XML 67 R46.htm IDEA: XBRL DOCUMENT v3.23.1
INVESTMENTS (Tables)
3 Months Ended
Mar. 31, 2023
Investments, Debt and Equity Securities [Abstract]  
Schedule of investments by category
The following table presents Citi’s investments by category:

In millions of dollarsMarch 31,
2023
December 31, 2022
Debt securities available-for-sale (AFS)$240,487 $249,679 
Debt securities held-to-maturity (HTM)(1)
264,342 268,863 
Marketable equity securities carried at fair value(2)
443 429 
Non-marketable equity securities carried at fair value(2)(5)
444 466 
Non-marketable equity securities measured using the measurement alternative(3)
1,619 1,676 
Non-marketable equity securities carried at cost(4)
5,243 5,469 
Total investments(6)
$512,578 $526,582 

(1)Carried at adjusted amortized cost basis, net of any ACL.
(2)Unrealized gains and losses are recognized in earnings.
(3)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See “Non-Marketable Equity Securities Not Carried at Fair Value” below.
(4)    Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.
(5)    Includes $29 million and $27 million of investments in funds for which the fair values are estimated using the net asset value of the Company’s ownership interest in the funds at March 31, 2023 and December 31, 2022, respectively.
(6)    Not included in the balances above is approximately $2 billion of accrued interest receivable at March 31, 2023 and December 31, 2022, which is included in Other assets on the Consolidated Balance Sheet. The Company does not recognize an allowance for credit losses on accrued interest receivable for AFS and HTM debt securities, consistent with its non-accrual policy, which results in timely write-off of accrued interest. The Company did not reverse through interest income any accrued interest receivables for the quarters ended March 31, 2023 and 2022.
Interest and dividends on investments
The following table presents interest and dividend income on investments:

Three Months Ended March 31,
In millions of dollars20232022
Taxable interest$4,000 $2,013 
Interest exempt from U.S. federal income tax85 
Dividend income59 32 
Total interest and dividend income on investments$4,144 $2,050 
Realized gains and losses on investments excluding other-than-temporary impairment
The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:

Three Months Ended March 31,
In millions of dollars20232022
Gross realized investment gains$88 $153 
Gross realized investment losses(16)(73)
Net realized gains (losses) on sales of investments$72 $80 
Amortized cost and fair value of AFS debt securities
The amortized cost and fair value of AFS debt securities were as follows:

 March 31, 2023December 31, 2022
In millions of dollarsAmortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Allowance for credit lossesFair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Allowance for credit lossesFair
value
Debt securities AFS        
Mortgage-backed securities(1)
        
U.S. government-sponsored agency guaranteed(2)
$15,193 $98 $675 $ $14,616 $12,009 $$755 $— $11,262 
Residential343  3  340 488 — — 485 
Commercial2    2 — — — 
Total mortgage-backed securities$15,538 $98 $678 $ $14,958 $12,499 $$758 $— $11,749 
U.S. Treasury and federal agency securities     
U.S. Treasury$88,721 $39 $2,083 $ $86,677 $94,732 $50 $2,492 $— $92,290 
Agency obligations     — — — — — 
Total U.S. Treasury and federal agency securities$88,721 $39 $2,083 $ $86,677 $94,732 $50 $2,492 $— $92,290 
State and municipal$2,394 $24 $125 $ $2,293 $2,363 $19 $159 $— $2,223 
Foreign government126,996 617 2,529  125,084 135,648 569 2,940 — 133,277 
Corporate5,470 15 230 4 5,251 5,146 19 246 4,916 
Asset-backed securities(1)
1,059 8 2  1,065 1,022 12 — 1,030 
Other debt securities5,162 1 4  5,159 4,198 — 4,194 
Total debt securities AFS$245,340 $802 $5,651 $4 $240,487 $255,608 $678 $6,604 $$249,679 

(1)The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. 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. See Note 19 for mortgage- and asset-backed securitizations in which the Company has other involvement.
(2)In January 2023, Citi adopted ASU 2022-01. Upon adoption, Citi transferred $3.3 billion of mortgage-backed securities from HTM classification to AFS classification as allowed under the ASU. At the time of transfer, the securities were in an unrealized gain position of $0.1 billion, which was recorded in AOCI upon transfer. See Note 1.
Fair value of securities in unrealized loss position
The following table shows the fair value of AFS debt securities that have been in an unrealized loss position:

 Less than 12 months12 months or longerTotal
In millions of dollarsFair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
March 31, 2023      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$2,315 $74 $8,799 $601 $11,114 $675 
Residential325 3   325 3 
Commercial  2  2  
Total mortgage-backed securities$2,640 $77 $8,801 $601 $11,441 $678 
U.S. Treasury and federal agency securities     
U.S. Treasury$24,255 $657 $47,036 $1,426 $71,291 $2,083 
Agency obligations      
Total U.S. Treasury and federal agency securities$24,255 $657 $47,036 $1,426 $71,291 $2,083 
State and municipal$266 $8 $1,064 $117 $1,330 $125 
Foreign government63,717 1,778 19,972 751 83,689 2,529 
Corporate3,205 187 1,202 43 4,407 230 
Asset-backed securities695 2 3  698 2 
Other debt securities1,861 4   1,861 4 
Total debt securities AFS$96,639 $2,713 $78,078 $2,938 $174,717 $5,651 
December 31, 2022      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$7,908 $412 $3,290 $343 $11,198 $755 
Residential158 — 159 
Commercial— — — 
Total mortgage-backed securities$8,067 $415 $3,292 $343 $11,359 $758 
U.S. Treasury and federal agency securities     
U.S. Treasury$40,701 $1,001 $34,692 $1,491 $75,393 $2,492 
Agency obligations— — — — — — 
Total U.S. Treasury and federal agency securities$40,701 $1,001 $34,692 $1,491 $75,393 $2,492 
State and municipal$896 $31 $707 $128 $1,603 $159 
Foreign government82,900 2,332 14,220 608 97,120 2,940 
Corporate3,082 209 784 37 3,866 246 
Asset-backed securities708 — — 708 
Other debt securities2,213 — — 2,213 
Total debt securities AFS$138,567 $3,997 $53,695 $2,607 $192,262 $6,604 
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:

 March 31, 2023December 31, 2022
In millions of dollarsAmortized
cost
Fair
value
Amortized
cost
Fair
value
Mortgage-backed securities(1)
  
Due within 1 year$6 $6 $42 $44 
After 1 but within 5 years406 396 523 513 
After 5 but within 10 years478 456 468 440 
After 10 years14,648 14,100 11,466 10,752 
Total$15,538 $14,958 $12,499 $11,749 
U.S. Treasury and federal agency securities    
Due within 1 year$23,045 $22,947 $25,935 $25,829 
After 1 but within 5 years65,283 63,378 68,455 66,166 
After 5 but within 10 years393 352 342 295 
After 10 years  — — 
Total$88,721 $86,677 $94,732 $92,290 
State and municipal    
Due within 1 year$17 $18 $19 $18 
After 1 but within 5 years96 94 94 92 
After 5 but within 10 years316 313 305 302 
After 10 years1,965 1,868 1,945 1,811 
Total$2,394 $2,293 $2,363 $2,223 
Foreign government    
Due within 1 year$58,340 $58,073 $64,795 $64,479 
After 1 but within 5 years65,203 63,774 67,935 66,150 
After 5 but within 10 years2,990 2,804 2,491 2,250 
After 10 years463 433 427 398 
Total$126,996 $125,084 $135,648 $133,277 
All other(2)
   
Due within 1 year$5,192 $5,178 $4,452 $4,441 
After 1 but within 5 years5,713 5,545 5,162 4,988 
After 5 but within 10 years719 717 695 693 
After 10 years67 35 57 18 
Total$11,691 $11,475 $10,366 $10,140 
Total debt securities AFS$245,340 $240,487 $255,608 $249,679 

(1)Includes mortgage-backed securities of U.S. government-sponsored agencies. The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. See Note 19 for more information about mortgage- and asset-backed securitizations in which the Company has other involvement.
(2)Includes corporate, asset-backed and other debt securities.
The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:

 March 31, 2023December 31, 2022
In millions of dollars
Amortized cost(1)
Fair value
Amortized cost(1)
Fair value
Mortgage-backed securities    
Due within 1 year$27 $27 $27 $27 
After 1 but within 5 years634 611 520 505 
After 5 but within 10 years1,347 1,246 1,496 1,374 
After 10 years85,100 76,468 89,579 79,745 
Total$87,108 $78,352 $91,622 $81,651 
U.S. Treasury securities
Due within 1 year$3,149 $3,051 $3,148 $3,017 
After 1 but within 5 years111,568 102,525 86,617 79,104 
After 5 but within 10 years20,235 17,871 45,196 39,118 
After 10 years  — — 
Total$134,952 $123,447 $134,961 $121,239 
State and municipal    
Due within 1 year$27 $27 $22 $21 
After 1 but within 5 years112 111 102 100 
After 5 but within 10 years1,085 1,063 1,002 967 
After 10 years7,988 7,518 8,111 7,419 
Total$9,212 $8,719 $9,237 $8,507 
Foreign government    
Due within 1 year$155 $151 $143 $139 
After 1 but within 5 years2,089 1,990 1,932 1,843 
After 5 but within 10 years  — — 
After 10 years  — — 
Total$2,244 $2,141 $2,075 $1,982 
All other(2)
  
Due within 1 year$ $ $— $— 
After 1 but within 5 years  — — 
After 5 but within 10 years11,919 11,783 11,751 11,583 
After 10 years18,907 18,409 19,217 18,686 
Total$30,826 $30,192 $30,968 $30,269 
Total debt securities HTM$264,342 $242,851 $268,863 $243,648 

(1)Amortized cost is reported net of ACL of $104 million and $120 million at March 31, 2023 and December 31, 2022, respectively.
(2)Includes corporate and asset-backed securities.
Carrying value and fair value of debt securities HTM
The carrying value and fair value of debt securities HTM were as follows:

In millions of dollars
Amortized
cost, net(1)
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
March 31, 2023    
Debt securities HTM    
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed(3)
$85,580 $13 $8,611 $76,982 
Non-U.S. residential409   409 
Commercial1,119  158 961 
Total mortgage-backed securities$87,108 $13 $8,769 $78,352 
U.S. Treasury securities$134,952 $ $11,505 $123,447 
State and municipal9,212 63 556 8,719 
Foreign government2,244  103 2,141 
Asset-backed securities(2)
30,826  634 30,192 
Total debt securities HTM, net$264,342 $76 $21,567 $242,851 
December 31, 2022    
Debt securities HTM   
Mortgage-backed securities(2)
    
U.S. government-sponsored agency guaranteed$90,063 $58 $10,033 $80,088 
Non-U.S. residential445 — — 445 
Commercial1,114 1,118 
Total mortgage-backed securities$91,622 $63 $10,034 $81,651 
U.S. Treasury securities$134,961 $— $13,722 $121,239 
State and municipal9,237 34 764 8,507 
Foreign government2,075 — 93 1,982 
Asset-backed securities(2)
30,968 703 30,269 
Total debt securities HTM, net$268,863 $101 $25,316 $243,648 

(1)Amortized cost is reported net of ACL of $104 million and $120 million at March 31, 2023 and December 31, 2022, respectively.
(2)The Company invests in mortgage- 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. See Note 19 for mortgage- and asset-backed securitizations in which the Company has other involvement.
(3)In January 2023, Citi adopted ASU 2022-01. Upon adoption, Citi transferred $3.3 billion of mortgage-backed securities from HTM classification to AFS classification as allowed under the ASU. At the time of transfer, the securities were in an unrealized gain position of $0.1 billion, which was recorded in AOCI upon transfer. See Note 1.
Total other-than-temporary impairments recognized
The following table presents total impairment on AFS investments recognized in earnings:

Three Months Ended March 31,
In millions of dollars20232022
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:
Total impairment losses recognized during the period$ $— 
Less: portion of impairment loss recognized in AOCI (before taxes)
 — 
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$ $— 
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise51 90 
Total impairment losses recognized in earnings$51 $90 
Schedule of allowance for credit losses on available for sale securities
Allowance for Credit Losses on AFS Debt Securities

Three Months Ended March 31, 2023
In millions of dollarsCorporateTotal AFS
Allowance for credit losses at beginning of period$3 $3 
Gross write-offs  
Gross recoveries  
Net credit losses (NCLs)$ $ 
NCLs$ $ 
Credit losses on securities without previous credit losses1 1 
Net reserve builds (releases) on securities with previous credit losses  
Total provision for credit losses$1 $1 
Initial allowance on newly purchased credit-deteriorated securities during the period  
Allowance for credit losses at end of period$4 $4 

Three Months Ended March 31, 2022
In millions of dollarsCorporateTotal AFS
Allowance for credit losses at beginning of period$$
Gross write-offs— — 
Gross recoveries— — 
Net credit losses (NCLs)$— $— 
NCLs$— $— 
Credit losses on securities without previous credit losses— — 
Net reserve builds (releases) on securities with previous credit losses— — 
Total provision for credit losses$— $— 
Initial allowance on newly purchased credit-deteriorated securities during the period— — 
Allowance for credit losses at end of period$$
Carrying value of non-marketable equity securities measured using the measurement alternative
Below is the carrying value of non-marketable equity securities measured using the measurement alternative at March 31, 2023 and December 31, 2022:

In millions of dollarsMarch 31, 2023December 31, 2022
Measurement alternative:
Carrying value$1,619 $1,676 
Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:

Three Months Ended March 31,
In millions of dollars20232022
Measurement alternative(1):
Impairment losses$35 $— 
Downward changes for observable prices20 — 
Upward changes for observable prices30 85 

(1)     See Note 21 for additional information on these nonrecurring fair value measurements.

Life-to-date amounts on securities still held
In millions of dollarsMarch 31, 2023
Measurement alternative:
Impairment losses$254 
Downward changes for observable prices26 
Upward changes for observable prices897