Percentage of investments gross-unrealized loss position for less than a year, rated investment grade

  
Debt Securities Available-for-SaleThe amortized cost and fair value of AFS debt securities were as follows:  


|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|   | December 31, 2021 | December 31, 2020 |
| In millions of dollars | Amortizedcost | Grossunrealizedgains | Grossunrealizedlosses | Allowance for credit losses | Fairvalue | Amortizedcost | Grossunrealizedgains | Grossunrealizedlosses | Allowance for credit losses | Fairvalue |
| Debt securities AFS |   |   |   |  |   |   |   |   |  |   |
| Mortgage-backed securities(1) |   |   |   |  |   |   |   |   |  |   |
| U.S. government-sponsored agency guaranteed | $ | 33,064  |  | $ | 453  |  | $ | 301  |  | $ | —  |  | $ | 33,216  |  | $ | 42,836  |  | $ | 1,134  |  | $ | 52  |  | $ | —  |  | $ | 43,918  |  |
| Non-U.S. residential | 380  |  | 1  |  | 1  |  | —  |  | 380  |  | 568  |  | 3  |  | —  |  | —  |  | 571  |  |
| Commercial | 25  |  | —  |  | —  |  | —  |  | 25  |  | 49  |  | 1  |  | —  |  | —  |  | 50  |  |
| Total mortgage-backed securities | $ | 33,469  |  | $ | 454  |  | $ | 302  |  | $ | —  |  | $ | 33,621  |  | $ | 43,453  |  | $ | 1,138  |  | $ | 52  |  | $ | —  |  | $ | 44,539  |  |
| U.S. Treasury and federal agency securities |  |  |  |  |  |  |  |  |  |  |
| U.S. Treasury | $ | 122,669  |  | $ | 615  |  | $ | 844  |  | $ | —  |  | $ | 122,440  |  | $ | 144,094  |  | $ | 2,108  |  | $ | 49  |  | $ | —  |  | $ | 146,153  |  |
| Agency obligations | —  |  | —  |  | —  |  | —  |  | —  |  | 50  |  | 1  |  | —  |  | —  |  | 51  |  |
| Total U.S. Treasury and federal agency securities | $ | 122,669  |  | $ | 615  |  | $ | 844  |  | $ | —  |  | $ | 122,440  |  | $ | 144,144  |  | $ | 2,109  |  | $ | 49  |  | $ | —  |  | $ | 146,204  |  |
| State and municipal | $ | 2,643  |  | $ | 79  |  | $ | 101  |  | $ | —  |  | $ | 2,621  |  | $ | 3,753  |  | $ | 123  |  | $ | 157  |  | $ | —  |  | $ | 3,719  |  |
| Foreign government | 119,426  |  | 337  |  | 1,023  |  | —  |  | 118,740  |  | 123,467  |  | 1,623  |  | 122  |  | —  |  | 124,968  |  |
| Corporate | 5,972  |  | 33  |  | 77  |  | 8  |  | 5,920  |  | 10,444  |  | 152  |  | 91  |  | 5  |  | 10,500  |  |
| Asset-backed securities(1) | 304  |  | —  |  | 1  |  | —  |  | 303  |  | 277  |  | 5  |  | 4  |  | —  |  | 278  |  |
| Other debt securities | 4,880  |  | 1  |  | 4  |  | —  |  | 4,877  |  | 4,871  |  | 5  |  | —  |  | —  |  | 4,876  |  |
| Total debt securities AFS | $ | 289,363  |  | $ | 1,519  |  | $ | 2,352  |  | $ | 8  |  | $ | 288,522  |  | $ | 330,409  |  | $ | 5,155  |  | $ | 475  |  | $ | 5  |  | $ | 335,084  |  |

  
(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. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 21 to the Consolidated Financial Statements.  
At December 31, 2021, the amortized cost of fixed income securities exceeded their fair value by $2,352 million. Of the $2,352 million, $1,895 million represented unrealized losses on fixed income investments that have been in a gross-unrealized-loss position for less than a year and, of these, 77% were rated investment grade; and $457 million represented unrealized losses on fixed income investments that have been in a gross-unrealized-loss position for a year or more and, of these, 99% were rated investment grade. Of the $457 million, $197 million represents foreign government securities.    194
