—	$	—	$	3,523	$	2
State and municipal	$	59	$	2	$	11,591	$	2,552	$	11,650	$	2,554
Foreign government		33,109		211		11,205		193		44,314		404
Corporate		2,104		24		203		29		2,307		53
Asset-backed securities		4,625		68		466		13		5,091		81
Other debt securities		164		—		—		—		164		—
Marketable equity securities AFS		47		5		1,457		190		1,504		195
Total securities AFS	$	52,509	$	368	$	25,101	$	3,009	$	77,610	$	3,377

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

	2012				2011
	Amortized				Amortized
In millions of dollars	cost		Fair value		cost		Fair value
Mortgage-backed securities ⁽¹⁾
Due within 1 year	$	10	$	10	$	—	$	—
After 1 but within 5 years		365		374		422		423
After 5 but within 10 years		1,992		2,124		2,757		2,834
After 10 years ⁽²⁾		51,598		52,963		46,470		47,768
Total	$	53,965	$	55,471	$	49,649	$	51,025
U.S. Treasury and federal agency securities
Due within 1 year	$	9,492	$	9,499	$	14,615	$	14,637
After 1 but within 5 years		75,967		77,267		62,241		63,823
After 5 but within 10 years		2,171		2,408		5,862		6,239
After 10 years ⁽²⁾		2,670		2,667		382		439
Total	$	90,300	$	91,841	$	83,100	$	85,138
State and municipal
Due within 1 year	$	208	$	208	$	142	$	142
After 1 but within 5 years		3,221		3,223		455		457
After 5 but within 10 years		155		165		182		188
After 10 years ⁽²⁾		16,436		14,736		16,040		13,612
Total	$	20,020	$	18,332	$	16,819	$	14,399
Foreign government
Due within 1 year	$	34,873	$	34,869	$	34,924	$	34,864
After 1 but within 5 years		49,548		49,933		41,612		41,675
After 5 but within 10 years		7,239		7,380		6,993		6,998
After 10 years ⁽²⁾		1,599		1,865		831		977
Total	$	93,259	$	94,047	$	84,360	$	84,514
All other ⁽³⁾
Due within 1 year	$	1,001	$	1,009	$	4,055	$	4,072
After 1 but within 5 years		11,285		11,351		9,843		9,928
After 5 but within 10 years		4,330		4,505		3,009		3,160
After 10 years ⁽²⁾		7,130		7,197		4,821		4,783
Total	$	23,746	$	24,062	$	21,728	$	21,943
Total debt securities AFS	$	281,290	$	283,753	$	255,656	$	257,019

(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
			Gross				Gross				Gross
	Fair		unrecognized		Fair		unrecognized		Fair		unrecognized
In millions of dollars	value		losses		value		losses		value		losses
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
December 31, 2011
Debt securities held-to-maturity
Mortgage-backed securities	$	735	$	63	$	4,827	$	689	$	5,562	$	752
State and municipal		—		—		682		72		682		72
Foreign government		—		—		—		—		—		—
Corporate		—		—		1,427		254		1,427		254
Asset-backed securities		480		71		306		16		786		87
Total debt securities held-to-maturity	$	1,215	$	134	$	7,242	$	1,031	$	8,457	$	1,165

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

	December 31, 2012				December 31, 2011
In millions of dollars	Carrying value		Fair value		Carrying value		Fair value
Mortgage-backed securities
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years		69		67		275		239
After 5 but within 10 years		54		54		238		224
After 10 years ⁽¹⁾		4,586		4,977		6,917		6,320
Total	$	4,709	$	5,098	$	7,430	$	6,783
State and municipal
Due within 1 year	$	14	$	15	$	4	$	4
After 1 but within 5 years		36		37		43		46
After 5 but within 10 years		58		62		31		30
After 10 years ⁽¹⁾		1,097		1,143		1,249		1,243
Total	$	1,205	$	1,257	$	1,327	$	1,323
Foreign government
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years		2,987		2,987		—		—
After 5 but within 10 years		—		—		—		—
After 10 years ⁽¹⁾		—		—		—		—
Total	$	2,987	$	2,987	$	—	$	—
All other ⁽²⁾
Due within 1 year	$	—	$	—	$	21	$	21
After 1 but within 5 years		728		802		470		438
After 5 but within 10 years		—		—		1,404		1,182
After 10 years ⁽¹⁾		501		500		831		753
Total	$	1,229	$	1,302	$	2,726	$	2,394
Total debt securities held-to-maturity	$	10,130	$	10,644	$	11,483	$	10,500

(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.