Citigroup Inc.

15. INVESTMENTSIn millions of dollars 2010 2009Securities available-for-sale $274,572 $239,599Debt securities held-to-maturity (1) 29,107 51,527Non-marketable equity securities carried at fair value (2) 6,602 6,830Non-marketable equity securities carried at cost (3) 7,883 8,163Total investments $318,164 $306,119(1) Recorded at amortized cost less impairment on 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 Bank, foreign central banks and various clearing houses of which Citigroup is amember.Securities Available-for-SaleThe amortized cost and fair value of securities available-for-sale (AFS) at December 31, 2010 and December 31, 2009 were as follows:In millions of dollarsAmortizedcostGrossunrealizedgainsGrossunrealizedlossesFair value2010 2009AmortizedcostGrossunrealizedgainsGrossunrealizedlossesFair valueDebt securities AFSMortgage-backed securities (1)U.S. government-sponsored agency guaranteed $ 23,433 $ 425 $ 235 $ 23,623 $ 20,625 $ 339 $ 50 $ 20,914Prime 1,985 18 177 1,826 7,291 119 932 6,478Alt-A 46 2 — 48 538 93 4 627Subprime 119 1 1 119 1 — — 1Non-U.S. residential 315 1 — 316 258 — 3 255Commercial 592 21 39 574 883 10 100 793Total mortgage-backed securities $ 26,490 $ 468 $ 452 $ 26,506 $ 29,596 $ 561 $ 1,089 $ 29,068U.S. Treasury and federal agency securitiesU.S. Treasury 58,069 435 56 58,448 26,857 36 331 26,562Agency obligations 43,294 375 55 43,614 27,714 46 208 27,552Total U.S. Treasury and federal agency securities $101,363 $ 810 $ 111 $102,062 $ 54,571 $ 82 $ 539 $ 54,114State and municipal 15,660 75 2,500 13,235 16,677 147 1,214 15,610Foreign government 99,110 984 415 99,679 101,987 860 328 102,519Corporate 15,910 319 59 16,170 20,024 435 146 20,313Asset-backed securities (1) 9,085 31 68 9,048 10,089 50 93 10,046Other debt securities 1,948 24 60 1,912 2,179 21 77 2,123Total debt securities AFS $269,566 $ 2,711 $ 3,665 $268,612 $235,123 $ 2,156 $ 3,486 $233,793Marketable equity securities AFS $ 3,791 $ 2,380 $ 211 $ 5,960 $ 4,089 $ 1,929 $ 212 $ 5,806Total securities AFS $273,357 $ 5,091 $ 3,876 $274,572 $239,212 $ 4,085 $ 3,698 $239,599(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 amountof the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, information is provided in Note 22 to the ConsolidatedFinancial Statements.At December 31, 2010, the cost of approximately 3,000 investments inequity and fixed-income securities exceeded their fair value by $3.876 billion.Of the $3.876 billion, the gross unrealized loss on equity securities was$211 million. Of the remainder, $728 million represents fixed-incomeinvestments that have been in a gross-unrealized-loss position for less than ayear and, of these, 99% are rated investment grade; $2.937 billion representsfixed-income investments that have been in a gross-unrealized-loss positionfor a year or more and, of these, 90% are rated investment grade.The available-for-sale mortgage-backed securities-portfolio fair valuebalance of $26.506 billion consists of $23.623 billion of governmentsponsoredagency securities, and $2.883 billion of privately sponsoredsecurities of which the majority is backed by mortgages that are not Alt-Aor subprime.The increase in gross unrealized losses on state and municipal debtsecurities was the result of general tax-exempt municipal yields increasingrelatively faster than the yields on taxable fixed income instruments and theeffects of hedge accounting.As discussed in more detail below, the Company conducts and documentsperiodic reviews of all securities with unrealized losses to evaluate whetherthe impairment is other than temporary. Any credit-related impairmentrelated to debt securities the Company does not plan to sell and is notlikely to be required to sell is recognized in the Consolidated Statement ofIncome, with the non-credit-related impairment recognized in OCI. Forother impaired debt securities, the entire impairment is recognized in theConsolidated Statement of Income.206