INVESTMENTS (Tables)

12 Months Ended

Dec. 31, 2014



	December 31,
In millions of dollars	2014		2013
Securities available-for-sale (AFS)	$	300,143	$	286,511
Debt securities held-to-maturity (HTM)⁽¹⁾	23,921		10,599
Non-marketable equity securities carried at fair value⁽²⁾	2,758		4,705
Non-marketable equity securities carried at cost⁽³⁾	6,621		7,165
Total investments	$	333,443	$	308,980


(1)	Carried at amortized cost basis, including any 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)	Primarily consists 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

The following table presents interest and dividends on investments for the years ended December 31, 2014, 2013 and 2012:



In millions of dollars	2014		2013		2012
Taxable interest	$	6,311	$	5,750	$	6,509
Interest exempt from U.S. federal income tax	439		732		683
Dividends	445		437		333
Total interest and dividends	$	7,195	$	6,919	$	7,525

Realized gains and losses on investments

The following table presents realized gains and losses on the sale of investments for the years ended December 31, 2014, 2013 and 2012. The gross realized investment losses exclude losses from other-than-temporary impairment (OTTI):



In millions of dollars	2014			2013			2012
Gross realized investment gains	$	1,020		$	1,606		$	3,663
Gross realized investment losses	(450		)	(858		)	(412		)
Net realized gains on sale of investments	$	570		$	748		$	3,251

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

The following table sets forth, for the periods indicated, gain (loss) on HTM securities sold, securities reclassified to AFS and OTTI recorded on AFS securities reclassified.



In millions of dollars	2014			2013			2012
Carrying value of HTM securities sold	$	8		$	935		$	2,110
Net realized gain (loss) on sale of HTM securities	—			(128		)	(187		)
Carrying value of securities reclassified to AFS	889			989			244
OTTI losses on securities reclassified to AFS	(25		)	(156		)	(59		)

Amortized cost and fair value of AFS

The amortized cost and fair value of AFS securities at December 31, 2014 and 2013 were as follows:



	2014								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	$	35,647	$	603	$	159	$	36,091	$	42,494	$	391	$	888	$	41,997
Prime	12		—		—		12		33		2		3		32
Alt-A	43		1		—		44		84		10		—		94
Subprime	—		—		—		—		12		—		—		12
Non-U.S. residential	8,247		67		7		8,307		9,976		95		4		10,067
Commercial	551		6		3		554		455		6		8		453
Total mortgage-backed securities	$	44,500	$	677	$	169	$	45,008	$	53,054	$	504	$	903	$	52,655
U.S. Treasury and federal agency securities
U.S. Treasury	$	110,492	$	353	$	127	$	110,718	$	68,891	$	476	$	147	$	69,220
Agency obligations	12,925		60		13		12,972		18,320		123		67		18,376
Total U.S. Treasury and federal agency securities	$	123,417	$	413	$	140	$	123,690	$	87,211	$	599	$	214	$	87,596
State and municipal⁽³⁾	$	13,526	$	150	$	977	$	12,699	$	20,761	$	184	$	2,005	$	18,940
Foreign government	90,249		734		286		90,697		96,608		403		540		96,471
Corporate	12,033		215		91		12,157		11,039		210		119		11,130
Asset-backed securities⁽²⁾	12,534		30		58		12,506		15,352		42		120		15,274
Other debt securities	661		—		—		661		710		1		—		711
Total debt securities AFS	$	296,920	$	2,219	$	1,721	$	297,418	$	284,735	$	1,943	$	3,901	$	282,777
Marketable equity securities AFS	$	2,461	$	308	$	44	$	2,725	$	3,832	$	85	$	183	$	3,734
Total securities AFS	$	299,381	$	2,527	$	1,765	$	300,143	$	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 unrealized gains of $27 million and $36 million as of December 31, 2014 and 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 22 to the Consolidated Financial Statements.

(3)

The gross 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 (loss) (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

The carrying value and fair value of debt securities HTM at December 31, 2014 and 2013 were as follows:



In millions of dollars	Amortized cost basis⁽¹⁾		Net unrealized gains (losses) recognized in AOCI			Carrying value⁽²⁾		Gross unrealized gains		Gross unrealized (losses)			Fair value
December 31, 2014
Debt securities held-to-maturity
Mortgage-backed securities⁽³⁾
U.S. government agency guaranteed	$	8,795	$	95		$	8,890	$	106	$	(6	)	$	8,990
Prime	60		(12		)	48		6		(1		)	53
Alt-A	1,125		(213		)	912		537		(287		)	1,162
Subprime	6		(1		)	5		15		—			20
Non-U.S. residential	983		(137		)	846		92		—			938
Commercial	8		—			8		1		—			9
Total mortgage-backed securities	$	10,977	$	(268	)	$	10,709	$	757	$	(294	)	$	11,172
State and municipal⁽⁴⁾	$	8,443	$	(494	)	$	7,949	$	227	$	(57	)	$	8,119
Foreign government	4,725		—			4,725		77		—			4,802
Corporate	—		—			—		—		—			—
Asset-backed securities⁽³⁾	556		(18		)	538		50		(10		)	578
Total debt securities held-to-maturity ⁽⁵⁾	$	24,701	$	(780	)	$	23,921	$	1,111	$	(361	)	$	24,671
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 basis 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, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any other-than-temporary impairment recognized in earnings.

(2)

HTM securities are carried on the Consolidated Balance Sheet at amortized cost basis, plus or minus any unamortized unrealized gains and losses and fair value hedge adjustments recognized in AOCI prior to reclassifying the securities from AFS to HTM. Changes in the values of these securities are not reported in the financial statements, except for the amortization of any difference between the carrying value at the transfer date and par value of the securities, and the recognition of any non-credit fair value adjustments in AOCI in connection with the recognition of any credit impairment in earnings related to securities the Company continues to intend to hold until maturity.

(3)

(4)

The net unrealized losses recognized in AOCI on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting applied when these debt securities were classified as AFS. Specifically, Citi hedged 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 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. Upon transfer of these debt securities to HTM, all hedges have been de-designated and hedge accounting has ceased.

(5)

During the second quarter of 2014, securities with a total fair value of approximately $11.8 billion were transferred from AFS to HTM and comprised $5.4 billion of U.S. government agency mortgage-backed securities and $6.4 billion of obligations of U.S. states and municipalities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call in order to reduce the impact of price volatility on AOCI and certain capital measures under Basel III. While these securities were transferred to HTM at fair value as of the transfer date, no subsequent changes in value may be recorded, other than in connection with the recognition of any subsequent other-than-temporary impairment and the amortization of differences between the carrying values at the transfer date and the par values of each security as an adjustment of yield over the remaining contractual life of each security. Any net unrealized holding losses within AOCI related to the respective securities at the date of transfer, inclusive of any cumulative fair value hedge adjustments, will be amortized over the remaining contractual life of each security as an adjustment of yield in a manner consistent with the amortization of any premium or discount.

Total other-than-temporary impairments recognized

The following table presents the total OTTI recognized in earnings for the year ended December 31, 2014:



OTTI on Investments and Other Assets	Year ended December 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	$	21	$	5	$	—	$	26
Less: portion of impairment loss recognized in AOCI (before taxes)	8		—		—		8
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell	$	13	$	5	$	—	$	18
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	380		26		—		406
Total impairment losses recognized in earnings	$	393	$	31	$	—	$	424


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

The following table presents the total OTTI recognized in earnings for the year ended December 31, 2013:



OTTI on Investments and Other Assets	Year ended December 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	$	9	$	154	$	—	$	163
Less: portion of impairment loss recognized in AOCI (before taxes)	—		98		—		98
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell	$	9	$	56	$	—	$	65
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⁾	269		—		201		470
Total impairment losses recognized in earnings	$	278	$	56	$	201	$	535


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


(2)	The impairment charge relates to the carrying value of Citi’s then-remaining 35% interest in the Morgan Stanley Smith Barney joint venture (MSSB), offset by the equity pickup from MSSB during the respective periods that was recorded in Other revenue.

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

The following is a 12-month roll-forward of the credit-related impairments recognized in earnings for AFS and HTM debt securities held as of December 31, 2014 that the Company does not intend to sell nor likely will be required to sell:



	Cumulative OTTI credit losses recognized in earnings on securities still held
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			Dec. 31, 2014 balance
AFS debt securities
Mortgage-backed securities	$	295	$	—	$	—	$	—		$	295
Foreign government securities	171		—		—		—			171
Corporate	113		8		—		(3		)	118
All other debt securities	144		5		—		—			149
Total OTTI credit losses recognized for AFS debt securities	$	723	$	13	$	—	$	(3	)	$	733
HTM debt securities
Mortgage-backed securities⁽¹⁾	$	678	$	5	$	—	$	(13	)	$	670
Corporate	56		—		—		(56		)	—
All other debt securities	133		—		—		—			133
Total OTTI credit losses recognized for HTM debt securities	$	867	$	5	$	—	$	(69	)	$	803


(1)	Primarily consists of Alt-A securities.

Investments in Alternative Investment Funds



	Fair value				Unfunded commitments				Redemption frequency (if currently eligible) monthly, quarterly, annually	Redemption notice period
In millions of dollars	2014		2013		2014		2013
Hedge funds	$	8	$	751	$	—	$	—	Generally quarterly	10-95 days
Private equity funds⁽¹⁾⁽²⁾	796		794		205		170		—	—
Real estate funds ⁽²⁾⁽³⁾	166		294		24		36		—	—
Total⁽⁴⁾	$	970	$	1,839	$	229	$	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 $0.8 billion and $1.6 billion of fund assets that are valued using NAVs provided by third-party asset managers as of December 31, 2014 and December 31, 2013, respectively.

AFS debt securities

Schedule of Investments disclosures

Fair value of securities in unrealized loss position

The table below shows the fair value of AFS securities that have been in an unrealized loss position for less than 12 months or for 12 months or longer as of December 31, 2014 and 2013:



	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
December 31, 2014
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	4,198	$	30	$	5,547	$	129	$	9,745	$	159
Prime	5		—		2		—		7		—
Non-U.S. residential	1,276		3		199		4		1,475		7
Commercial	124		1		136		2		260		3
Total mortgage-backed securities	$	5,603	$	34	$	5,884	$	135	$	11,487	$	169
U.S. Treasury and federal agency securities
U.S. Treasury	$	36,581	$	119	$	1,013	$	8	$	37,594	$	127
Agency obligations	5,698		9		754		4		6,452		13
Total U.S. Treasury and federal agency securities	$	42,279	$	128	$	1,767	$	12	$	44,046	$	140
State and municipal	$	386	$	15	$	5,802	$	962	$	6,188	$	977
Foreign government	18,495		147		5,984		139		24,479		286
Corporate	3,511		63		1,350		28		4,861		91
Asset-backed securities	3,701		13		3,816		45		7,517		58
Marketable equity securities AFS	51		4		218		40		269		44
Total securities AFS	$	74,026	$	404	$	24,821	$	1,361	$	98,847	$	1,765
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

The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates as of December 31, 2014 and 2013:



	2014				2013
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities⁽¹⁾
Due within 1 year	$	44	$	44	$	87	$	87
After 1 but within 5 years	931		935		346		354
After 5 but within 10 years	1,362		1,387		2,898		2,932
After 10 years⁽²⁾	42,163		42,642		49,723		49,282
Total	$	44,500	$	45,008	$	53,054	$	52,655
U.S. Treasury and federal agency securities
Due within 1 year	$	13,070	$	13,084	$	15,789	$	15,853
After 1 but within 5 years	104,982		105,131		66,232		66,457
After 5 but within 10 years	2,286		2,325		2,129		2,185
After 10 years⁽²⁾	3,079		3,150		3,061		3,101
Total	$	123,417	$	123,690	$	87,211	$	87,596
State and municipal
Due within 1 year	$	590	$	590	$	576	$	581
After 1 but within 5 years	3,672		3,677		3,731		3,735
After 5 but within 10 years	532		546		439		482
After 10 years⁽²⁾	8,732		7,886		16,015		14,142
Total	$	13,526	$	12,699	$	20,761	$	18,940
Foreign government
Due within 1 year	$	31,355	$	31,382	$	37,005	$	36,959
After 1 but within 5 years	41,913		42,467		51,344		51,304
After 5 but within 10 years	16,008		15,779		7,314		7,216
After 10 years⁽²⁾	973		1,069		945		992
Total	$	90,249	$	90,697	$	96,608	$	96,471
All other⁽³⁾
Due within 1 year	$	1,248	$	1,251	$	2,786	$	2,733
After 1 but within 5 years	10,442		10,535		10,934		11,020
After 5 but within 10 years	7,282		7,318		5,632		5,641
After 10 years⁽²⁾	6,256		6,220		7,749		7,721
Total	$	25,228	$	25,324	$	27,101	$	27,115
Total debt securities AFS	$	296,920	$	297,418	$	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

The table below shows the fair value of debt securities in HTM that have been in an unrecognized loss position as of December 31, 2014 and 2013 for less than 12 months and for 12 months or longer:



	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
December 31, 2014
Debt securities held-to-maturity
Mortgage-backed securities	$	4	$	—	$	1,134	$	294	$	1,138	$	294
State and municipal	2,528		34		314		23		2,842		57
Foreign government	—		—		—		—		—		—
Asset-backed securities	9		1		174		9		183		10
Total debt securities held-to-maturity	$	2,541	$	35	$	1,622	$	326	$	4,163	$	361
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

The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates as of December 31, 2014 and 2013:



	2014				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	863		869		10		11
After 10 years⁽¹⁾	9,846		10,303		2,316		2,546
Total	$	10,709	$	11,172	$	2,326	$	2,557
State and municipal
Due within 1 year	$	36	$	38	$	8	$	9
After 1 but within 5 years	24		24		17		17
After 5 but within 10 years	144		148		69		72
After 10 years⁽¹⁾	7,745		7,909		1,238		1,214
Total	$	7,949	$	8,119	$	1,332	$	1,312
Foreign government
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	4,725		4,802		5,628		5,688
After 5 but within 10 years	—		—		—		—
After 10 years⁽¹⁾	—		—		—		—
Total	$	4,725	$	4,802	$	5,628	$	5,688
All other⁽²⁾
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	—		—		740		851
After 5 but within 10 years	—		—		—		—
After 10 years⁽¹⁾	538		578		573		585
Total	$	538	$	578	$	1,313	$	1,436
Total debt securities held-to-maturity	$	23,921	$	24,671	$	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.