TSC Ratings provides exclusive stock, ETF and mutual fund ratings and commentary based on award-winning, proprietary tools. Its "safety first" approach to investing aims to reduce risk while seeking solid outperformance on a total return basis.Citigroup ( C) is arguably the worst of what is left of the U.S. banking industry. Unfortunately, it is also the biggest. With $1.9 trillion in assets, Citigroup is larger than Bank of America ( BAC) and the beneficiary of more federal bailout money, in the form of capital injections and federal guarantees, than insurance company AIG ( AIG). Now with federal money being converted to common shares, diluting common shareholders in the process, the health of Citigroup is as shaky as ever. Investors have argued that Citigroup's 88% share-price drop over the past year, versus 81% for Bank of America and 37% for the benchmark S&P 500, creates an alluring opportunity. However, with an adjusted beta value of 2.6 -- measuring stock-price volatility -- Citigroup could implode, leaving investors burned. As of Dec. 31, Citigroup had mortgage-backed securities classified as available-for-sale and held-to-maturity with an amortized cost of $70.5 billion with a fair value of $57.6 billion, which represents a write-down in value of 18%, or $12.9 billion. Much of these losses have been omitted from Citigroup's balance sheet because the company has started to record nearly all of the riskiest assets as held-to-maturity, avoiding the need to deduct the unrealized losses from these securities in comprehensive income, which would further erode Citigroup's already tenuous equity position. There is also an indication in the footnotes to the company's financial statements that the write-downs have been scaled back from what may be considered absolute adherence to mark-to-market principals.