0000831001 c:DefinedBenefitPlanVariableAnnuityMember us-gaap:FairValueInputsLevel2Member country:US 2018-12-31 0000831001 srt:NorthAmericaMember us-gaap:ConsumerPortfolioSegmentMember us-gaap:CreditCardReceivablesMember 2019-01-01 2019-12-31 0000831001 c:TradingAccountsLiabilitiesMember us-gaap:InterestRateContractMember us-gaap:DesignatedAsHedgingInstrumentMember us-gaap:ExchangeClearedMember 2018-12-31 0000831001 c:TradingAssetsExcludingDerivativeAssetsMember us-gaap:EquitySecuritiesMember 2019-01-01 2019-12-31 0000831001 srt:NonGuarantorSubsidiariesMember srt:ReportableLegalEntitiesMember 2019-01-01 2019-12-31
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-K
ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF(Mark One)
THE SECURITIES EXCHANGE ACT OF 1934
☒
ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT
OF 1934
For the fiscal year ended December 31, 20172019

OR
☐TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from  to
Commission file number 1-9924
Citigroup Inc.Inc.
(Exact name of registrant as specified in its charter)
Delaware
52-1568099
(State or other jurisdiction of incorporation or organization) 
52-1568099
(I.R.S. Employer Identification No.)
388 Greenwich Street,
New YorkNY10013
(Address of principal executive offices)

 
10013
(Zip code)
(212) 559-1000
(Registrant's telephone number, including area code)

(212) 559-1000
(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:Securities Exchange Act of 1934 formatted in Inline XBRL: See Exhibit 99.01


Securities registered pursuant to Section 12(g) of the Act: none


Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes o Nox
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes oNox
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yesx    No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).  Yesx  No o
Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. x
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer" andfiler," "smaller reporting company" and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filerx
☒Accelerated filer☐Non-accelerated filer☐Smaller reporting company☐
 
Accelerated filer o
 
Non-accelerated filer o
 (Do not check if a smaller reporting company)
 
Smaller reportingEmerging growth companyo
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. Yes o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o☐    No x
The aggregate market value of Citigroup Inc. common stock held by non-affiliates of Citigroup Inc. on June 30, 20172019 was approximately $123.0$158.0 billion.
Number of shares of Citigroup Inc. common stock outstanding on January 31, 2018: 2,570,065,7482020: 2,106,486,793
Documents Incorporated by Reference: Portions of the registrant’s proxy statement for the annual meeting of stockholders scheduled to be held on April 24, 2018,21, 2020 are incorporated by reference in this Form 10-K in response to Items 10, 11, 12, 13 and 14 of Part III.
Available on the web at www.citigroup.com
 





FORM 10-K CROSS-REFERENCE INDEX

    
Item NumberPage
    
Part I 
    
1. Business4–30, 121–125,27, 112–115,
   128, 153,118, 146,
   303–304294–295
    
1A. Risk Factors56–6446–55
    
1B. Unresolved Staff CommentsNot Applicable
    
2. Properties303–304Not Applicable
    
3. Legal Proceedings—See Note 27 to the Consolidated Financial Statements283–290276–282
    
4. Mine Safety DisclosuresNot Applicable
    
Part II 
    
5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities136–137, 157–159, 305–306128–129, 152–154, 296–297
    
6. Selected Financial Data10–11
    
7. Management’s Discussion and Analysis of Financial Condition and Results of Operations6–32, 66–12029, 58–111
    
7A. Quantitative and Qualitative Disclosures About Market Risk66–120, 154–156, 178–215, 222–27558–111, 147–151, 172–207, 214–267
    
8. Financial Statements and Supplementary Data132–302124–293
    
9. Changes in and Disagreements with Accountants on Accounting and Financial DisclosureNot Applicable
    
9A. Controls and Procedures126–127116–117
    
9B. Other InformationNot Applicable
    
 
    
    
    
Part III 
    
10. Directors, Executive Officers and Corporate Governance307–309*298–300*
    
11. Executive Compensation**
    
12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters***
    
13. Certain Relationships and Related Transactions and Director Independence****
    
14. Principal AccountantAccounting Fees and Services*****
    
    
Part IV 
    
15. Exhibits and Financial Statement Schedules310–314


*For additional information regarding Citigroup’s Directors, see “Corporate Governance,”Governance” and “Proposal 1: Election of Directors” and “Section 16(a) Beneficial Ownership Reporting Compliance” in the definitive Proxy Statement for Citigroup’s Annual Meeting of Stockholders scheduled to be held on April 24, 2018,21, 2020, to be filed with the SEC (the Proxy Statement), incorporated herein by reference.
**
See “Compensation Discussion and Analysis,” “The Personnel and Compensation Committee Report,” “2017and “2019 Summary Compensation Table and Compensation Information” and “CEO Pay Ratio”
in the Proxy Statement, incorporated herein by reference.
***See “About the Annual Meeting,” “Stock Ownership” and “Equity Compensation Plan Information” in the Proxy Statement, incorporated herein by reference.
****See “Corporate Governance—Director Independence,” “—Certain Transactions and Relationships, Compensation Committee Interlocks and Insider Participation” and “—Indebtedness” in the Proxy Statement, incorporated herein by reference.
*****See “Proposal 2: Ratification of Selection of Independent Registered Public Accounting Firm” in the Proxy Statement, incorporated herein by reference.




CITIGROUP’S 20172019 ANNUAL REPORT ON FORM 10-K
OVERVIEW
4
MANAGEMENT'S DISCUSSION AND
  ANALYSIS OF FINANCIAL CONDITION AND
  RESULTS OF OPERATIONS
6
Executive Summary
6
Impact of Tax Reform
9
Summary of Selected Financial Data
10
SEGMENT AND BUSINESS—INCOME (LOSS)
  AND REVENUES
12
SEGMENT BALANCE SHEET
1413
Global Consumer Banking
1614
North America GCB
1816
Latin America GCB
2018
Asia GCB
2220
Institutional Clients Group
2422
Corporate/Other
2927
OFF-BALANCE SHEET
  ARRANGEMENTS
3128
CONTRACTUAL OBLIGATIONS
3229
CAPITAL RESOURCES
3330
RISK FACTORS
5646
Managing Global Risk Table of Contents
6557
MANAGING GLOBAL RISK
6658
SIGNIFICANT ACCOUNTING POLICIES AND
  SIGNIFICANT ESTIMATES
121
FUTURE APPLICATION OF ACCOUNTING
  STANDARDS
124112
DISCLOSURE CONTROLS AND
  PROCEDURES
126116
MANAGEMENT’S ANNUAL REPORT ON
  INTERNAL CONTROL OVER FINANCIAL
  REPORTING
127117
FORWARD-LOOKING STATEMENTS
128118
REPORT OF INDEPENDENT REGISTERED
  PUBLIC ACCOUNTING FIRM—INTERNAL
  CONTROL OVER FINANCIAL REPORTINGFIRM
129
REPORT OF INDEPENDENT REGISTERED
  PUBLIC ACCOUNTING FIRM—
  CONSOLIDATED FINANCIAL STATEMENTS
130119
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
131123
CONSOLIDATED FINANCIAL STATEMENTS
132124
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS
140132
FINANCIAL DATA SUPPLEMENT
301293
SUPERVISION, REGULATION AND OTHER
302294
CORPORATE INFORMATION
306298
Citigroup Executive Officers
306298
Citigroup Board of Directors
307299





OVERVIEW


Citigroup’s history dates back to the founding of the City
Bank of New York in 1812.
Citigroup is a global diversified financial services holding company whose businesses provide consumers, corporations, governments and institutions with a broad, yet focused, range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, trade and securities services and wealth management. Citi has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions.
At December 31, 2017,2019, Citi had approximately 209,000200,000 full-time employees, compared to approximately 219,000204,000 full-time employees at December 31, 2016.2018.
Citigroup currently operates, for management reporting purposes, via two primary business segments: Global Consumer Banking (GCB) and Institutional Clients Group (ICG), with the remaining operations in Corporate/Other. For a further description of the business segments and the products and services they provide, see “Citigroup Segments” below, “Management’s Discussion and Analysis of Financial Condition and Results of Operations” and Note 3 to the Consolidated Financial Statements.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s recent annual reports on Form 10-K, quarterly reports on Form 10-Q and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available free of charge through Citi’s website by clicking on the “Investors” pagetab and selecting “All SEC Filings.“SEC Filings,” then “Citigroup Inc.” The SEC’s website also contains current reports on Form 8-K and other information regarding Citi at www.sec.gov.
For a discussion of 2018 versus 2017 results of operations of GCB in North America, Latin America and Asia, ICG and Corporate/Other, see each respective business’s results of operation in Citi’s 2018 Annual Report on Form 10-K.
Certain reclassifications, including a realignment of certain businesses, have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. For additional information on certain recent such reclassifications, see Note 3 to the Consolidated Financial Statements.

Please see “Risk Factors” below for a discussion of the most significant risks and uncertainties that could impact Citigroup’s businesses, financial condition and results of operations.




 




























































































As described above, Citigroup is managed pursuant to two business segments: Global Consumer Banking and Institutional Clients Group, with the remaining operations in Corporate/Other.Other.
citisegments123119.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
citiregionsq4a04.jpg


(1)
Latin America GCB consists of Citi’s consumer banking businessin Mexico.
(2)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(3)
North America includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and Asia includes Japan.
Note: As of the fourth quarter of 2019, Citi’s commercial banking businesses previously reported as part of GCB in North America, Latin America and Asia, including approximately $28 billion in end-of-period loans and approximately $37 billion in end-of-period deposits, are reported in ICG for all periods presented.    



MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS


EXECUTIVE SUMMARY

As described further throughout this Executive Summary, Citi reportedCiti’s 2019 results reflected steady progress toward improving its profitability and returns, despite an uncertain revenue environment, as strong client engagement drove balanced operating results for full-year 2017, reflecting continued momentumgrowth across businesses and geographies, notably many of those where geographies:

•
Citi had solid underlying revenue growth in every region in Global Consumer Banking (GCB), excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation), as well as pretax gains on sale in 2018 of approximately $150 million on the Hilton portfolio in North America GCB and approximately $250 million on an asset management business in Latin America GCB.
•
Citi had balanced performance across the Institutional Clients Group (ICG), with solid results in fixed income markets, treasury and trade solutions, investment banking and the private bank, while equity markets revenues were negatively impacted by a challenging environment.
Citi has been making investments.
During 2017, Citi had revenue and loan growth and positive operating leverage as well as operating margin expansion in the Institutional Clients Group (ICG) and every region in Global Consumer Banking (GCB). Citi also continued to demonstratedemonstrated strong expense discipline, resulting in an operating efficiency ratio of 58% in 2017.Results in 2017 also included an updated estimate for a one-time, non-cash charge of $22.6 billion related toexpenses that were largely unchanged from the impact of the Tax Cuts and Jobs Act (Tax Reform), which impacted the tax line within Corporate/Other,prior year, as well as positive operating leverage, even as Citi continued to make investments in the tax linesfranchise. Citi’s positive operating leverage and continued credit discipline resulted in North America GCB and ICG (for additional information on this updated estimate, see “Impact of Tax Reform” below).an improvement in pretax earnings.
•
Citi reported broad-based loan and deposit growth across GCB and ICG.
In 2017, Citi increased the amountreturned $22.3 billion of capital returned to shareholders, while each of its key regulatory capital metrics remained strong (see “Capital” below). During the year, Citi returned approximately $17.1 billionshareholders in the form of common stock repurchases and dividends anddividends; Citi repurchased approximately 214264 million common shares, ascontributing to a 9% reduction in average outstanding common shares declined 7% from the prior year.
Going into 2018, while economic sentimentDespite continued progress in capital returns to shareholders, Citi’s key regulatory capital metrics remained strong.

While global growth has improvedcontinued and the underlying macroeconomic environment remains largely positive, there continue to beeconomic forecasts for 2020 have been lowered and various economic, political and other risks and uncertainties that could create a more volatile operating environment and impact Citi’s businesses and future results. For a more detailed discussion of the risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition during 2018,2020, see each respective business’s results of operations, “Risk Factors” and “Managing Global Risk” below. Despite these risks and uncertainties, Citi intends to continue to build on the progress made during 20172019 with a focus on further optimizing its performance to benefit shareholders.shareholders, while remaining flexible and adapting to market and economic conditions as they develop.


2017
2019 Results Summary Results


Citigroup
Citigroup reported a net lossincome of $6.8$19.4 billion, or $2.98$8.04 per share, compared to net income of $14.9$18.0 billion, or $4.72$6.68 per share, in the prior year. Excluding the impact of Tax Reform, Citigroup netNet income of $15.8 billion increased 6% compared to the prior year, reflecting8%, primarily driven by a lower effective tax rate and higher revenues, partially offset by higher cost of credit, while earningsexpenses were largely unchanged. Earnings per share increased 13%20%, includingdriven by higher net income and the impact of a 7%9% reduction in average shares outstanding. (Citi’s resultsoutstanding due to the common stock repurchases. Results in 2019 included a net tax benefit of operations excluding the impact of Tax Reform are non-GAAP financial measures. Citi believes the presentation ofapproximately $0.35 per share related to discrete tax items, including an approximate $0.6 billion benefit from reductions in Citi’s valuation allowance related to its results of operations excluding the impact of Tax Reform provides a meaningful depiction for investors of the underlying fundamentals of its businesses.) For additional information regarding the impact of Tax Reform, see “Impact of Tax Reform,” “Risk Factors,”
“Significantdeferred tax assets, primarily recorded in Corporate/Other (see “Significant Accounting Policies and Significant Estimates—Income Taxes” below and Notes 1 and 9 to the Consolidated Financial Statements.below).
Citigroup revenues of $71.4$74.3 billion in 2017 increased 2%, driven by 6% aggregate growthor 4% excluding the impact of FX translation and the gains on sale in ICGthe prior year (see “Executive Summary” above), reflecting higher revenues across GCB and GCBICG, partially offset by a 40% decreaselower revenues in Corporate/Other, primarily due to the continued wind-down of legacy assets..
Citigroup’s end-of-period loans increased 7%2% to $667 billion versus the prior-year period.$699 billion. Excluding the impact of foreign currencyFX translation, in U.S. dollars for reporting purposes (FX translation), Citigroup’sCitigroup end-of-period loans also grew 5%2%, as 9%3% aggregate growth in GCB andICG and 4% growth in GCB was partially offset by the continued wind-down of legacy assets in Corporate/Other. Citigroup’s end-of-period deposits increased 6% to $1.1 trillion. Excluding the impact of FX translation, Citigroup’s end-of-period deposits also grew 6%, primarily driven by 7% growth in GCB and 6% growth in ICG, excluding the impact of FX translation. (Citi’s results of operations excluding the gains on sale as well as the impact of FX translation are non-GAAP financial measures. Citi believes the presentation of its results of operations excluding the impact of FX translation and gains on sale provides a meaningful depiction for investors of the underlying fundamentals of its businesses). Citigroup’s end-of-period deposits increased 3% to $960 billion versus the prior year. Excluding the impact of FX translation, Citigroup’s deposits were up 1%, as a 2% increase in ICG deposits was partially offset by a decline in Corporate/ Other deposits, and GCB deposits were largely unchanged.businesses.)


Expenses
Citigroup operating expenses of $42.0 billion were largely unchanged, versus the prior year, as the impact of higher volume-related expenses and ongoing investments were offset by efficiency savings and the wind-down of legacy assets. Year-over-year, ICG operatingassets offset volume-driven growth and continued investments in the franchise. Operating expenses in GCB and Corporate/Other were up 3%down 1% and GCB 5%, respectively, while ICGoperating expenses increased 2%, while Corporate/Other operating expenses declined 24%, all versus the prior year..


Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims of $7.5$8.4 billion increased 7% from the prior year.11%. The increase was mostlyprimarily driven by a $515 million increase inhigher net credit losses primarily in both Citi-branded cards and Citi retail services in North America GCB, partially offset by a lower provision for benefits and claims due to continued legacy asset divestitures within Corporate/Other. The net loan loss reserve build of $266 million compared to a net loan loss reserve build of $217 million in the prior year. The increase was mostly due to volume growth and seasoning, as well as the impacthigher overall cost of loan loss reserve builds related to forward-looking net credit loss expectations, all in the North America cards portfolios, partially offset by a higher net reserve release in ICG.
Net credit losses of $7.1$7.8 billion increased 8% versus the prior year.9%. Consumer net credit losses of $7.4 billion increased 11% to
$6.7 billion, mostly7%, primarily reflecting volume growth and seasoning in the North America cards portfolios and the impact of acquiring the Costco portfolio. The increase in consumerportfolios. Corporate net credit losses was partially offset by the continued wind-down of legacy assets in Corporate/Other. Corporate net credit lossesincreased to $392

decreased 26% to $379 million largely driven by improvementfrom $205 million in the energy sector.prior year, reflecting a normalization in credit trends.
For additional information on Citi’s consumer and corporate credit costs and allowance for loan losses, see each respective business’s results of operations and “Credit Risk” below.


Capital
Citigroup’s Common Equity Tier 1 (CET1) Capital and Tier 1 Capital ratios, on a fully implemented basis, were 12.4% and 14.1%ratio was 11.8% as of December 31, 2017 (based2019, compared to 11.9% as of December 31, 2018, based on the Basel III Standardized Approach for determining risk-weighted assets), respectively, compared to 12.6% and 14.2% as of December 31, 2016 (based on the Basel III Advanced Approaches for determining risk-weighted assets).assets. The decline in regulatory capitalthe ratio primarily reflected the return of capital to common shareholders, and an approximately $6 billion reduction in Common Equity Tier 1 (CET1) Capital due to the impact of Tax Reform, partially offset by earnings growth.net income and a reduction in risk-weighted assets. Citigroup’s Supplementary Leverage ratio as of December 31, 2017, on a fully implemented basis,2019 was 6.7%6.2%, compared to 7.2%6.4% as of December 31, 2016.2018. For additional information on Citi’s capital ratios and related components, including the impact of Tax Reform on its capital ratios, see “Capital Resources” below.


Global Consumer Banking
GCB net income decreased 21%of $5.7 billion increased 7%. Excluding the impact of Tax Reform, GCBFX translation, net income decreased 6%increased 8%, asdriven by higher revenues, were more thanpartially offset by higher expenses and higher cost of credit. OperatingGCB operating expenses of $17.6 billion decreased 1%. Excluding the impact of FX translation, expenses were $17.8 billion, up 2%,largely unchanged, as higher volume-related expenses andefficiency savings offset continued investments werein the franchise and volume-driven growth.
GCB revenues of $33.0 billion increased 2%. Excluding the impact of FX translation and the gains on sale in both North America GCB and Latin America GCB in the prior year, revenues increased 4%, driven by growth in all three regions. North America GCB revenues of $20.4 billion increased 3%, and 4% excluding the gain on sale in the prior year, primarily driven by growth in Citi-branded cards and Citi retail services, partially offset by efficiency savings.
GCB revenues of $32.7 billion increased 4% versus the prior year, driven by growth across all regions. lower retail banking revenues. In North America GCBrevenues increased 3% to $20.3 billion, driven by higher revenues across all businesses. ,Citi-branded cards revenues of $8.6$9.2 billion were up 5% versusincreased 6%, and 8% excluding the gain on sale in the prior year, mostlyprimarily reflecting volume growth and spread expansion. Citi retail servicesrevenues of $6.7 billion increased 2%, primarily driven by organic loan growth and the additionfull-year benefit of the Costco portfolio as well as modest growth in interest-earning balances, partially offset by the continued run-off of non-core portfolios as well as a higher cost to fund growth in transactor and promotional balances, given higher interest rates. Citi retail services revenues of $6.4 billion increased 1% versus the prior year, as continued loan growth was partially offset by the impact of the renewal and extension of certain partnerships, as well as the absence of gains on sales of two cards portfolios in 2016.L.L.Bean acquisition. Retail banking revenues increased 1% from the prior year to $5.3 billion. Excluding mortgage revenues, retail banking revenues of $4.5 billion were up 9% fromdecreased 2%, as the prior year, drivenbenefit of stronger deposit volumes was more than offset by continued growth in loans and assets under management, as well as a benefit from higher interest rates.lower deposit spreads.
North America GCB average deposits of $184$153 billion increased 1% year-over-year,3%, average retail banking loans of $56$49 billion grewincreased 3% and assets under management of $60$72 billion grew 14%20% (including the benefit of market movements). Average Citi-branded card loans of $85$90 billion increased 15%3%, while Citi-branded card purchase sales of $320$368 billion increased 28% versus the prior year.7%. Average Citi retail services loans of $46$50 billion increased 4% versus the prior
year,3%, while Citi retail services purchase sales of $81$88 billion were upincreased 2%. For additional information on the results of operations of North America GCB for 2017, in 2019, see “Global Consumer Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes the results of operations in certain EMEA countries)), of $12.6 billion increased 6% versus the prior year to $12.4 billion. 1%.
Excluding the impact of FX translation and the gain on sale in Latin America GCB in the prior year, international GCB revenues increased 5% versus the prior year. 4%. On this basis, Latin America GCB revenues increased 6% versus the prior year4%, primarily driven by growth in loans and deposits, as well as improved deposit spreads. Asia GCB revenues increased 5% (4% excluding modest gains on the sales of merchant acquiring businesses in the second and fourth quarters of 2017) versus the prior year, primarily reflecting an increase in cards revenues and wealth management improved deposit spreads. Asia GCB revenues partially offset by lower retail lendingincreased 4%, primarily reflecting higher deposit, investment and cards revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for 2017, in 2019, including the impact of FX translation,see “Global Consumer Banking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below.
Year-over-year, excluding the impact of FX translation, international GCB average deposits of $122$124 billion increased 5%, average retail banking loans of $87$71 billion were largely unchanged,increased 4%, assets under management of $101$104 billion increased 14%16%(including the benefit of market movements), average card loans of $24$25 billion increased 5%3% and card purchase sales of $98$108 billion increased 7%, all excluding the impact of FX translation.6%.


Institutional Clients Group
ICG net incomedecreased 5%. Excluding the impact of Tax Reform, ICG net income of $12.9 billionincreased 16%3%, primarily driven by higher revenues and a small benefit to cost of credit (compared to a $486 million cost of credit in the prior year),lower effective tax rate, partially offset by higher operating expenses. expenses and cost of credit. ICG operating expenses increased 3%2% to $19.6$22.2 billion, asprimarily driven by higher compensation costs, investments and volume-related expenses werevolume-driven growth, partially offset by efficiency savings.
ICG revenues were $35.7of $39.3 billion in 2017, up 7% from the prior year, primarily driven byincreased 3%, reflecting a 16%1% increase in Banking revenues. revenues and a 5% increase in Markets and securities services were largely unchanged versus the prior year.revenues. The increase in Banking revenues included the impact of $133$432 million of losses on loan hedges within corporate lending, compared to lossesgains of $594$45 million in the prior year.
Banking revenues of $18.7$21.9 billion (excluding the impact of lossesgains (losses) on loan hedges within corporate lending) increased 12%3%, driven by solid growth across all products.in treasury and trade solutions, investment banking and the private bank. Investment banking revenues of $5.2 billion increased 20% versus the prior year, reflecting wallet share gains across all products.4%, as strength in debt underwriting was partially offset by lower revenues in both equity underwriting and advisory. Advisory revenues increased 11%decreased 3% to $1.1$1.3 billion, equity underwriting revenues increased 68%decreased 2% to $1.1 billion$973 million and debt underwriting revenues increased 13%10% to $3.0 billion.
Treasury and trade solutions revenues of $10.3 billion all versusincreased 4%, and 6% excluding the prior year.
impact of FX translation, reflecting strong client engagement and volume growth, partially offset by the impact of lower interest rates. Private bank revenues of $3.5 billion increased 14% from the prior year,2%, driven by growth in clients, loans, investmentshigher lending and deposits,deposit volumes as well as improved spreads.higher investment activity, partially offset by spread compression. Corporate lending revenues increased 59%declined 16% to $1.8$2.5 billion. Excluding the impact of lossesgains (losses) on loan hedges, corporate lending revenues increased 12% versuswere largely unchanged, as growth in the prior year, primarily drivencommercial loan portfolio was offset by lower hedging costs,
volumes in the rest of the portfolio.

as well as the prior-year adjustment to the residual value of a lease financing. Treasury and trade solutions revenues of $8.5 billion increased 7% versus the prior year, reflecting volume growth and improved spreads, with balanced growth across net interest and fee income.
Markets and securities services revenues of $17.1$17.8 billion were largely unchanged fromincreased 5%, including a pretax gain of approximately $350 million on Citi’s investment in Tradeweb in the prior year, as a declinesecond quarter of 2019, recorded in fixed income markets and equity markets revenues was offset by an increase in securities services revenues as well as a $580 million gain on the sale of a fixed income analytics business. markets.Fixed income markets revenues of $12.1$12.9 billion decreased 6% from the prior year,increased 10%, reflecting low volatility,

growth across rates and currencies as well as spread products, including the comparison to higher revenues from a more robust trading environment in the prior year following the vote in the U.K. in favor of its withdrawal from the European Union, as well as the U.S. election.Tradeweb gain. Equity markets revenues of $2.7$2.9 billion decreased 2% from the prior year,15%, primarily driven by an episodic loss inlower revenues across cash equities, derivatives of roughly $130 million related to a single client event. Excluding this item, equity markets revenues increased 2% from the prior year, driven by growth in client balances and higher investor client revenue.prime finance. Securities services revenues of $2.3$2.6 billion were largely unchanged, but increased 8%, driven by growth in client volumes4% excluding the impact of FX translation, reflecting higher net interest revenue due to higher deposits and higher interest revenue.rates, particularly in emerging markets, as well as higher client volumes. For additional information on the results of operations of ICG for 2017, in 2019, see “��Institutional Clients Group” below.


Corporate/Other
Corporate/Other net lossincome was $19.7 billion in 2017,$801 million, compared to net income of $498$186 million in the prior year. Excluding the impact of Tax Reform, Corporate/Other net income declined 69% to $153 million, reflecting lower revenues, partially offset by lower operating expenses and lower cost of credit. Operating expenses of $3.8 billion declined 24% from the prior-year period, reflecting the wind-down of legacy assets and lower legal expenses.
Corporate/Other revenues were $3.1 billion, down 40% from the prior year, primarily reflecting the wind-downbenefit of legacy assets as well as the absencediscrete tax items. Operating expenses of gains related to debt buybacks in 2016.
Corporate/Other end-of-period assets of $77$2.2 billion decreased 25% from the prior year, reflecting5%, as the continued wind-down of legacy assets as well asmore than offset higher infrastructure costs. Corporate/Other revenues of $2.0 billion decreased 8%, primarily driven by the impactcontinued wind-down of Tax Reform, which reducedlegacy assets, partially offset by approximately $20 billion.gains on investments. For additional information on the results of operations of Corporate/Other for 2017, in 2019, see “Corporate/Other” below.




Impact of Tax Reform
Citi’s full-year 2017 results included the updated estimate for a one-time, non-cash charge of $22.6 billion, recorded within Corporate/Other, North America GCB and ICG related to the enactment of Tax Reform, which was signed into law on December 22, 2017. This updated estimate resulted in a downward adjustment to fourth-quarter and full-year 2017 financial results, as well as changes in the segments where the impact was recorded (previously, the entire charge was recorded in Corporate/Other), from those reported on January 16, 2018, by an aggregate of $594 million due to refinements of original estimates. The approximate $6 billion reduction in CET1 Capital due to the impact of Tax Reform was unchanged.
This charge was composed of a $12.4 billion remeasurement of Citi’s deferred tax assets (DTAs) due to the reduction to the U.S. corporate tax rate and the change to a quasi-territorial tax system (see “Significant Accounting Policies and Estimates—Income Taxes” below), a $7.9 billion valuation allowance against Citi’s foreign tax credit (FTC) carry-forwards and its U.S. residual DTAs related to its non-U.S. branches, and a $2.3 billion reduction in Citi’s FTC carry-forwards related to the deemed repatriation of undistributed earnings of non-U.S. subsidiaries.
The financial results in the table below disclose the as-reported GAAP results for 2017 and 2016, the impact of Tax Reform and the 2017 adjusted results excluding the impact of Tax Reform. The charge related to Tax Reform is reflected in Citi’s results throughout this Annual Report on Form 10-K, unless otherwise noted.
The final impact of Tax Reform may differ from the estimate due to, among other things, changes in assumptions
 
made by Citigroup and additional guidance that may be issued by the U.S. Department of the Treasury. For more information on possible changes to the estimated impact related to Tax Reform, see “Risk Factors—Strategic Risks” below and Notes 1 and 9 to the Consolidated Financial Statements.


























In millions of dollars, except per share amounts, and as otherwise noted
2017
as reported
Impact of
Tax Reform
 
2017
adjusted results(1)
2016
as reported
2017 Ex-Tax Reform increase/(decrease)
vs. 2016
 
$ Change% Change 
Net income (loss)$(6,798)$(22,594) $15,796
$14,912
$884
6 % 
Diluted earnings per share:      

 
Income (loss) from continuing operations(2.94)(8.31) 5.37
4.74
0.63
13
 
Net income (loss)(2.98)(8.31) 5.33
4.72
0.61
13
 
Effective tax rate129.1 %(9,930)bps29.8%30.0% (20)bps
Global Consumer Banking—Net income
$3,884
$(750) $4,634
$4,947
$(313)(6)% 
North America GCB—Net income
2,044
(750) 2,794
3,240
(446)(14) 
Institutional Clients Group—Net income
9,009
(2,000) 11,009
9,467
1,542
16
 
Corporate/Other—Net income (loss)
(19,691)(19,844) 153
498
(345)(69) 
         
Performance and other metrics:        
  Return on average assets(0.36)%(120)bps0.84%0.82% 2
bps
  Return on average common stockholders’ equity(3.9)(1,090) 7.0
6.6
 40
 
  Return on average total stockholders’ equity(3.0)(1,000) 7.0
6.5
 50
 
  Return on average tangible common equity(4.6)(1,270) 8.1
7.6
 50
 
  Dividend payout ratio(32.2)(5,020) 18.0
8.9
 910
 
  Total payout ratio(213.9)(33,140) 117.5
77.1
 404
 


























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(1) Excludes the impact of Tax Reform.







RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
In millions of dollars, except per-share amounts and ratios20172016201520142013
In millions of dollars, except per share amounts20192018201720162015
Net interest revenue$44,687
$45,104
$46,630
$47,993
$46,793
$47,347
$46,562
$45,061
$45,476
$47,093
Non-interest revenue26,762
24,771
29,724
29,226
29,931
26,939
26,292
27,383
25,321
30,184
Revenues, net of interest expense$71,449
$69,875
$76,354
$77,219
$76,724
$74,286
$72,854
$72,444
$70,797
$77,277
Operating expenses41,237
41,416
43,615
55,051
48,408
42,002
41,841
42,232
42,338
44,538
Provisions for credit losses and for benefits and claims7,451
6,982
7,913
7,467
8,514
8,383
7,568
7,451
6,982
7,913
Income from continuing operations before income taxes$22,761
$21,477
$24,826
$14,701
$19,802
$23,901
$23,445
$22,761
$21,477
$24,826
Income taxes(1)
29,388
6,444
7,440
7,197
6,186
4,430
5,357
29,388
6,444
7,440
Income (loss) from continuing operations$(6,627)$15,033
$17,386
$7,504
$13,616
$19,471
$18,088
$(6,627)$15,033
$17,386
Income (loss) from discontinued operations, net of taxes(2)
(111)(58)(54)(2)270
(4)(8)(111)(58)(54)
Net income (loss) before attribution of noncontrolling interests$(6,738)$14,975
$17,332
$7,502
$13,886
$19,467
$18,080
$(6,738)$14,975
$17,332
Net income attributable to noncontrolling interests
60
63
90
192
227
66
35
60
63
90
Citigroup’s net income (loss)(1)
$(6,798)$14,912
$17,242
$7,310
$13,659
$19,401
$18,045
$(6,798)$14,912
$17,242
Less: 
Preferred dividends—Basic$1,213
$1,077
$769
$511
$194
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS37
195
224
111
263
Income (loss) allocated to unrestricted common shareholders for basic EPS$(8,048)$13,640
$16,249
$6,688
$13,202
Add: Other adjustments to income—
—
—
1
1
Income (loss) allocated to unrestricted common shareholders for diluted EPS$(8,048)$13,640
$16,249
$6,689
$13,203
Earnings per share  
Basic  
Income (loss) from continuing operations$(2.94)$4.74
$5.43
$2.21
$4.26
$8.08
$6.69
$(2.94)$4.74
$5.43
Net income (loss)(2.98)4.72
5.41
2.21
4.35
8.08
6.69
(2.98)4.72
5.41
Diluted  
Income (loss) from continuing operations$(2.94)$4.74
$5.42
$2.20
$4.25
$8.04
$6.69
$(2.94)$4.74
$5.42
Net income (loss)
(2.98)4.72
5.40
2.20
4.34
8.04
6.68
(2.98)4.72
5.40
Dividends declared per common share0.96
0.42
0.16
0.04
0.04
1.92
1.54
0.96
0.42
0.16
Common dividends$4,403
$3,865
$2,595
$1,214
$484
Preferred dividends1,109
1,174
1,213
1,077
769
Common share repurchases17,875
14,545
14,538
9,451
5,452


Table continues on the next page, including footnotes.

SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
Citigroup Inc. and Consolidated Subsidiaries
 Citigroup Inc. and Consolidated Subsidiaries 
In millions of dollars, except per-share amounts, ratios and direct staff20172016201520142013
At December 31:     
Total assets$1,842,465
$1,792,077
$1,731,210
$1,842,181
$1,880,035
Total deposits959,822
929,406
907,887
899,332
968,273
Long-term debt236,709
206,178
201,275
223,080
221,116
Citigroup common stockholders’ equity181,487
205,867
205,139
199,717
197,254
Total Citigroup stockholders’ equity200,740
225,120
221,857
210,185
203,992
Direct staff (in thousands)
209
219
231
241
251
Performance metrics     
Return on average assets(0.36)%0.82%0.95%0.39%0.73%
Return on average common stockholders’ equity(3)
(3.9)6.6
8.1
3.4
7.0
Return on average total stockholders’ equity(3)
(3.0)6.5
7.9
3.5
6.9
Efficiency ratio (total operating expenses/total revenues)58
59
57
71
63
Basel III ratios—full implementation     
Common Equity Tier 1 Capital(4)
12.36 %12.57%12.07%10.57%10.57%
Tier 1 Capital(4)
14.06
14.24
13.49
11.45
11.23
Total Capital(4)
16.30
16.24
15.30
12.80
12.64
Supplementary Leverage ratio(5)
6.68
7.22
7.08
5.94
5.42
Citigroup common stockholders’ equity to assets9.85 %11.49%11.85%10.84%10.49%
Total Citigroup stockholders’ equity to assets10.90
12.56
12.82
11.41
10.85
Dividend payout ratio(6)
         NM8.9
3.0
1.8
0.9
Total payout ratio(7)
         NM77.1
36.0
19.9
7.1
Book value per common share$70.62
$74.26
$69.46
$66.05
$65.12
Tangible book value (TBV) per share(8)
60.16
64.57
60.61
56.71
55.19
Ratio of earnings to fixed charges and preferred stock dividends2.26x2.54x2.89x
2.00x
2.18x
  
In millions of dollars, except per share amounts, ratios and direct staff20192018201720162015
At December 31:     
Total assets$1,951,158
$1,917,383
$1,842,465
$1,792,077
$1,731,210
Total deposits1,070,590
1,013,170
959,822
929,406
907,887
Long-term debt248,760
231,999
236,709
206,178
201,275
Citigroup common stockholders’ equity(1)
175,262
177,760
181,487
205,867
205,139
Total Citigroup stockholders’ equity(1)
193,242
196,220
200,740
225,120
221,857
Average assets1,978,805
1,920,242
1,875,438
1,808,728
1,823,875
Direct staff (in thousands)
200
204
209
219
231
Performance metrics     
Return on average assets0.98%0.94%(0.36)%0.82%0.95%
Return on average common stockholders’ equity(1)(2)
10.3
9.4
(3.9)6.6
8.1
Return on average total stockholders’ equity(1)(2)
9.9
9.1
(3.0)6.5
7.9
Return on tangible common equity (RoTCE)(1)(3)
12.1
11.0
8.1
7.6
9.3
Efficiency ratio (total operating expenses/total revenues)56.5
57.4
58.3
59.8
57.6
Basel III ratios(1)(4)
     
Common Equity Tier 1 Capital(5)
11.81%11.86%12.36 %12.57%12.07%
Tier 1 Capital(5)
13.36
13.46
14.06
14.24
13.49
Total Capital(5)
15.97
16.18
16.30
16.24
15.30
Supplementary Leverage ratio6.21
6.41
6.68
7.22
7.08
Citigroup common stockholders’ equity to assets(1)
8.98%9.27%9.85 %11.49%11.85%
Total Citigroup stockholders’ equity to assets(1)
9.90
10.23
10.90
12.56
12.82
Dividend payout ratio(6)
23.9
23.1
         NM
8.9
3.0
Total payout ratio(7)
121.8
109.1
         NM
77.1
36.0
Book value per common share(1)
$82.90
$75.05
$70.62
$74.26
$69.46
Tangible book value (TBV) per share(1)(3)
70.39
63.79
60.16
64.57
60.61
(1)2017 includes the one-time impact related to enactment of the Tax Cuts and Jobs Act (Tax Reform). 2019 and 2018 reflect the tax rate structure post Tax Reform. See “Impact ofFor additional information, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below. RoTCE for 2017 excludes the one-time impact from Tax Reform” above.Reform.
(2)See Note 2 to the Consolidated Financial Statements for additional information on Citi’s discontinued operations.
(3)The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(3)For information on RoTCE and TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below.
(4)Citi’s regulatoryrisk-based capital and leverage ratios for 2017 and prior years are non-GAAP financial measures, which reflect full implementation of regulatory capital adjustments and deductions prior to the U.S. Basel III rules. effective date of January 1, 2018.
(5)As of December 31, 2019, 2018, and 2017, Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework. For all prior periods presented, Citi’s Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(5)(6)Citi’s Supplementary Leverage ratio reflects full implementationDividends declared per common share as a percentage of the U.S. Basel III rules.net income per diluted share.
(6) Dividends declared per common share as a percentage of net income per diluted share.
(7)
Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders.shareholders (Net income, less preferred dividends). See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 10 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.
NMNot meaningful
(8) For information on TBV, see “Capital Resources—Tangible Common Equity, Tangible Book Value Per Share, Book Value Per Share and Returns on Equity” below.
NM Not meaningful




SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
In millions of dollars
2017(1)
20162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015		20192018
2017(1)
% Change 
 2019 vs. 2018		% Change 
 2018 vs. 2017
Income (loss) from continuing operations    
Global Consumer Banking    
North America$2,043
$3,238
$4,188
(37)%(23)%$3,224
$3,087
$1,829
4 %69 %
Latin America590
633
826
(7)(23)901
802
516
12
55
Asia(2)
1,260
1,083
1,200
16
(10)1,577
1,420
1,197
11
19
Total$3,893
$4,954
$6,214
(21)%(20)%$5,702
$5,309
$3,542
7 %50 %
Institutional Clients Group    
North America$2,449
$3,495
$3,316
(30)%5 %$3,511
$3,675
$2,494
(4)%47 %
EMEA2,804
2,365
2,230
19
6
3,867
3,889
2,828
(1)38
Latin America1,513
1,454
1,351
4
8
2,111
2,013
1,637
5
23
Asia2,300
2,211
2,213
4
—
3,455
2,997
2,416
15
24
Total$9,066
$9,525
$9,110
(5)%5 %$12,944
$12,574
$9,375
3 %34 %
Corporate/Other$(19,586)$554
$2,062
NM
(73)%825
205
(19,544)NM
NM
Income (loss) from continuing operations$(6,627)$15,033
$17,386
NM
(14)%$19,471
$18,088
$(6,627)8 %NM
Discontinued operations$(111)$(58)$(54)(91)%(7)%$(4)$(8)$(111)50 %93 %
Net income (loss) attributable to noncontrolling interests60
63
90
(5)(30)
Less: net income attributable to noncontrolling interests66
35
60
89
(42)
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
NM
(14)%$19,401
$18,045
$(6,798)8 %NM

(1)2017 includes the impact of Tax Reform. See “Impact of Tax Reform” above.
(2) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
NM Not meaningful

CITIGROUP REVENUES
In millions of dollars201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Global Consumer Banking     
North America$20,262
$19,759
$19,515
3 %1 %
Latin America5,152
4,922
5,722
5
(14)
Asia(1)
7,283
6,838
7,014
7
(3)
Total$32,697
$31,519
$32,251
4 %(2)%
Institutional Clients Group     
North America$13,636
$12,513
$12,698
9 %(1)%
EMEA10,692
9,855
9,788
8
1
Latin America4,216
3,977
3,944
6
1
Asia7,123
6,882
6,902
4
—
Total$35,667
$33,227
$33,332
7 %— %
Corporate/Other$3,085
$5,129
$10,771
(40)%(52)%
Total Citigroup net revenues$71,449
$69,875
$76,354
2 %(8)%

(1)
2017 includes the one-time impact related to enactment of Tax Reform. For additional information, see “Significant Accounting Policies and SignificantEstimates—Income Taxes” below.
(2)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.

NM Not meaningful


CITIGROUP REVENUES
In millions of dollars201920182017% Change 
 2019 vs. 2018		% Change 
 2018 vs. 2017
Global Consumer Banking     
  North America$20,398
$19,829
$19,570
3 %1 %
  Latin America5,238
5,309
4,794
(1)11
  Asia(1)
7,335
7,201
7,081
2
2
Total$32,971
$32,339
$31,445
2 %3 %
Institutional Clients Group     
  North America$13,459
$13,522
$14,578
— %(7)%
  EMEA12,006
11,770
10,878
2
8
  Latin America5,166
4,954
4,814
4
3
  Asia8,670
8,079
7,552
7
7
Total$39,301
$38,325
$37,822
3 %1 %
Corporate/Other2,014
2,190
3,177
(8)(31)
Total Citigroup net revenues$74,286
$72,854
$72,444
2 %1 %
(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.




SEGMENT BALANCE SHEET(1)—DECEMBER 31, 2019
In millions of dollars
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Citigroup
parent
company-
issued
long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Citigroup
parent
company-
issued
long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Assets        
Cash and deposits with banks$11,446
$65,916
$103,154
$—
$180,516
$7,076
$69,363
$117,480
$—
$193,919
Federal funds sold and securities borrowed or purchased under agreements to resell242
231,806
430
—
232,478
Securities borrowed and purchased under agreements to resell87
250,968
267
—
251,322
Trading account assets5,885
243,916
1,755
—
251,556
1,168
265,260
9,712
—
276,140
Investments10,786
109,231
232,273
—
352,290
1,150
126,481
240,932
—
368,563
Loans, net of unearned income and   
allowance for loan losses301,729
330,826
22,124
—
654,679
Loans, net of unearned income and allowance for loan losses290,270
387,036
9,394
—
686,700
Other assets38,037
96,266
36,643
—
170,946
39,071
94,648
40,795
—
174,514
Liquidity assets(4)
60,755
258,342
(319,097)—
—
Net inter-segment liquid assets(4)
68,077
253,463
(321,540)—
—
Total assets$428,880
$1,336,303
$77,282
$—
$1,842,465
$406,899
$1,447,219
$97,040
$—
$1,951,158
Liabilities and equity  
  
Total deposits$307,244
$639,487
$13,091
$—
$959,822
$291,049
$767,666
$11,875
$—
$1,070,590
Federal funds purchased and securities loaned or sold under agreements to repurchase4,705
151,563
9
—
156,277
Securities loaned and sold under agreements to repurchase2,229
164,096
14
—
166,339
Trading account liabilities20
123,933
94
—
124,047
549
118,788
557
—
119,894
Short-term borrowings576
20,075
23,801
—
44,452
417
27,082
17,550
—
45,049
Long-term debt(3)
2,143
35,297
47,106
152,163
236,709
1,472
64,758
32,053
150,477
248,760
Other liabilities19,745
80,383
19,358
—
119,486
20,847
71,215
14,518
—
106,580
Net inter-segment funding (lending)(3)
94,447
285,565
(27,109)(352,903)—
90,336
233,614
19,769
(343,719)—
Total liabilities$428,880
$1,336,303
$76,350
$(200,740)$1,640,793
$406,899
$1,447,219
$96,336
$(193,242)$1,757,212
Total equity(5)
—
—
932
200,740
201,672
Total stockholders’ equity(5)
—
—
704
193,242
193,946
Total liabilities and equity$428,880
$1,336,303
$77,282
$—
$1,842,465
$406,899
$1,447,219
$97,040
$—
$1,951,158


(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of December 31, 2017.segment. The respective segment information depicts the assets and liabilities managed by each segment as of such date.segment.
(2)
Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.The impact of Tax Reform is included in North America GCB, ICG and Corporate/Other.
(3)The totalTotal stockholders’ equity and the majority of long-term debt of Citigroup reside inon the Citigroup parent company Consolidated Balance Sheet.balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquidityliquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.
(5)
Corporate/Other equity represents noncontrolling interests.


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GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB) consists of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, including commercial banking, and Citi-branded cards and Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). GCB is focused on its priority markets in the U.S., Mexico and Asia with 2,4512,348 branches in 19 countries and jurisdictions as of December 31, 2017.2019. At December 31, 2017, 2019, GCB had approximately $429$407 billion in assets and $307$291 billion in deposits.
GCB’s overall strategy is to leverage Citi’s global footprint and be the pre-eminent bank for the emerging affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies.


In millions of dollars except as otherwise noted201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
In millions of dollars, except as otherwise noted201920182017% Change 
 2019 vs. 2018		% Change 
 2018 vs. 2017
Net interest revenue$27,187
$26,025
$25,752
4 %1 %$28,205
$27,374
$26,277
3 %4 %
Non-interest revenue5,510
5,494
6,499
—
(15)4,766
4,965
5,168
(4)(4)
Total revenues, net of interest expense$32,697
$31,519
$32,251
4 %(2)%$32,971
$32,339
$31,445
2 %3 %
Total operating expenses$17,843
$17,483
$17,199
2 %2 %$17,628
$17,786
$17,229
(1)%3 %
Net credit losses$6,562
$5,610
$5,752
17 %(2)%$7,382
$6,884
$6,462
7 %7 %
Credit reserve build (release)965
708
(395)36
NM
Provision (release) for unfunded lending commitments(2)3
4
NM
(25)
Credit reserve build439
568
1,029
(23)(45)
Provision for unfunded lending commitments1
—
—
100
—
Provision for benefits and claims116
106
108
9
(2)73
103
116
(29)(11)
Provisions for credit losses and for benefits and claims$7,641
$6,427
$5,469
19 %18 %
Provisions for credit losses and for benefits and claims
(LLR & PBC)
$7,895
$7,555
$7,607
5 %(1)%
Income from continuing operations before taxes$7,213
$7,609
$9,583
(5)%(21)%$7,448
$6,998
$6,609
6 %6 %
Income taxes3,320
2,655
3,369
25
(21)1,746
1,689
3,067
3
(45)
Income from continuing operations$3,893
$4,954
$6,214
(21)%(20)%$5,702
$5,309
$3,542
7 %50 %
Noncontrolling interests$9
$7
$10
29 %(30)%6
7
9
(14)(22)
Net income$3,884
$4,947
$6,204
(21)%(20)%$5,696
$5,302
$3,533
7 %50 %
Balance Sheet data (in billions of dollars)
  
Balance Sheet data and ratios (in billions of dollars)
  
Total EOP assets$429
$412
$381
4 %8 %$407
$388
$389
5 %— %
Average assets418
396
378
6
5
389
378
380
3
(1)
Return on average assets0.93%1.25%1.64% 1.46%1.40%0.93% 
Efficiency ratio55
55
53
 53
55
55
 
Average deposits$306
$298
$295
3
1
$277
$269
$267
3
1
Net credit losses as a percentage of average loans2.21%2.01%2.12% 2.60%2.48%2.39% 
Revenue by business    
Retail banking$13,378
$12,916
$13,654
4 %(5)%$12,549
$12,627
$12,089
(1)%4 %
Cards(1)
19,319
18,603
18,597
4
—
20,422
19,712
19,356
4
2
Total$32,697
$31,519
$32,251
4 %(2)%$32,971
$32,339
$31,445
2 %3 %
Income from continuing operations by business    
Retail banking$1,673
$1,566
$1,875
7 %(16)%$1,842
$1,851
$1,320
— %40 %
Cards(1)
2,220
3,388
4,339
(34)(22)3,860
3,458
2,222
12
56
Total$3,893
$4,954
$6,214
(21)%(20)%$5,702
$5,309
$3,542
7 %50 %
Table continues on the next page, including footnotes.



Foreign currency (FX) translation impact    
Total revenue—as reported$32,697
$31,519
$32,251
4 %(2)%$32,971
$32,339
$31,445
2 %3 %
Impact of FX translation(2)
—
66
(924) —
(146)(270) 
Total revenues—ex-FX(3)
$32,697
$31,585
$31,327
4 %1 %$32,971
$32,193
$31,175
2 %3 %
Total operating expenses—as reported$17,843
$17,483
$17,199
2 %2 %$17,628
$17,786
$17,229
(1)%3 %
Impact of FX translation(2)
—
54
(401) —
(100)(154) 
Total operating expenses—ex-FX(3)
$17,843
$17,537
$16,798
2 %4 %$17,628
$17,686
$17,075
— %4 %
Total provisions for LLR & PBC—as reported$7,641
$6,427
$5,469
19 %18 %$7,895
$7,555
$7,607
5 %(1)%
Impact of FX translation(2)
—
(1)(214) —
(24)(53) 
Total provisions for LLR & PBC—ex-FX(3)
$7,641
$6,426
$5,255
19 %22 %$7,895
$7,531
$7,554
5 %— %
Net income—as reported$3,884
$4,947
$6,204
(21)%(20)%$5,696
$5,302
$3,533
7 %50 %
Impact of FX translation(2)
—
7
(236) —
(16)(42) 
Net income—ex-FX(3)
$3,884
$4,954
$5,968
(22)%(17)%$5,696
$5,286
$3,491
8 %51 %
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the 20172019 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningfulNote: For information on the impact of Citi’s January 1, 2020 adoption of the new accounting standard on credit losses (CECL), see “Risk Factors—Operational Risks” below and Note 1 to the Consolidated Financial Statements.





NORTH AMERICA GCB
North America GCB provides traditional retail banking including commercial banking,and Citi-branded cards products and Citi retail services card products to retail customers and small to mid-size businesses, as applicable,business customers in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Citi-branded cards as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Best Buy and Macy’s) within Citi retail services.
As previously announced, the Hilton Honors co-brand credit card partnership with Citi was scheduled to terminate as of year-end 2017. On October 23, 2017, Citi signed an agreement to sell the Hilton credit card portfolio (approximately $1.1 billion in outstanding loan balances in Citi-branded cards as ofAt December 31, 2017) to American Express. In connection with the sale agreement, the existing partnership was extended through the closing date. The sale was completed on January 30, 2018, resulting in a pretax gain of approximately $150 million, which approximates one year of revenues from the portfolio. The sale will impact 2019, North America GCB’s quarterly comparisons in 2018.
As of December 31, 2017, North America GCB’s 694 had 687 retail bank branches are concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of December 31, 2017, 2019, North America GCB had approximately 9.2 million retail banking customer accounts, $56.0$50.3 billion in retail banking loans and $182.5$160.5 billion in deposits. In addition, North America GCB had approximately 121 million Citi-branded and Citi retail services credit card accounts with $139.7$149.2 billion in outstanding card loan balances.
In millions of dollars, except as otherwise noted201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015		201920182017% Change 
 2019 vs. 2018		% Change 
 2018 vs. 2017
Net interest revenue$18,881
$18,131
$17,409
4 %4 %$19,869
$19,006
$18,298
5 %4 %
Non-interest revenue(1)1,381
1,628
2,106
(15)(23)529
823
1,272
(36)(35)
Total revenues, net of interest expense$20,262
$19,759
$19,515
3 %1 %$20,398
$19,829
$19,570
3 %1 %
Total operating expenses$10,160
$10,058
$9,369
1 %7 %$10,154
$10,230
$9,867
(1)%4 %
Net credit losses$4,796
$3,919
$3,751
22 %4 %$5,583
$5,085
$4,737
10 %7 %
Credit reserve build (release)869
653
(339)33
NM
Credit reserve build469
460
926
2
(50)
Provision for unfunded lending commitments4
6
8
(33)(25)1
—
—
100
—
Provision for benefits and claims33
34
39
(3)(13)19
22
33
(14)(33)
Provisions for credit losses and for benefits and claims$5,702
$4,612
$3,459
24 %33 %$6,072
$5,567
$5,696
9 %(2)%
Income from continuing operations before taxes$4,400
$5,089
$6,687
(14)%(24)%$4,172
$4,032
$4,007
3 %1 %
Income taxes2,357
1,851
2,499
27
(26)948
945
2,178
—
(57)
Income from continuing operations$2,043
$3,238
$4,188
(37)%(23)%$3,224
$3,087
$1,829
4 %69 %
Noncontrolling interests(1)(2)3
50
NM
—
—
(1)—
100
Net income$2,044
$3,240
$4,185
(37)%(23)%$3,224
$3,087
$1,830
4 %69 %
Balance Sheet data (in billions of dollars)
  
 
 
Balance Sheet data and ratios (in billions of dollars)
  
 
 
Average assets$248
$228
$208
9 %10 %$232
$227
$232
2 %(2)%
Return on average assets0.82%1.42%2.01% 1.39%1.36%0.79% 
Efficiency ratio50
51
48
 50
52
50
 
Average deposits$184.4
$183.2
$180.7
1
1
$152.8
$148.0
$151.0
3
(2)
Net credit losses as a percentage of average loans2.58%2.29%2.39% 2.97%2.78%2.67% 
Revenue by business  
 
   
 
 
Retail banking$5,257
$5,222
$5,312
1 %(2)%$4,529
$4,600
$4,565
(2)%1 %
Citi-branded cards8,578
8,150
7,781
5
5
9,165
8,628
8,578
6
1
Citi retail services6,427
6,387
6,422
1
(1)6,704
6,601
6,427
2
3
Total$20,262
$19,759
$19,515
3 %1 %$20,398
$19,829
$19,570
3 %1 %
Income from continuing operations by business  
 
   
 
 
Retail banking$455
$533
$616
(15)%(13)%$196
$312
$251
(37)%24 %
Citi-branded cards1,019
1,441
2,057
(29)(30)1,742
1,581
1,009
10
57
Citi retail services569
1,264
1,515
(55)(17)1,286
1,194
569
8
NM
Total$2,043
$3,238
$4,188
(37)%(23)%$3,224
$3,087
$1,829
4 %69 %


(1)2018 includes an approximate $150 million gain on the Hilton portfolio sale.
NM Not meaningful



20172019 vs. 20162018
Net income decreased 37% increased 4%, as higher revenues and was impactedlower expenses were partially offset by an estimated $750 million non-cash charge recorded in the tax line due to the impacthigher cost of Tax Reform (for additional information, see “Impact of Tax Reform” above)credit.
Revenues increased 3%. Excluding the impact of Tax Reform, net income decreased 14% due tothe $150 million gain on the Hilton portfolio sale in the prior year, revenues increased 4%, reflecting higher cost of creditrevenues in Citi-branded cards and slightly higher expenses,Citi retail services, partially offset by higherlower retail banking revenues.
Revenues increased 3%, driven by higher revenues across all businesses.
Retail banking revenues decreased 2%, as the benefit of stronger deposit volumes was more than offset by lower deposit spreads. Average deposits increased 1%3%. ExcludingAssets under management increased 20%, including the decline in mortgage revenues (downbenefit of 32%),market movements. Citi expects that retail banking revenues were up 9%, drivenwill likely be impacted by growth in checking deposits, continued growth in loans (average loans up 3%) and assets under management (up 14%) and increased commercial banking activity, as well as a benefit from higher interest rates. The decline in mortgage revenues was driven bythe lower origination activity and higher cost of funds, reflecting the higher interest rate environment as well asin the impact of the previously announced sale of a portion of Citi’s mortgage servicing rights.near term.
Cards revenues increased 3%4% (5% excluding the Hilton gain). In Citi-branded cards, revenues increased 5%6% (8% excluding the Hilton gain), primarily reflecting the acquisition of the Costco portfolio (completed June 17, 2016), as well as modestdriven by volume growth in interest-earning balances, partially offset by the continued run-off of non-core portfolios and the higher cost to fund growth in transactor and promotional balances, given the higher interest rates.spread expansion. Average loans grew 15%increased 3% and purchase sales grew 28%increased 7%.North America GCB expects that additional terms in certain partnership contracts that go into effect in 2018 will negatively impact Citi-branded cards revenues going forward.
Citi retail services revenues increased 1%2%, as continuedprimarily driven by organic loan growth was partially offset byand the impactfull-year benefit of the previously disclosed renewal and extension of certain partnerships within theL.L.Bean portfolio as well as the absence of gains on sales of two cards portfolios in 2016.acquisition. Average loans grew 4%increased 3% and purchase sales grewincreased 2%.
Expenses increased decreased 1%, driven by the addition of the Costco portfolio,as efficiency savings more than offset ongoing investments and higher volume-related expenses and investments, partially offset by efficiency savings. Also included in expenses is an $80 million provision for remediation costs related to a Credit Card Accountability Responsibility and Disclosure Act (CARD Act) matter (for additional information, see “Corporate/Other” below and Note 27 to the Consolidated Financial Statements).expenses.
Provisions increased 24% from the prior year,9%, primarily driven by higher net credit losses and a higher net loan loss reserve build.
losses. Net credit losses increased 22% to $4.8 billion, largely10%, driven by higher net credit losses in Citi-branded cards (up 28%10% to $2.4$2.9 billion) and Citi retail services (up 19%9% to $2.2$2.6 billion). The increase in net credit losses primarily reflected volume growth and seasoning in both cards portfolios, as well as the impact of acquiring the Costco portfolio in Citi-branded cards.
portfolios. The net loan loss reserve build in 2017 was $873 million (compared to a build of $659 million in the prior year)increased 2%, driven byreflecting volume growth and seasoning in both cards portfolios, as
portfolios.
well as the increase in net flow rates in later delinquency buckets leading to higher inherent credit loss expectations, primarily in Citi retail services.
For additional information on North America GCB’s retail banking portfolios, including commercial banking and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.

2016 vs. 2015
Net income decreased by 23% due to significantly higher cost of credit and higher expenses, partially offset by higher revenues.
Revenues increased 1%, reflecting higher revenues in Citi-branded cards, partially offset by lower revenues in retail banking and Citi retail services. Retail banking revenues decreased 2%. Excluding the previously disclosed $110 million gainFor information on sale of branches in Texas in the first quarter of 2015, retail banking revenues were largely unchanged, as lower mortgage revenues were offset by continued volume growth, including growth in average loans (9%) and average checking deposits (9%).
Cards revenues increased 2%. In Citi-branded cards, revenues increased 5%, primarily reflecting the acquisition of the Costco portfolio as well as volume growth, partially offset by higher investment-related acquisition and rewards costs and the impact of higher promotional balances.Citi’s January 1, 2020 adoption of the new accounting standard on credit losses (CECL), see “Risk Factors—Operational Risks” below and Note 1 to the Consolidated Financial Statements.
As previously disclosed, Sears has continued to close stores since it exited bankruptcy. Although Citi retail services revenues decreased 1%, as the impact of the renewal and extension of several partnerships within the portfolio as well as the absence of revenueswill continue to be impacted from portfolio exits were partially offset by modest growth in average loans.
Expenses increased 7%, primarily due to the Costco acquisition, continued investment spending, volume growth, higher repositioning charges and regulatory and compliance costs, partially offset by ongoing efficiency savingsreduced new account acquisitions and lower legalpurchase sales, Citi does not currently expect an immediate or ongoing material impact on its consolidated results. For additional information on the potential impact from a deterioration in or failure to maintain Citi’s co-branding and related costs.private label credit card relationships, see “Risk Factors—Strategic Risks” below.
Provisions increased 33%, driven by a net loan loss reserve build, compared to a loan loss reserve release in the prior year, and higher net credit losses. The net loan loss reserve build mostly reflected reserve builds in the cards portfolios and was primarily driven by the impact of the acquisition of the Costco portfolio, as well as volume growth and seasoning of the portfolios and the absence of nearly $400 million of reserve releases in 2015 as credit normalized. The reserve build was also due to the estimated impact of proposed regulatory guidelines on third-party debt collections.
The increase in net credit losses was driven by increases in cards and retail banking. In retail banking, net credit losses grew 37%, primarily due to an increase related to Citi’s energy and energy-related exposures within the commercial banking portfolio, which was largely offset by releases of previously established loan loss reserves. In Citi-branded cards, net credit losses increased 1%, driven by volume growth, including the impact of Costco beginning in the fourth quarter of 2016, seasoning and the impact of the regulatory changes on collections. In Citi retail services, net credit losses increased 6%, primarily due to portfolio growth and seasoning and the impact of the regulatory changes on collections.









LATIN AMERICA GCB
Latin America GCB provides traditional retail banking including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businessesbusiness customers in Mexico through Citibanamex, one of Mexico’s largest banks.
At December 31, 2017, 2019, Latin America GCB had 1,4791,419 retail branches in Mexico, with approximately 27.7 million retail banking customer accounts, $19.9$11.7 billion in retail banking loans and $27.1$23.8 billion in deposits. In addition, the business had approximately 5.6 million Citi-branded card accounts with $5.4$6.0 billion in outstanding card loan balances.
On November 27, 2017, Citi entered into an agreement to sell its Mexico asset management business reported within Latin America GCB. For additional information on this sale, see Note 2 to the Consolidated Financial Statements.
In millions of dollars, except as otherwise noted201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015		201920182017% Change 
 2019 vs. 2018		% Change 
 2018 vs. 2017
Net interest revenue$3,638
$3,431
$3,849
6 %(11)%$3,639
$3,681
$3,491
(1)%5 %
Non-interest revenue(1)1,514
1,491
1,873
2
(20)1,599
1,628
1,303
(2)25
Total revenues, net of interest expense$5,152
$4,922
$5,722
5 %(14)%$5,238
$5,309
$4,794
(1)%11 %
Total operating expenses$2,920
$2,838
$3,251
3 %(13)%$2,883
$2,900
$2,721
(1)%7 %
Net credit losses$1,117
$1,040
$1,280
7 %(19)%$1,109
$1,131
$1,083
(2)%4 %
Credit reserve build (release)125
83
33
51
NM
Provision (release) for unfunded lending commitments(1)1
(2)NM
NM
Credit reserve build(38)84
113
NM
(26)
Provision for unfunded lending commitments—
—
—
—
—
Provision for benefits and claims83
72
69
15
4
54
81
83
(33)(2)
Provisions for credit losses and for benefits and claims (LLR & PBC)$1,324
$1,196
$1,380
11 %(13)%$1,125
$1,296
$1,279
(13)%1 %
Income from continuing operations before taxes$908
$888
$1,091
2 %(19)%$1,230
$1,113
$794
11 %40 %
Income taxes318
255
265
25
(4)329
311
278
6
12
Income from continuing operations$590
$633
$826
(7)%(23)%$901
$802
$516
12 %55 %
Noncontrolling interests5
5
3
—
67
—
—
5
—
(100)
Net income$585
$628
$823
(7)%(24)%$901
$802
$511
12 %57 %
Balance Sheet data (in billions of dollars)
  
 
 
Balance Sheet data and ratios (in billions of dollars)
  
 
 
Average assets$45
$49
$53
(8)%(8)%$35
$33
$35
6 %(6)%
Return on average assets1.30%1.28%1.55% 2.57%2.43%1.46% 
Efficiency ratio57
58
57
 55
55
57
 
Average deposits$27.4
$25.7
$26.7
7
(4)$22.8
$22.7
$21.8
—
4
Net credit losses as a percentage of average loans4.42%4.32%4.87% 6.45%6.50%6.08% 
Revenue by business    
Retail banking$3,690
$3,447
$3,933
7 %(12)%$3,585
$3,744
$3,324
(4)%13 %
Citi-branded cards1,462
1,475
1,789
(1)(18)1,653
1,565
1,470
6
6
Total$5,152
$4,922
$5,722
5 %(14)%$5,238
$5,309
$4,794
(1)%11 %
Income from continuing operations by business  
 
   
 
 
Retail banking$410
$355
$520
15 %(32)%$600
$596
$332
1 %80 %
Citi-branded cards180
278
306
(35)(9)301
206
184
46
12
Total$590
$633
$826
(7)%(23)%$901
$802
$516
12 %55 %
FX translation impact  
 
   
 
 
Total revenues—as reported(1)$5,152
$4,922
$5,722
5 %(14)%$5,238
$5,309
$4,794
(1)%11 %
Impact of FX translation(1)
—
(45)(906) 
Impact of FX translation(2)
—
(23)(117) 
Total revenues—ex-FX(2)(3)
$5,152
$4,877
$4,816
6 %1 %$5,238
$5,286
$4,677
(1)%13 %
Total operating expenses—as reported$2,920
$2,838
$3,251
3 %(13)%$2,883
$2,900
$2,721
(1)%7 %
Impact of FX translation(1)
—
(21)(376) 
Impact of FX translation(2)
—
(13)(59) 
Total operating expenses—ex-FX(2)(3)
$2,920
$2,817
$2,875
4 %(2)%$2,883
$2,887
$2,662
— %8 %
Provisions for LLR & PBC—as reported$1,324
$1,196
$1,380
11 %(13)%$1,125
$1,296
$1,279
(13)%1 %
Impact of FX translation(1)
—
(10)(211) 
Impact of FX translation(2)
—
(6)(32) 
Provisions for LLR & PBC—ex-FX(2)(3)
$1,324
$1,186
$1,169
12 %1 %$1,125
$1,290
$1,247
(13)%3 %
Net income—as reported$585
$628
$823
(7)%(24)%$901
$802
$511
12 %57 %
Impact of FX translation(1)
—
(10)(244)  
Impact of FX translation(2)
—
(3)(19)  
Net income—ex-FX(2)(3)
$585
$618
$579
(5)%7 %$901
$799
$492
13 %62 %
(1)2018 includes an approximate $250 million gain on the sale of an asset management business. See Note 2 to the Consolidated Financial Statements.
(2)Reflects the impact of FX translation into U.S. dollars at the 20172019 average exchange rates for all periods presented.
(2)(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.

NM Not meaningful



The discussion of the results of operations for Latin America GCB below excludes the impact of FX translation for all periods presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a reconciliation of certain of these metrics to the reported results, see the table above.


20172019 vs. 20162018
Net incomeincreased 13%, primarily reflecting lower cost of credit, partially offset by lower revenues.
Revenues decreased 5%1%, including a gain on sale (approximately $250 million) of an asset management business in the prior year. Excluding the gain on sale, revenues increased 4%, reflecting higher revenues in both retail banking and cards.
Retail banking revenues decreased 4%. Excluding the gain on sale, retail banking revenues increased 3%, as improved deposit spreads were partially offset by lower average loans (down 3%), reflecting the ongoing slowdown in overall economic growth and industry volumes in Mexico. Assets under management increased 13%, including the benefit of market movements, while average deposits were
largely unchanged, as clients transferred money to investments. Cards revenues increased 6%, primarily driven by continued volume growth, reflecting higher credit costspurchase sales (up 7%) and expenses, partially offset by higher revenues.
Revenues increased 6%, driven by higher revenues in
retail banking.
Retail banking revenues increased 8%, reflecting continued growth in volumes, including an increase in average deposits (8%), average loans (6%), reflecting growth across most portfolios, an increase in assets under management (6%(up 3%), as well as improved deposit spreads, driven by higher interest rates. Cards revenues
Expenses were largely unchanged, as continued improvement in full-rate revolving loans in the second half of 2017 wasefficiency savings offset by a higher cost to fund non-revolving loans. Purchase sales grew 8% and average card loans grew 5%.
Expenses increased 4%, as ongoing investment spending and business growth were partially offset by efficiency savings. Citi continues to execute on its investment plans for Citibanamex (totaling more than $1 billion through 2020), including initiatives to modernize the branch network, enhance digital capabilities and upgrade core operating platforms.volume-driven growth.
Provisions increased 12% decreased 13%, primarily driven by higher net credit losses (8%) and a $42 million increase in themodest net loan loss reserve build, largely reflecting volume growth and seasoning. The increase in the loan loss reserve build was also driven byrelease (compared to a Mexico earthquake-relatednet loan loss reserve build in the third quarter of 2017 (approximately $25 million).prior year) and lower net credit losses, reflecting lower volumes in retail banking.
For additional information on LatinAmerica GCB’s retail banking portfolios, including commercial banking and its Citi-branded cards portfolio,portfolios, see “Credit Risk—Consumer Credit” below.
For additional information on potential macroeconomic
and geopolitical challenges and other risks facing Latin
America GCBthe impact of Citi’s January 1, 2020 adoption of the new accounting standard on credit losses (CECL), see “Risk Factors—StrategicOperational Risks” below.




2016 vs. 2015
Net income increased 7%, driven by higher revenuesbelow and lower expenses, partially offset by higher credit costs.
Revenues increased 1%, driven by overall volume growth, largely offset by the absence of a $160 million gain on sale relatedNote 1 to the sale of the merchant acquiring business in Mexico in 2015. Excluding this gain, revenues increased 5%, primarily due to higher revenues in retail banking, partially offset by lower revenues in cards. Retail banking revenues increased 3%. Excluding the gain on sale related to the merchant acquiring business, revenues increased 9%, driven by volume growth. Cards revenues decreased 4%, driven by the impact of higher payment rates, partially offset by increased purchase sales.Consolidated Financial Statements.
Expenses decreased 2%, as lower legal and related expenses, the impact of business divestitures and ongoing efficiency savings were partially offset by higher repositioning charges and ongoing investment spending.
Provisions increased 1%, driven by a higher net loan loss reserve build, partially offset by lower net credit losses. The net loan loss reserve build increased $56 million, largely due to volume growth. Net credit losses decreased 5%, largely reflecting continued lower net credit losses in the cards portfolio, partially offset by higher net credit losses in the personal loan portfolio.


























ASIA GCB
Asia GCB provides traditional retail banking including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses, as applicable. As of December 31, 2017, Citi’sbusiness customers. During 2019, Asia GCB’s most significant revenues in the region Asia were from Singapore, Hong Kong, Singapore, South Korea, Australia, India, Taiwan, Indonesia,Thailand, Philippines, ThailandIndonesia and Malaysia. Included within Asia GCB, traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily in Poland, Russia and the United Arab Emirates.
At December 31, 2017,2019, on a combined basis, the businesses had 278242 retail branches, approximately 16.0 million retail banking customer accounts, $70.0$62.8 billion in retail banking loans and $97.7$106.7 billion in deposits. In addition, the businesses had approximately 16.4 million Citi-branded card accounts with $19.8$19.9 billion in outstanding card loan balances.


In millions of dollars, except as otherwise noted(1)
201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Net interest revenue$4,668
$4,463
$4,494
5 %(1)%
Non-interest revenue2,615
2,375
2,520
10
(6)
Total revenues, net of interest expense$7,283
$6,838
$7,014
7 %(3)%
Total operating expenses$4,763
$4,587
$4,579
4 %— %
Net credit losses$649
$651
$721
— %(10)%
Credit reserve build (release)(29)(28)(89)(4)69
Provision (release) for unfunded lending commitments(5)(4)(2)(25)(100)
Provisions for credit losses$615
$619
$630
(1)%(2)%
Income from continuing operations before taxes$1,905
$1,632
$1,805
17 %(10)%
Income taxes645
549
605
17
(9)
Income from continuing operations$1,260
$1,083
$1,200
16 %(10)%
Noncontrolling interests5
4
4
25
—
Net income$1,255
$1,079
$1,196
16 %(10)%
Balance Sheet data (in billions of dollars)
  
 
  
Average assets$125
$119
$117
5 %2 %
Return on average assets1.00%0.91%1.02%  
Efficiency ratio65
67
65
  
Average deposits$94.6
$89.5
$87.7
6
2
Net credit losses as a percentage of average loans0.76%0.77%0.81%  
Revenue by business     
Retail banking$4,431
$4,247
$4,409
4 %(4)%
Citi-branded cards2,852
2,591
2,605
10
(1)
Total$7,283
$6,838
$7,014
7 %(3)%
Income from continuing operations by business     
Retail banking$808
$678
$739
19 %(8)%
Citi-branded cards452
405
461
12
(12)
Total$1,260
$1,083
$1,200
16 %(10)%

In millions of dollars, except as otherwise noted(1)
201920182017% Change 
 2019 vs. 2018		% Change 
 2018 vs. 2017
Net interest revenue$4,697
$4,687
$4,488
— %4 %
Non-interest revenue2,638
2,514
2,593
5
(3)
Total revenues, net of interest expense$7,335
$7,201
$7,081
2 %2 %
Total operating expenses$4,591
$4,656
$4,641
(1)%— %
Net credit losses$690
$668
$642
3 %4 %
Credit reserve build (release)8
24
(10)(67)NM
Provision (release) for unfunded lending commitments—
—
—
—
—
Provisions for credit losses$698
$692
$632
1 %9 %
Income from continuing operations before taxes$2,046
$1,853
$1,808
10 %2 %
Income taxes469
433
611
8
(29)
Income from continuing operations$1,577
$1,420
$1,197
11 %19 %
Noncontrolling interests6
7
5
(14)40
Net income$1,571
$1,413
$1,192
11 %19 %
Balance Sheet data and ratios (in billions of dollars)
  
 
 
Average assets$122
$119
$114
3 %4 %
Return on average assets1.29%1.19%1.05% 
Efficiency ratio63
65
66
 
Average deposits$101.1
$98.0
$94.6
3
4
Net credit losses as a percentage of average loans0.88%0.86%0.85% 
Revenue by business  
Retail banking$4,435
$4,283
$4,200
4 %2 %
Citi-branded cards2,900
2,918
2,881
(1)1
Total$7,335
$7,201
$7,081
2 %2 %
Income from continuing operations by business  
Retail banking$1,046
$943
$737
11 %28 %
Citi-branded cards531
477
460
11
4
Total$1,577
$1,420
$1,197
11 %19 %
FX translation impact        
Total revenues—as reported$7,283
$6,838
$7,014
7 %(3)%$7,335
$7,201
$7,081
2 %2 %
Impact of FX translation(2)
—
111
(18) —
(123)(153) 
Total revenues—ex-FX(3)
$7,283
$6,949
$6,996
5 %(1)%$7,335
$7,078
$6,928
4 %2 %
Total operating expenses—as reported$4,763
$4,587
$4,579
4 %— %$4,591
$4,656
$4,641
(1)%— %
Impact of FX translation(2)
—
75
(25) —
(87)(95) 
Total operating expenses—ex-FX(3)
$4,763
$4,662
$4,554
2 %2 %$4,591
$4,569
$4,546
— %1 %
Provisions for credit losses—as reported$615
$619
$630
(1)%(2)%$698
$692
$632
1 %9 %
Impact of FX translation(2)
—
9
(3) —
(18)(21) 
Provisions for credit losses—ex-FX(3)
$615
$628
$627
(2)%— %$698
$674
$611
4 %10 %
Net income—as reported$1,255
$1,079
$1,196
16 %(10)%$1,571
$1,413
$1,192
11 %19 %
Impact of FX translation(2)
—
17
8
  —
(13)(23)  
Net income—ex-FX(3)
$1,255
$1,096
$1,204
15 %(9)%$1,571
$1,400
$1,169
12 %20 %

(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(2)Reflects the impact of FX translation into U.S. dollars at the 20172019 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.

NM Not meaningful


The discussion of the results of operations for Asia GCB below excludes the impact of FX translation for all periods presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a reconciliation of certain of these metrics to the reported results, see the table above.


20172019 vs. 20162018
Net income increased 15%12%, reflecting higher revenues and lower cost of credit, partially offset by higher expenses.
Revenues increased 5%,primarily driven by improvement in cards and wealth managementhigher revenues, partially offset by continued lowermodestly higher cost of credit.
Revenues increased 4%, primarily driven by growth in retail lending revenues.banking.
Retail banking revenues increased 3%5%, primarily driven by higher investment revenues due to the continued improvement in wealth management revenues, partially offset by the repositioning of the retail loan portfolio. Wealth management revenuesimproved market sentiment and higher deposit revenues. Investment sales increased due to improvement in investor sentiment, stronger equity markets and increases in8%, assets under management (18%) and investment sales (38%). Averagegrew 17%, including the benefit of market movements, average deposits increased 6% and average loans increased 5%. The increaseRetail lending revenues declined 1%, as continued growth in revenuespersonal loans was partiallymore than offset by the lower retail lendingmortgage revenues (down 4%), reflecting continued lower average loans (1%) due to the continued optimization of this portfolio away from lower yielding mortgage loans to focus on growing higher-return personal loans.spread compression.
Cards revenues increased 8%1%, reflecting 5%including a modest episodic gain in the current year, as continued growth in average loans (up 3%) and 7% growth in purchase sales both of which benefited from the previously disclosed portfolio acquisition in Australia in 2017,(up 6%) was largely offset by spread compression.
Expenses were largely unchanged, as wellefficiency savings were offset by ongoing investment spending and volume-driven growth.
Provisions increased 4%, as modest gains in 2017 related to sales of merchant acquiring businesses in certain countries.
Expenses increased 2%, resulting fromhigher net credit losses reflecting volume growth and ongoing investment spending,seasoning were partially offset by efficiency savings.a lower net loan loss reserve build in the current year. Overall credit quality remained stable in the region.
Provisions decreased 2%, primarily driven by a decrease in net credit losses.
For additional information on AsiaGCB’s retail banking portfolios including commercial banking, and its Citi-branded cards portfolio, see “Credit Risk—Consumer Credit” below.

2016 vs. 2015
Net income decreased 9%, reflecting lower revenues and higher expenses.
Revenues decreased 1%, reflecting lower retail banking revenues, partially offset by higher cards revenues. Retail banking revenues decreased 2%, mainly due to a 5% decrease in wealth management revenues due to lower client activity, modestly lower investment assets under management and a decline in average loans. The decline in revenues was partially offset by growth in deposit volumes and higher insurance revenues. Cards revenues increased 1%, driven by continued improvement in yields, modestly abating regulatory headwinds and modest volume growth due to continued stabilizing payment rates.
Expenses increased 2%, primarily due to higher repositioning costs, higher regulatory and compliance costs and increased investment spending, partially offset by efficiency savings.
Provisions were largely unchanged as lower net loan loss reserve releases were offset by lower netFor information on the impact of Citi’s January 1, 2020 adoption of the new accounting standard on credit losses primarily in(CECL), see “Risk Factors—Operational Risks” below and Note 1 to the commercial portfolio.Consolidated Financial Statements.















INSTITUTIONAL CLIENTS GROUP
Institutional Clients Group (ICG) includes Banking and Markets and securities services (for additional information on these businesses, see “Citigroup Segments” above). ICG provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.
ICG revenue is generated primarily from fees and spreads associated with these activities. ICG earns fee income for assisting clients inwith transactional services and clearing transactions,and providing brokerage and investment banking services and other such activities. Such fees are recognized at the point in time when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the trade/execution date or closing of a transaction. Revenue generated from these activities is recorded in Commissions and fees and Investment banking. Revenue is also generated from transaction processing and assets under custody and administration.administration, which is recognized as/when the associated promised service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi. Revenue generated from these activities is primarily recorded in Administration and other fiduciary fees. For additional information on these various types of revenues, see Note 5 to the Consolidated Financial Statements.
In addition, as a market maker, ICG facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in Principal transactions(for. Mark-to-market gains and losses on certain credit derivatives (used to hedge the corporate loan portfolio) are also recorded in Principal transactions, (for additional information on Principal transactions revenue, see Note 6 to the Consolidated Financial Statements). Other primarily includes mark-to-market gains and losses on certain credit derivatives,realized gains and losses on available-for-sale (AFS) debt securities, gains and losses on equity securities not held in trading accounts and other non-recurring gains and losses. Interest income earned on assets held, less interest paid on long- and short-term debt and to customers on deposits, and long- and short-term debt, is recorded as Net interest revenue.
The amount and types of Markets revenues are impacted by a variety of interrelated factors, including market liquidity; changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices and credit spreads, as well as their implied volatilities; investor confidence;confidence and other macroeconomic conditions. Assuming all other market conditions do not change, increases in client activity levels or bid/offer spreads generally result in increases in revenues. However, changes in market conditions can
significantly impact client activity levels, bid/offer spreads and the fair value of product inventory. For example, a decrease in market liquidity may increase bid/offer spreads, decrease client activity levels and widen credit spreads on product inventory positions.
ICG’s management of the Markets businesses involves daily monitoring and evaluatingevaluation of the above factors at the trading desk as well as the country level. ICG does not separately track the impact on total Markets revenues of the volume of transactions, bid/offer spreads, fair value changes of product inventory positions and economic hedges because, as noted above, these components are interrelated and are not deemed useful or necessary individually to manage the Markets businesses at an aggregatelevel.
In the Markets businesses, client revenues are those revenues directly attributable to client transactions at the time of inception, including commissions, interest or fees earned. Client revenues do not include the results of client facilitation activities (for example,(e.g., holding product inventory in anticipation of client demand) or the results of certain economic hedging activities.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 98 countries and jurisdictions. At December 31, 2017, 2019, ICG had approximately $1.3$1.4 trillion ofin assets and $640$768 billion ofin deposits, while two of its businesses—securities services and issuer services—managed approximately $17.4$20.3 trillion ofand $17.5 trillion in assets under custody compared to $15.2 trillion at the endas of the prior-year period.December 31, 2019 and 2018, respectively.
In millions of dollars, except as otherwise noted201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Commissions and fees$4,314
$4,045
$4,088
7 %(1)%
Administration and other fiduciary fees2,523
2,262
2,248
12
1
Investment banking4,404
3,655
4,110
20
(11)
Principal transactions7,740
7,335
5,824
6
26
Other(1)
1,149
(164)1,394
NM
NM
Total non-interest revenue$20,130
$17,133
$17,664
17 %(3)%
Net interest revenue (including dividends)15,537
16,094
15,668
(3)3
Total revenues, net of interest expense$35,667
$33,227
$33,332
7 %— %
Total operating expenses$19,608
$18,956
$19,087
3 %(1)%
Net credit losses$365
$516
$214
(29)%NM
Credit reserve build (release)(221)(64)654
NM
NM
Provision (release) for unfunded lending commitments(159)34
94
NM
(64)
Provisions for credit losses$(15)$486
$962
NM
(49)%
Income from continuing operations before taxes$16,074
$13,785
$13,283
17 %4 %
Income taxes7,008
4,260
4,173
65
2
Income from continuing operations$9,066
$9,525
$9,110
(5)%5 %

In millions of dollars, except as otherwise noted201920182017% Change 
 2019 vs. 2018		% Change 
 2018 vs. 2017
Commissions and fees$4,462
$4,651
$4,456
(4)%4 %
Administration and other fiduciary fees2,756
2,806
2,721
(2)3
Investment banking4,440
4,358
4,666
2
(7)
Principal transactions8,562
8,742
7,527
(2)16
Other(1)
1,829
941
1,711
94
(45)
Total non-interest revenue$22,049
$21,498
$21,081
3 %2 %
Net interest revenue (including dividends)17,252
16,827
16,741
3
1
Total revenues, net of interest expense$39,301
$38,325
$37,822
3 %1 %
Total operating expenses$22,224
$21,780
$21,187
2 %3 %
Net credit losses$394
$208
$465
89 %(55)%
Credit reserve build (release)71
(109)(285)NM
62
Provision (release) for unfunded lending commitments98
116
(161)(16)NM
Provisions for credit losses$563
$215
$19
NM
NM
Income from continuing operations before taxes$16,514
$16,330
$16,616
1 %(2)%
Income taxes3,570
3,756
7,241
(5)(48)
Income from continuing operations$12,944
$12,574
$9,375
3 %34 %
Noncontrolling interests57
58
51
(2)14
40
17
57
NM
(70)
Net income$9,009
$9,467
$9,059
(5)%5 %$12,904
$12,557
$9,318
3 %35 %
EOP assets (in billions of dollars)
$1,447
$1,438
$1,375
1 %5 %
Average assets (in billions of dollars)
$1,358
$1,298
$1,272
5 %2 %1,493
1,449
1,395
3
4
Return on average assets0.66%0.73%0.71% 0.86%0.87%0.67% 
Efficiency ratio55
57
57
 57
57
56
 
CVA/DVA after-tax$—
$—
$172
— %(100)%
Net income ex-CVA/DVA(2)
9,009
9,467
8,887
(5)7
Revenues by region    
North America$13,636
$12,513
$12,698
9 %(1)%$13,459
$13,522
$14,578
— %(7)%
EMEA10,692
9,855
9,788
8
1
12,006
11,770
10,878
2
8
Latin America4,216
3,977
3,944
6
1
5,166
4,954
4,814
4
3
Asia7,123
6,882
6,902
4
—
8,670
8,079
7,552
7
7
Total$35,667
$33,227
$33,332
7 %— %$39,301
$38,325
$37,822
3 %1 %
Income from continuing operations by region  
    
  
North America$2,449
$3,495
$3,316
(30)%5 %$3,511
$3,675
$2,494
(4)%47 %
EMEA2,804
2,365
2,230
19
6
3,867
3,889
2,828
(1)38
Latin America1,513
1,454
1,351
4
8
2,111
2,013
1,637
5
23
Asia2,300
2,211
2,213
4
—
3,455
2,997
2,416
15
24
Total$9,066
$9,525
$9,110
(5)%5 %$12,944
$12,574
$9,375
3 %34 %
Average loans by region (in billions of dollars)
  
    
  
North America$151
$145
$130
4 %12 %$188
$174
$159
8 %9 %
EMEA69
66
62
5
6
87
81
69
7
17
Latin America34
35
37
(3)(5)40
42
42
(5)—
Asia62
57
59
9
(3)73
77
72
(5)7
Total$316
$303
$288
4 %5 %$388
$374
$342
4 %9 %
EOP deposits by business (in billions of dollars)
    
Treasury and trade solutions$432
$412
$394
5 %5 %$536
$509
$469
5 %9 %
All other ICG businesses
208
200
195
4
3
232
218
208
6
5
Total$640
$612
$589
5 %4 %$768
$727
$677
6 %7 %


(1)2019 includes an approximate $350 million gain on Citi's investment in Tradeweb in the second quarter. 2017 includes the approximate $580 million gain on the sale of a fixed income analytics business. 2016 includes a charge of approximately $180 million, primarily reflecting the write-down of Citi’s net investment in Venezuela as a result of changes in the exchange rate.
(2)Excludes CVA/DVA in 2015, consistent with current presentation. For additional information, see Notes 1 and 24 to the Consolidated Financial Statements.
NM Not meaningful


 



ICG Revenue Details—Excluding CVA/DVA and Gains (Losses) on Loan HedgesDetails
In millions of dollars201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015		201920182017% Change 
 2019 vs. 2018		% Change 
 2018 vs. 2017
Investment banking revenue details
    
Advisory$1,108
$1,000
$1,093
11 %(9)%$1,259
$1,301
$1,123
(3)%16 %
Equity underwriting1,053
628
906
68
(31)973
991
1,121
(2)(12)
Debt underwriting3,011
2,674
2,558
13
5
2,984
2,719
3,126
10
(13)
Total investment banking$5,172
$4,302
$4,557
20 %(6)%$5,216
$5,011
$5,370
4 %(7)%
Treasury and trade solutions8,473
7,897
7,482
7
6
10,293
9,914
9,279
4
7
Corporate lending—excluding gains (losses) on loan hedges(1)1,922
1,718
1,827
12
(6)
Corporate lending—excluding gains (losses) on loan hedges(1)
2,921
2,913
2,623
—
11
Private bank3,088
2,709
2,582
14
5
3,458
3,398
3,108
2
9
Total banking revenues (ex-CVA/DVA and gains (losses) on
loan hedges)(2)
$18,655
$16,626
$16,448
12 %1 %
Corporate lending—gains (losses) on loan hedges(1)$(133)$(594)$324
78 %NM
Total banking revenues (ex-CVA/DVA and including gains
(losses) on loan hedges)(2)
$18,522
$16,032
$16,772
16 %(4)%
Total Banking revenues (ex-gains (losses) on
loan hedges)
$21,888
$21,236
$20,380
3 %4 %
Corporate lending—gains (losses) on loan hedges(1)
$(432)$45
$(133)NM
NM
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense
$21,456
$21,281
$20,247
1 %5 %
Fixed income markets(2)$12,127
$12,853
$11,277
(6)%14 %$12,884
$11,661
$12,369
10 %(6)%
Equity markets2,747
2,812
3,101
(2)(9)2,908
3,427
2,879
(15)19
Securities services2,329
2,152
2,114
8
2
2,631
2,631
2,366
—
11
Other(3)
(58)(622)(201)91
NM
(578)(675)(39)14
NM
Total Markets and securities services (ex-CVA/DVA)(2)
$17,145
$17,195
$16,291
— %6 %
Total ICG (ex-CVA/DVA)
$35,667
$33,227
$33,063
7 %— %
CVA/DVA (excluded as applicable in lines above)—
—
269
NM
NM
Fixed income markets—
—
220
NM
NM
Equity markets—
—
47
NM
NM
Private bank—
—
2
NM
NM
Total Markets and securities services revenues, net
of interest expense
$17,845
$17,044
$17,575
5 %(3)%
Total revenues, net of interest expense$35,667
$33,227
$33,332
7 %— %$39,301
$38,325
$37,822
3 %1 %
Commissions and fees$782
$705
$628
11 %12 %
Principal transactions(4)
7,661
7,134
7,001
7
2
Other(2)
1,117
380
619
NM
(39)
Total non-interest revenue$9,560
$8,219
$8,248
16 %— %
Net interest revenue3,324
3,442
4,121
(3)(16)
Total fixed income markets(5)
$12,884
$11,661
$12,369
10 %(6)%
Rates and currencies$9,225
$8,486
$8,901
9 %(5)%
Spread products/other fixed income3,659
3,175
3,468
15
(8)
Total fixed income markets$12,884
$11,661
$12,369
10 %(6)%
Commissions and fees$625
$474
$467
32 %1 %$1,121
$1,267
$1,282
(12)%(1)%
Principal transactions(4)
6,826
6,538
5,374
4
22
775
1,240
494
(38)NM
Other590
591
330
—
79
172
110
(21)56
NM
Total non-interest revenue$8,041
$7,603
$6,171
6 %23 %$2,068
$2,617
$1,755
(21)%49 %
Net interest revenue4,086
5,250
5,106
(22)3
840
810
1,124
4
(28)
Total fixed income markets (ex-CVA/DVA)(2)
$12,127
$12,853
$11,277
(6)%14 %
Rates and currencies$8,783
$9,289
$7,616
(5)%22 %
Spread products / other fixed income3,344
3,564
3,661
(6)(3)
Total fixed income markets (ex-CVA/DVA)(2)
$12,127
$12,853
$11,277
(6)%14 %
Commissions and fees$1,234
$1,300
$1,338
(5)%(3)%
Principal transactions(4)
382
134
270
NM
(50)
Other4
139
54
(97)NM
Total non-interest revenue$1,620
$1,573
$1,662
3 %(5)%
Net interest revenue1,127
1,239
1,439
(9)(14)
Total equity markets (ex-CVA/DVA)(2)
$2,747
$2,812
$3,101
(2)%(9)%
Total equity markets(5)
$2,908
$3,427
$2,879
(15)%19 %


(1)Credit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual loans and loans at fair value. Gains (losses) on loan hedges includesinclude the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.
(2)Excludes CVA/DVA2019 includes an approximate $350 million gain on Citi's investment in 2015, consistent with current presentation. For additional information, see Notes 1 and 24 toTradeweb in the Consolidated Financial Statements.second quarter.
(3)2017 includes the approximate $580 million gain on the sale of a fixed income analytics business. 2016 includes
(4)
Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(5)
Citi assesses its Markets business performance on a chargetotal revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net interest revenue may be risk managed by derivatives that are recorded in Principal transactions revenue. For a description of approximately $180 million, primarily reflecting the write-downcomposition of Citi’s net investment in Venezuela as a result of changes inthese revenue line items, see Notes 4, 5 and 6 to the exchange rate.Consolidated Financial Statements.
(4) Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
NM Not meaningful



The discussion of the results of operations for ICG below excludes the impact of CVA/DVA for 2015. Presentations of the results of operations, excluding the impact of CVA/DVA and(where noted) the impact of gains (losses) on hedges of accrual loans, which are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.


20172019 vs. 20162018
Net income decreased 5% and was impacted by an estimated $2.0 billion non-cash charge recorded in the tax line due to the impact of Tax Reform (for additional information, see “Impact of Tax Reform” above). Excluding the impact of Tax Reform, net income increased 16%3%, driven primarily driven by higher revenues and a lower cost of credit,effective tax rate, partially offset by higher expenses.expenses and higher cost of credit.

Revenues increased 7%3%, reflecting a 16% increase in higher Banking (including the losses on loan hedges). Excluding the impact of the losses on loan hedges, Banking revenues increased 12%, driven by solid growth across all products. Markets and securities services were largely unchanged, as growth in securities services revenues (increase of 8%) as well as the $580 million gain on the sale of a fixed income analytics business were offset by a 6% decrease in fixed income markets and a 2% decrease in equity markets revenues.

Within Banking:

Investment banking revenues increased 20%, largely reflecting gains in wallet share across products and regions as well as an improvement from the industry-wide slowdown in activity levels during the first half of 2016, particularly in equity underwriting and advisory. Advisory revenues increased 11%, driven by North America and EMEA, reflecting wallet share gains and the increased market activity. Equity underwriting revenues increased 68%, driven by strength in North America and EMEA, due to significant wallet share gains as well as the increase in overall market activity. Debt underwriting revenues increased 13%, reflecting strength across regions, primarily driven by wallet share gains.
Treasury and trade solutions revenues increased 7%, reflecting growth across all regions that was balanced across both net interest and fee income. The increase was primarily due to continued growth in transaction volumes with new and existing clients, continued growth in deposit balances and improved spreads in certain regions. The trade business experienced modest revenue growth, as continued focus on high-quality loan growth was largely offset by industry-wide tightening of spreads. Average deposit balances increased 4%, while average trade loans increased 5% (4% excluding the impact of FX translation).
Corporate lending revenues increased 59%. Excluding the impact of losses on loans hedges, revenues increased 12%, driven by lower hedging costsand the absence of a prior-year adjustment to the residual value of a lease financing transaction.
Private bank revenues increased 14%, reflecting strength across all regions and products. The increase in revenues was primarily due to higher loan and deposit volumes,


higher deposit spreads and increased managed investments and capital markets activity.

Within Markets and securities services:

Fixed income markets revenues decreased 6%, with lower revenues in all regions, primarily due to low volatility as well as the comparison to higher revenues in the prior year from a more robust trading environment following the vote in the U.K. in favor of its withdrawal from the European Union, as well as the U.S. election. The decline in revenues was driven by lower net interest revenue (decreased 22%), largely due to higher funding costs and a change in the mix of trading positions in support of client activity. The decline was partially offset by higher principal transactions revenues and commissions and fees revenues.
Rates and currencies revenues decreased 5%, driven by lower G10 rates and currencies revenues. Despite the challenging trading environment, corporate client revenues in rates and currencies across the global network remained strong. Spread products and other fixed income revenues decreased 6%, due to a difficult trading environment in the current year given low volatility, driving lower credit markets and commodities revenues, particularly in North America, partially offset by higher municipals revenues, as well as higher securitized markets revenues.
Equity markets revenues decreased 2%. Excluding an episodic loss in derivatives of approximately $130 million in the fourth quarter of 2017 related to a single client event, revenues increased 2%, as continued growth in prime finance and delta one client balances and higher investor client activity (particularly in EMEA and Asia) were partially offset by lower episodic activity with corporate clients in North America. Excluding the episodic loss in derivatives, equity derivatives revenues increased, driven by the stronger investor client activity. Cash equities revenues were modestly higher as well, driven by higher revenues in Asia, partially offset by lower cash commissions, as clients continued to move toward automated execution platforms across the industry.
Securities services revenues increased 8%. Excluding the impact of the prior year’s divestiture of a private equity fund services business, revenues increased 12%, reflecting strength in all regions, driven by growth in client volumes and higher interest revenue due to a more favorable rate environment.

Expenses increased 3%, as higher compensation, volume-related expenses and investments were partially offset by efficiency savings.
Provisions improved $501 million, driven by a net loan loss release of $380 million (compared to a net release of $30 million in the prior year) and a 29% decline in net credit

losses. The increase in net loan loss reserve releases was driven by an improvement in the provision for unfunded lending commitments in the corporate loan portfolio, as well as a favorable credit environment, stability in commodity prices and continued improvement in the portfolio. The decline in net credit losses was largely driven by improvement in the energy sector, partially offset by the impact of the single client event in the fourth quarter noted above.

2016 vs. 2015
Net income increased 5%, primarily driven by lower expenses and lower cost of credit.

Revenues were largely unchanged, reflecting higher revenues in Markets and securities services (increase of 6%), driven by fixed income markets, offset by lower revenues in Banking (decrease of 4%1% including the gains (losses) on loan hedges) and higher Markets and securities services revenues (increase of 5%). Excluding the impact of the gains (losses) on loan hedges, Bankingrevenues increased 1%were up 3%, driven by higher revenues in treasury and trade solutions, investment banking and the private bank.

Within Banking:

Investment bankingbank, as corporate lending was largely unchanged. Markets and securities services revenues decreased 6%, largely reflecting the overall industry-wide slowdown in activity levels in equity underwriting and advisory during the first half of 2016. Advisory revenues decreased 9%, reflecting strong performance in 2015.Equity underwriting revenues decreased 31%, primarily reflecting the lower market activity. Debt underwriting revenues increasedwere up 5%, primarily due toincluding a gain in the second quarter of 2019 from Citi’s investment in Tradeweb, as higher market activity reflecting a favorable interest rate environment.
Treasury and trade solutionsrevenues increased 6%. Excluding the impact of FX translation, revenues increased 8%, reflecting growth across most regions. The increase was primarily due to continued growth in transaction volumes and deposit balances and improved spreads in certain regions. Trade revenues increased modestly due to loan growth as well as spread improvements. End-of-period deposit balances increased 5% (6% excluding the impact of FX translation), while average trade loans decreased 2% (1% excluding the impact of FX translation).
Corporate lending revenues decreased 48%. Excluding the impact of gains (losses) on loan hedges, revenues decreased 6%. Excluding the impact of gains (losses) on loan hedges and FX translation, revenues decreased 1%, mostly reflecting the adjustment to the residual value of a lease financing transaction, spread compression and higher hedging costs, partially offset by higher average loans.
Private bank revenues increased 5%, reflecting growth in loan volumes and improved deposit spreads,fixed income markets were partially offset by lower capitalequity markets activity andrevenues.
Citi expects that ICG’s revenues will likely be impacted by the lower managed investments revenues.
interest rate environment in the near term.


Within Banking:

•
Investment banking revenues increased 4%, reflecting gains in wallet share despite a decline in the overall market wallet. Debt underwriting increased 10%, reflecting gains in wallet share, primarily in investment grade underwriting, across North America, EMEA and Asia. Equity underwriting revenues decreased 2%, reflecting a decline in market wallet, particularly in Asia and EMEA,partially offset by gains in wallet share. Advisory revenues decreased 3%, largely due to a comparison to a strong prior year as well as a decline in market wallet, partially offset by gains in wallet share.
•
Treasury and trade solutions revenues increased 4%. Excluding the impact of FX translation, revenues increased 6%, reflecting strength in all regions, driven by growth across both net interest and fee income. Revenues increased in the cash business, primarily driven by strong client engagement and solid growth in deposit and transaction volumes, partially offset by spread compression in the second half of 2019 due to the impact of lower interest rates. Revenue growth in the trade business was driven by improved spreads, due to growth in structured loans as well as the ability to continue to utilize distribution capabilities to optimize the balance sheet and drive returns, while supporting clients. Average deposits increased 10%, reflecting growth across regions. Average trade loans declined 3%, driven by North America, EMEA and Asia (for additional information, see “Liquidity Risk—Loans” below).
•
Corporate lending revenues decreased 16%. Excluding the impact of gains (losses) on loan hedges, revenues were largely unchanged versus the prior year, as growth in the commercial loan portfolio was offset by lower
volumes in the rest of the portfolio.
 

•
Private bank revenues increased 2%, driven primarily by North America and Asia, partially offset by Latin America. The increase in revenues reflected strong client activity, driving higher lending and deposit volumes, as well as higher capital markets revenues, partially offset by lower deposit spreads.

Within Markets and securities services:


Fixed income markets
•
Fixed income markets revenues increased 10%, including the Tradeweb gain, reflecting higher revenues across all regions. Non-interest revenues increased 14%, with higher revenues in all regions, largely driven by both higher principal transactions revenues (up 22%) and other revenues (up 79%). The increase in principal transactions revenues was primarily due to higher corporate and investor client activity as well as improved market activity, particularly in rates and spread products. The increase in non-interest revenues was partially offset by a decline in net interest revenues, reflecting a change in the mix of trading positions in support of client activity as well as higher funding costs, given the higher interest rate environment in the first half of the year.
Rates and currencies revenues increased 9%, primarily driven by higher G10 rates and currencies revenues in North America, Asia and EMEA, reflecting a more favorable operating environment in the second half of 2019, with higher corporate and higher spread products revenues. Other revenues increased mainly due to foreign currency losses in 2015. Ratesinvestor client activity. Local markets rates and currencies revenues grew 22%, primarily due to the more favorable trading environment and higher client revenues following the vote in the U.K. and the U.S. election. increased modestly despite declining currency volatility.
Spread products and other fixed income revenues decreased 3%increased 15%, due to lower securitized productsincluding the Tradeweb gain, reflecting higher revenues driven by the impact of significantly lower liquidity in the market in the first quarter of 2016.
Equity markets revenues declined 9%. Equityderivativesboth North America and prime finance revenues declined 13%, reflecting both a challenging trading environment across all regions driven by lower volatility compared to 2015, and a comparison to a more favorable trading environment in 2015 in AsiaEMEA. The decline in equity markets revenue was also due to lower equity cash commissions driven by a continued shift to electronic trading and passive investing by clients across the industry.
Securities services revenues increased 2%. Excluding the
impact of FX translation, revenues increased 5%, driven
by EMEA, primarily reflecting increased client activity, a
modest gain on the sale of a private equity fund services
business in the first quarter of 2016, higher deposit
volumes and improved spreads. The increase in revenues
was driven by higher client activity as well as an improved trading environment, particularly in flow trading and financing products. This increase in revenues was partially offset by the absence oflower structured products revenues, fromreflecting a challenging trading environment.
•
Equity markets revenues decreased 15%, driven by lower revenues across cash equities, equity derivatives and prime finance, particularly in North America and Asia. Cash equities revenues decreased largely due to lower client volumes. Despite strong corporate and investor client activity, equity derivatives revenues decreased due to the impact of a less favorable trading environment, given lower market volatility, as well as a comparison to a strong prior year. The decline in prime finance revenues was primarily driven by lower client activity and lower financing balances. Non-interest revenues decreased, primarily driven by lower principal transaction and commissions and fee revenues, due to lower client activity and a less favorable trading environment, as well as a change in the mix of trading positions in support of client activity.
•
Securities services revenues were largely unchanged versus the prior year. Excluding the impact of FX translation, revenues increased 4%, reflecting higher revenues in Asia and Latin America. The increase in revenues was driven by higher net interest revenue due to higher deposit volumes and higher interest rates,
divestitures. Excluding the impact of FX translation
particularly in emerging markets, as well as higher client activity.

Expenses increased 2%, as higher compensation, volume-related expenses and
divestitures, revenues increased 6%.
Expenses decreased 1% as continued investments were partially offset by efficiency savings and a benefit from FX translation and efficiency savings were partially offset by higher compensation expense and higher repositioning charges.translation.
Provisions decreased 49%, increased $348 million, driven by aan increase in net credit losses of $186 million, and an increase in the net loan loss reserve release of $30 million (compared to a net build of $748 million$162 million. Both the increase in net credit losses and the prior year). The significant decline inhigher loan loss reserve builds was related to energy and energy-related exposures and was driven by stabilization of commodities as oil prices continued to recover from lows in early 2016. The decline in costbuild largely reflected a normalization of credit was partially offset by higher nettrends.
For information on the impact of Citi’s January 1, 2020 adoption of the new accounting standard on credit losses of $516 million (compared to $214 million in the prior year) mostly related(CECL), see “Risk Factors—Operational Risks” below and Note 1 to the energy and energy-related exposures, with a vast majority offset by the release of previously established loan loss reserves.Consolidated Financial Statements.








CORPORATE/OTHER
Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as Corporate Treasury, certain North America and international legacy consumer loan portfolios, other legacy assets and discontinued operations (for additional information on Corporate/Other, see “Citigroup Segments” above). At December 31, 2017, 2019, Corporate/Other had $77$97 billion in assets, a decrease of 25% year-over-year and 23% from September 30, 2017. The decrease in assets included an approximate $20 billion decline in DTAs during the fourth quarter of 2017 due to the impact of Tax Reform.assets.
In millions of dollars201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015		201920182017% Change 
 2019 vs. 2018		% Change 
 2018 vs. 2017
Net interest revenue$1,963
$2,985
$5,210
(34)%(43)%$1,890
$2,361
$2,043
(20)%16 %
Non-interest revenue1,122
2,144
5,561
(48)(61)124
(171)1,134
NM
NM
Total revenues, net of interest expense$3,085
$5,129
$10,771
(40)%(52)%$2,014
$2,190
$3,177
(8)%(31)%
Total operating expenses$3,786
$4,977
$7,329
(24)%(32)%$2,150
$2,275
$3,816
(5)%(40)%
Net credit losses149
435
1,336
(66)%(67)%$(8)$21
$149
NM
(86)%
Credit reserve build (release)(317)(456)(453)30 %(1)%(60)(218)(317)72 %31
Provision (release) for unfunded lending commitments—
(8)(24)100 %67 %(7)(3)—
NM
—
Provision for benefits and claims(7)98
623
NM
(84)%—
(2)(7)100
71
Provisions for loan losses and for benefits and claims$(175)$69
$1,482
NM
(95)%
Provisions (benefits) for credit losses and for benefits and claims$(75)$(202)$(175)63 %(15)%
Income (loss) from continuing operations before taxes$(526)$83
$1,960
NM
(96)%$(61)$117
$(464)NM
NM
Income taxes (benefits)19,060
(471)(102)NM
NM
(886)(88)19,080
NM
(100)%
Income (loss) from continuing operations$(19,586)$554
$2,062
NM
(73)%$825
$205
$(19,544)NM
NM
Income (loss) from discontinued operations, net of taxes(111)(58)(54)(91)%(7)(4)(8)(111)50 %93 %
Net income (loss) before attribution of noncontrolling interests$(19,697)$496
$2,008
NM
(75)%$821
$197
$(19,655)NM
NM
Noncontrolling interests(6)(2)29
NM
NM
20
11
(6)82 %NM
Net income (loss)$(19,691)$498
$1,979
NM
(75)%$801
$186
$(19,649)NM
NM
NM Not meaningful


20172019 vs. 20162018
The net lossNet income was $19.7 billion in 2017,$801 million, compared to net income of $498$186 million in the prior year, primarilyyear. Net income was largely driven by the estimated $19.8 billion non-cash charge recordedan income tax benefit of $886 million, compared to an income tax benefit of $88 million in the prior year. The increase in the income tax line duebenefit primarily reflected the reduction in the valuation allowance related to Citi’s deferred tax assets and a pretax loss in the impact of Tax Reform (for additional information, see “Impact of Tax Reform” above)current year (see “Significant Accounting Policies and Significant Estimates—Income Taxes” below). Excluding the impact of Tax Reform, net income declined 69% to $153 million, reflectingThe pretax loss was largely driven by lower revenues from legacy assets, partially offset by higher gains on investments. The pretax loss also reflected higher cost of credit, partially offset by lower expenses and lower cost of credit.expenses.
Revenues declined 40% decreased 8%, primarily reflectingdriven by the continued wind-down of legacy assets, and the absence of gains related to debt buybacks in 2016. Revenues included approximately $750 million inpartially offset by gains on asset sales ininvestments.
Expenses decreased 5%, as the first quarter of 2017, which more than offset a roughly $300 million charge related to the exit of Citi’s U.S. mortgage servicing operations in the quarter.
Expenses declined 24%, reflecting thecontinued wind-down of legacy assets and lower legal expenses,was partially offset by approximately $100 million in episodic expenses primarily related to the exit of the U.S. mortgage servicing operations. Also included in expenses is an approximately $255 million provision for remediation costs related to a CARD Act matter (for additional information, see “North America GCB” above and Note 27 to the Consolidated Financial Statements). Citi believes the aggregate approximately $335 million provision (including the $80 million provision in North America GCB) to be sufficient for Citi’s planned remediation.
higher infrastructure costs.
Provisions decreased $244 increased $127 million to a net benefit of $175$75 million, primarily due to lower net credit losses and a lower provision for benefits and claims, partially offset by a lower net loan loss reserve release. Net credit losses declined 66% to $149 million, primarily reflecting the impact of ongoing divestiture activity and the continued wind-down of the North America mortgage portfolio. The provision for benefits and claims declinedrelease, partially offset by $105 million, primarily due to lower insurance activity. The net reserve release declined by $147 million to $317 million, and reflected the continued wind-down of the legacy North America mortgage portfolio and divestitures.

2016 vs. 2015
Net income was $498 million, compared to net income of $2.0 billion in 2015, primarily reflecting lower revenues and a higher effective tax rate in 2016 due to the absence of certain tax benefits in 2015.
Revenues decreased 52%, primarily driven by the overall wind-down of legacy assets and lower net gains on sales, particularly the sales of OneMain Financial and the retail banking and credit cards businesses in Japan in the fourth quarter of 2015.
Expenses decreased 32%, reflecting the sales and run-off of assets, lower legal and related expenses and lower repositioning costs.

Provisions decreased 95% due to lower net credit losseslosses.
Citi expects that Corporate/Other results will likely be impacted by ongoing investments in infrastructure and acontrols as well as lower provision for benefitsinterest rates and claims (decrease of 84%) due to lower insurance activity. Net credit losses declined 67%, primarily due to the impact of divestitures and continued credit improvements in North America mortgages.investment gains during 2020.

Payment Protection Insurance (PPI)
The selling of PPI by financial institutions in the U.K. has been the subject of intense review and focus by U.K. regulators and the U.K. Supreme Court.
PPI is designed to cover a customer’s loan repayments if certain events occur, such as long-term illness or unemployment.  The U.K. Financial Conduct Authority (FCA) found certain problems across the industry with how these products were sold, including customers not realizing that the cost of PPI premiums was being added to their loan or PPI being unsuitable for the customer.  Redress generally involves the repayment of premiums and the refund of all applicable contractual interest, together with compensatory interest of 8%. 
In addition, during the fourth quarter of 2014, the U.K. Supreme Court issued a ruling in a case (Plevin) involving PPI pursuant to which the court ruled, independent of the sale of the PPI contract, that the PPI contract at issue in the case was “unfair” due to the high sales commissions earned and the lack of disclosure to the customer thereof. 
In addition, the FCA released a policy statement related to PPI that (i) set a deadline of August 29, 2019 by which consumers must file PPI claims, (ii) provides for the launch of FCA-led marketing campaigns to inform consumers of this deadline, (iii) set new rules and guidance for the handling of PPI complaints in light of the Supreme Court’s decision on Plevin and (iv) requires all firms to contact all previously rejected customers who may be able to complain under the new “Plevin” rule (the Plevin Customer Contact Exercise). Citi completed the Plevin Customer Contact Exercise during the fourth quarter of 2017. The FCA-led marketing campaigns began in August 2017 and will continue through the August 2019 deadline. The level of PPI claims also continues to be influenced by the solicitation activity of Claims Management Companies (CMCs).
During 2017, Citi increased its PPI reserves by approximately $109 million (with $105 million recorded in Corporate/Other and $4 million recorded in Discontinued operations).  The increase for full-year 2017 compared to an increase of $134 million during 2016 and was primarily due to the ongoing level of PPI claims.
Citi’s year-end 2017 PPI reserve was $213 million, compared to $228 million as of December 31, 2016.
Additional reserving actions, if any, in 2018 will largely depend on the level of customer claims in response to the FCA-led marketing campaigns and the level of ongoing CMC activity.







 








OFF-BALANCE SHEET ARRANGEMENTS


Citigroup enters into various types of off-balance sheet arrangements in the ordinary course of business. Citi’s involvement in these arrangements can take many different forms, including without limitation:


purchasing or retaining residual and other interests in unconsolidated special purpose entities, such as mortgage-backed and other asset-backed securitization entities;
holding senior and subordinated debt, interests in limited and general partnerships and equity interests in other unconsolidated special purpose entities; and
providing guarantees, indemnifications, loan commitments, letters of credit and representations and warranties; andwarranties.
entering into operating leases for property and equipment.


Citi enters into these arrangements for a variety of business purposes. For example, securitization arrangements offer investors access to specific cash flows and risks created through the securitization process. Securitization arrangements also assist Citi and its customers in monetizing their financial assets and securing financing at more favorable rates than Citi or the customers could otherwise obtain.
The table below shows where a discussion of Citi’s various off-balance sheet arrangements may be found in this Form 10-K. In addition, see Note 1 to the Consolidated Financial Statements.


Types of Off-Balance Sheet Arrangements Disclosures in this Form 10-K
Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEsSee Note 21 to the Consolidated Financial Statements.
Letters of credit, and lending and other commitmentsSee Note 26 to the Consolidated Financial Statements.
GuaranteesSee Note 26 to the Consolidated Financial Statements.
LeasesSee Note 26 to the Consolidated Financial Statements.




CONTRACTUAL OBLIGATIONS


The following table includes information on Citigroup’s contractual obligations, as specified and aggregated pursuant to SEC requirements:
Contractual obligations by year Contractual obligations by year 
In millions of dollars20182019202020212022ThereafterTotal20202021202220232024ThereafterTotal
Long-term debt obligations—principal(1)
$53,478
$36,289
$23,188
$21,019
$12,364
$90,371
$236,709
$37,257
$38,083
$27,090
$20,128
$16,023
$110,179
$248,760
Long-term debt obligations—interest payments(2)
7,496
5,894
4,832
4,043
3,447
33,955
59,667
7,548
6,313
5,244
4,470
3,877
34,220
61,672
Operating and capital lease obligations968
837
676
568
469
2,593
6,111
Operating lease obligations(3)
801
695
572
425
314
935
3,742
Purchase obligations(3)(4)
407
347
358
318
316
1,147
2,893
584
538
532
316
324
752
3,046
Other liabilities(4)(5)
34,180
498
93
87
80
1,794
36,732
34,561
474
218
127
114
1,622
37,116
Total$96,529
$43,865
$29,147
$26,035
$16,676
$129,860
$342,112
$80,751
$46,103
$33,656
$25,466
$20,652
$147,708
$354,336


(1)For additional information about long-term debt obligations, see “Liquidity Risk—Long-Term Debt” below and Note 17 to the Consolidated Financial Statements.
(2)Contractual obligations related to interest payments on long-term debt for 2018–20222020–2024 are calculated by applying the December 31, 20172019 weighted-average interest rate (3.57%(3.28%) on average outstanding long-term debt to the average remaining contractual obligations on long-term debt for each of those years. The “Thereafter” interest payments on long-term debt for the remaining years to maturity (2023–(2025–2098) are calculated by applying current interest rates on the remaining contractual obligations on long-term debt for each of those years.
(3)For additional information about operating leases, see Note 26 to the Consolidated Financial Statements.
(4)Purchase obligations consist of obligations to purchase goods or services that are enforceable and legally binding on Citi. For presentation purposes, purchase obligations are included in the table above through the termination date of the respective agreements, even if the contract is renewable. Many of the purchase agreements for goods or services include clauses that would allow Citi to cancel the agreement with specified notice,notice; however, that impact is not included in the table above (unless Citi has already notified the counterparty of its intention to terminate the agreement).
(4)(5)
Other liabilities reflected on Citigroup’s Consolidated Balance Sheet includes accounts payable, accrued expenses, uncertain tax positions and other liabilities that have been incurred and will ultimately be paid in cash; legal reserve accruals are not included in the table above. Also includes discretionary contributions in 2018 for Citi’s employee-defined benefit obligations for the pension, postretirement and post employment plans and defined contribution plans.




CAPITAL RESOURCES
Overview
Capital is used principally to support assets in Citi’s businesses and to absorb credit, market and operational losses. Citi primarily generates capital through earnings from its operating businesses. Citi may augment its capital through issuances of common stock, noncumulative perpetual preferred stock and equity issued through awards under employee benefit plans, among other issuances. Further, Citi’s capital levels may also be affected by changes in accounting and regulatory standards, as well as U.S. corporate tax laws and the impact of future events on Citi’s business results, such as changes in interest and foreign exchange rates, as well as business and asset dispositions.
During 2017,2019, Citi returned a total of $17.1$22.3 billion of capital to common shareholders in the form of share repurchases (approximately 214264 million common shares) and dividends.


Capital Management
Citi’s capital management framework is designed to ensure that Citigroup and its principal subsidiaries maintain sufficient capital consistent with each entity’s respective risk profile, management targets and all applicable regulatory standards and guidelines. Citi assesses its capital adequacy against a series of internal quantitative capital goals, designed to evaluate the Company’sits capital levels in expected and stressed economic environments. Underlying these internal quantitative capital goals are strategic capital considerations, centered on preserving and building financial strength. The Citigroup Capital Committee, with oversight from the Risk Management Committee of Citigroup’s Board of Directors, has responsibility for Citi’s aggregate capital structure, including the capital assessment and planning process, which is integrated into Citi’s capital plan. Balance sheet management, including oversight of capital adequacy, for Citigroup’s subsidiaries is governed by each entity’s Asset and Liability Committee, where applicable.
Based on Citigroup’s current regulatory capital requirements, as well as consideration of potential future changes to the U.S. Basel III rules, management currently believes that a targeted Common Equity Tier 1 Capital ratio of approximately 11.5% represents the amount necessary to prudently operate and invest in Citi’s franchise, including when considering future growth plans, capital return projections and other factors that may impact Citi’s businesses. However, management may revise Citigroup’s targeted Common Equity Tier 1 Capital ratio in response to changing regulatory capital requirements as well as other relevant factors.
For additional information regarding Citi’s capital planning and stress testing exercises, see “Stress Testing—Testing Component of Capital Planning” below.



Current Regulatory Capital Standards
Citi is subject to regulatory capital standards issued by the Federal Reserve Board, which constitute the U.S. Basel III rules. These rules establish an integrated capital adequacy framework, encompassing both risk-based capital ratios and leverage ratios.







Risk-Based Capital Ratios
The U.S. Basel III rules set forth the composition of regulatory capital (including the application of regulatory capital adjustments and deductions), as well as two comprehensive methodologies (a Standardized Approach and Advanced Approaches) for measuring total risk-weighted assets. Total risk-weighted assets under the Advanced Approaches, which are primarily models based, include credit, market and operational risk-weighted assets. Conversely, theThe Standardized Approach excludes operational risk-weighted assets and generally applies prescribed supervisory risk weights to broad categories of credit risk exposures. As a result, credit risk-weighted assets calculated under the Advanced Approaches are more risk sensitive than those calculated under the Standardized Approach. Market risk-weighted assets are derivedcurrently calculated on a generally consistent basis under both approaches. The Standardized Approach excludes operational risk-weighted assets.
The U.S. Basel III rules establish stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios for substantially all U.S. banking organizations, including Citi and Citibank, N.A. (Citibank). Moreover, these rules provide for both a fixed 2.5% Capital Conservation Buffer and, for Advanced Approaches banking organizations, such as Citi and Citibank, also a discretionary Countercyclical Capital Buffer. These capital buffers would be available to absorb losses in advance of any potential impairment of regulatory capital below the stated minimum risk-based capital ratio requirements. In December 2017,Any breach of the buffers to absorb losses during periods of financial or economic stress would result in restrictions on earnings distributions (e.g., dividends, equity repurchases and discretionary executive bonuses), with the degree of such restrictions based upon the extent to which the buffers are breached. The Federal Reserve Board last voted to affirm the Countercyclical Capital Buffer amount at the current level of 0%. in March 2019.
Further, the U.S. Basel III rules implement the “capital floor provision” of the so-called “Collins Amendment” of the Dodd-Frank Act, which requires Advanced Approaches
banking organizations to calculate each of the three risk-based capital ratios (Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital) under both the U.S. Basel III Standardized Approach and the Advanced Approaches and publicly report (as well as measure compliance against)comply with the lower of each of the resulting risk-based capital ratios.


















GSIB Surcharge
The Federal Reserve Board imposes a risk-based capital surcharge upon U.S. bank holding companies that are identified as global systemically important bank holding companies (GSIBs), including Citi. The GSIB surcharge augments the Capital Conservation Buffer and, if invoked, any Countercyclical Capital Buffer, and would result in restrictions on earnings distributions (e.g., dividends, equity repurchases, and discretionary executive bonuses) should the expanded buffer be breached to absorb losses during periods of financial or economic stress, with the degree of such restrictions based upon the extent to which the expanded buffer is breached.Buffer.
Under the Federal Reserve Board’s rule, identification of a GSIB is based on the Basel Committee on Banking Supervision’s (Basel Committee) GSIB methodology, which primarily on quantitative measurement indicators underlyinglooks to five equally weighted broad categories of systemic importance: (i) size, (ii) interconnectedness, (iii) cross-jurisdictional activity, (iv) substitutability and (v) complexity. With the exception of size, each of the other categories areis composed of multiple indicators also of equal weight, and amounting to 12 indicators in total.
A U.S. bank holding company that is designated a GSIB under the established methodology is required, on an annual basis, to calculate a surcharge using two methods and will beis subject to the higher of the resulting two surcharges. The first method (“method 1”) is based on the same five broad categories of systemic importance used to identify a GSIB.Basel Committee’s GSIB methodology described above. Under the second method (“method 2”), the substitutability category is replaced with a quantitative measure intended to assess the extent of a GSIB’s reliance on short-term wholesale funding. Moreover,In addition, method 1 incorporates relative measures of systemic importance across certain global banking organizations and a year-end spot foreign exchange rate, whereas method 2 uses fixed measures of systemic importance and application of an average foreign exchange rate over a three-year period. Effective for 2017 and thereafter, theThe GSIB surcharges calculated under both method 1 and method 2 are based on measures of systemic importance from the year immediately preceding that in which the GSIB surcharge calculations are being performed (e.g., the method 1 and method 2 GSIB surcharges to be calculated by December 31, 20172020 will be based on 20162019 systemic indicator data). Generally, theCiti’s surcharge deriveddetermined under method 2 will result in a higher surcharge than derivedits surcharge determined under method 1.
Should a GSIB’s systemic importance change year-over-year such that it becomes subject to a higher surcharge, the higher surcharge would not become effective for a full year (e.g., a higher surcharge calculated by December 31, 20182020 would not become effective until January 1, 2020)2022). However, if a GSIB’s systemic importance changes such that the GSIB would be subject to a lower surcharge, the GSIB would be subject to the lower surcharge beginning with the next calendar year (e.g., a lower surcharge calculated by December 31, 20182020 would become effective January 1, 2019)2021).






 
The following table sets forth Citi’s GSIB surcharge as deriveddetermined under method 1 and method 2 for 20172019 and 2016.2018:
2017201620192018
Method 12.0%2.0%2.0%2.0%
Method 23.0
3.5
3.0
3.0


Citi’s GSIB surcharge effective for 2017both 2019 and 20162018 was 3.0% and 3.5%, respectively, as derived under the higher method 2 result. Citi’s GSIB surcharge effective for 20182020 will remain unchanged at 3.0%, as derived under the higher method 2 result. Citi expects that its method 2 GSIB surcharge will continue to remain higher than its method 1 GSIB surcharge, and as suchsurcharge. Citi’s GSIB surcharge effective for 20192021 will not exceed 3.0%, and Citi’s GSIB surcharge effective for 20202022 is not expected to exceed 3.0%.
 
Transition Provisions
TheGenerally, the U.S. Basel III rules contain several differing, largely multi-year transition provisions, (i.e.,with various “phase-ins” and “phase-outs”), including with respect to substantially all regulatory capital adjustments and deductions, and non-qualifying Tier 1 and Tier 2 Capital instruments (such as“phase-outs.” With the exception of the non-grandfathered trust preferred securities, which do not fully phase-out of Tier 2 Capital until January 1, 2022, all other transition provisions have occurred and certain subordinated debt issuances).were entirely reflected in Citi’s regulatory capital ratios beginning January 1, 2018. Moreover, the GSIB surcharge, Capital Conservation Buffer and any Countercyclical Capital Buffer (currently 0%), commenced phase-in on January 1, 2016, becomingand became fully effective on January 1, 2019. With the exception of the non-grandfathered trust preferred securities, which do not fully phase-out until January 1, 2022, and the capital buffers and GSIB surcharge, which do not fully phase-in until January 1, 2019, all other transition provisions will be entirely reflected in Citi’s regulatory capital ratios by January 1, 2018. Citi considers all of these transition provisions as being fully implemented on January 1, 2019 (full implementation), with the inclusion of the capital buffers and GSIB surcharge.
The following chart sets forth the transitional progression from January 1, 2016 to full implementation by January 1, 2019 of the regulatory capital components (i.e., inclusive of the mandatory 2.5% Capital Conservation Buffer and the Countercyclical Capital Buffer at its current level of 0%, as well as an estimated 3.0% GSIB surcharge) comprising the effective minimum risk-based capital ratios.

Basel III Transition Arrangements: Minimum Risk-Based Capital Ratios

The following chart presents the transition arrangements (phase-in and phase-out) from January 1, 2016 through January 1, 2018 under the U.S. Basel III rules for significant regulatory capital adjustments and deductions relative to Citi.
Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions
 January 1,
 201620172018
Phase-in of Significant Regulatory Capital Adjustments and Deductions   
    
Common Equity Tier 1 Capital(1)
60%80%100%
    
Common Equity Tier 1 Capital(2)
60%80%100%
Additional Tier 1 Capital(2)
40%20%0%
 100%100%100%
    
Phase-out of Significant AOCI Regulatory Capital Adjustments   
    
Common Equity Tier 1 Capital(3)
40%20%0%
(1)Includes the phase-in of Common Equity Tier 1 Capital deductions for all intangible assets other than goodwill and mortgage servicing rights (MSRs); and excess over 10%/15% limitations for deferred tax assets (DTAs) arising from temporary differences, significant common stock investments in unconsolidated financial institutions and MSRs. Goodwill (including goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions) is fully deducted in arriving at Common Equity Tier 1 Capital. The amount of all other intangible assets, aside from MSRs, not deducted in arriving at Common Equity Tier 1 Capital are risk-weighted at 100%, as are the excess over the 10%/15% limitations for DTAs arising from temporary differences, significant common stock investments in unconsolidated financial institutions and MSRs through December 31, 2017. Commencing January 1, 2018, the amount of temporary difference DTAs, significant common stock investments in unconsolidated financial institutions and MSRs not deducted in arriving at Common Equity Tier 1 Capital are risk-weighted at 250%.
(2)Includes the phase-in of the Common Equity Tier 1 Capital and Additional Tier 1 Capital adjustment for cumulative unrealized net gains (losses) related to changes in fair value of financial liabilities attributable to Citi’s own creditworthiness; and the phase-in of Common Equity Tier 1 Capital and Additional Tier 1 Capital deductions related to DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards and defined benefit pension plan net assets;
(3)
Includes the phase-out from Common Equity Tier 1 Capital of adjustments related to net unrealized gains (losses) on available-for-sale (AFS) debt securities; unrealized gains on AFS equity securities; net unrealized gains (losses) on held-to-maturity (HTM) securities included in Accumulated other comprehensive income (loss) (AOCI); and defined benefit plans liability adjustment.


Tier 1 Leverage Ratio
Under the U.S. Basel III rules, Citi as with principally all U.S. banking organizations, is also required to maintain a minimum Tier 1 Leverage ratio of 4.0%. The Tier 1 Leverage ratio, a non-risk-based measure of capital adequacy, is defined as Tier 1 Capital as a percentage of quarterly adjusted average total assets less amounts deducted from Tier 1 Capital.

Supplementary Leverage Ratio
Advanced Approaches banking organizations are additionallyCiti is also required to calculate a Supplementary Leverage ratio, which significantly differs from the Tier 1 Leverage ratio by also including certain off-balance sheet exposures within the denominator of the ratio (Total Leverage Exposure). The Supplementary Leverage ratio represents end of period Tier 1 Capital to Total Leverage Exposure, with the latter defined as the sum of the daily average of on-balance sheet assets for the quarter and the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter, less applicable Tier 1 Capital deductions. Effective January 1, 2018, Advanced Approaches banking organizations are required to maintain a stated minimum Supplementary Leverage ratio of 3.0%.
Further, U.S. GSIBs, and their subsidiary insured depository institutions, including Citi, and Citibank, are subject to enhanced Supplementary Leverage ratio standards. The enhanced Supplementary Leverage ratio standards establish a 2.0% leverage buffer for U.S. GSIBs in addition to the stated 3.0% minimum Supplementary Leverage ratio requirement, in the U.S. Basel III rules.for a total effective minimum Supplementary Leverage ratio requirement of 5.0%. If a U.S. GSIB fails to exceed the 2.0% leverage buffer,5.0% effective minimum Supplementary Leverage ratio requirement, it will be subject to increasingly onerous restrictions (depending upon the extent of the shortfall) regarding capital distributions and discretionary executive bonus payments. Accordingly, U.S. GSIBs are effectively subject to a 5.0% minimum Supplementary Leverage ratio requirement. Citi is required to be compliant with this higher effective minimum ratio requirement on January 1, 2018.


Prompt Corrective Action Framework
The U.S. Basel III rules revisedIn general, the Prompt Corrective Action (PCA) regulations applicable to insured depository institutions in certain respects.
In general, the PCA regulations direct the U.S. banking agencies to enforce increasingly strict limitations on the activities of insured depository institutions that fail to meet certain regulatory capital thresholds. The PCA framework contains five categories of capital adequacy as measured by risk-based capital and leverage ratios: (i) “well capitalized,”
(ii) “adequately capitalized,” (iii) undercapitalized,“undercapitalized,” (iv) “significantly undercapitalized,”undercapitalized” and (v) “critically undercapitalized.”
Accordingly, an insured depository institution, such as Citibank, must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized.” Additionally,In addition, insured depository institution subsidiaries of U.S. GSIBs, such asincluding Citibank, must maintain a minimum Supplementary Leverage ratio of 6.0%, effective January 1, 2018, to be considered “well capitalized.”
Citibank was “well capitalized” as of December 31, 2019.

Stress Testing Component of Capital Planning
Citi is subject to an annual assessment by the Federal Reserve Board as to whether Citigroup has effective capital planning processes as well as sufficient regulatory capital to absorb losses during stressful economic and financial conditions, while also meeting obligations to creditors and counterparties and continuing to serve as a credit intermediary. This annual assessment includes two related programs:

The the Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST).
For the largest and most complex firms, such as Citi, CCAR includes both a quantitative evaluation of a firm’s capital adequacy under stress and a qualitative evaluation of its abilities to determine its capital needs on a forward-looking
basis. As part of the CCAR process, the Federal Reserve Board evaluates Citi’s capital adequacy, capital adequacy process and its planned capital distributions, such as dividend payments and common stock repurchases. As part of CCAR, theThe Federal Reserve Board assesses whether Citi has sufficient capital to continue operations throughout times of economic and financial market stress and whether Citi has robust, forward-looking capital planning processes that account for its unique risks. The Federal Reserve Board may object to Citi’s annual capital plan based on either quantitative or qualitative grounds. If the Federal Reserve Board objects to Citi’s annual capital plan, Citi may not undertake any capital distribution unless the Federal Reserve Board indicates in writing that it does not object to the distribution.

Based on recent changes to the Federal Reserve Board’s Capital Plan Rule, the qualitative objection to a firm’s capital plan will no longer apply. However, all CCAR firms, including Citi, will continue to be subject to a rigorous evaluation of their capital planning process. Firms with weak practices may be subject to a deficient supervisory rating, and potentially an enforcement action, for failing to meet supervisory expectations. For additional information regarding CCAR, see “Risk Factors—Strategic Risks” below.
Dodd-Frank Act Stress Testing (DFAST)DFAST is a forward-looking quantitative evaluation of the impact of stressful economic and financial market conditions on Citi’s regulatory capital. This program serves to inform the Federal Reserve Board the financial companies, and the general public as to how Citi’s regulatory capital ratios might change using a hypothetical set of adverse economic conditions as designed by the Federal Reserve Board. In addition to the annual supervisory stress test conducted by the Federal Reserve Board, Citi is required to conduct annual company-run stress tests under the same adverse economic conditions designed by the Federal Reserve Board, as well as conduct a mid-cycle stress test under company-developed scenarios.

Board.
Both CCAR and DFAST include an estimate of projected revenues, losses, reserves, pro forma regulatory capital ratios, and any other additional capital measures deemed relevant by Citi. Projections are required over a nine-quarter planning horizon under threetwo supervisory scenarios (baseline adverse and severely adverse conditions). All risk-based capital ratios reflect application of the Standardized Approach framework and the transition arrangements under the U.S. Basel III rules. Moreover, the Federal Reserve Board has deferred the use of the Advanced Approaches framework indefinitely. Beginning in 2018, CCAR incorporates the Supplementary Leverage ratio. Accordingly, Advanced Approaches banking organizations are required to demonstrate an ability to maintain a Supplementary Leverage ratio in excess of the stated minimum requirement for all quarters of the 2018 CCAR planning horizon.
For additional information regarding CCAR, see “Risk Factors—Strategic Risks” below.

Citigroup’s Capital Resources Under Current Regulatory Standards
Citi is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6.0% and 8.0%, respectively.
Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2017, inclusive of the 50% phase-in of both the 2.5% Capital Conservation Buffer and the 3.0% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), are 7.25%, 8.75% and 10.75%, respectively. Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2016, inclusive of the 25% phase-in of both the 2.5% Capital Conservation Buffer and the 3.5% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), were 6.0%, 7.5% and 9.5%, respectively.
Furthermore, to be “well capitalized” under current federal bank regulatory agency definitions, a bank holding
company must have a Tier 1 Capital ratio of at least 6.0%, a Total Capital ratio of at least 10.0%, and not be subject to a Federal Reserve Board directive to maintain higher capital levels.
The following tables set forth the capital tiers, total risk-weighted assets and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citi as of December 31, 2017 and December 31, 2016.

Citigroup Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
 December 31, 2017 December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$147,891
$147,891
 $167,378
$167,378
Tier 1 Capital164,841
164,841
 178,387
178,387
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
190,331
202,284
 202,146
214,938
Total Risk-Weighted Assets1,134,864
1,138,167
 1,166,764
1,126,314
   Credit Risk(1)
$749,322
$1,072,440
 $773,483
$1,061,786
   Market Risk65,003
65,727
 64,006
64,528
   Operational Risk320,539
—
 329,275
—
Common Equity Tier 1 Capital ratio(2)
13.03%12.99% 14.35%14.86%
Tier 1 Capital ratio(2)
14.53
14.48
 15.29
15.84
Total Capital ratio(2)
16.77
17.77
 17.33
19.08
In millions of dollars, except ratiosDecember 31, 2017 December 31, 2016
Quarterly Adjusted Average Total Assets(3)
 $1,869,206
  $1,768,415
Total Leverage Exposure(4) 
 2,433,371
  2,351,883
Tier 1 Leverage ratio 8.82%  10.09%
Supplementary Leverage ratio 6.77
  7.58

(1)Under the U.S. Basel III rules, credit risk-weighted assets during the transition period reflect the effects of transition arrangements related to regulatory capital adjustments and deductions and, as a result, will differ from credit risk-weighted assets derived under full implementation of the rules.
(2)As of December 31, 2017, Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework. As of December 31, 2016, Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s capital ratios at December 31, 2017 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of December 31, 2017.

Components of Citigroup Capital Under Current Regulatory Standards (Basel III Transition Arrangements)
In millions of dollarsDecember 31,
2017		December 31,
2016
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$181,671
$206,051
Add: Qualifying noncontrolling interests224
259
Regulatory Capital Adjustments and Deductions:  
Less: Net unrealized losses on securities available-for-sale (AFS), net of tax(2)(3)
(232)(320)
Less: Defined benefit plans liability adjustment, net of tax(3)
(1,237)(2,066)
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(4)
(698)(560)
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax(3)(5)
(577)(37)
Less: Intangible assets:  
   Goodwill, net of related deferred tax liabilities (DTLs)(6)
22,052
20,858
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related
   DTLs(3)
3,521
2,926
Less: Defined benefit pension plan net assets(3)
717
514
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and
   general business credit carry-forwards(3)(7)
10,458
12,802
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
  and MSRs(3)(7)(8)
—
4,815
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$147,891
$167,378
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$19,069
$19,069
Qualifying trust preferred securities(9)
1,377
1,371
Qualifying noncontrolling interests105
17
Regulatory Capital Adjustment and Deductions:  
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax(3)(5)
(144)(24)
Less: Defined benefit pension plan net assets(3)
179
343
Less: DTAs arising from net operating loss, foreign tax credit and
   general business credit carry-forwards(3)(7)
2,614
8,535
Less: Permitted ownership interests in covered funds(10)
900
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
52
61
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$16,950
$11,009
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
   (Standardized Approach and Advanced Approaches)
$164,841
$178,387
Tier 2 Capital  
Qualifying subordinated debt$23,673
$22,818
Qualifying trust preferred securities(12)
329
317
Qualifying noncontrolling interests40
22
Eligible allowance for credit losses(13)
13,453
13,452
Regulatory Capital Adjustment and Deduction:  
Add: Unrealized gains on AFS equity exposures includable in Tier 2 Capital—
3
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
52
61
Total Tier 2 Capital (Standardized Approach)$37,443
$36,551
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$202,284
$214,938
Adjustment for excess of eligible credit reserves over expected credit losses(13)
$(11,953)$(12,792)
Total Tier 2 Capital (Advanced Approaches)$25,490
$23,759
 Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$190,331
$202,146

Footnotes are presented on the following page.


(1)Issuance costs of $184 million related to noncumulative perpetual preferred stock outstanding at December 31, 2017 and December 31, 2016 are excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. generally accepted accounting principles (GAAP).
(2)In addition, includes the net amount of unamortized loss on held-to-maturity (HTM) securities. This amount relates to securities that were previously transferred from AFS to HTM, and non-credit related factors such as changes in interest rates and liquidity spreads for HTM securities with other-than-temporary impairment.
(3)The transition arrangements for significant regulatory capital adjustments and deductions impacting Common Equity Tier 1 Capital and Additional Tier 1 Capital are set forth above in the chart entitled “Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions.”
(4)
Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in Accumulated other comprehensive income (loss) (AOCI) that relate to the hedging of items not recognized at fair value on the balance sheet.
(5)The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected, and own-credit valuation adjustments on derivatives, are excluded from Common Equity Tier 1 Capital and Additional Tier 1 Capital, in accordance with the U.S. Basel III rules.
(6)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
(7)Of Citi’s $22.5 billion of net DTAs at December 31, 2017, $10.2 billion were includable in regulatory capital pursuant to the U.S. Basel III rules, while $12.3 billion were excluded. Excluded from Citi’s regulatory capital at December 31, 2017 was in total $13.1 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, of which $10.5 billion were deducted from Common Equity Tier 1 Capital and $2.6 billion were deducted from Additional Tier 1 Capital, which was reduced by $0.8 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be deducted from both Common Equity Tier 1 Capital and Additional Tier 1 Capital under the transition arrangements of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted solely from Common Equity Tier 1 Capital under these rules, if in excess of 10%/15% limitations.
(8)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At December 31, 2017, none of these assets were in excess of the 10%/15% limitations. At December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation.
(9)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(10)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.
(11)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(12)Effective January 1, 2016, non-grandfathered trust preferred securities are not eligible for inclusion in Tier 1 Capital, but are eligible for inclusion in Tier 2 Capital subject to full phase-out by January 1, 2022. Non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital in an amount up to 50% and 60% during 2017 and 2016, respectively, of the aggregate outstanding principal amounts of such issuances as of January 1, 2014, in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules.
(13)Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $1.5 billion and $0.7 billion at December 31, 2017 and December 31, 2016, respectively.

Citigroup Capital Rollforward Under Current Regulatory Standards (Basel III Transition Arrangements)
In millions of dollarsThree Months Ended December 31, 2017Twelve Months Ended 
 December 31, 2017
Common Equity Tier 1 Capital, beginning of period$162,008
$167,378
Net loss(18,893)(6,798)
Common and preferred stock dividends declared(1,160)(3,808)
 Net increase in treasury stock(5,480)(14,666)
Net change in common stock and additional paid-in capital112
(35)
Net increase in foreign currency translation adjustment net of hedges, net of tax(2,381)(202)
Net increase in unrealized losses on securities AFS, net of tax(792)(447)
Net increase in defined benefit plans liability adjustment, net of tax(674)(1,848)
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
(58)(29)
Net increase in goodwill, net of related DTLs(520)(1,194)
Net change in identifiable intangible assets other than MSRs, net of related DTLs7
(595)
Net increase in defined benefit pension plan net assets(141)(203)
Net decrease in DTAs arising from net operating loss, foreign tax credit and
    general business credit carry-forwards
5,596
2,344
Net decrease in excess over 10%/15% limitations for other DTAs, certain common
    stock investments and MSRs
6,948
4,815
Other3,319
3,179
Net decrease in Common Equity Tier 1 Capital$(14,117)$(19,487)
Common Equity Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$147,891
$147,891
Additional Tier 1 Capital, beginning of period$15,296
$11,009
Net increase in qualifying trust preferred securities3
6
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
61
120
Net change in defined benefit pension plan net assets(35)164
Net decrease in DTAs arising from net operating loss, foreign tax credit and
    general business credit carry-forwards
1,400
5,921
Net change in permitted ownership interests in covered funds228
(367)
Other(3)97
Net increase in Additional Tier 1 Capital$1,654
$5,941
Additional Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$16,950
$16,950
Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$164,841
$164,841
Tier 2 Capital, beginning of period (Standardized Approach)$37,483
$36,551
Net increase in qualifying subordinated debt95
855
Net increase in qualifying trust preferred securities—
12
Net decrease in eligible allowance for credit losses(145)1
Other10
24
Net change in Tier 2 Capital (Standardized Approach)$(40)$892
Tier 2 Capital, end of period (Standardized Approach)$37,443
$37,443
Total Capital, end of period (Standardized Approach)$202,284
$202,284
 



Tier 2 Capital, beginning of period (Advanced Approaches)$25,339
$23,759
Net increase in qualifying subordinated debt95
855
Net increase in qualifying trust preferred securities—
12
Net increase in excess of eligible credit reserves over expected credit losses46
840
Other10
24
Net increase in Tier 2 Capital (Advanced Approaches)$151
$1,731
Tier 2 Capital, end of period (Advanced Approaches)$25,490
$25,490
Total Capital, end of period (Advanced Approaches)$190,331
$190,331

Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Standardized Approach with Transition Arrangements)
In millions of dollarsThree Months Ended December 31, 2017Twelve Months Ended 
 December 31, 2017
 Total Risk-Weighted Assets, beginning of period$1,158,679
$1,126,314
Changes in Credit Risk-Weighted Assets  
Net increase in general credit risk exposures(1)
10,883
26,037
Net increase in repo-style transactions(2)
4,071
19,489
Net change in securitization exposures(3)
514
(5,669)
Net increase in equity exposures269
1,825
Net decrease in over-the-counter (OTC) derivatives(4)
(24,058)(22,312)
Net decrease in other exposures(5)
(12,910)(11,510)
Net increase in off-balance sheet exposures(6)
203
2,794
Net change in Credit Risk-Weighted Assets$(21,028)$10,654
Changes in Market Risk-Weighted Assets  
Net increase in risk levels(7)
$1,091
$15,254
Net decrease due to model and methodology updates(8)
(575)(14,055)
Net increase in Market Risk-Weighted Assets$516
$1,199
Total Risk-Weighted Assets, end of period$1,138,167
$1,138,167

(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three and twelve months ended December 31, 2017 primarily due to corporate loan growth.
(2)Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions.
(3)Securitization exposures decreased during the twelve months ended December 31, 2017 principally as a result of certain securitization exposures becoming subject to deduction from Tier 1 Capital under the Volcker Rule of the Dodd-Frank Act.
(4)OTC derivatives decreased during the three and twelve months ended December 31, 2017 primarily due to notional decreases.
(5)Other exposures include cleared transactions, unsettled transactions, and other assets. Other exposures decreased during the three and twelve months ended December 31, 2017 primarily due to a reduction in Citi’s deferred tax assets as a result of Tax Reform. For additional information regarding the impact of Tax Reform, see “Impact of Tax Reform” above.
(6)Off-balance sheet exposures increased during the twelve months ended December 31, 2017 primarily due to growth in corporate exposures.
(7)Risk levels increased during the three months ended December 31, 2017 primarily due to an increases in exposures subject to securitization charges and incremental risk charges, partially offset by a decrease in exposures subject to comprehensive risk and Risk Not In the Model. Risk levels increased during the twelve months ended December 31, 2017 primarily due to an increase in exposure levels subject to Stressed Value at Risk, as well as an increase in positions subject to securitization charges.
(8)Risk-weighted assets declined during the twelve months ended December 31, 2017, as Citi received supervisory approval to remove the Comprehensive Risk Measure model surcharge for correlation trading portfolios, commencing with the third quarter of 2017. Further contributing to the decline in risk-weighted assets during the twelve months ended December 31, 2017 were changes in model inputs regarding volatility and the correlation between market risk factors.

Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsThree Months Ended December 31, 2017Twelve Months Ended 
 December 31, 2017
 Total Risk-Weighted Assets, beginning of period$1,143,448
$1,166,764
Changes in Credit Risk-Weighted Assets  
Net change in retail exposures(1)
994
(5,763)
Net increase in wholesale exposures(2)
8,676
2,730
Net change in repo-style transactions(3)
(2,097)2,563
Net change in securitization exposures(4)
2,139
(4,338)
Net increase in equity exposures272
1,608
Net decrease in over-the-counter (OTC) derivatives(5)
(1,724)(6,733)
Net decrease in derivatives CVA(6)
(3,533)(3,616)
Net decrease in other exposures(7)
(11,726)(9,449)
Net decrease in supervisory 6% multiplier(8)
(208)(1,163)
Net decrease in Credit Risk-Weighted Assets$(7,207)$(24,161)
Changes in Market Risk-Weighted Assets  
Net increase in risk levels(9)
$1,210
$15,052
Net decrease due to model and methodology updates(10)
(575)(14,055)
Net increase in Market Risk-Weighted Assets$635
$997
Net decrease in Operational Risk-Weighted Assets(11)
$(2,012)$(8,736)
Total Risk-Weighted Assets, end of period$1,134,864
$1,134,864

(1)Retail exposures increased during the three months ended December 31, 2017 primarily due to increases in qualifying revolving (cards) exposures attributable to seasonal holiday spending. Retail exposures decreased during the twelve months ended December 31, 2017 principally resulting from residential mortgage loan sales and repayments, and divestitures of certain legacy assets.
(2)Wholesale exposures increased during the three and twelve months ended December 31, 2017 primarily due to corporate loan growth. The increase in wholesale exposures during the twelve months ended December 31, 2017 was partially offset by annual updates to model parameters.
(3)Repo-style transactions decreased during the three months ended December 31, 2017 primarily due to improved portfolio credit quality. Repo-style transactions increased during the twelve months ended December 31, 2017 primarily due to increased activity and a decline in portfolio credit quality.
(4)Securitization exposures increased during the three months ended December 31, 2017 primarily due to increased activity. Securitization exposures decreased during the twelve months ended December 31, 2017 principally as a result of certain securitization exposures becoming subject to deduction from Tier 1 Capital under the Volcker Rule of the Dodd-Frank Act.
(5)OTC derivatives decreased during the three months ended December 31, 2017 primarily due to decreases in trade volume and changes in fair value. OTC derivatives decreased during the twelve months ended December 31, 2017 primarily due to changes in fair value and improved portfolio credit quality.
(6)Derivatives CVA decreased during the three and twelve months ended December 31, 2017 primarily driven by decreased volatility and exposure reduction.
(7)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures decreased during the three and twelve months ended December 31, 2017 primarily due to a reduction in Citi’s deferred tax assets as a result of Tax Reform. For additional information regarding the impact of Tax Reform, see “Impact of Tax Reform” above.
(8)Supervisory 6% multiplier does not apply to derivatives CVA.
(9)Risk levels increased during the three months ended December 31, 2017 primarily due to an increases in exposures subject to securitization charges and incremental risk charges, partially offset by a decrease in exposures subject to comprehensive risk and Risk Not In the Model. Risk levels increased during the twelve months ended December 31, 2017 primarily due to an increase in exposure levels subject to Stressed Value at Risk, as well as an increase in positions subject to securitization charges.
(10)Risk-weighted assets declined during the twelve months ended December 31, 2017, as Citi received supervisory approval to remove the Comprehensive Risk Measure model surcharge for correlation trading portfolios, commencing with the third quarter of 2017. Further contributing to the decline in risk-weighted assets during the twelve months ended December 31, 2017 were changes in model inputs regarding volatility and the correlation between market risk factors.
(11)Operational risk-weighted assets decreased during the three months ended December 31, 2017 primarily due to changes in operational loss severity and frequency. Operational risk-weighted assets decreased during the twelve months ended December 31, 2017 primarily due to assessed improvements in the business environment and risk controls and changes in operational loss severity and frequency.


Capital Resources of Citigroup’s Subsidiary U.S.
Depository Institutions Under Current Regulatory Standards
Citigroup’s subsidiary U.S. depository institutions are also subject to regulatory capital standards issued by their respective primary federal bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
During 2017, Citi’s primary subsidiary U.S. depository institution, Citibank, N.A. (Citibank), is subject to effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios, inclusive of the 50% phase-in of the 2.5% Capital Conservation Buffer, of 5.75%, 7.25% and 9.25%, respectively. Citibank’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2016, inclusive of the 25% phase-in of the 2.5% Capital
Conservation Buffer, were 5.125%, 6.625% and 8.625%, respectively. Citibank is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6.0% and 8.0%, respectively.
The following tables set forth the capital tiers, total risk-weighted assets and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citibank, Citi’s primary subsidiary U.S. depository institution, as of December 31, 2017 and December 31, 2016.
Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
 December 31, 2017 December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$124,733
$124,733
 $126,220
$126,220
Tier 1 Capital126,303
126,303
 126,465
126,465
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
139,351
150,289
 138,821
150,291
Total Risk-Weighted Assets954,559
1,014,242
 973,933
1,001,016
   Credit Risk$663,783
$970,064
 $669,920
$955,767
   Market Risk43,300
44,178
 44,579
45,249
   Operational Risk247,476
—
 259,434
—
Common Equity Tier 1 Capital ratio(2)
13.07%12.30% 12.96%12.61%
Tier 1 Capital ratio(2)
13.23
12.45
 12.99
12.63
Total Capital ratio(2)
14.60
14.82
 14.25
15.01

In millions of dollars, except ratiosDecember 31, 2017 December 31, 2016
Quarterly Adjusted Average Total Assets(3)
 $1,401,615
  $1,333,161
Total Leverage Exposure(4) 
 1,901,069
  1,859,394
Tier 1 Leverage ratio 9.01%  9.49%
Supplementary Leverage ratio 6.64
  6.80

(1)Under the Advanced Approaches framework eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
(2)As of December 31, 2017 and December 31, 2016, Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach. As of December 31, 2017 and December 31, 2016, Citibank’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s capital ratios at December 31, 2017 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of December 31, 2017 under the revised PCA regulations.
Further, Citibank is required to conduct the annual Dodd-Frank Act Stress Test. The annual stress test consists of a forward-looking quantitative evaluation of the impact of stressful economic and financial market conditions under


several scenarios on Citibank’s regulatory capital. This program serves to inform the Office of the Comptroller of
the Currency as to how Citibank’s regulatory capital ratios might change during a hypothetical set of adverse economic
conditions and to ultimately evaluate the reliability of Citibank’s capital planning process.

For additional information on potential changes to the stress testing component of capital planning and assessment process applicable to Citi, see “Regulatory Capital Standards Developments” below.


Impact of Changes on Citigroup and CitibankCitigroup’s Capital Ratios Under Current Regulatory Capital StandardsResources
The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), under current regulatory capital standards (reflecting Basel III Transition Arrangements), as of December 31, 2017. This informationCiti is
provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of regulatory capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.


Impact of Changes on Citigroup and Citibank Risk-Based Capital Ratios (Basel III Transition Arrangements)
 
Common Equity
Tier 1 Capital ratio
Tier 1 Capital ratioTotal Capital ratio
In basis points
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Citigroup      
Advanced Approaches0.91.10.91.30.91.5
Standardized Approach0.91.10.91.30.91.6
Citibank      
Advanced Approaches1.01.41.01.41.01.5
Standardized Approach1.01.21.01.21.01.5

Impact of Changes on Citigroup and Citibank Leverage Ratios (Basel III Transition Arrangements)
 Tier 1 Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup0.50.50.40.3
Citibank0.70.60.50.3

Citigroup Broker-Dealer Subsidiaries
At December 31, 2017, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $11.0 billion, which exceeded the minimum requirement by $9.0 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total capital of $18.1 billion at December 31, 2017, which exceeded the PRA's minimum regulatory capital requirements.




In addition, certain of Citi’s other broker-dealer
subsidiaries are subject to regulation in the countries in which they do business, including requirements required to maintain specified levels of net capital or its equivalent. Citigroup’s other broker-dealer subsidiaries were in compliance with their capital requirements at December 31, 2017.












Basel III (Full Implementation)

Citigroup’s Capital Resources Under Basel III
(Full Implementation)
Citi currently estimates that its effectivestated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratioratios of 4.5%, 6.0% and 8.0%, respectively. Citi’s effective minimum capital requirements are presented in the table below.
Furthermore, to be “well capitalized” under the U.S. Basel III rules, oncurrent federal bank regulatory agency definitions, a fully implemented basis, inclusive of the 2.5% Capital Conservation Buffer and the Countercyclical Capital Buffer at its current level of 0%, as well as an expected 3.0% GSIB surcharge, may be 10.0%, 11.5% and 13.5%, respectively.
Further, under the U.S. Basel III rules, Citibank holding company must also comply withhave a 4.0% minimum Tier 1 LeverageCapital ratio requirementof at least 6.0%, a Total Capital ratio of at least 10.0% and an effective 5.0% minimum Supplementary Leverage ratio requirement.not be subject to a Federal Reserve Board directive to maintain higher capital levels.
 
The following tables set forth theCiti’s capital tiers, total risk-weighted assetscomponents and underlying risk components, risk-based capital ratios quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios, assuming full implementation under the U.S. Basel III rules, for Citi as of December 31, 20172019, September 30, 2019 and December 31, 2016.
At December 31, 2017, Citi’s constraining Common Equity Tier 1 Capital and Tier 1 Capital ratios were those derived under the Basel III Standardized Approach, whereas Citi’s binding Total Capital ratio was that resulting from application of the Basel III Advanced Approaches framework. Further, each of Citi’s risk-based capital ratios was constrained by the Basel III Advanced Approaches framework for all periods prior to June 30, 2017.

2018:

Citigroup Capital Components and Ratios Under Basel III (Full Implementation)
December 31, 2017 December 31, 2016
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach20192018Dec. 31, 2019Sept. 30, 2019Dec. 31, 2018Dec. 31, 2019Sept. 30, 2019Dec. 31, 2018
Common Equity Tier 1 Capital$142,822
$142,822
 $149,516
$149,516
  $137,798
$138,581
$139,252
$137,798
$138,581
$139,252
Tier 1 Capital162,377
162,377
 169,390
169,390
  155,805
158,033
158,122
155,805
158,033
158,122
Total Capital (Tier 1 Capital + Tier 2 Capital)187,877
199,989
 193,160
205,975
  181,337
183,996
183,144
193,682
196,354
195,440
Total Risk-Weighted Assets1,152,644
1,155,099
 1,189,680
1,147,956
  1,135,553
1,145,091
1,131,933
1,166,523
1,197,050
1,174,448
Credit Risk$767,102
$1,089,372
 $796,399
$1,083,428
  $771,508
$776,367
$758,887
$1,107,775
$1,134,584
$1,109,007
Market Risk65,003
65,727
 64,006
64,528
  57,317
61,125
63,987
58,748
62,466
65,441
Operational Risk320,539
—
 329,275
���
  306,728
307,599
309,059
—
—
—
Common Equity Tier 1 Capital ratio(1)(2)
12.39%12.36% 12.57%13.02%
Tier 1 Capital ratio(1)(2)
14.09
14.06
 14.24
14.76
Total Capital ratio(1)(2)
16.30
17.31
 16.24
17.94
Common Equity Tier 1 Capital ratio(2)
10.0%8.625%12.13%12.10%12.30%11.81%11.58%11.86%
Tier 1 Capital ratio(2)
11.510.12513.72
13.80
13.97
13.36
13.20
13.46
Total Capital ratio(2)
13.512.12515.97
16.07
16.18
16.60
16.40
16.64


In millions of dollars, except ratiosDecember 31, 2017 December 31, 2016Effective Minimum RequirementDec. 31, 2019Sept. 30, 2019Dec. 31, 2018
Quarterly Adjusted Average Total Assets(3)
 $1,868,326
  $1,761,923
 $1,957,039 $1,960,675 $1,896,959 
Total Leverage Exposure(4)
 2,432,491
  2,345,391
 2,507,891 2,520,352 2,465,641 
Tier 1 Leverage ratio(2)
 8.69%  9.61%4.0%7.96%8.06%8.34%
Supplementary Leverage ratio(2)
 6.68
  7.22
5.06.21 6.27 6.41 


(1)AsCiti’s effective minimum risk-based capital requirements during 2019 and 2018 are inclusive of December 31, 2017, the 100% and 75% phase-in, respectively, of both the 2.5% Capital Conservation Buffer and the 3.0% GSIB surcharge (all of which must be composed of Common Equity Tier 1 Capital).
(2)Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework. As of December 31, 2016, Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(2)Citi’s Basel III risk-based capital and leverage ratios and related components, on a fully implemented basis, are non-GAAP financial measures. Citi believes these ratios and the related components provide useful information to investors and others by measuring Citi’s progress against future regulatory capital standards.framework for all periods presented.
(3)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(4)Supplementary Leverage ratio denominator.


Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 12.4%11.8% under the Basel III Standardized Approach at December 31, 2017,2019, compared to 13.0%11.6% at September 30, 20172019 and 12.6%11.9% at December 31, 2016.2018. The ratio declined quarter-over-quarter and year-over-year,increase was primarily due to net income of $5.0 billion, a reduction in Common Equity Tier 1 Capital resulting fromcredit risk-weighted assets and beneficial net movements in
Accumulated other comprehensive income (AOCI), partially offset by the return of $6.2 billion of capital to common shareholders. The decline year-over-year was primarily due to the return of $22.3 billion of capital to common shareholders, as well as the impactpartially offset by net income of Tax Reform.$19.4 billion in 2019, beneficial net movements in AOCI and a reduction in risk-weighted assets.

Components of Citigroup Capital Under Basel III (Full Implementation)
In millions of dollarsDecember 31,
2017		December 31,
2016		December 31,
2019		December 31,
2018
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$181,671
$206,051
$175,414
$177,928
Add: Qualifying noncontrolling interests153
129
154
147
Regulatory Capital Adjustments and Deductions: 
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(2)
(698)(560)
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax(3)
(721)(61)
Regulatory capital adjustments and deductions: 
Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax(2)
123
(728)
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax(3)
(679)580
Less: Intangible assets:  
Goodwill, net of related DTLs(4)
22,052
20,858
21,066
21,778
Identifiable intangible assets other than MSRs, net of related DTLs4,401
4,876
4,087
4,402
Less: Defined benefit pension plan net assets896
857
803
806
Less: DTAs arising from net operating loss, foreign tax credit and general business credit
carry-forwards(5)
13,072
21,337
12,370
11,985
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
and MSRs(5)(6)
—
9,357
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$142,822
$149,516
$137,798
$139,252
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$19,069
$19,069
$17,828
$18,292
Qualifying trust preferred securities(7)
1,377
1,371
Qualifying trust preferred securities(6)
1,389
1,384
Qualifying noncontrolling interests61
28
42
55
Regulatory Capital Deductions: 
Less: Permitted ownership interests in covered funds(8)
900
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
52
61
Regulatory capital deductions: 
Less: Permitted ownership interests in covered funds(7)
1,216
806
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(8)
36
55
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$19,555
$19,874
$18,007
$18,870
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
(Standardized Approach and Advanced Approaches)
$162,377
$169,390
$155,805
$158,122
Tier 2 Capital  
Qualifying subordinated debt$23,673
$22,818
$23,673
$23,324
Qualifying trust preferred securities(10)
329
317
Qualifying trust preferred securities(9)
326
321
Qualifying noncontrolling interests50
36
46
47
Eligible allowance for credit losses(11)
13,612
13,475
Regulatory Capital Deduction: 
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
52
61
Eligible allowance for credit losses(10)
13,868
13,681
Regulatory capital deduction: 
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(8)
36
55
Total Tier 2 Capital (Standardized Approach)$37,612
$36,585
$37,877
$37,318
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$199,989
$205,975
$193,682
$195,440
Adjustment for excess of eligible credit reserves over expected credit losses(11)
$(12,112)$(12,815)
Adjustment for excess of eligible credit reserves over expected credit losses(10)
$(12,345)$(12,296)
Total Tier 2 Capital (Advanced Approaches)$25,500
$23,770
$25,532
$25,022
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$187,877
$193,160
$181,337
$183,144


(1)Issuance costs of $184$152 million and $168 million related to noncumulative perpetual preferred stock outstanding at December 31, 20172019 and December 31, 20162018, respectively, are excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)
Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in AOCI that relate to the hedging of items not recognized at fair value on the balance sheet.
(3)The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected, and own-credit valuation adjustments on derivatives, are excluded from Common Equity Tier 1 Capital, in accordance with the U.S. Basel III rules.
(4)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.








Footnotes continue on the following page.


(5)Of Citi’s $22.5$23.1 billion of net DTAs at December 31, 2017, $10.22019, $12.4 billion werewas includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $12.3$10.7 billion werewas excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of December 31, 20172019 was $13.1$12.4 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, which was reduced by $0.8$1.7 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules; whereasrules. Citi’s DTAs arising from temporary differences are deductedless than the 10% limitation under the U.S. Basel III rules and therefore not subject to deduction from Common Equity Tier 1 Capital, if in excess of 10%/15% limitations.but are subject to risk-weighting at 250%.
(6)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At December 31, 2017, none of these assets were in excess of the 10%/15% limitations. At December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation.
(7)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(8)(7)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.funds.
(9)(8)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(10)(9)Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.
(11)(10)Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $1.5 billion and $0.7$1.4 billion at December 31, 20172019 and December 31, 2016,2018, respectively.










Citigroup Capital Rollforward Under Basel III (Full Implementation)
In millions of dollarsThree Months Ended December 31, 2017Twelve Months Ended 
 December 31, 2017		Three Months Ended December 31, 2019Twelve Months Ended 
 December 31, 2019
Common Equity Tier 1 Capital, beginning of period$153,534
$149,516
$138,581
$139,252
Net loss(18,893)(6,798)
Net income4,979
19,401
Common and preferred stock dividends declared(1,160)(3,808)(1,401)(5,512)
Net increase in treasury stock(5,480)(14,666)(5,119)(17,290)
Net change in common stock and additional paid-in capital112
(35)92
(98)
Net increase in foreign currency translation adjustment net of hedges, net of tax(2,381)(202)
Net increase in unrealized losses on securities AFS, net of tax(990)(359)
Net increase in defined benefit plans liability adjustment, net of tax(843)(1,019)
Net change in adjustment related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
3
91
Net increase in goodwill, net of related DTLs(520)(1,194)
Net change in foreign currency translation adjustment net of hedges, net of tax972
(321)
Net change in unrealized gains (losses) on debt securities AFS, net of tax(160)1,985
Net change in defined benefit plans liability adjustment, net of tax15
(552)
Net change in adjustment related to change in fair value of financial liabilities
attributable to own creditworthiness, net of tax
82
123
Net change in ASC 815—excluded component of fair value hedges(27)25
Net decrease in goodwill, net of related DTLs432
712
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs9
475
45
315
Net increase in defined benefit pension plan net assets(176)(39)
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards6,996
8,265
Net decrease in excess over 10%/15% limitations for other DTAs, certain common stock
investments and MSRs
9,298
9,357
Net decrease in defined benefit pension plan net assets187
3
Net increase in DTAs arising from net operating loss, foreign tax credit and
general business credit carry-forwards
(883)(385)
Other3,313
3,238
3
140
Net decrease in Common Equity Tier 1 Capital$(10,712)$(6,694)$(783)$(1,454)
Common Equity Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$142,822
$142,822
$137,798
$137,798
Additional Tier 1 Capital, beginning of period$19,315
$19,874
$19,452
$18,870
Net decrease in qualifying perpetual preferred stock(1,493)(464)
Net increase in qualifying trust preferred securities3
6
—
5
Net change in permitted ownership interests in covered funds228
(367)49
(410)
Other9
42
(1)6
Net change in Additional Tier 1 Capital$240
$(319)
Additional Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$19,555
$19,555
Net decrease in Additional Tier 1 Capital$(1,445)$(863)
Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$162,377
$162,377
$155,805
$155,805
Tier 2 Capital, beginning of period (Standardized Approach)$37,490
$36,585
$38,321
$37,318
Net increase in qualifying subordinated debt95
855
Net increase in eligible allowance for credit losses14
137
Net change in qualifying subordinated debt(408)349
Net change in eligible allowance for credit losses(46)187
Other13
35
10
23
Net increase in Tier 2 Capital (Standardized Approach)$122
$1,027
Net change in Tier 2 Capital (Standardized Approach)$(444)$559
Tier 2 Capital, end of period (Standardized Approach)$37,612
$37,612
$37,877
$37,877
Total Capital, end of period (Standardized Approach)$199,989
$199,989
$193,682
$193,682
 
Tier 2 Capital, beginning of period (Advanced Approaches)$25,346
$23,770
$25,963
$25,022
Net increase in qualifying subordinated debt95
855
Net increase in excess of eligible credit reserves over expected credit losses46
840
Net change in qualifying subordinated debt(408)349
Net change in excess of eligible credit reserves over expected credit losses(33)138
Other13
35
10
23
Net increase in Tier 2 Capital (Advanced Approaches)$154
$1,730
Net change in Tier 2 Capital (Advanced Approaches)$(431)$510
Tier 2 Capital, end of period (Advanced Approaches)$25,500
$25,500
$25,532
$25,532
Total Capital, end of period (Advanced Approaches$187,877
$187,877
Total Capital, end of period (Advanced Approaches)$181,337
$181,337







Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach with Full Implementation)Approach)
In millions of dollarsThree Months Ended December 31, 2017Twelve Months Ended 
 December 31, 2017
 Total Risk-Weighted Assets, beginning of period$1,182,918
$1,147,956
Changes in Credit Risk-Weighted Assets  
Net increase in general credit risk exposures(1)
10,883
26,037
Net increase in repo-style transactions4,071
19,489
Net change in securitization exposures514
(5,669)
Net increase in equity exposures493
2,332
Net decrease in over-the-counter (OTC) derivatives(24,058)(22,312)
Net decrease in other exposures(2)
(20,441)(16,727)
Net increase in off-balance sheet exposures203
2,794
Net change in Credit Risk-Weighted Assets$(28,335)$5,944
Changes in Market Risk-Weighted Assets  
Net increase in risk levels$1,091
$15,254
Net decrease due to model and methodology updates(575)(14,055)
Net increase in Market Risk-Weighted Assets$516
$1,199
Total Risk-Weighted Assets, end of period$1,155,099
$1,155,099
In millions of dollarsThree Months Ended December 31, 2019Twelve Months Ended 
 December 31, 2019
 Total Risk-Weighted Assets, beginning of period$1,197,050
$1,174,448
Changes in Credit Risk-Weighted Assets  
General credit risk exposures(1)
2,821
10,376
Repo-style transactions(2)
(19,681)(7,420)
Securitization exposures(277)980
Equity exposures(3)
1,590
5,013
Over-the-counter (OTC) derivatives(4)
(13,283)(6,669)
Other exposures(5)
4,639
9,290
Off-balance sheet exposures(6)
(2,618)(12,802)
Net decrease in Credit Risk-Weighted Assets$(26,809)$(1,232)
Changes in Market Risk-Weighted Assets  
Risk levels(7)
$(4,718)$(6,847)
Model and methodology updates1,000
154
Net decrease in Market Risk-Weighted Assets$(3,718)$(6,693)
Total Risk-Weighted Assets, end of period$1,166,523
$1,166,523


(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three and 12 months ended December 31, 2019, mainly driven by growth in commercial and retail loans and increases in investment securities.
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the three and 12 months ended December 31, 2019, driven by volume reduction and matured deals.
(3)Equity exposures increased during the three months ended December 31, 2019, primarily due to increased exposures from existing investments. Equity exposures increased during the 12 months ended December 31, 2019, primarily due to an increase in market value of investments and increased exposures from existing investments.
(4)OTC derivatives decreased during the three and 12 months ended December 31, 2019, primarily due to decreases in notionals.
(5)
Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures increased during the three months ended December 31, 2019, primarily due to increases in centrally cleared derivatives and various other assets. Other exposures increased during the 12 months ended December 31, 2019, primarily due to the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, as well as increases in centrally cleared derivatives and various other assets.
(6)Off-balance sheet exposures decreased during the three months ended December 31, 2019, primarily due to a decrease in standby letters of credit. Off-balance sheet exposures decreased during the 12 months ended December 31, 2019, primarily due to decreases in standby letters of credit and loan commitments.
(7)Risk levels decreased during the three months ended December 31, 2019, primarily due to a decrease in exposure levels subject to Stressed Value at Risk and Incremental Risk charges. Risk levels decreased during the 12 months ended December 31, 2019, primarily due to a decrease in exposure levels subject to Stressed Value at Risk. 

As set forth in the table above, total risk-weighted assets under the Basel III Standardized Approach decreased from year-end 2018, due to decreases in market risk-weighted assets and credit risk-weighted assets. Market risk-weighted assets decreased from year-end 2018 primarily due to a net reduction in exposure levels. The decrease in credit risk-weighted assets was primarily due to decreases in standby letters of credit and loan commitments as well as volume reduction and matured deals in repo-style transactions and changes in OTC derivative trade activity, partially offset by increases in loan exposures, the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, and an increase in market value of investments.












Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches with Full Implementation)Approaches)
In millions of dollarsThree Months Ended December 31, 2017Twelve Months Ended 
 December 31, 2017
 Total Risk-Weighted Assets, beginning of period$1,169,142
$1,189,680
Changes in Credit Risk-Weighted Assets  
Net change in retail exposures994
(5,763)
Net increase in wholesale exposures8,676
2,730
Net change in repo-style transactions(2,097)2,563
Net change in securitization exposures2,139
(4,338)
Net increase in equity exposures496
2,115
Net decrease in over-the-counter (OTC) derivatives(1,724)(6,733)
Net decrease in derivatives CVA(3,533)(3,616)
Net decrease in other exposures(1)
(19,416)(14,801)
Net decrease in supervisory 6% multiplier(2)
(656)(1,454)
Net decrease in Credit Risk-Weighted Assets$(15,121)$(29,297)
Changes in Market Risk-Weighted Assets  
Net increase in risk levels$1,210
$15,052
Net decrease due to model and methodology updates(575)(14,055)
Net increase in Market Risk-Weighted Assets$635
$997
Net decrease in Operational Risk-Weighted Assets$(2,012)$(8,736)
Total Risk-Weighted Assets, end of period$1,152,644
$1,152,644
In millions of dollarsThree Months Ended December 31, 2019Twelve Months Ended 
 December 31, 2019
 Total Risk-Weighted Assets, beginning of period$1,145,091
$1,131,933
Changes in Credit Risk-Weighted Assets  
Retail exposures(1)
6,140
4,959
Wholesale exposures(2)
(3,007)(9,288)
Repo-style transactions(3)
(8,761)(3,184)
Securitization exposures(4)
153
5,889
Equity exposures(5)
1,764
4,924
Over-the-counter (OTC) derivatives(6)
(2,992)8,508
Derivatives CVA(7)
(6,651)(15,034)
Other exposures(8)
8,394
14,282
Supervisory 6% multiplier101
1,565
Net change in Credit Risk-Weighted Assets$(4,859)$12,621
Changes in Market Risk-Weighted Assets  
Risk levels(9)
$(4,808)$(6,824)
Model and methodology updates1,000
154
Net decrease in Market Risk-Weighted Assets$(3,808)$(6,670)
Net decrease in Operational Risk-Weighted Assets(10)
$(871)$(2,331)
Total Risk-Weighted Assets, end of period$1,135,553
$1,135,553


(1)Retail exposures increased during the three months ended December 31, 2019, primarily due to seasonal spending for qualifying revolving (cards) exposures. Retail exposures increased during the 12 months ended December 31, 2019, primarily due to increases in consumer loans, partially offset by decreases due to annual parameter updates.
(2)Wholesale exposures decreased during the three months ended December 31, 2019, primarily due to decreases in commercial loans partially offset by increases in investment securities. Wholesale exposures decreased during the 12 months ended December 31, 2019, primarily due to annual model parameter updates reflecting Citi’s loss experience, partially offset by increases in commercial loans and investment securities.
(3)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the three and 12 months ended December 31, 2019, driven by volume reduction and matured deals.
(4)Securitization exposures increased during the 12 months ended December 31, 2019, due to increased exposures from existing deals.
(5)Equity exposures increased during the three months ended December 31, 2019, primarily due to increased exposures from existing investments. Equity exposures increased during the 12 months ended December 31, 2019, primarily due to an increase in market value of investments and increased exposures from existing investments.
(6)OTC derivatives decreased during the three months ended December 31, 2019, primarily due to a reduction in notionals. OTC derivatives increased during the 12 months ended December 31, 2019, primarily due to approved model changes, partially offset by a reduction in notionals.
(7)Derivatives CVA decreased during the three months ended December 31, 2019, primarily due to exposure decreases and changes in credit spreads. Derivatives CVA decreased during the 12 months ended December 31, 2019, primarily due to approved model changes, exposure decreases and changes in credit spreads.
(8)
Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures increased during the three months ended December 31, 2019, primarily due to increases in centrally cleared derivatives and various other assets. Other exposures increased during the 12 months ended December 31, 2019, primarily due to the recognition of ROU assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, and increases in centrally cleared derivatives and various other assets.
(2)(9)Supervisory 6% multiplier does not applyRisk levels decreased during the three months ended December 31, 2019, primarily due to derivatives CVA.a decrease in exposure levels subject to Stressed Value at Risk and Incremental Risk charges. Risk levels decreased during the 12 months ended December 31, 2019, primarily due to a decrease in exposure levels subject to Stressed Value at Risk. 
(10)Operational risk-weighted assets decreased during the 12 months ended December 31, 2019, primarily due to changes in operational loss severity and frequency.



Total risk-weighted assets underAs set forth in the Basel III Standardized Approach increased from year-end 2016 substantially due to higher credit risk-weighted assets, primarily resulting from corporate loan growth and increased repo-style transaction activity, partially offset by a decrease in OTC derivative trade activity and a reduction in Citi’s deferred tax assets as a result of Tax Reform.
Totaltable above, total risk-weighted assets under the Basel III Advanced Approaches decreasedincreased from year-end 2016, driven2018 primarily due to an increase in credit risk-weighted assets, partially offset by substantially lower creditdecreases in market and operational risk-weighted assets. The decreaseincrease in credit risk-weighted assets was primarily due to a reductionrecognition of ROU assets in Citi’s deferred tax assets as a resultaccordance with the adoption of Tax Reform,ASU 2016-02, changes in fair value and improved portfolio credit quality of OTC derivatives residential mortgagetrade activities and increases in securitization exposures, loan salesexposures and repayments,equity exposures, partially offset by decreases in derivatives CVA and divestitures of certain legacy assets. Operationalwholesale exposures mainly due to annual model parameter updates. Market risk-weighted assets decreased from year-end 20162018, primarily due to assessed improvementsa net reduction in the business environment and risk controls, as well asexposure levels. The
decrease in operational risk-weighted assets was primarily due to changes in operational loss severity and frequency.

Supplementary Leverage Ratio
Citigroup’s Supplementary Leverage ratio was 6.7% for the fourth quarter of 2017, compared to 7.1% for the third quarter of 2017 and 7.2% for the fourth quarter of 2016. The decline in the ratio quarter-over-quarter was principally driven by a reduction in Tier 1 Capital resulting from the return of $6.3 billion of capital to common shareholders as well as the impact of Tax Reform. The decline in the ratio from the fourth quarter of 2016 was largely attributable to a reduction in Tier 1 Capital resulting from the return of $17.1 billion of capital to
common shareholders as well as the impact of Tax Reform, in conjunction with an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets.
The following table sets forth Citi’s Supplementary Leverage ratio and related components assuming full implementation under the U.S. Basel III rules, for the three months endedas of December 31, 20172019, September 30, 2019 and December 31, 2016.2018:



Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)
In millions of dollars, except ratiosDecember 31, 2017December 31, 2016December 31, 2019September 30, 2019December 31, 2018
Tier 1 Capital$162,377
$169,390
$155,805
$158,033
$158,122
Total Leverage Exposure (TLE) 
Total Leverage Exposure 
On-balance sheet assets(1)
$1,909,699
$1,819,802
$1,996,617
$2,000,082
$1,936,791
Certain off-balance sheet exposures:(2)
  
Potential future exposure on derivative contracts191,555
211,009
169,478
176,546
187,130
Effective notional of sold credit derivatives, net(3)
59,207
64,366
38,481
41,328
49,402
Counterparty credit risk for repo-style transactions(4)
27,005
22,002
23,715
24,362
23,715
Unconditionally cancelable commitments67,644
66,663
70,870
70,648
69,630
Other off-balance sheet exposures218,754
219,428
248,308
246,793
238,805
Total of certain off-balance sheet exposures$564,165
$583,468
$550,852
$559,677
$568,682
Less: Tier 1 Capital deductions41,373
57,879
39,578
39,407
39,832
Total Leverage Exposure$2,432,491
$2,345,391
$2,507,891
$2,520,352
$2,465,641
Supplementary Leverage ratio6.68%7.22%6.21%6.27%6.41%


(1)Represents the daily average of on-balance sheet assets for the quarter.
(2)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(3)Under the U.S. Basel III rules, banking organizations are required to include in TLETotal Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(4)Repo-style transactions include repurchase or reverse repurchase transactions andas well as securities borrowing or securities lending transactions.


Citibank’sAs set forth in the table above, Citigroup’s Supplementary Leverage ratio assuming full implementation under the U.S. Basel III rules, was 6.6% for the fourth quarter of 2017,6.2% at December 31, 2019, compared to 6.7% for the third quarter of 20176.3% at September 30, 2019 and 6.6% for the fourth quarter of 2016.6.4% at December 31, 2018. The quarter-over-quarter decrease was primarily driven by a reduction in Tier 1 Capital resulting from the impactreturn of Tax Reform,$6.2 billion of capital to common shareholders and a preferred stock redemption, partially offset by capital contributions from Citibank’s parent, Citicorp,net income and beneficial net movements in AOCI, as well as a decrease in Total Leverage Exposureaverage off-balance sheet exposures. The year-over-year decrease was primarily due todriven by a declinereduction in potential future exposure on derivative contracts. The ratio remained unchangedTier 1 Capital resulting from the fourth quarterreturn of 2016,$22.3 billion of capital to common shareholders, as well as an increase in average on-balance sheet assets, partially offset by net income and beneficial net movements in AOCI, as well as a decrease in average off-balance sheet exposures.


Capital Resources of Citigroup’s Subsidiary U.S.
Depository Institutions
Citigroup’s subsidiary U.S. depository institutions are also subject to regulatory capital standards issued by their respective primary federal bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
The following tables set forth the capital components and ratios for Citibank, Citi’s primary subsidiary U.S. depository
institution, as of December 31, 2019, September 30, 2019 and December 31, 2018:

 
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
In millions of dollars, except ratios20192018Dec. 31, 2019Sept. 30, 2019Dec. 31, 2018Dec. 31, 2019Sept. 30, 2019Dec. 31, 2018
Common Equity Tier 1 Capital  $130,791
$130,067
$129,091
$130,791
$130,067
$129,091
Tier 1 Capital  132,918
132,198
131,215
132,918
132,198
131,215
Total Capital (Tier 1 Capital + Tier 2 Capital)(2)
  145,989
144,829
144,358
157,324
155,735
155,154
Total Risk-Weighted Assets  932,432
946,433
926,229
1,019,916
1,047,550
1,032,809
   Credit Risk  $664,828
$664,014
$654,962
$990,319
$1,005,337
$994,294
   Market Risk  29,167
41,867
38,144
29,597
42,213
38,515
   Operational Risk  238,437
240,552
233,123
—
—
—
Common Equity Tier 1 Capital ratio(3)(4)
7.0%6.375%14.03%13.74%13.94%12.82%12.42%12.50%
Tier 1 Capital ratio(3)(4)
8.57.87514.26
13.97
14.17
13.03
12.62
12.70
Total Capital ratio(3)(4)
10.59.87515.66
15.30
15.59
15.43
14.87
15.02

In millions of dollars, except ratiosEffective Minimum RequirementDec. 31, 2019Sept. 30, 2019Dec. 31, 2018
Quarterly Adjusted Average Total Assets(5)
 $1,459,851 $1,451,352 $1,398,875 
Total Leverage Exposure(6) 
 1,951,701 1,952,628 1,914,663 
Tier 1 Leverage ratio(4)
4.0%9.10%9.11%9.38%
Supplementary Leverage ratio(4)
6.06.81 6.77 6.85 

(1)Citibank’s effective minimum risk-based capital requirements during 2019 and 2018 are inclusive of the 100% and 75% phase-in, respectively, of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
(3)Citibank’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Standardized Approach for all periods presented.
(4)Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.”
(5)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(6)Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s capital ratios at December 31, 2019 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of December 31, 2019.



Impact of Changes on Citigroup and Citibank Capital Ratios
The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, was offsetTier 1 Capital and Total Capital (numerator), and changes of $1 billion in Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of December 31, 2019. This information is provided for the purpose of analyzing the impact that a change in Citigroup’s
or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.


 
Common Equity
Tier 1 Capital ratio
Tier 1 Capital ratioTotal Capital ratio
In basis points
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Citigroup      
Advanced Approaches0.91.10.91.20.91.4
Standardized Approach0.91.00.91.10.91.4
Citibank      
Advanced Approaches1.11.51.11.51.11.7
Standardized Approach1.01.31.01.31.01.5

 Tier 1 Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup0.50.40.40.2
Citibank0.70.60.50.3

Citigroup Broker-Dealer Subsidiaries
At December 31, 2019, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $10.1 billion, which exceeded the minimum requirement by $6.9 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an increaseindirect wholly owned subsidiary of Citigroup, had total capital of $21.4 billion at December 31, 2019, which exceeded the PRA's minimum regulatory capital requirements.
In addition, certain of Citi’s other broker-dealer
subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at December 31, 2019.


Total Loss-Absorbing Capacity (TLAC)
The table below details Citi’s eligible external TLAC and LTD amounts and ratios, and each effective minimum TLAC and long-term debt (LTD) ratio requirement, as well as the surplus amount in dollars in excess of each requirement.
As of December 31, 2019, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $14 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.




 December 31, 2019
In billions of dollars, except ratios
External TLAC

LTD
Total eligible amount$289
$127
% of Standardized Approach risk-
  weighted assets
24.7%10.9%
Effective minimum requirement(1)(2)
22.5
9.0
Surplus amount$26
$22
% of Total Leverage Exposure11.5%5.1%
Effective minimum requirement9.5
4.5
Surplus amount$50
$14

(1)External TLAC includes method 1 GSIB surcharge of 2.0%.
(2)LTD includes method 2 GSIB surcharge of 3.0%.

For additional information on Citi’s TLAC-related requirements, see “Liquidity Risk—Long-Term Debt—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance, Conduct and Legal Risks” below.

Regulatory Capital Treatment—Implementation and Transition of the Current Expected Credit Losses (CECL) Methodology
In February 2019, the U.S. banking agencies issued a final rule that provides banking organizations an optional phase-in over a three-year period of the “Day One” adverse regulatory capital effects resulting from adoption of the CECL methodology.
The rule is in recognition of the issuance by the Financial Accounting Standards Board of ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introduces a new credit loss methodology, the CECL methodology, which requires earlier recognition of credit losses while also providing additional transparency about credit risk. The ASU was effective for Citi as of January 1, 2020. For additional information regarding Citi’s adoption of the CECL methodology, see Note 1 to the Consolidated Financial Statements.
Citi and Citibank have elected the transition provisions provided by the U.S. banking agencies’ rule. Accordingly, the “Day One” regulatory capital effects resulting from adoption of the CECL methodology commenced phase-in on January 1, 2020, and will be fully reflected in Citi’s regulatory capital as of January 1, 2023. Based on Citi’s regulatory capital position as of December 31, 2019, the estimated impact of adopting the CECL methodology would reduce Citi’s Common Equity Tier 1 Capital ratio under the Standardized Approach by approximately 25 basis points in total, or approximately 6
basis points per year on January 1 of each year over the transition period. The actual basis point impact of adopting CECL on Citi’s regulatory capital ratios may change, if Citi’s capital position changes over time.
The Federal Reserve Board has issued a statement that it plans to maintain its current framework for calculating allowances on loans in the supervisory stress test for the 2020 and 2021 supervisory stress test cycles, and to evaluate appropriate future enhancements to this framework as best practices for implementing CECL are developed. However, banking organizations are required to incorporate CECL into their stress testing methodologies, data and disclosure beginning in the cycle coinciding with their first full year of CECL adoption (2020 for Citi).

Regulatory Capital Standards Developments
The U.S. banking agencies and the Basel Committee on Banking Supervision (Basel Committee) issued severalnumerous proposed and final rules during 2017,on a variety of topics in 2019. In the U.S., the most significant of which was designed to address final revisions or enhancementsrule finalized in 2019 relates to the Basel III capital framework.

Basel III: Finalizing Post-Crisis Regulatorycalculation of risk-weighted assets for derivative contracts, while the Stress Capital Reforms
In December 2017, theBuffer proposal from 2018 has not yet been finalized. The Basel Committee, issued a rule that finalizes several outstanding Basel III post-crisis regulatory capital reforms. The reforms, which generally become effective in 2022, relate to the methodologies in deriving credit and operational risk-weighted assets, the imposition of a new aggregate output floor for risk-weighted assets, andamong other things, finalized revisions to the leverage ratiominimum capital requirements for market risk and proposed revisions to its credit valuation adjustment risk framework.
The
U.S. Banking Agencies

Standardized Approach for Counterparty Credit Risk
In November 2019, the U.S. banking agencies released a final rule in part, revisesto introduce the Standardized Approach in measuring credit risk-weighted assets with respect to certain on-balance sheet assets, such as in relation to the risk-weighting methodologies employed with respect to bank, corporate, and real estate (both residential and commercial) exposures; the treatment of off-balance sheet commitments; and aspects of the credit risk mitigation framework. Moreover, the final rule permits the use of external credit ratings combined with due diligence requirementsfor Counterparty Credit Risk (SA-CCR) in the calculation of creditU.S. SA-CCR will replace the Current Exposure Method (CEM), which is the current methodology used to calculate risk-weighted assets for exposures to banks and corporates, while also providing alternative approaches for jurisdictions that do not allowall derivative contracts under the use of external credit ratings for risk-based capital purposes, such as the U.S.
The final rule also revises the internal ratings-based (IRB) approaches, in part, by prohibiting the use of such approaches for so-called “low default” exposures, including those to banks and other financial institutions,Standardized Approach, as well as large corporations. Further, the final rule also prohibits the use of the IRB approaches for equity exposures in the banking book. Additionally, for other exposures where the IRB approaches are still permissible, the final rule establishes floors by exposure type regarding the estimation of certain model parameters used in the derivation of credit risk-weighted assets and also provides greater specification as to permissible parameter estimation practicesfor derivative contracts under the IRB approaches.
Apart from credit risk, the final rule substantially revises the operational risk capital framework applicable to the Advanced Approaches for calculating risk-weighted assets by introducingin cases where internal models are not used. In addition, SA-CCR would replace CEM in numerous other instances throughout the Standardized Measurement Approach (SMA). Operational risk capital is derivedregulatory framework, including but not limited to the Supplementary Leverage Ratio, single counterparty credit limits and legal lending limits.
Under SA-CCR, a banking organization would calculate the exposure amount of its derivative contracts at the netting set level. Multiple derivative contracts would generally be considered to be under the SMA throughsame netting set as long as each derivative contract is subject to the combinationsame qualifying master netting agreement. SA-CCR also introduces the concept of two components:hedging sets, which would allow a so-called “Business Indicator Component”banking organization to fully or partially net derivative contracts within the same netting set that share similar risk factors. Moreover, SA-CCR incorporates updated supervisory and maturity factors to calculate the potential future exposure of a “Loss Component.” The Business Indicator Component, primarily reflectivederivative contract, and provides for improved recognition of various income statement elements (i.e.,collateral. Under the proposal, the exposure amount of a modified gross income indicator), is calculated asnetting set would be equal to an alpha factor of 1.4 multiplied by the sum of the three-year average of its components. The Loss Component reflects the operational lossreplacement cost and potential future exposure of a banking organization that can be inferred from internal loss experience, and is based on a 10-year average.the netting set.
To reduce excessive variability with respect to risk-weighted assets, and to therefore enhance the comparability
The mandatory compliance date of risk-based capital ratios, the final rule establishesis January 1, 2022, with early adoption permitted beginning April 1, 2020. Citi’s SA-CCR implementation efforts are already underway. Citi is currently evaluating a decision on its intended implementation date for SA-CCR, including consideration of the impact of SA-CCR on both Citigroup’s and Citibank’s regulatory capital ratios.

Stress Capital Buffer
In April 2018, the Federal Reserve Board issued a proposal that is designed to more closely integrate the results of the quantitative assessment in CCAR with firms’ ongoing minimum capital requirements under the U.S. Basel III rules.
Specifically, the proposed rule would replace the existing Capital Conservation Buffer, currently fixed at 2.5% under the U.S. Basel III rules, with (i) a variable buffer known as the Stress Capital Buffer (as described below), plus (ii) for U.S. GSIBs, the GSIB’s then-current GSIB surcharge, plus (iii) the Countercyclical Capital Buffer, if any. These three components would constitute the new Capital Conservation Buffer under the Standardized Approach. The Stress Capital Buffer (SCB) would be based upon the maximum decline in a bank holding company’s Common Equity Tier 1 Capital ratio under the severely adverse scenario of the supervisory stress test. Under the April 2018 proposal, the SCB would be subject to a floor requirementof 2.5%.
The proposed rule would also modify certain assumptions currently required in supervisory stress tests, including continued capital distributions during the nine-quarter capital planning horizon and balance sheet growth assumptions.
A final rule has not yet been issued. Senior staff at the Federal Reserve Board have indicated publicly that they plan to finalize certain components of the proposal for application in the 2020 CCAR cycle, and that they may re-propose certain other elements of the proposal to better balance the need to preserve the dynamism of stress testing while reducing unnecessary volatility, among other things. Senior staff at the Federal Reserve Board have also indicated publicly that they are considering two options in place of the “dividend add-on,” which was a component of the SCB under the April 2018 proposal: setting the Countercyclical Capital Buffer at a higher baseline level during normal times, or raising the floor of the SCB higher than 2.5%. The potential re-proposal may also address certain other elements of the original proposal, such as the relative timing between stress testing results and the submission of a firm’s capital plan, and the consequences of breaching a buffer.

TLAC Holdings
In April 2019, the U.S. banking agencies released a proposal that would create a new regulatory capital deduction applicable to Advanced Approaches banking organizations for certain investments in covered debt instruments issued by GSIBs. The proposed rule is intended to be appliedreduce systemic risk by creating an incentive for Advanced Approaches banking organizations to total risk-weighted assets. More specifically,limit their exposure to GSIBs.
Under the risk-weighted assetsU.S. Basel III rules, investments in the capital of unconsolidated financial institutions are subject to deduction to the extent that banks must use to determine compliance with risk-based capital requirementsthey exceed certain thresholds.
 
mustUnder the proposed rule, an investment in a “covered debt instrument” would be calculatedtreated as an investment in a Tier 2 capital instrument and, therefore, would be subject to deduction from the maximum of (i) total risk-weighted assets calculated using the approaches that the bank has supervisory approval to useAdvanced Approaches banking organization’s own Tier 2 Capital in accordance with the Basel III capital framework (including both standardized and internally-modeled based approaches), and (ii) 72.5%existing rules for investments in unconsolidated financial institutions. Covered debt instruments would include unsecured debt instruments that are “eligible debt securities” for purposes of the total risk-weighted assets, calculated using only standardized approaches.TLAC rule, or that are pari passu or subordinated to such securities, in addition to certain unsecured debt instruments issued by foreign GSIBs.
Lastly,To support a deep and liquid market for covered debt instruments, the finalproposed rule revisesprovides an exception from the design and calibrationapproach described above for covered debt instruments held for 30 days or less for market-making purposes, if the aggregate amount of such debt instruments does not exceed 5% of the banking organization’s Common Equity Tier 1 Capital.
The proposed rule does not specify a proposed effective date for the new regulatory capital deduction. If adopted as proposed, Citi does not expect the proposed rule to have a material impact on its regulatory capital.

Basel III leverage ratio (similarCommittee

Revisions to the U.S. Basel III Supplementary Leverage ratio). Among the revisions are those with respect to the exposure measure (i.e., the denominator of the ratio) in relation to the treatment of derivative exposures, provisions, and off-balance sheet exposures.Minimum Capital Requirements for
Although the U.S. banking agencies subsequently issued a statement announcing support for these finalized Basel III reforms, further indicating that they will “consider how to appropriately apply these revisions,” significant uncertainty nonetheless currently exists with regard to the manner and timeframe in which these Basel III capital reforms will be implemented in the U.S.

Pillar 3 Disclosure Requirements—Consolidated and
Enhanced FrameworkMarket Risk
In March 2017,January 2019, the Basel Committee issued a final rule
standard that adopts further revisions arising fromrevises the second phase of its reviewmarket risk capital framework—the so-called Fundamental Review of the “Pillar 3” disclosure requirements, and which builds on the initial revisions from phase one of the review, which were finalized in January 2015.
Trading Book, or FRTB. The final rule consolidates all existing Basel Committee disclosurerevises the assessment process under the Advanced Approaches to determine whether a bank’s internal risk management models appropriately reflect the risks of individual trading desks, and clarifies the requirements intofor identification of risk factors that are eligible for internal modeling. In addition, the Pillar 3 framework, with these constituting the disclosure requirements regarding the composition of capital, leverage ratio, Liquidity Coverage Ratio, Net Stable Funding Ratio, indicatorsrisk weights for measuring the global systemic importance of banks, Countercyclical Capital Buffer,general interest rate risk in the banking book, and remuneration. Moreover, the final rule introduces enhancements to the Pillar 3 framework, in part, by incorporating a “dashboard” of a banking organization’s key regulatory capital and liquidity metrics. The final rule also sets forth revisions and additions to the Pillar 3 framework resulting from ongoing reforms to the regulatory capital framework, including incorporating disclosure requirements arising from the Financial Stability Board’s total loss-absorbing capacity (TLAC) regime applicable to global systemically important banks (GSIBs), and revised disclosure requirements for market risk attributable to the revised market risk framework.
The Basel Committee announced in the final rule that it had commenced the third phase of its review of “Pillar 3” disclosure requirements, which will build further upon the revisions arising from the second phase of its review. Among other requirements, the third phase will include development of any disclosure requirements arising from the finalization of the Basel III post-crisis regulatory reforms.
Citi is currently subject to the Advanced Approaches disclosure requirements, as well as those with respect to marketforeign exchange risk under the U.S. Basel III rules. TheStandardized Approach have been recalibrated.
If the U.S. banking agencies may revise the nature and extent of these disclosure

requirements in the future, as a result of the Basel Committee’s revised Pillar 3 disclosure requirements.

Regulatory Treatment of Accounting Provisions for Expected Credit Losses—Interim Approach and Transitional Arrangements
In March 2017, the Basel Committee issued a final rule that retains, for an interim period, the current Basel III treatment, under both the Standardized Approach and Internal Ratings-Based Approaches, applicable to accounting provisions for credit losses. Such measure is in recognition of the promulgation by both the International Accounting Standards Board and more recently the U.S. Financial Accounting Standards Board of new accounting pronouncements (IFRS 9, “Financial Instruments,” and ASU No. 2016-13, “Financial Instruments—Credit Losses,” respectively) regarding the impairment of financial assets and adoption of provisioning standards which incorporate forward-looking assessments in the estimation of expected credit losses, which represents a substantial departure from the recognition of credit losses under the current incurred loss model. Measuring the impairment of loans and other financial assets under expected credit loss models may result in earlier recognition of, and higher accounting provisions for, credit losses, and consequently may increase volatility in regulatory capital. The current Basel III treatment is being retained so as to afford the Basel Committee additional time in which to thoroughly consider and develop a permanent regulatory capital treatment with respect to accounting provisions for expected credit losses.
Moreover, the final rule provides for optional transitional arrangements, which may be availed by jurisdictions, that would permit banking organizations to more evenly absorb the potentially significant adverse impact on regulatory capital arising from the recognition of higher expected credit loss provisions. The final rule also establishes standards with which these transitional arrangements must comply.  
The U.S. banking agencies may revise the Basel III rules in the future in conjunction with the adoption by U.S. banking organizations of the current expected credit loss model as set forth under ASU 2016-13.

Revised Assessment Framework for Global Systemically Important Banks
In March 2017, the Basel Committee issued a consultative document which proposes revisions to the framework for assessing the global systemic importance of banks. The current framework employed by the Basel Committee as to the identification of GSIBs and the assessment of a surcharge is based primarily on quantitative measurement indicators underlying five equally weighted broad categories of systemic importance: (i) size, (ii) interconnectedness, (iii) cross-jurisdictional activity, (iv) substitutability/financial institution infrastructure, and (v) complexity. With the exception of size, each of the other categories is composed of multiple indicators, amounting to 12 indicators in total.
The proposal, which reflects the results of the Basel Committee’s planned initial review, sets forth several modifications to its GSIB framework, the most significant of
which for Citi would be the removal of the existing cap on the substitutability/financial institution infrastructure category. Among the other changes proposed by the Basel Committee and estimated to be of lesser impact to Citi, would be the introduction within the substitutability/financial institution infrastructure category of a trading volume indicator, accompanied by an equivalent reduction in the current weighting of the existing underwriting indicator. Moreover, the Basel Committee’s proposed requirement to expand the scope of consolidation to include exposures of insurance subsidiaries within the size, interconnectedness, and complexity categories would raise the global aggregate of these respective measures of systemic importance to which all GSIBs are subject, and as a result it is estimated that Citi would benefit on a relative basis vis-a-vis certain other GSIBs, given that its insurance subsidiaries are presently consolidated under U.S. generally accepted accounting principles and for regulatory purposes. Aside from these proposed modifications, the Basel Committee is also separately seeking feedback on the potential for a new indicator regarding short-term wholesale funding.
In contrast, a U.S. bank holding company that is designated a GSIB under the Federal Reserve Board’s rule is required, on an annual basis, to calculate a surcharge using two methods, and is subject to the higher of the resulting two surcharges. The first method (“method 1”) is based on the same five broad categories of systemic importance resident under the Basel Committee’s framework to identify a GSIB and derive a surcharge. Under the second method (“method 2”), the substitutability category is replaced with a quantitative measure intended to assess the extent of a GSIB’s reliance on short-term wholesale funding.
Accordingly, if the Federal Reserve Board were to adopt the Basel Committee’s proposed revisions with respect torevised market risk framework unchanged, Citi believes its market risk-weighted assets could increase significantly. The ultimate impact on Citi, however, will depend upon the U.S. GSIB framework, Citi’s method 1 GSIB surcharge could potentially increase, while its method 2 GSIB surcharge would remain unchanged. Further, while it is currently estimated that under these circumstances method 2 would remain Citi’s binding constraint for GSIB surcharge purposes, nonetheless an increase in Citi’s method 1 GSIB surcharge could impact the extent to which Citi satisfies certain TLAC minimum requirements in the future.specific provisions of any final rule.


Revisions to the Securitization FrameworkLeverage Ratio Treatment of Client-Cleared Derivatives
In July 2017,June 2019, the Basel Committee on Banking Supervision issued two consultative documents: one which establishes criteriaa final standard that revises its leverage ratio framework to align the leverage ratio measurement of client-cleared derivatives with the measurement as determined per the Basel Committee’s standardized approach for identifying “simple, transparent,measuring counterparty credit risk exposures, as used for risk-based capital requirements. Under the Basel Committee’s leverage ratio framework, the leverage ratio exposure measure is generally not adjusted for physical or financial collateral, guarantees or other credit risk mitigation techniques, including initial margin received from clients. However, the final rule permits both cash and comparable” (STC) short-term securitizations,non-cash forms of initial margin and another which providesvariation margin received from clients to mitigate replacement cost and potential future exposure for an alternative, and potentially preferential, regulatory capital treatment for short-term securitizations identified as STC. The Basel Committee had previously issued criteria solely for identifying STC securitizations in July 2015, and also previously issued an alternative regulatory capital treatment for STC securitizations in July 2016. The July 2017 consultative documents, however, introduce identification criteria and regulatory capital treatments that are uniquely tailored to short-term securitizations, with a focus on exposures related to asset-backed commercial paper conduits.client-cleared

derivatives only. The Basel Committee stated in the rule that this revision balances the robustness of the leverage ratio as a non-risk-based safeguard against unsustainable sources of leverage with the policy objective of promoting central clearing of standardized derivative contracts.
In the U.S., the Basel Committee’s leverage ratio framework and leverage ratio exposure measure are most closely aligned with the Supplementary Leverage Ratio and Total Leverage Exposure, respectively. As part of the SA-CCR final rule discussed previously, the U.S. agencies amended the Supplementary Leverage Ratio requirements in a manner similar to the Basel Committee. This particular aspect of the U.S. SA-CCR final rule will likely benefit Citi’s Supplementary Leverage Ratio modestly upon implementation.

Credit Valuation Adjustment Risk—Targeted Revisions
In November 2019, the Basel Committee on Banking Supervision issued a consultative document that proposes a targeted set of revisions to the credit valuation adjustment (CVA) risk framework previously finalized in December 2017. The revisions aim to align the revised CVA risk framework, in part, with the revised market risk capital framework that was finalized in January 2019. The Basel Committee also sought feedback on a possible adjustment to the overall calibration of capital requirements calculated under their CVA risk framework.
The U.S. banking agencies may reviseconsider revisions to the regulatory capital treatment of STC short-term securitizationsCVA risk framework under the U.S. Basel III rules in the future, based upon any revisions adopted by the Basel Committee.
Identification and Management of Step-in Risk
In October 2017, the Basel Committee issued final guidelines regarding the identification and management of so-called “step-in risk,” which is defined as “the risk that a bank decides to provide financial support to an unconsolidated entity that is facing stress, in the absence of, or in excess of, any contractual obligations to provide such support.” The guidelines establish a framework to be used by banks for conducting a self-assessment of step-in risk, which would also be reported to each bank’s respective national supervisors. The self-assessment of step-in risk should consider the risk characteristics of certain unconsolidated entities, as well as the bank’s relationship to such entities. The framework, however, does not require any additional regulatory capital or liquidity charges beyond the current Basel III rules.
The Basel Committee expects the guidelines to be enacted by member jurisdictions no later than 2020. The U.S. banking agencies may issue guidelines regarding the identification and measurement of step-in risk in the future, as a result of the Basel Committee’s guidelines.




Tangible Common Equity, Tangible Book Value Per Share, Tangible Book Value Per Share and Returns on Equity
Tangible common equity (TCE), as defined by Citi, represents common stockholders’ equity less goodwill and otheridentifiable intangible assets (other than MSRs). Other companies may calculate TCE in a different manner. TCE, tangible book value (TBV) per share and returnsreturn on average TCE are non-GAAP financial measures. Citi believes these capital metrics provide alternativethe presentation of TCE, TBV per share and return on average TCE provides alternate measures of capital strength and performance andthat are commonly used by investors and industry analysts.

 At December 31,
In millions of dollars or shares, except per share amounts20192018201720162015
Total Citigroup stockholders’ equity$193,242
$196,220
$200,740
$225,120
$221,857
Less: Preferred stock17,980
18,460
19,253
19,253
16,718
Common stockholders’ equity$175,262
$177,760
$181,487
$205,867
$205,139
Less:     
    Goodwill22,126
22,046
22,256
21,659
22,349
    Identifiable intangible assets (other than MSRs)4,327
4,636
4,588
5,114
3,721
    Goodwill and identifiable intangible assets (other than
      MSRs) related to assets held-for-sale (HFS)
—
—
32
72
68
Tangible common equity (TCE)$148,809
$151,078
$154,611
$179,022
$179,001
Common shares outstanding (CSO)2,114.1
2,368.5
2,569.9
2,772.4
2,953.3
Book value per share (common equity/CSO)$82.90
$75.05
$70.62
$74.26
$69.46
Tangible book value per share (TCE/CSO)70.39
63.79
60.16
64.57
60.61
 For the Year Ended December 31,
In millions of dollars20192018
2017(1)
20162015
Net income available to common shareholders$18,292
$16,871
$14,583
$13,835
$16,473
Average common stockholders’ equity177,363
179,497
207,747
209,629
204,188
Average TCE150,994
153,343
180,458
182,135
176,505
Return on average common stockholders’ equity10.3%9.4%7.0%6.6%8.1%
Return on average TCE (RoTCE)(2)
12.1
11.0
8.1
7.6
9.3
In millions of dollars or shares, except per share amountsDecember 31,
2017		December 31,
2016
Total Citigroup stockholders’ equity$200,740
$225,120
Less: Preferred stock19,253
19,253
Common stockholders’ equity$181,487
$205,867
Less:  
    Goodwill22,256
21,659
    Intangible assets (other than MSRs)4,588
5,114
    Goodwill and intangible assets (other than MSRs) related to assets held-for-sale (HFS)32
72
Tangible common equity (TCE)$154,611
$179,022
Common shares outstanding (CSO)2,569.9
2,772.4
Book value per share (common equity/CSO)$70.62
$74.26
Tangible book value per share (TCE/CSO)60.16
64.57
In millions of dollars
Year ended December 31, 2017(1)
Year ended December 31, 2016
Net income less preferred dividends$14,583
$13,835
Average common stockholders’ equity$207,747
$209,629
Average TCE$180,458
$182,135
Less: Average net DTAs excluded from Common Equity Tier 1 Capital(2)
28,569
29,013
Average TCE, excluding net DTAs excluded from Common Equity Tier 1 Capital$151,889
$153,122
Return on average common stockholders’ equity7.0%6.6%
Return on average TCE (ROTCE)(3)
8.1
7.6
Return on average TCE, excluding net DTAs excluded from Common Equity Tier 1 Capital9.6
9.0



(1)Year ended December 31, 2017 excludes the one-time impact of Tax Reform. For a reconciliation of these measures, see “Impact of Tax Reform” above.“Significant Accounting Policies and Significant Estimates—Income Taxes” below.
(2)Represents average net DTAs excluded in arriving at Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules.
(3)ROTCERoTCE represents net income available to common shareholders as a percentage of average TCE.








RISK FACTORS


The following discussion sets forth what management currently believes could be the most significant risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition. Other risks and uncertainties, including those not currently known to Citi or its management, could also negatively impact Citi’s businesses, results of operations and financial condition. Thus, the following should not be considered a complete discussion of all of the risks and uncertainties Citi may face.


STRATEGIC RISKS

Citi’s Ability to Return Capital to Common Shareholders Consistent with Its Capital OptimizationPlanning Efforts and Targets Substantially Depends on the CCAR Process and the Results of Regulatory Stress Tests.
In addition to Board of Director approval, Citi’s ability to return capital to its common shareholders consistent with its capital optimizationplanning efforts and targets, whether through its common stock dividend or through a share repurchase program, substantially depends, among other things, on regulatory approval, including through the CCAR process required by the Federal Reserve Board (FRB) and the supervisory stress tests required under the Dodd-Frank Act. For additional informationThe ability to return capital also depends on Citi’s returnresults of capital to common shareholders
operations and effectiveness in 2017 as well as the CCAR processmanaging its level of risk-weighted assets and supervisory stress test requirements, see “Capital Resources—Overview” and “Capital Resources—Stress Testing Component of Capital Planning” above.
GSIB surcharge. Citi’s ability to accurately predict, interpret or explain to stakeholders the outcome of the CCAR process, and thus to address any such market or investor perceptions, is difficultmay be limited as the Federal Reserve Board’sFRB’s assessment of Citi’s capital adequacy is conducted using the Board’sFRB’s proprietary stress test models,models. In addition, all CCAR firms, including Citi, will continue to be subject to a rigorous evaluation of their capital planning practices, including, but not limited to, governance, risk management and internal controls. For additional information on Citi’s return of capital to common shareholders in 2019 as well as a numberthe CCAR process, supervisory stress test requirements and GSIB surcharge, see “Capital Resources—Overview” and “Capital Resources—Current Regulatory Capital Standards—Stress Testing Component of qualitative factors, including a detailed assessment of Citi’s “capital adequacy process,” as defined byCapital Planning” above and the Board. risk management risk factor below.
The Federal Reserve BoardFRB has stated that it expects leading capital adequacy practices willto continue to evolve and willto likely be determined by the BoardFRB each year as a result of its cross-firm review of capital plan submissions. Similarly, the Federal Reserve BoardFRB has indicated that, as part of its stated goal to continually evolve its annual stress testing requirements, several parameters of the annual stress testing process may continue to be altered, from time to time, including the severity of the stress test scenario, the Federal Reserve BoardFRB modeling of Citi’s balance sheet and the addition of components deemed important by the Federal Reserve Board (e.g.,FRB.
Citi will be required to incorporate the current expected credit losses (CECL) methodology into its stress testing methodologies, data and disclosure beginning with the 2020 supervisory stress test cycle. The FRB has stated that it plans to maintain its current framework for calculating allowances on loans in the supervisory stress test for the 2020 and 2021
supervisory stress test cycles, and to evaluate appropriate future enhancements to this framework as best practices for implementing CECL are developed. The impacts on Citi’s capital adequacy of incorporating CECL on an ongoing basis, and of other potential regulatory changes in the FRB’s stress testing methodologies, remain unclear. For additional macroprudential considerations such as funding and liquidity shocks).
Moreover, in 2016, senior officials atinformation regarding the Federal Reserve Board indicated thatCECL methodology, including the Board was considering integrationtransition provisions related to the “Day One” adverse regulatory capital effects resulting from adoption of the annual stress testingCECL methodology, see “Capital Resources—Current Regulatory Capital Standards—Regulatory Capital Treatment—Implementation and Transition of the Current Expected Credit Losses (CECL) Methodology” above and Note 1 to the Consolidated Financial Statements.
In addition, in 2018, the FRB proposed to more closely integrate the results of the quantitative assessment in CCAR with firms’ ongoing minimum capital requirements with ongoing regulatory capital requirements. While there has been no formal proposal fromunder the Federal Reserve Board to date,U.S. Basel III rules. Proposed changes to the stress testing regime being discussed,include, among others, include introduction of a firm-specific “stress capital buffer” (SCB), which would be equal to the maximum decline in a firm’s Common Equity Tier 1 Capital ratio under a severely adverse
scenario over a nine-quarter CCAR measurement period, subject to a minimum requirement of 2.5%. Accordingly, a firm’s SCB would change annually based on its stress test results in the prior year. Officials discussed the ideaThe FRB proposed that the SCB would replace the capital conservation buffer in both the firm’sCiti’s ongoing regulatory capital requirements for Standardized Approach capital ratios. The SCB would be calculated by the FRB using its proprietary data and as partmodeling of each firm’s results. Accordingly, a firm’s SCB would change annually based on the supervisory stress test results, thus potentially resulting in year-to-year volatility in the calculation of the floor for capital distributions inSCB. For additional information on the CCAR process. Federal Reserve Board senior officials also noted that introductionFRB’s proposal, including calculation of the SCB, would have the effect of incorporating a firm’s then-effective GSIB surcharge into its post-stress test minimum capital requirements, which the Board has previously indicated it is considering.see “Capital Resources—Regulatory Capital Standards Developments” above.
Although various uncertainties exist regarding the extent of, and the ultimate impact to Citi from, these changes to the Federal Reserve Board’sFRB’s stress testing and CCAR regimes, these changes would likely increase the level of capital Citi is required or elects to hold, including as part of Citi’s estimated management buffer, thus potentially impacting the extent to which Citi is able to return capital to shareholders.

Macroeconomic, Geopolitical and Other Challenges and Uncertainties Globally Could Have a Negative Impact on Citi’s Businesses and Results of Operations.
Citi has experienced, and could experience in the future, negative impacts to its businesses and results of operations as a result of macroeconomic, geopolitical and other challenges, uncertainties and volatility. For example, protracted or widespread trade tensions, including changes in trade policies, which have resulted in retaliatory measures from other countries, could result in a further reduction or realignment of trade flows among countries and negatively impact businesses, sectors and economic growth rates. In addition, adverse developments or downturns in one or more of the world’s larger economies would likely have a significant impact on the global economy or the economies of other countries because of global financial and economic linkages. Additional areas of uncertainty include, among others, geopolitical tensions and

conflicts, natural disasters, pandemics and election outcomes. For example, it was reported in January 2020 that a novel strain of coronavirus which first surfaced in China, had spread to several other countries, resulting in various uncertainties, including the potential impact to Asian and global economies, trade and consumer and corporate clients.
Governmental fiscal and monetary actions, or expected actions, such as changes in interest rate policies and any program implemented by a central bank to change the size of its balance sheet, could significantly impact interest rates, economic growth rates, the volatility of global financial markets, foreign exchange rates and capital flows among countries. For example, in 2019, the FRB reduced its benchmark U.S. interest rate three times to add additional stimulus to the U.S. economy. The interest rates on Citi loans are typically based off or set at a spread over a benchmark interest rate, including the U.S. benchmark interest rate, and are therefore likely to decline as benchmark rates decline. By contrast, the interest rates at which Citi pays depositors are already low and unlikely to decline much further. Consequently, declining loan rates and largely unchanged deposit rates would likely compress Citi’s net interest revenue. Citi’s net interest revenue could also be adversely affected due to a flattening of the interest rate yield curve (e.g., a lower spread between shorter-term versus longer-term interest rates), as Citi, similar to other banks, typically pays interest on deposits based on shorter-term interest rates and earns money on loans typically based on longer-term interest rates. For additional information on Citi’s interest rate risk, see “Managing Global Risk—Market Risk—Net Interest Revenue at Risk” below.
Despite the U.K.’s official withdrawal from the European Union (EU) as of January 31, 2020, numerous uncertainties continue to exist regarding the U.K.’s future relationship with the EU. For example, the terms of the U.K. withdrawal continue to be negotiated between the U.K. and the EU, including their future trading relationship. It remains unclear whether the parties will be able to agree on terms prior to the end of the currently scheduled transition period on December 31, 2020. If no agreement is reached on terms of the exit in a timely manner, it would likely result in what is commonly referred to as a “no deal” or “hard” exit scenario. A hard exit scenario would result in the U.K. and EU losing reciprocal financial services license-passporting rights and require the U.K. to deal with the EU as a third-country regime, but without an equivalence regime or transition period in place. A hard exit scenario could cause severe disruptions in the movement of goods and services between the U.K. and EU countries and negatively impact financial markets and the U.K. and EU economies. Citi’s business and operations could be impacted by these and other factors, including the preparedness and reaction of clients, counterparties and financial markets infrastructure. For information about Citi’s actions to manage the U.K.’s exit from the EU, see “Managing Global Risk—Strategic Risk—Exit of U.K. from EU” below. Further, the economic and fiscal situations of some EU countries have remained fragile, and concerns and uncertainties remain in the U.K. and Europe over the resulting effects of the U.K.’s exit from the EU.
These and additional global macroeconomic, geopolitical and other challenges, uncertainties and volatilities have negatively impacted, and could continue to negatively impact, Citi’s businesses, results of operations and financial condition, including its credit costs, revenues in its Markets and securities services and other businesses, and AOCI (which would in turn negatively impact Citi’s book and tangible book value).

Citi, Its Management and Its Businesses Must Continually Review, Analyze and Successfully Adapt to Ongoing Regulatory and OtherLegislative Uncertainties and Changes in the U.S. and Globally.
Despite the adoption of final regulations and laws in numerous areas impacting Citi and its businesses over the past several years, Citi, its management and its businesses continually face ongoing regulatory and legislative uncertainties and changes, both in the U.S. and globally. While the areas of ongoing regulatory and legislative uncertainties and changes facing Citi are too numerous to list completely, various examples include, but are not limited to (i) uncertainties and potential fiscal, monetary, regulatory and regulatoryother changes arising from the U.S. Presidential administrationfederal government and Congress;others; (ii) potential changes to various aspects of the regulatory capital framework applicable to Citi (see the CCARcapital return risk factor and “Capital Resources—Regulatory Capital Standards Developments” above); and (iii) the terms of and other uncertainties resulting from the U.K.’s potential exit from the European Union (EU)EU (see the macroeconomic challenges and uncertainties risk factor below)above). When referring to “regulatory,” Citi is including both formal regulation and the views and expectations of its regulators in their supervisory roles.
Ongoing regulatory and legislative uncertainties and changes make Citi’s and its management’s long-term business, balance sheet and budget planning difficult or subject to change. For example, the U.S. Presidential administration has discussedand other regulators globally have implemented and continue to discuss various changes to certain regulatory requirements, which would require ongoing assessment by management as to the impact to Citi, its businesses and business planning. Business planning is required to be based on possible or proposed rules or outcomes, which can change dramatically upon finalization, or upon implementation or interpretive guidance from numerous regulatory bodies worldwide, and such guidance can change.
Moreover, U.S. and international regulatory and legislative initiatives have not always been undertaken or implemented on a coordinated basis, and areas of divergence have developed and continue to develop with respect to the scope, interpretation, timing, structure or approach, leading to inconsistent or even conflicting regulations,requirements, including within a single jurisdiction. For example, in 2016,May 2019, the European Commission proposed to introduceadopted, as part of Capital Requirements Directive V (CRD V), a new requirement for major banking groups

headquartered outside the EU (which would include Citi) to establish an intermediate EU holding company where the foreign bank has two or more institutions (broadly meaning banks, broker-dealers and similar financial firms) established in the EU. While in some respects the proposalrequirement mirrors an existing U.S. requirement for non-U.S. banking organizations to form U.S. intermediate holding companies, if adopted, it

the implementation of the EU holding company requirement could lead to additional complexity with respect to Citi’s resolution planning, capital and liquidity allocation and efficiency in various jurisdictions. Regulatory and legislative changes have also significantly increased Citi’s compliance risks and costs (see the implementation and interpretation of regulatory changes risk factor below).


Citi’s Continued Investments and Efficiency Initiatives May Not Be as Successful as It Projects or Expects.
Citi continues to leverage its scale and make incremental investments to deepen client relationships, increase revenues and lower expenses. For example, Citi continues to make investments to enhance its digital capabilities across the franchise, including digital platforms and mobile and cloud-based solutions, as well as make investments in risk management and controls. Citi also has been investing in higher-return businesses, such as the U.S. cards and wealth management businesses in Global Consumer Banking (GCB) and treasury and trade solutions, securities services and other businesses in Institutional Clients Group (ICG). Citi also continues to execute on its previously disclosed investment of more than $1 billion in Citibanamex. Further, Citi has been pursuing efficiency improvements through various technology and digital initiatives, organizational simplification and location strategies, which are intended to self-fund Citi’s incremental investment initiatives as well as offset growth-driven expenses.
Citi’s investments and efficiency initiatives are being undertaken as part of its overall strategy to meet operational and financial objectives, including, among others, those relating to shareholder returns. There is no guarantee that these or other initiatives Citi may pursue will be as productive or effective as Citi expects, or at all. Citi’s investment and efficiency initiatives may continue to evolve as its business strategies and the market environment change, which could make the initiatives more costly and more challenging to implement, and limit their effectiveness. Moreover, Citi’s ability to achieve expected returns on its investments and costs savings depends, in part, on factors that it cannot control, such as macroeconomic conditions, customer, client and competitor actions and ongoing regulatory changes, among others.

Uncertainties Regarding the Transition Away from or Possible Discontinuance of the London Inter-Bank Offered Rate (LIBOR) or Any Other Interest Rate Benchmark Could Have Adverse Consequences for Market Participants, Including Citi.
LIBOR is extensively used as a “benchmark” or “reference rate” across financial products and markets globally. The U.K. Financial Conduct Authority (FCA) has raised questions about the future sustainability of LIBOR, and, as a result, the FCA obtained voluntary panel bank support to sustain LIBOR only until 2021, and LIBOR is expected to be discontinued as early as January 1, 2022. In addition, following guidance provided by the Financial Stability Board, other regulators have suggested reforming or replacing other benchmark rates with alternative reference rates. Accordingly, the transition away from and discontinuance of LIBOR or any other benchmark
rate presents various uncertainties, risks and challenges to financial markets and institutions, including Citi. These include, among others, the pricing, liquidity, value of, return on and market for financial instruments and contracts that reference LIBOR or any other applicable benchmark rate.
Citi issues, trades, holds or otherwise uses a substantial amount of securities or products that reference LIBOR, including, among others, derivatives, corporate loans, commercial and residential mortgages, credit cards, securitized products and other securities. The transition away from and discontinuation of LIBOR presents significant operational, legal, reputational or compliance, financial and other risks to Citi. For example, LIBOR transition presents various challenges related to contractual mechanics of existing floating rate financial instruments and contracts that reference LIBOR and mature after 2021. Certain of these instruments and contracts do not provide for alternative benchmark rates, which makes it unclear what the future benchmark rates would be after LIBOR’s cessation. Even if the instruments and contracts provide for a transition to alternative benchmark rates, the new benchmark rates may significantly differ from the prior rates. As a result, Citi may need to proactively address any contractual uncertainties or rate differences in such instruments and contracts, which would likely be both time consuming and costly. In addition, the transition away from and discontinuance of LIBOR could result in disputes, including litigation, involving holders of outstanding instruments and contracts that reference LIBOR, whether or not the underlying documentation provides for alternative benchmark rates. Citi will also need to develop significant internal systems and infrastructure to transition to alternative benchmark rates to both manage its businesses and support clients.
For additional information about Citi’s ongoing management of LIBOR transition risk, see “Managing Global Risk—Strategic Risk—LIBOR Transition Risk” below.

Citi’s Ability to Utilize Its DTAs, and Thus Reduce the Negative Impact of the DTAs on Citi’s Regulatory Capital, Will Be Driven by Its Ability to Generate U.S. Taxable Income and by the Provisions of and Guidance Issued in Connection with Tax Reform.Income.
At December 31, 2017, after the $22.6 billion remeasurement of DTAs due to the impact of Tax Reform,2019, Citi’s net DTAs were $22.5$23.1 billion, net of a valuation allowance of $9.4$6.5 billion, of which $12.3$10.7 billion was excluded from Citi’s Common Equity Tier 1 Capital on a fully implemented basis, under the U.S. Basel III rules (for additional information, see “Capital Resources—Components of Citigroup Capital Under Basel III (Advanced Approaches with Full Implementation)”Capital” above). Of the net DTAs at December 31, 2017, $7.62019, $6.3 billion related to foreign tax credit carry-forwards (FTCs), net of a valuation allowance. The carry-forward utilization period for FTCs is 10 years and represents the most time-sensitive component of Citi’s DTAs. The FTC carry-forwards at December 31, 20172019 expire over the period of 2018–2027.2020–2029. Citi must utilize any FTCs generated in the then-current yearthen-current-year tax return prior to utilizing any carry-forward FTCs.
The accounting treatment for realization of DTAs, including FTCs, is complex and requires significant judgment and estimates regarding future taxable earnings in the jurisdictions in which the DTAs arise and available tax planning strategies. Citi’s ability to utilize its DTAs including the FTC components, will

primarily be dependent upon Citi’s ability to generate U.S. taxable income in the relevant tax carry-forward periods. Although utilization of FTCs in any year is generally limited to 21% of foreign source taxable income in that year, overall domestic losses (ODL) that Citi has incurred in the past allow it to reclassify domestic source income as foreign source. Failure to realize any portion of the net DTAs would also have a corresponding negative impact on Citi’s net income.
Citi expects transitional guidance from the U.S. Department of the Treasury (U.S. Treasury) in 2018 regarding the required allocation of existing FTC carry-forwards to the appropriate FTC baskets as redefined by Tax Reform. The U.S. Treasury is also expected to provide transitional guidance that addresses the allocation of the overall domestic loss (ODL) to these FTC baskets. An ODL allows a company to recharacterize domestic income as income from sources outside the U.S., which enables a taxpayer to use FTC carry-forwards and FTCs generated in future years, assuming the generation of sufficient U.S. taxed income. If the guidance issued by the U.S. Treasury differs from Citi’s assumptions, the valuation allowance against Citi’s FTC carry-forwards would increase or decrease, depending upon the guidance received. Citi’s net income would change by a corresponding
amount. However, a change in recognized FTC carry-forwards would not impact Citi’s regulatory capital, given that such amounts are already fully disallowed.financial returns.
Citi does not expect to be subject to the Base Erosion Anti-Abuse Tax (BEAT) added by Tax Reform. However, U.S. Treasury guidance regarding BEAT could affect Citi’s decisions as to how to structure its non-U.S. operations, possibly in a less cost efficient manner. In addition,, which, if BEAT were to be applicable to Citi in any given year, it couldwould have a significantly adverse effect on both Citi’s net income and regulatory capital.
For additional information on the impact of Tax Reform and on Citi’s DTAs, including the FTCs, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below and Notes 1 and 9 to the Consolidated Financial Statements.


Citi’s Interpretation or Application of the Complex Tax Laws to Which It Is Subject Could Differ from Those of the Relevant Governmental Authorities, Which Could Result in the Payment of Additional Taxes, Penalties or Interest.
Citi is subject to the various income-based and non-income-based tax laws of the U.S. and its states and municipalities, as well as the numerous non-U.S. jurisdictions in which it operates. These tax laws are inherently complex and Citi must make judgments and interpretations about the application of these laws, including the Tax Reform as mentioned above,Cuts and Jobs Act (Tax Reform), to its entities, operations and businesses. Citi’s interpretations and application of the tax laws, including with respect to Tax Reform, withholding, tax obligations and stamp, service and other transactionalnon-income taxes, could differ from that of the relevant governmental taxing authority, which could result in the payment of additional taxes, penalties or interest, which could be material.

Citi’s Ongoing Investments and Efficiency Initiatives May Not Be as Successful as It Projects or Expects.
Citi continues to make important investments to streamline its infrastructure and improve its client experience. For example, Citi has been investing in higher return businesses, including the U.S. cards and wealth management businesses in Global Consumer Banking as well as certain businesses in Institutional Clients Group, such as equities. Citi continues to invest in its technology systems to enhance its digital capabilities across the franchise. In addition, in 2016, Citi announced a more than $1 billion investment in Citibanamex that is expected to be completed by 2020. Citi’s investment strategy will likely continue to evolve and change as its business strategy and priorities change. Citi also has been pursuing efficiency savings through its technology and digital initiatives, location strategy and organizational simplification.
These investments and efficiency initiatives are being undertaken as part of Citi’s overall strategy to meet operational and financial objectives and targets, including earnings growth expectations. There is no guarantee that these or other initiatives Citi may pursue in its businesses or operations will be as productive or effective as Citi expects, or at all. Further, Citi’s ability to achieve expected returns on its investments and costs savings depends, in part, on factors that it cannot control, such as macroeconomic conditions, customer

and client reactions and ongoing regulatory changes, among others.

Citi Has Co-Branding and Private Label Credit Card Relationships with Various Retailers and Merchants and the Failure to Maintain These Relationships Could Have a Negative Impact on Citi’s Results of Operations or Financial Condition.
Citi has co-branding and private label relationships through its Citi-branded cards and Citi retail services credit card businesses with various retailers and merchants globally in the ordinary course of business whereby Citi issues credit cards to customers of the retailers or merchants. Citi’s co-branding and private label agreements provide for shared economics between the parties and generally have a fixed term. The five largest relationships constituted an aggregate of approximately 11% of Citi’s revenues for 2017.
These relationships could be negatively impacted due to, among other things, declining sales and revenues or other difficulties of the retailer or merchant, termination due to a breach by Citi, the retailer or merchant of its responsibilities, or external factors, including bankruptcies, liquidations, restructurings, consolidations and other similar events. Over the last several years, a number of retailers in the U.S. have continued to experience declining sales, which has resulted in significant numbers of store closures and, in a number of cases, bankruptcies, as retailers attempt to cut costs and compete with online retailers. In addition, as has been widely reported, competition among card issuers, including Citi, for these relationships is significant, and it has become increasingly difficult in recent years to maintain such relationships on the same terms or at all. While various mitigating factors could be available to Citi if any of these events were to occur—such as by replacing the retailer or merchant or offering other card products—such events could negatively impact Citi’s results of operations or financial condition, including as a result of loss of revenues, higher cost of credit, impairment of purchased credit card relationships and contract-related intangibles or other losses (for information on Citi’s credit card related intangibles generally, see Note 16 to the Consolidated Financial Statements).

Macroeconomic and Geopolitical Challenges and Uncertainties Globally Could Have a Negative Impact on Citi’s Businesses and Results of Operations.
Citi has experienced, and could experience in the future, negative impacts to its businesses and results of operations as a result of macroeconomic and geopolitical challenges, uncertainties and volatility. As a result of a 2016 U.K. referendum, the U.K. triggered Article 50 in March 2017, beginning the two-year period in which the U.K. will negotiate its exit from the EU. Since then, numerous uncertainties have arisen, including, among others, (i) potential changes to Citi’s legal entity and booking model strategy and/or structure in both the U.K. and the EU based on the outcome of negotiations relating to the regulation of financial services; (ii) the potential impact of the exit to the U.K. and European economies and other financial markets; and (iii) the potential
impact to Citi’s exposures to counterparties as a result of any economic slowdown in the U.K. or Europe.
In addition, governmental fiscal and monetary actions, or expected actions, such as changes in the federal funds rate and any balance sheet normalization program implemented by the Federal Reserve Board or other central banks, could impact interest rates, economic growth rates, the volatilities of global financial markets, foreign exchange rates and capital flows among countries. Although Citi estimates its overall net interest revenue would generally increase due to higher interest rates, higher rates could adversely affect Citi’s funding costs, levels of deposits in its consumer and institutional businesses and certain business or product revenues. Also, the U.S. Presidential administration has indicated it may pursue protectionist trade and other policies, which could result in additional macroeconomic and/or geopolitical challenges, uncertainties and volatilities. Further, the economic and fiscal situations of certain European countries have remained fragile, and concerns and uncertainties remain in Europe over the potential exit of additional countries from the EU.
These and other global macroeconomic and geopolitical challenges, uncertainties and volatilities have negatively impacted, and could continue to negatively impact, Citi’s businesses, results of operations and financial condition, including its credit costs, revenues in its Markets and securities services and other businesses, and AOCI (which would in turn negatively impact Citi’s book and tangible book value).


Citi’s Presence in the Emerging Markets Subjects It to Various Risks as well as Increased Compliance and Regulatory Risks and Costs.
During 2017,2019, emerging markets revenues accounted for approximately 36%37% of Citi’s total revenues (Citi generally defines emerging markets as countries in Latin America,, Asia (other
(other than Japan, Australia and New Zealand), Central and Eastern Europe, the Middle East and Africa).
Although Citi continues to pursue its target client strategy, Citi’s presence in the emerging markets subjects it to a number of risks, including limitations of hedges on foreign investments, foreign currency volatility, sovereign volatility, election outcomes, regulatory changes and political events, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyper-inflation)hyperinflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets. For example, Citi operates in several countries that have, or have had in the past, strict foreign exchange controls, such as Argentina, that limit its ability to convert local currency into U.S. dollars and/or transfer funds outside of those countries.
Moreover, if the country. In prior years, Citi has also discovered fraudeconomic situation in certainan emerging markets incountry where Citi operates were to deteriorate below
a certain level, U.S. regulators may impose mandatory loan loss or other reserve requirements on Citi, which it operates. Politicalwould increase its credit costs and decrease its earnings (see “Strategic Risk—Country Risk—Argentina” below for additional information on emerging markets risk). In addition, political turmoil and other instability have occurred in certain regions and countries, including Asia, the Middle East and Latin America, which have required, and may continue to require, management time and attention in prior years (e.g.,and other resources (such as monitoring the impact of sanctions on the Venezuelan and other countries’certain emerging markets economies as well as impacting Citi’s businesses and results of operations)operations in affected countries).
Citi’s emerging markets presence also increases its compliance and regulatory risks and costs. For example, Citi’s operations in emerging markets, including facilitating cross-

bordercross-border transactions on behalf of its clients, subject it to higher compliance risks under U.S. regulations that are primarily focused on various aspects of global corporate activities, such as anti-money laundering regulations and the Foreign Corrupt Practices Act. These risks can be more acute in less-developedless developed markets and thus require substantial investment in compliance infrastructure or could result in a reduction in certain of Citi’s business activities. Any failure by Citi to comply with applicable U.S. regulations, as well as the regulations in the countries and markets in which it operates as a result of its global footprint, could result in fines, penalties, injunctions or other similar restrictions, anymany of which could negatively impact Citi’s results of operations and reputation.reputation (see the implementation and interpretation of regulatory changes and legal and regulatory proceedings risk factors below).

A Deterioration in or Failure to Maintain Citi’s Co-Branding or Private Label Credit Card Relationships, Including as a Result of Any Bankruptcy or Liquidation, Could Have a Negative Impact on Citi’s Results of Operations or Financial Condition.
Citi has co-branding and private label relationships through its Citi-branded cards and Citi retail services credit card businesses with various retailers and merchants globally, whereby in the ordinary course of business Citi issues credit cards to customers of the retailers or merchants. Citi’s co-branding and private label agreements provide for shared economics between the parties and generally have a fixed term. The five largest relationships, which include Sears, constituted an aggregate of approximately 11% of Citi’s revenues in 2019. These relationships could be negatively impacted by, among other things, the general economic environment, declining sales and revenues or other operational difficulties of the retailer or merchant, termination due to a contractual breach by Citi or by the retailer or merchant, or other factors, including bankruptcies, liquidations, restructurings, consolidations or other similar events.
Over the last several years, a number of U.S. retailers have continued to experience declining sales, which has resulted in significant numbers of store closures and, in a number of cases, bankruptcies, as retailers attempt to cut costs and reorganize. For example, despite its exit from bankruptcy in 2019, Sears continues to close stores and experience declining sales (for additional information regarding Citi retail

services’ co-brand and private label credit card products relationship with Sears, see “Global Consumer Banking—North America GCB” above). In addition, as has been widely reported, competition among card issuers, including Citi, for these relationships is significant, and it has become increasingly difficult in recent years to maintain such relationships on the same terms or at all.
While various mitigating factors could be available to Citi if any of the above events were to occur—such as by replacing the retailer or merchant or offering other card products—these events, particularly bankruptcies or liquidations, could negatively impact the results of operations or financial condition of Citi-branded cards, Citi retail services or Citi as a whole, including as a result of loss of revenues, increased expenses, higher cost of credit, impairment of purchased credit card relationships and contract-related intangibles or other losses (for information on Citi’s credit card related intangibles generally, see Note 16 to the Consolidated Financial Statements).

Citi’s Inability in Its Resolution Plan Submissions to Address Any Shortcomings or Deficiencies Identified or Future Guidance Provided by the Federal Reserve BoardFRB and FDIC Could Subject Citi to More Stringent Capital, Leverage or Liquidity Requirements, or Restrictions on Its Growth, Activities or Operations, and Could Eventually Require Citi to Divest Assets or Operations.
Title I of the Dodd-Frank Act requires Citi to prepare and submit a plan to the Federal Reserve BoardFRB and the FDIC for the orderly resolution of Citigroup (the bank holding company) and its significant legal entities under the U.S. Bankruptcy Code in the event of future material financial distress or failure. Citi submitted its most recentOn December 17, 2019, the FRB and FDIC issued feedback on the resolution plans filed on July 1, 2019 by the eight U.S. GSIBs, including Citi. The FRB and FDIC identified one shortcoming, but no deficiencies, in Citi’s resolution plan in July 2017. On December 19, 2017, the Federal Reserve and the FDIC informed Citi that (i) the agencies jointly decided that Citi’s 2017 resolution plan submission satisfactorily addressed the shortcomings identified in the 2015 resolution plan submission, and (ii) the agencies did not identify any deficiencies in the 2017 resolution plan submission. Citi’s next resolution plan submission is due July 1, 2019.relating to governance mechanisms. For additional information on Citi’s 2017 resolution plan submission,submissions, see “Managing Global Risk—Liquidity Risk” below.
Under Title I, if the Federal Reserve BoardFRB and the FDIC jointly determine that Citi’s resolution plan is not “credible” (which, although not defined, is generally believed to mean the regulators do
not believe the plan is feasible or would otherwise allow the regulators to resolve Citi in a way that protects systemically important functions without severe systemic disruption), or would not facilitate an orderly resolution of Citi under the U.S. Bankruptcy Code, and Citi fails to resubmit a resolution plan that remedies any identified deficiencies, Citi could be subjected to more stringent capital, leverage or liquidity requirements, or restrictions on its growth, activities or operations. If within two years from the imposition of any requirements or restrictions Citi has still not remediated any identified deficiencies, then Citi could eventually be required to divest certain assets or operations. Any such restrictions or actions would negatively impact Citi’s reputation, market and investor perception, operations and strategy.


 
Citi’s Performance and the Performance of Its Individual Businesses Could Be Negatively Impacted if Citi Is Not Able to Hire and RetainEffectively Compete for Highly Qualified Employees for Any Reason.Employees.
Citi’s performance and the performance of its individual businesses largely depends on the talents and efforts of its diverse and highly skilled employees. Specifically, Citi’s continued ability to compete in its businesses, to manage its businesses effectively and to continue to execute its overall global strategy depends on its ability to attract new employees and to retain and motivate its existing employees. If Citi is unable to continue to attract and retain the most highly qualified employees, for any reason, Citi’s performance, including its competitive position, the successful execution of its overall strategy and its results of operations could be negatively impacted.
Citi’s ability to attract and retain employees depends on numerous factors, some of which are outside of its control. For example, the banking industry generally is subject to more stringentcomprehensive regulation of executive and employee compensation than other industries, including deferral and clawback requirements for incentive compensation. Citi often competes in the market for talent with entities that are not subject to such significantcomprehensive regulatory restrictionsrequirements on the structure of incentive compensation.compensation, including, among others, technology companies. Other factors that could impact Citi’s ability to attract and retain employees include its culture compensation, and the management and leadership of the companyCompany as well as its individual businesses, presence in the particular market or region at issue and the professional opportunities it offers.


U.S. and Non-U.S. Financial Services Companies and Others as well as Emerging Technologies Pose Increasingly Competitive Challenges to Citi.
Citi operates in an increasingly competitive environment, which includes both financial and non-financial services firms.firms, such as traditional banks, online banks, financial technology companies and others. These companies compete on the basis of, among other factors, size, quality and type of products and services offered, price, technology and reputation. Emerging technologies have the potential to intensify competition and accelerate disruption in the financial services industry.
Citi competes with financial services companies in the U.S. and globally which continuallythat continue to develop and introduce new products and services. In addition, in recent years, non-financial services firms, such as financial technology firms,companies, have begun to offer services traditionally provided by financial institutions, such as Citi. These firms attempt to use technology and mobile platforms to enhance the ability of companies and individuals to borrow money, save and invest. To the extent itthat Citi is not able to compete effectively compete with these and other firms, Citi could be placed at a competitive disadvantage, which could result in loss of customers and market share, and its businesses, results of operations and financial condition could suffer. For additional information on Citi’s competitors, see the co-brand and private label cards risk factor above and “Supervision, Regulation and Other—Competition” below.



OPERATIONAL RISKS
A Disruption of Citi’s Operational Systems Could Negatively Impact Citi’s Reputation, Customers, Clients, Businesses or Results of Operations and Financial Condition.
A significant portion of Citi’s operations relies heavily on the secure processing, storage and transmission of confidential data and other information as well as the monitoring of a large number of complex transactions on a minute-by-minute basis. For example, through GCB and treasury and trade solutions and securities services businesses in ICG, Citi obtains and stores an extensive amount of personal and client-specific information for its retail, corporate and governmental customers and clients and must accurately record and reflect their extensive account transactions.
With the evolving proliferation of new technologies and the increasing use of the internet, mobile devices and cloud technologies to conduct financial transactions, large global financial institutions such as Citi have been, and will continue to be, subject to an increasing risk of operational disruption or cyber or information security incidents from these activities (for additional information, see the cybersecurity risk factor below). These incidents are unpredictable and can arise from numerous sources, not all of which are in Citi’s control, including, among others, human error, fraud or malice on the part of employees, accidental technological failure, electrical or telecommunication outages, failures of computer servers or other similar damage to Citi’s property or assets. These issues can also arise as a result of failures by third parties with which Citi does business, such as failures by internet, mobile technology and cloud service providers or other vendors to adequately safeguard their systems and prevent system disruptions or cyber attacks.
Such events could cause interruptions or malfunctions in the operations of Citi (such as the temporary loss of availability of Citi’s online banking system or mobile banking platform), as well as the operations of its clients, customers or other third parties. Given Citi’s global footprint and the high volume of transactions processed by Citi, certain errors or actions may be repeated or compounded before they are discovered and rectified, which would further increase these costs and consequences. Any such events could also result in financial losses as well as misappropriation, corruption or loss of confidential and other information or assets, which could negatively impact Citi’s reputation, customers, clients, businesses or results of operations and financial condition, perhaps significantly.

Citi’s and Third Parties’ Computer Systems and Networks Have Been, and Will Continue to Be, Susceptible to an Increasing Risk of Continually Evolving, Sophisticated Cybersecurity Activities That Could Result in the Theft, Loss, Misuse or Disclosure of Confidential Client or Customer Information, Damage to Citi’s Reputation, Additional Costs to Citi, Regulatory Penalties, Legal Exposure and Financial Losses.
Citi’s computer systems, software and networks are subject to ongoing cyber incidents such as unauthorized access, loss or destruction of data (including confidential client information), account takeovers, unavailability of service, computer viruses
or other malicious code, cyber attacks and other similar events. These threats can arise from external parties, including cyber criminals, cyber terrorists, hacktivists and nation state actors, as well as insiders who knowingly or unknowingly engage in or enable malicious cyber activities.
Third parties with which Citi does business, as well as retailers and other third parties with which Citi’s customers do business, may also be sources of cybersecurity risks, particularly where activities of customers are beyond Citi’s security and control systems. For example, Citi outsources certain functions, such as processing customer credit card transactions, uploading content on customer-facing websites and developing software for new products and services. These relationships allow for the storage and processing of customer information by third-party hosting of or access to Citi websites, which could lead to compromise or the potential to introduce vulnerable or malicious code, resulting in security breaches impacting Citi customers. Furthermore, because financial institutions are becoming increasingly interconnected with central agents, exchanges and clearing houses, including as a result of the derivatives reforms over the last few years, Citi has increased exposure to cyber attacks through third parties.While many of Citi’s agreements with the third parties include indemnification provisions, Citi may not be able to recover sufficiently, or at all, under the provisions to adequately offset any losses Citi may incur from third-party cyber incidents.
Citi has been subject to intentional cyber incidents from external sources over the last several years, including (i) denial of service attacks, which attempted to interrupt service to clients and customers, (ii) data breaches, which obtained unauthorized access to customer account data and (iii) malicious software attacks on client systems, which attempted to allow unauthorized entrance to Citi’s systems under the guise of a client and the extraction of client data. While Citi’s monitoring and protection services were able to detect and respond to the incidents targeting its systems before they became significant, they still resulted in limited losses in some instances as well as increases in expenditures to monitor against the threat of similar future cyber incidents. There can be no assurance that such cyber incidents will not occur again, and they could occur more frequently and on a more significant scale.
Further, although Citi devotes significant resources to implement, maintain, monitor and regularly upgrade its systems and networks with measures such as intrusion detection and prevention and firewalls to safeguard critical business applications, there is no guarantee that these measures or any other measures can provide absolute security. Because the methods used to cause cyber attacks change frequently or, in some cases, are not recognized until launched
or even later, Citi may be unable to implement effective preventive measures or proactively address these methods until they are discovered. In addition, given the evolving nature of cyber threat actors and the frequency and sophistication of the cyber activities they carry out, the determination of the severity and potential impact of a cyber incident may not occur for a substantial period until after the incident has been discovered. Also, while Citi engages in

certain actions to reduce the exposure resulting from outsourcing, such as performing security control assessments of third-party vendors and limiting third-party access to the least privileged level necessary to perform job functions, these actions cannot prevent all third-party-related cyber attacks or data breaches.
Cyber incidents can result in the disclosure of personal, confidential or proprietary customer or client information, damage to Citi’s reputation with its clients and the market, customer dissatisfaction and additional costs to Citi, including expenses such as repairing systems, replacing customer payment cards, credit monitoring or adding new personnel or protection technologies. Regulatory penalties, loss of revenues, exposure to litigation and other financial losses, including loss of funds, to both Citi and its clients and customers and disruption to Citi’s operational systems could also result from cyber incidents (for additional information on the potential impact of operational disruptions, see the operational systems risk factor above). Moreover, the increasing risk of cyber incidents has resulted in increased legislative and regulatory scrutiny of firms’ cybersecurity protection services and calls for additional laws and regulations to further enhance protection of consumers’ personal data.
While Citi maintains insurance coverage that may, subject to policy terms and conditions including significant self-insured deductibles, cover certain aspects of cyber risks, such insurance coverage may be insufficient to cover all losses.
For additional information about Citi’s management of cybersecurity risk, see “Managing Global Risk—Operational Risk—Cybersecurity Risk” below.

Changes to or Incorrect Assumptions, Judgments or Estimates in Citi’s Financial Statements Could Cause Significant Unexpected Losses or Impacts in the Future.
U.S. GAAP requires Citi to use certain assumptions, judgments and estimates in preparing its financial statements, including the estimate of the allowance for credit losses, reserves related to litigation, regulatory and tax matters exposures, valuation of DTAs and the fair values of certain assets and liabilities, among other items. If Citi’s assumptions, judgments or estimates underlying its financial statements are incorrect or differ from actual or subsequent events, Citi could experience unexpected losses or other adverse impacts, some of which could be significant. For example, Citi has incurred losses related to its foreign operations that are reported in the foreign currency translation adjustment (CTA) components of Accumulated other comprehensive income (loss) (AOCI). In accordance with U.S. GAAP, a sale or substantial liquidation of any foreign operations, such as those related to Citi’s legacy businesses, would result in reclassification of any foreign CTA component of AOCI related to that foreign operation, including related hedges and taxes, into Citi’s earnings. For additional information on Citi’s accounting policy for foreign currency translation and its foreign CTA components of AOCI, see Notes 1 and 19 to the Consolidated Financial Statements.
In addition, changes to financial accounting or reporting standards or interpretations, whether promulgated or required
by the FASB or other regulators, could present operational challenges and could also require Citi to change certain of the assumptions or estimates it previously used in preparing its financial statements, which could negatively impact how it records and reports its financial condition and results of operations generally and/or with respect to particular businesses (see the changes to financial accounting and reporting standards risk factor below). For additional information on the key areas for which assumptions and estimates are used in preparing Citi’s financial statements, see “Significant Accounting Policies and Significant Estimates” below and Notes 1 and 27 to the Consolidated Financial Statements.

Changes to Financial Accounting and Reporting Standards or Interpretations Could Have a Material Impact on How Citi Records and Reports Its Financial Condition and Results of Operations.
Periodically, the Financial Accounting Standards Board (FASB) issues financial accounting and reporting standards that may govern key aspects of Citi’s financial statements or interpretations thereof when those standards become effective, including those areas where Citi is required to make assumptions or estimates. For example, the FASB’s new accounting standard on credit losses (CECL), which became effective for Citi on January 1, 2020, requires earlier recognition of credit losses on loans and held-to-maturity securities and other financial assets. The CECL methodology requires that lifetime “expected credit losses” be recorded at the time the financial asset is originated or acquired. The expected credit losses are adjusted each period for changes in expected lifetime credit losses. The CECL methodology replaces the multiple existing impairment models under U.S. GAAP that generally required that a loss be “incurred” before it was recognized. The CECL methodology represents a significant change from existing GAAP and may result in material changes to Citi’s accounting for financial instruments. Citi’s ongoing estimates of its expected credit losses will depend upon its CECL models and assumptions, existing and forecasted macroeconomic conditions and the credit quality, composition and other characteristics of Citi’s loan and other applicable portfolios. These factors are likely to cause variability in Citi’s expected credit losses under CECL compared to previous GAAP and, thus, impact its results of operations and regulatory capital. For additional information on this and other accounting standards, including the expected impacts on Citi’s results of operations and financial condition, see Note 1 to the Consolidated Financial Statements.

Citi May Incur Significant Losses and Its Regulatory Capital and Capital Ratios Could Be Negatively Impacted if Its Risk Management Processes, Strategies or Models Are Deficient or Ineffective.
Citi utilizes a broad and diversified set of risk management and mitigation processes and strategies, including the use of risk models in analyzing and monitoring the various risks Citi
assumes in conducting its activities. For example, Citi uses models as part of its comprehensive stress testing initiatives across Citi. Citi also relies on data to aggregate, assess and

manage various risk exposures. Management of these risks is made even more challenging within a global financial institution such as Citi, particularly given the complex, diverse and rapidly changing financial markets and conditions in which Citi operates as well as that losses can occur from untimely, inaccurate or incomplete processes caused by unintentional human error.
These processes, strategies and models are inherently limited because they involve techniques, including the use of historical data in many circumstances, assumptions and judgments that cannot anticipate every economic and financial outcome in the markets in which Citi operates, nor can they anticipate the specifics and timing of such outcomes. Citi could incur significant losses, and its regulatory capital and capital ratios could be negatively impacted, if Citi’s risk management processes, including its ability to manage and aggregate data in a timely and accurate manner, strategies or models are deficient or ineffective. Such deficiencies or
ineffectiveness could also result in inaccurate financial, regulatory or risk reporting.
Moreover, Citi’s Basel III regulatory capital models, including its credit, market and operational risk models, currently remain subject to ongoing regulatory review and approval, which may result in refinements, modifications or enhancements (required or otherwise) to these models. Modifications or requirements resulting from these ongoing reviews, as well as any future changes or guidance provided by the U.S. banking agencies regarding the regulatory capital framework applicable to Citi, have resulted in, and could continue to result in, significant changes to Citi’s risk-weighted assets. These changes can negatively impact Citi’s capital ratios and its ability to achieve its regulatory capital requirements as it projects or as required.

CREDIT RISKS

Credit Risk and Concentrations of Risk Can Increase the Potential for Citi to Incur Significant Losses.
Credit risk arises from Citi’s lending and other businesses in both GCB and ICG. Citi has credit exposures to counterparties in the U.S. and various countries and jurisdictions globally, including end-of-period consumer loans of $310 billion and end-of-period corporate loans of $390 billion at year-end 2019. A default by a borrower or other counterparty, or a decline in the credit quality or value of any underlying collateral, exposes Citi to credit risk. Despite Citi’s target client strategy, various macroeconomic, geopolitical and other factors, among other things, can increase Citi’s credit risk and credit costs (for additional information, see the co-branding and private label credit card, macroeconomic challenges and uncertainties and emerging markets risk factors above).
While Citi provides reserves for expected losses for its credit exposures, such reserves are subject to judgments and estimates that could be incorrect or differ from actual future events. Under the new CECL accounting standard, the allowance for credit losses reflects expected losses, rather than incurred losses, which could lead to more volatility in the allowance and the provision for credit losses as forecasts of economic conditions change. In addition, Citi’s future allowance may be affected by seasonality of its cards
portfolios based on historical evidence showing that (i) credit card balances along with 30+ days past due balances increase during the third and fourth quarters each year as the holiday season approaches; and (ii) during the first and second quarters, borrowers use tax refunds to pay down balances while delinquent balances from the prior third and fourth quarters are charged off. For additional information, see the incorrect assumptions or estimates and changes to financial accounting and reporting standards risk factors above. For additional information on the impact of CECL, see Note 1 to the Consolidated Financial Statements. For additional information on Citi’s credit and country risk, see each respective business’s results of operations above and “Managing Global Risk—Credit Risk” and “Managing Global Risk—Strategic Risk—Country Risk” below and Note 14 to the Consolidated Financial Statements.
Concentrations of risk, particularly credit and market risk,risks, can also increase Citi’s risk of significant losses. As of year-end 2017,2019, Citi’s most significant concentration of credit
risk was with the U.S. government and its agencies, which primarily results from trading assets and investments issued by the U.S. government and its agencies (for additional information, including concentrations of credit risk to other public sector entities, see Note 23 to the Consolidated Financial Statements). In addition, Citi also routinely executes a high volume of securities, trading, derivative and foreign exchange transactions with non-U.S. sovereigns and with counterparties in the financial services industry, including banks, insurance companies, investment banks, governments, central banks and other financial institutions.
As regulatory or market developments continue Moreover, Citi has indemnification obligations in connection with various transactions that expose it to lead to increased centralization of trading activity through particular clearing houses, central agents, exchanges or other financial market utilities, Citi could also experience an increase in concentration of risk to these industries. These concentrations of risk, as well asincluding credit risk from hedging or reinsurance arrangements related to those obligations (for additional information about these exposures, see Note 26 to the risk of failureConsolidated Financial Statements). A rapid deterioration of a large borrower or other counterparty central counterparty clearing house or financialwithin a sector or country where Citi has large exposures or guarantees or unexpected market utilitydislocations could limit the effectiveness of Citi’s hedging strategies and cause Citi to incur significant losses.


LIQUIDITY RISKS

The Maintenance of Adequate Liquidity and Funding Depends on Numerous Factors, Including Those Outside of Citi’s Control, Such as Market Disruptions and Increases in
Citi’s Credit Spreads.
As a global financial institution, adequate liquidity and sources of funding are essential to Citi’s businesses. Citi’s liquidity and sources of funding can be significantly and negatively impacted by factors it cannot control, such as general disruptions in the financial markets, governmental
fiscal and monetary policies, regulatory changes or negative investor perceptions of Citi’s creditworthiness.creditworthiness, unexpected increases in cash or collateral requirements and the inability to
In addition,monetize available liquidity resources. Citi competes with other banks and financial institutions for deposits, which represent Citi’s most stable and lowest cost of long-term funding. The competition for retail banking deposits has increased as a result of online banks and digital banking, among others. Furthermore, given the decline in interest rates,

a growing number of customers have transferred deposits to other products, including investments and interest-bearing accounts, and/or other financial institutions. This, along with slower growth in deposits, has resulted in a more challenging environment for Citi. For additional information on the impact of interest rates, see the macroeconomic challenges and uncertainties risk factor above.
Moreover, Citi’s costs to obtain and access secured funding and long-term unsecured funding are directly related to its credit spreads. Changes in credit spreads constantly occur and are market driven includingby both external market factors and factors specific to Citi, and can be highly volatile. For additional information on Citi’s primary sources of funding, see “Managing Global Risk—Liquidity Risk” below.
Moreover, Citi’s ability to obtain funding may be impaired if other market participants are seeking to access the markets at the same time, or if market appetite is reduced,declines, as is likely to occur in a liquidity stress event or other market crisis. A sudden drop in market liquidity could also cause a temporary or lengthier dislocation of underwriting and capital markets activity. In addition, clearing organizations, regulators,central banks, clients and financial institutions with which Citi interacts may exercise the right to require additional collateral based on these markettheir perceptions or the market conditions, which could further impair Citi’s access to and cost of funding.
As a holding company, Citi relies on interest, dividends, distributions and other payments from its subsidiaries to fund
dividends as well as to satisfy its debt and other obligations. Several of Citi’s U.S. and non-U.S. subsidiaries are or may be subject to capital adequacy or other regulatory or contractual restrictions on their ability to provide such payments, including any local regulatory stress test requirements. Limitations on the payments that Citi receives from its subsidiaries could also impact its liquidity.

The Credit Rating Agencies Continuously Review the Credit Ratings of Citi and Certain of Its Subsidiaries, and a Ratings DowngradesDowngrade Could Have a Negative Impact on Citi’s Funding and Liquidity Due to Reduced Funding Capacity and Increased Funding Costs, Including Derivatives Triggers That Could Require Cash Obligations or Collateral Requirements.
The credit rating agencies, such as Fitch, Moody’s and S&P, continuously evaluate Citi and certain of its subsidiaries, and theirsubsidiaries. Their ratings of Citi and its more significant subsidiaries’ long-term/senior debt and short-term/commercial paper as applicable, are based on a number of factors, including standalone financial strength, as well as factors that are not entirely within the control of Citi and its subsidiaries, such as the agencies’ proprietary rating agency methodologies and assumptions,and conditions affecting the financial services industry and markets generally.
Citi and its subsidiaries may not be able to maintain their current respective ratings. Ratings downgradesA ratings downgrade could negatively impact Citi’s ability to access the capital markets and other sources of funds as well as the costs of those funds, and its ability to maintain certain deposits. A ratings downgrade could also have a negative impact on Citi’s funding and liquidity due to reduced funding capacity as well asand the impact offrom derivative triggers, which could require Citi to
meet cash obligations and collateral requirements. In addition, a ratings downgrade could also have a negative impact on other funding sources such as secured financing and other margined transactions for which there may be no explicit triggers, as well asand on contractual provisions and other credit requirements of Citi’s counterparties and clients whichthat may contain minimum ratings thresholds in order for Citi to hold third-party funds. Some entities could have ratings limitations on their permissible counterparties, of which Citi may or may not be aware.
Moreover,Furthermore, a credit ratings downgrades candowngrade could have impacts that may not be currently known to Citi or are not possible to quantify. For example, some entities may have ratings limitations as to their permissible counterparties, of which Citi may or may not be aware. In addition, certainCertain of Citi’s corporate customers and trading counterparties, among other clients, could re-evaluate their business relationships with Citi and limit the trading of certain contracts or market instruments with Citi in response to ratings downgrades. Changes in customer and counterparty behavior could impact not only Citi’s funding and liquidity but also the results of operations of certain Citi businesses. For additional information on the potential impact of a reduction in Citi’s or Citibank’s credit ratings, see “Managing Global Risk—Liquidity Risk” below.



OPERATIONALCOMPLIANCE RISKS


A Disruption of Citi’s Operational Systems Could Negatively Impact Citi’s Reputation, Customers, Clients, Businesses or Results of OperationsOngoing Interpretation and Financial Condition.
A significant portion of Citi’s operations relies heavily on the secure processing, storage and transmission of confidential and other information as well as the monitoring of a large number of complex transactions on a minute-by-minute basis. For example, through its Global Consumer Banking and credit card and securities services businesses in Institutional Clients Group, Citi obtains and stores an extensive amount of personal and client-specific information for its retail, corporate and governmental customers and clients and must accurately record and reflect their extensive account transactions.
With the evolving proliferation of new technologies and the increasing use of the Internet, mobile devices and cloud technologies to conduct financial transactions, large global financial institutions such as Citi have been, and will continue to be, subject to an increasing risk of operational disruption or cyber or information security incidents from these activities (for additional information on cybersecurity risk, see the discussion below). These incidents are unpredictable and can arise from numerous sources, not all of which are in Citi’s control, including among others human error, fraud or malice on the part of employees, accidental technological failure, electrical or telecommunication outages, failures of computer servers or other similar damage to Citi’s property or assets. These issues can also arise as a result of failures by third parties with which Citi does business, such as failures by Internet, mobile technology and cloud service providers or other vendors to adequately safeguard their systems and prevent system disruptions or cyber attacks.
Such events could cause interruptions or malfunctions in the operations of Citi (such as the temporary loss of availability of Citi’s online banking system or mobile banking platform), as well as the operations of its clients, customers or other third parties. Given Citi’s global footprint and the high volume of transactions processed by Citi, certain errors or actions may be repeated or compounded before they are discovered and rectified, which would further increase these costs and consequences. Any such events could also result in financial losses as well as misappropriation, corruption or loss of confidential and other information or assets, which could negatively impact Citi’s reputation, customers, clients, businesses or results of operations and financial condition, perhaps significantly.

Citi’s and Third Parties’ Computer Systems and Networks Have Been, and Will Continue to Be, Subject to an Increasing Risk of Continually Evolving, Sophisticated Cybersecurity Risks That Could Result in the Theft, Loss, Misuse or Disclosure of Confidential Client or Customer Information, Damage to Citi’s Reputation, Additional Costs to Citi, Regulatory Penalties, Legal Exposure and Financial Losses.
Citi’s computer systems, software and networks are subject to ongoing cyber incidents such as unauthorized access, loss or destruction of data (including confidential client information),
account takeovers, unavailability of service, computer viruses or other malicious code, cyber attacks and other similar events. These threats can arise from external parties, including criminal organizations, extremist parties and certain foreign state actors that engage in cyber activities.
Third parties with which Citi does business, as well as retailers and other third parties with which Citi’s customers do business, may also be sources of cybersecurity risks, particularly where activities of customers are beyond Citi’s security and control systems. For example, Citi outsources certain functions, such as processing customer credit card transactions, uploading content on customer-facing websites, and developing software for new products and services. These relationships allow for the storage and processing of customer information by third-party hosting of or access to Citi websites, which could result in compromise or the potential to introduce vulnerable or malicious code, resulting in security breaches impacting Citi customers. Furthermore, because financial institutions are becoming increasingly interconnected with central agents, exchanges and clearing houses, including as a result of the derivatives reforms over the last few years, Citi has increased exposure to cyber attacks through third parties.
As further evidence of the increasing and potentially significant impact of cyber incidents, in 2017, a credit bureau reported a cyber incident that impacted sensitive information of an estimated 143 million consumers. In addition, in recent years, several U.S. retailers and financial institutions and other multinational companies reported cyber incidents that compromised customer data or resulted in theft of funds or theft or destruction of corporate information or other assets. Moreover, the U.S. government as well as several multinational companies reported cyber incidents in prior years that affected their computer systems resulting in the data of millions of customers and employees being compromised. These incidents have resulted in increased legislative and regulatory scrutiny of firms’ cybersecurity protection services and calls for additional laws and regulations to further enhance protection of consumers’ personal data.
While Citi has not been materially impacted by these reported or other cyber incidents, Citi has been subject to other intentional cyber incidents from external sources over the last several years, including (i) denial of service attacks, which attempted to interrupt service to clients and customers, (ii) data breaches, which obtained unauthorized access to customer account data and (iii) malicious software attacks on client systems, which attempted to allow unauthorized entrance to Citi’s systems under the guise of a client and the extraction of client data. While Citi’s monitoring and protection services were able to detect and respond to the incidents targeting its systems before they became significant, they still resulted in limited losses in some instances as well as increases in expenditures to monitor against the threat of similar future cyber incidents. There can be no assurance that such cyber incidents will not occur again, and they could occur more frequently and on a more significant scale.
Further, although Citi devotes significant resources to implement, maintain, monitor and regularly upgrade its systems and networks with measures such as intrusion

detection and prevention and firewalls to safeguard critical business applications, there is no guarantee that these measures or any other measures can provide absolute security. Because the methods used to cause cyber attacks change frequently or, in some cases, are not recognized until launched, Citi may be unable to implement effective preventive measures or proactively address these methods until they are discovered. In addition, while Citi engages in certain actions to reduce the exposure resulting from outsourcing, such as performing onsite security control assessments and limiting third-party access to the least privileged level necessary to perform job functions, these actions cannot prevent all external cyber attacks, information breaches or similar losses.
Cyber incidents can result in the disclosure of personal, confidential or proprietary customer or client information, damage to Citi’s reputation with its clients and the market, customer dissatisfaction, additional costs (including credit costs) to Citi (such as repairing systems, replacing customer payment cards or adding new personnel or protection technologies), regulatory penalties, loss of revenues, exposure to litigation and other financial losses, including loss of funds, to both Citi and its clients and customers (for additional information on the potential impact from cyber incidents, see the operational systems risk factor above).
While Citi maintains insurance coverage that may, subject to policy terms and conditions including significant self-insured deductibles, cover certain aspects of cyber risks, such insurance coverage may be insufficient to cover all losses.

Incorrect Assumptions or Estimates in Citi’s Financial Statements Could Cause Significant Unexpected Losses in the Future, and Changes to Financial Accounting and Reporting Standards or Interpretations Could Have a Material Impact on How Citi Records and Reports Its Financial Condition and Results of Operations.
U.S. GAAP requires Citi to use certain assumptions and estimates in preparing its financial statements, including reserves related to litigation and regulatory exposures, valuation of DTAs, the estimate of the allowance for credit losses and the fair values of certain assets and liabilities, among other items. If Citi’s assumptions or estimates underlying its financial statements are incorrect or differ from actual future events, Citi could experience unexpected losses, some of which could be significant.
The Financial Accounting Standards Board (FASB) has issued several financial accounting and reporting standards that will govern key aspects of Citi’s financial statements or interpretations thereof when those standards become effective, including those areas where Citi is required to make assumptions or estimates. For example, the FASB’s new accounting standard on credit losses, which will become effective for Citi on January 1, 2020, will require earlier recognition of credit losses on financial assets. The new accounting model requires that lifetime “expected credit losses” on financial assets not recorded at fair value through net income, such as loans and held-to-maturity securities, be recorded at inception of the financial asset, replacing the
multiple existing impairment models under U.S. GAAP that generally require that a loss be “incurred” before it is recognized (for additional information on this and other accounting standards, see “Significant Accounting Policies and Significant Estimates” below).
Changes to financial accounting or reporting standards or interpretations, whether promulgated or required by the FASB or other regulators, could present operational challenges and could require Citi to change certain of the assumptions or estimates it previously used in preparing its financial statements, which could negatively impact how it records and reports its financial condition and results of operations generally and/or with respect to particular businesses. For additional information on the key areas for which assumptions and estimates are used in preparing Citi’s financial statements, see “Significant Accounting Policies and Significant Estimates” below and Notes 1 and 27 to the Consolidated Financial Statements.

Citi May Incur Significant Losses and Its Regulatory Capital and Capital Ratios Could be Negatively Impacted if Its Risk Management Process, Strategies or Models Are Deficient or Ineffective.
Citi utilizes a broad and diversified set of risk management and mitigation processes and strategies, including the use of various risk models in analyzing and monitoring the various risks Citi assumes in conducting its activities. For example, Citi uses models as part of its various stress testing initiatives across Citi. Citi also relies on data to aggregate, assess and manage various risk exposures. Management of these risks is made even more challenging within a global financial institution such as Citi, particularly given the complex, diverse and rapidly changing financial markets and conditions in which Citi operates.
These processes, strategies and models are inherently limited because they involve techniques, including the use of historical data in many circumstances, and judgments that cannot anticipate every economic and financial outcome in the markets in which Citi operates, nor can they anticipate the specifics and timing of such outcomes. Citi could incur significant losses and its regulatory capital and capital ratios could be negatively impacted, if Citi’s risk management processes, including its ability to manage and aggregate data in a timely and accurate manner, strategies or models are deficient or ineffective. Such deficiencies or ineffectiveness could also result in inaccurate financial, regulatory or risk reporting.
Moreover, Citi’s Basel III regulatory capital models, including its credit, market and operational risk models, currently remain subject to ongoing regulatory review and approval, which may result in refinements, modifications or enhancements (required or otherwise) to these models. Modifications or requirements resulting from these ongoing reviews, as well as any future changes or guidance provided by the U.S. banking agencies regarding the regulatory capital framework applicable to Citi, have resulted in, and could continue to result in, significant changes to Citi’s risk-weighted assets. These changes can negatively impact Citi’s

capital ratios and its ability to achieve its regulatory capital requirements as it projects or as required.

COMPLIANCE, CONDUCT AND LEGAL RISKS

Ongoing Implementation and Interpretation of Regulatory Changes and Legislative Requirements andChanges in the U.S. and Globally Have Increased Citi’s Compliance and Other Risks and Costs.
As referenced above, overCiti is continually required to interpret and implement extensive and frequently changing regulatory and legislative requirements, resulting in substantial compliance, regulatory and other risks and costs. In addition, there are heightened regulatory scrutiny and expectations in the U.S. and globally for large financial institutions, as well as their employees and agents, with respect to, among other things, governance, risk management practices and controls. A failure to comply with these requirements and expectations or resolve any identified deficiencies could result in increased regulatory oversight and restrictions.
Over the past several years, Citi has been required to implement a significant number of regulatory and legislative changes across all of its businesses and functions, and these changes continue. The changes themselves may be complex and subject to interpretation, and will require continued investments in Citi’s global operations and technology solutions. In some cases, Citi’s implementation of a regulatory or legislative requirement is occurring simultaneously with changing or conflicting regulatory guidance, legal challenges or legislative action to modify or repeal existing rules or enact new rules. Moreover, in manysome cases, these arethere have been entirely new regulatory or legislative requirements or regimes, resulting in muchlarge volumes of regulation and potential uncertainty regarding regulatory expectations as to what is definitely required in order to be in compliance. Accompanying this compliance uncertainty is heightened regulatory scrutiny and expectations in the U.S. and globally for the financial services industry with respect to governance and risk management practices, including its compliance and regulatory risks (for a discussion of heightened regulatory expectations on “conduct risk” at, and the overall “culture” of, financial institutions such as Citi, see the legal and regulatory proceedings risk factor below). All of these factors have resulted in increased compliance risks and costs for Citi.
Examples of regulatory or legislative changes that have resulted in increased compliance risks and costs include (i) a proliferation of laws relating to the Federal Reserve Board’slimitation of cross-border data movement and/or collection and use of customer

information, including data localization and protection and privacy laws, which also can conflict with or increase compliance complexity with respect to other laws, including anti-money laundering laws; and (ii) the FRB’s “total loss absorbing capacity” (TLAC) requirements, including, among other things, consequences of a breach of the external long-term debt (LTD) requirement and the clean holding company requirements, given there are no cure periods for the requirements, and the new “anti-evasion” provision that authorizes the Federal Reserve Board to exclude from a bank holding company’s outstanding external LTD any debt having certain features that would, in the Board’s view, “significantly impair” the debt’s ability to absorb losses; (ii) the Volcker Rule, which requires Citi to maintain an extensive global compliance regime, including significant documentation to support the prohibition against proprietary trading; and (iii) a proliferation of laws relating to the limitation of cross-border data movement, including data localization and protection and privacy laws, which can conflict with or increase compliance complexity with respect to anti-money laundering laws.requirements.
Extensive compliance requirements can result in increased reputational and legal risks, as failure to comply with regulations and requirements, or failure to comply as expected, can result in enforcement and/or regulatory proceedings (for additional discussion, see the legal and regulatory proceedings risk factor below). In addition, increasedIncreased and ongoing compliance requirements and uncertainties have resulted in higher costs for Citi. For example, Citi employed roughly 30,000 risk, regulatory and compliance staff as of year-end 2017,2019, out of a total employee population of 209,000,200,000, compared to approximately 14,000 as of year-end 2008 with a total employee population of 323,000.
These higher regulatory and compliance costs can impede Citi’s ongoing, business-as-usual cost reduction efforts, and can also require management to reallocate resources,incur additional expense, including potentially away from ongoing business investment initiatives,initiatives.
Extensive and changing compliance requirements can also result in increased reputational and legal risks for Citi, as discussed above.failure to comply with regulations and requirements, or failure to comply with regulatory expectations, can result in enforcement and/or regulatory proceedings (for additional discussion, see the legal and regulatory proceedings risk factor below).


Citi Is Subject to Extensive Legal and Regulatory Proceedings, Examinations, Investigations and Inquiries That Could Result in Significant Penalties and Other Negative Impacts on Citi, Its Businesses and Results of Operations.
At any given time, Citi is defending a significant number of legal and regulatory proceedings and is subject to numerous governmental and regulatory examinations, investigations and other inquiries. Over the last several years, the frequency with which such proceedings, investigations and inquiries are initiated have increased substantially, and theThe global judicial, regulatory and political environment has generally been unfavorablechallenging for large financial institutions. The complexity of the federal and state regulatory
and enforcement regimes in the U.S., coupled with the global scope of Citi’s operations, also means that a single event or issue may give rise to a large number of overlapping investigations and regulatory proceedings, either by multiple federal and state agencies and authorities in the U.S. or by multiple regulators and other governmental entities in different jurisdictions, as well as multiple civil litigation claims in multiple jurisdictions. Citi can be subject to enforcement proceedings not only because of violations of law and regulation, but also due to a failure, as determined by its regulators, to have adequate policies and procedures, or to remedy deficiencies on a timely basis.
Moreover, U.S. and non-U.S. regulators have been increasingly focused on “conduct risk,” a term used to describe the risks associated with behavior by employees and agents, including third-party vendors utilized by Citi,third parties, that could harm clients, customers investors or the integrity of the markets, such as improperly creating, selling, marketing or managing products and services or improper incentive compensation programs with respect thereto, failures to safeguard a party’s personal information, or failures to identify and manage conflicts of interest. In addition to increasing Citi’s compliance and reputational risks, thisthe greater focus on conduct risk, the heightened scrutiny and expectations generally from regulators could lead to
investigations and other inquiries, as well as remediation requirements, more regulatory or other enforcement proceedings, and civil litigation including for practices which historically were acceptable but are now receiving greater scrutiny. and higher compliance and other risks and costs.
Further, while Citi takes numerous steps to prevent and detect conduct by employees and agents that could potentially harm clients, customers investors or the integrity of the markets, such behavior may not always be deterred or prevented. Banking regulators have also focused on the overall culture of financial services firms, including Citi. In addition to regulatory restrictions or structural changes that could result from perceived deficiencies in Citi’s culture, such focus could also lead to additional regulatory proceedings.
Further,In addition, the severity of the remedies sought in legal and regulatory proceedings to which Citi is subject has increased substantially in recent years.remained elevated. U.S. and certain international governmental entities have increasingly brought criminal actions against, or have sought criminal convictions from,
financial institutions and individual employees, and criminal prosecutors in the U.S. have increasingly sought and obtained criminal guilty pleas or deferred prosecution agreements against corporate entities and individuals and other criminal sanctions from those institutions. For example, in 2015, an affiliate of Citi pleaded guilty to an antitrust violationinstitutions and paid a substantial fine to resolve a U.S.

Department of Justice investigation into Citi’s foreign exchange business practices.individuals. These types of actions by U.S. and international governmental entities may, in the future, have significant collateral consequences for a financial institution, including loss of customers and business, and the inability to offer certain products or services and/or operate certain businesses. Citi may be required to accept or be subject to similar types of criminal remedies, consent orders, sanctions, substantial fines and penalties, remediation and other financial costs or other requirements in the future, including for matters or practices not yet known to Citi, any of which could materially and negatively affect Citi’s businesses, business practices, financial condition or results of operations, require material changes in Citi’s operations or cause Citi reputational harm.
Further, many large claims—both private civil and regulatory—asserted against Citi are highly complex, slow to develop and may involve novel or untested legal theories. The outcome of such proceedings is difficult to predict or estimate until late in the proceedings. Although Citi establishes accruals for its legal and regulatory matters according to accounting requirements, Citi’s estimates of, and changes to, these accruals involve significant judgment and may be subject to significant uncertainty, and the amount of loss ultimately incurred in relation to those matters may be substantially higher than the amounts accrued. In addition, certain settlements are subject to court approval and may not be approved.
For additional information relating to Citi’s legal and regulatory proceedings and matters, including Citi’s policies on establishing legal accruals, see Note 27 to the Consolidated Financial Statements.




















































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Managing Global Risk Table of Contents


MANAGING GLOBAL RISK 
6658
   Overview 
6658
CREDIT RISK(1)
 
7061
   Overview 
7061
   Consumer Credit 
7162
   Corporate Credit 
7969
   Additional Consumer and Corporate Credit Details 
8272
       Loans Outstanding 
8272
       Details of Credit Loss Experience 
8373
       Allowance for Loan Losses 8575
       Non-Accrual Loans and Assets and Renegotiated Loans 
8676
       Forgone Interest Revenue on Loans 8979
LIQUIDITY RISK
80
    Overview
80
    Liquidity Monitoring and Measurement
80
    High-Quality Liquid Assets (HQLA)81
    Loans82
    Deposits82
    Long-Term Debt83
    Secured Funding Transactions and Short-Term Borrowings86
    Credit Ratings88
MARKET RISK(1)
 
90
   Overview 
90
   High-Quality Liquid Assets (HQLA)91
     Loans91
     Deposits92
     Long-Term Debt92
     Secured Funding Transactions and Short-Term Borrowings95
     Liquidity Monitoring and Measurement97
     Credit Ratings98
MARKET RISK(1)
100
  Overview
100
Market Risk of Non-Trading Portfolios 
10090
        Net Interest Revenue at Risk 
10090
        Interest Rate Risk of Investment Portfolios—Impact on AOCI
 
10090
        Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
 10292
        Interest Revenue/Expense and Net Interest Margin (NIM) 
10393
        Additional Interest Rate Details 10595
   Market Risk of Trading Portfolios 
10999
        Factor Sensitivities 110100
        Value at Risk (VAR) 110100
        Stress Testing 114103
OPERATIONAL RISK 
115104
  Overview
104
  Cybersecurity Risk
104
COMPLIANCE RISK 
115105
CONDUCT RISK116
LEGAL RISK116
REPUTATIONALREPUTATION RISK 
116106
STRATEGIC RISK 117
106
   Overview
106
   Exit of U.K. from EU
106
   LIBOR Transition Risk
106
   Country Risk 
118108
       Top 25 Country Exposures
108
        Argentina
109
       FFIEC—Cross-Border Claims on Third Parties and Local Country Assets
109


(1)For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website.



MANAGING GLOBAL RISK


Overview
For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s mission and value proposition, the key principles that guide it and Citi's risk appetite.
Risk management must be built on a foundation of ethical culture. Under Citi’s mission and value proposition, which was developed by Citi’sits senior leadership and distributed throughout the Company, Citi strives to serve its clients as a trusted partner by responsibly providing financial services that enable growth and economic progress while earning and maintaining the public’s trust by constantly adhering to the highest ethical standards. As such, Citi asks all employees to ensure that their decisions pass three tests: they are in ourCiti’s clients’ interests, create economic value and are always systemically responsible. Additionally,In addition, Citi evaluates employees’ performance against behavioral expectations set out in Citi’s leadership standards, which were designed in part to effectuate Citi’s mission and value proposition. Other culture-related efforts in connection with conduct risk, ethics and leadership, escalation and treating customers fairly help Citi to execute its mission and value proposition.
Citi’s Company-wide risk governance framework consists of the key policies, procedures,standards and processes through which Citi identifies, assesses, measures, manages, monitors reports and controls risks across the Company. It also emphasizes Citi’s risk culture and lays out standards, procedures and programs that are designed to set, reinforce and undertaken to enhance the Company’s risk culture, embed this culture deeply withinintegrate its values and conduct expectations into the organization, and giveproviding employees with tools to make soundassist them with making prudent and ethical risk decisions and to escalate issues appropriately. The risk governance framework has been developed in alignment with the expectations of the Office of the Comptroller of the Currency (OCC) Heightened Standards. It is also aligned with the relevant components of the Basel Committee on Banking Supervision’s corporate governance principles for banks and relevant components of the Federal Reserve’s Enhanced Prudential Standards for Bank Holding Companies and Foreign Banking Organizations.
Four key principles—common purpose, responsible finance, ingenuity and leadership—guide Citi as it performs its mission. Citi’s risk appetite, which is approved by the Citigroup Board of Directors, specifies the aggregate levels and types of risk the Board and management are willing to assume to achieve Citi’s strategic objectives and business plan, consistent with applicable capital, liquidity and other regulatory requirements.
Citi selectively takes risks in support of its underlying business strategy, while strivingcustomer-centric strategy. Citi’s objective is to ensure it operates withinthat those risks are consistent with its mission and value proposition and principle of responsible finance; that they are identified, assessed, measured, monitored and controlled; and that they are captured in Citi’s risk/reward assessment.
Citi’s risk appetite.appetite framework, which is approved by the Citigroup Board of Directors, includes both a risk appetite statement, which articulates the aggregate level and types of risk that Citi is willing to accept in order to achieve its business objectives, as well as the overall approach through which risk appetite is established, communicated and monitored. It is built on quantitative boundaries, which include risk limits or thresholds, and on qualitative principles to guide behavior. Citi’s risk appetite framework is comprehensive, incorporating all risks, enterprise-wide and applicable across products, functions and geographies.

Citi’s risks are generally categorized and summarized as follows:


•
Credit risk is the risk of loss resulting from the decline in credit quality or the failure of a borrower, counterparty, third party or issuer to honor its financial or contractual obligations.
•
Liquidity risk is the risk that the Company will not be able to efficiently meet both expected and unexpected current and future cash flow and collateral needs without adversely affecting either daily operations or financial conditions of the Company. The risk may be exacerbated by the inability of the Company to access funding sources or monetize assets and the composition of liability funding and liquid assets.
•
Market risk (including price risk and interest rate risk) is the risk of loss arising from changes in the value of Citi’s assets and liabilities resulting from changes in market variables, such as interest rates, exchange rates or credit spreads. Losses can be exacerbated by the negative convexity of positions, as well as the presence of basis or correlation risks.
•
Operational risk is the risk of loss resulting from inadequate or failed internal processes, systems, human factors or from external events. It includes the reputation and franchise risk impact associated with business practices or market conduct in which Citi is involved. It also includes the risk of failing to comply with applicable laws and regulations, but excludes strategic risk (see below).
•
Compliance risk is the risk to current or projected financial conditions and resilience arising from violations of laws, rules or regulations, or from nonconformance with prescribed practices, internal policies and procedures or ethical standards. It also includes the exposure to litigation (known as legal risk) from all aspects of banking, traditional and nontraditional.Compliance risk spans across all risk types outlined in the risk governance framework.
•
Reputation risk is the risk to current or projected financial conditions and resilience arising from negative public opinion.
•
Strategic risk is the risk to current or anticipated earnings, capital, or franchise or enterprise value arising from poor but authorized business decisions (in compliance with regulations, policies and procedures), an inability to adapt to changes in the operating environment or other external factors that may impair the ability to carry out a business strategy. Strategic risk also includes:

•
Country risk, which is the risk that an event in a country (precipitated by developments within or external to a country) will impair the value of Citi’s franchise or will adversely affect the ability of obligors within that country to honor their obligations. Country risk events may include sovereign defaults, banking crises, currency crises, currency convertibility and/or transferability restrictions or political events.
Credit risk is the risk of loss resulting from the decline in credit quality or failure of a borrower, counterparty, third party or issuer to honor its financial or contractual obligations.
Liquidity risk is the risk that the Company will not be able to efficiently meet both expected and unexpected current and future cash flow and collateral needs without adversely affecting either daily operations or financial condition of the Company. The risk may be exacerbated by the inability of the Company to access funding sources or monetize assets and the composition of liability funding and liquid assets.
Market risk is the risk of loss arising from changes in the value of Citi’s assets and liabilities resulting from changes in market variables, such as interest rates, exchange rates or credit spreads. Losses can be exacerbated by the presence of basis or correlation risks.
Operational risk is the risk of loss resulting from inadequate or failed internal processes, systems, human factors, or from external events. It includes risk of failing to comply with applicable laws and regulations, but excludes strategic risk (see below). It also includes the reputation and franchise risk associated with business practices or market conduct in which Citi is involved as well as compliance, conduct and legal risks. Operational risk is inherent in Citi’s global business activities, as well as related support, and can result in losses arising from events related to fraud, theft and unauthorized activity; employment practices and workplace environment; clients, products and business practices; physical assets and infrastructure; and execution, delivery and process management.
Compliance risk is the risk arising from violations of, or non-conformance with, local, national or cross-border laws, rules or regulations, Citi’s internal policies or other relevant standards of conduct or risk of harming customers, clients or the integrity of the market.
Conduct risk is the risk that Citi’s employees or agents may (intentionally or through negligence) harm customers, clients or the integrity of the markets, and thereby the integrity of Citi.
Legal risk includes the risk from uncertainty due to legal or regulatory actions, proceedings or investigations, or uncertainty in the applicability or interpretation of contracts, laws or regulations.
Reputational risk is the risk to current or anticipated earnings, capital, or franchise or enterprise value arising from negative public opinion.
Strategic risk is the risk to current or anticipated earnings, capital, or franchise or enterprise value arising from poor, but authorized business decisions, an inability to adapt to changes in the operating environment or other external factors that may impair the ability to carry out a business strategy. Strategic risk also includes:

Country risk which is the risk that an event in a country (precipitated by developments within or external to a country) will impair the value of Citi’s franchise or will adversely affect the ability of obligors within that country to honor their


obligations. Country risk events may include sovereign defaults, banking crises, currency crises, currency convertibility and/or transferability restrictions, or political events.

Citi manages its risks through each of its threea “three lines of defense:defense” model: (i) business management,management; (ii) independentIndependent Risk Management and Independent Compliance Risk Management and other control functionsfunctions; and (iii) internal audit.Internal Audit. The three lines of defense collaborate with each other in structured forums and processes to bring together various perspectives together and to lead the organization toward outcomes that are in clients’ interests, that create economic value and that are systemically responsible.


First Line of Defense: Business Management
EachThrough Citi’s business management (“frontline units” or the “first line of Citi’sdefense”), each business owns the risks inherent in or arising from its businesses, owns its risks and is responsible for identifying, assessing and managing its risks. Each business is also responsible forcontrolling those risks to ensure they are within risk appetite, establishing and operating controls to mitigate keythose risks, assessingincluding concentration risks, performing manager assessments of the design and effectiveness of internal controls, implementing appropriate procedures to fulfill its risk governance responsibilities and promoting a culture of compliance and control.
The first line of defense is composed of Citi’s businesses (Institutional Clients Group (ICG) and Global Consumer Bank (GCB)), supporting clients globally as well as in regions and countries that execute Citi’s strategy locally. In doing so,addition, there are functional teams, such as Enterprise Infrastructure, Operations and Technology (EIO&T) that support the Citi CEO in a business is required to maintain appropriate staffing and implement appropriate procedures to fulfill its risk governance responsibilities.
first line capacity. The CEOs of each region, business, EIO&T and businesscertain functional teams report to the Citigroup CEO. The Head of Operations and Technology and the Head of Productivity, who are considered part of the first line of defense, also report to the Citigroup CEO.
Businesses at Citi organize and chair committees, councils, steering groups and councilsother forums that cover risk considerations with participation from independentIndependent Risk Management, Independent Compliance Risk Management and other control functions, including committees or councils thatfunctions. These are designed to consideroften conducted across lines of defense and may include matters related to capital, assets and liabilities, business practices, business risks and controls, mergers and acquisitions, the Community Reinvestment Act and fair lending and incentives.


Second Line of Defense: Independent Risk Management; Control Functions
Citi’s independent control functions, includingIndependent Risk Management (IRM) and Independent Compliance Risk Management (ICRM) together with other control functions (Finance, Human Resources, Legal, Finance and Finance & Risk Infrastructure,Legal) set standards by whichthat Citi and its businesses and products are required to adhere to in order to manage and oversee risks, including complianceconformance with applicable laws, regulatory requirements, policies and other relevant standards of ethical conduct. Additionally,IRM and ICRM provide credible challenge to first line units in their assessment and management of risk. In addition, among other responsibilities, IRM, ICRM and the independent control functions provide advice and training to Citi’s businesses and establish tools, methodologies, processes and oversight forof controls used by the businesses to foster a culture of compliance and control. Where certain activities of control functions constitute first line activity, such activities are subject to appropriate review and challenge.



Independent Risk Management
The Independent Risk Management organization sets standards for the business and actively manages and oversees aggregate credit, market (price, FX and interest rate), liquidity, strategic, operational, compliance and reputation risks across the Company, including risks that span categories, such as concentration risk.
Independent Risk Management is designedorganized to act asalign to businesses, regions, risk types and to Citi-wide, cross-risk functions or processes. There are teams that report to an independent partner of the business to manage market, credit and operational risk in a manner consistent with Citi’s risk appetite. Risk establishes policies and guidelines for risk assessments and risk management and contributes to controls and tools to manage, measure and mitigate risks taken by the Company.
The Chief Risk Officer (CRO) for Citi’s businesses (business CROs) and regions (regional CROs). In addition, there are teams that report to the heads for certain risk categories (e.g., Global Market Risk) and for certain foundational risk areas (e.g., Global Risk Review). All of the risk heads, together with the business and regional CROs, report to the Citigroup CRO.
The head of Independent Risk Management is the Citigroup CRO, who reports directly to the Citigroup CEO and to the Citigroup Risk Management Committee (RMC) of the Citigroup Board of Directors. As part of its responsibilities, the RMC approves the appointment and removal of the CRO. The Chief Risk OfficerCRO has regular and unrestricted access to the full Citigroup Board, as well as the Risk Management Committee of the Board, and
also to the Citigroup Board of Directors to addressdiscuss risks and issues identified through Risk’s activities.Independent Risk Management’s activities, including instances in which the CRO’s assessment differs from that of the business or the CEO, and instances in which the business or the CEO may not be adhering to the risk governance framework.


Independent Compliance Risk Management
The Independent Compliance Risk Management (ICRM) organization is an independent risk management function that is designed to protect Citi by overseeing senior management, the businesses,oversee and other controlcredibly challenge products, functions, jurisdictional activities and legal entities in managing compliance risk, as well as promoting business conduct and activity that is consistent with Citi’s mission and value proposition.proposition and the compliance risk appetite. Citi’s objective is to embed an enterprise-wide compliance risk management framework and culture that identifies, escalates, measures, monitors, mitigatesreports and controls compliance risk across the three lines of defense. For further information on Citi’s compliance risk framework, see “Compliance Risk” below.
The Citigroup Chief Compliance Officer reports to the Citigroup CEO and has regular and unrestricted access to the committees of the Citigroup Boardand Citibank Boards of Directors, including the Audit CommitteeCommittees, Risk Management Committees and the Ethics, Conduct and Culture Committee.Committee of the Citigroup Board.


Human Resources
The Human Resources organization(HR) provides personnel support and governance in connectionleadership with among other things: recognizing and rewardingrespect to Citi’s human capital strategy, which is primarily focused on ensuring employees who demonstrate Citi’sare appropriately rewarded for demonstrating Citi values and excel in their rolesleadership standards and responsibilities; setting ethical- and performance-related expectationsfor maintaining a pipeline of new and developing talent to meet Citi’s changing business needs.

HR is primarily composed of and promoting employees who meet those expectations;organized around the core global disciplines of compensation and searchingbenefits, performance management, talent acquisition, talent and diversity and workforce relations, with consideration for assessingsupport to Citi businesses, products and hiring staff who exemplify Citi’s leadershipfunctions and second line of defense responsibilities. Through its disciplines, HR advises business management, escalates identified risks and establishes policies, standards which outline Citi’s expectations of its employees’ behavior.or processes to manage risk.
The Head of Human ResourcesHR reports to the Citigroup CEO and interacts regularly with the Personnel and Compensation Committee of the Citigroup Board of Directors.

Legal
The Legal organization is involved in a number of activities designed to promote the appropriate management of Citi’s exposure to legal risk, which includes the risk of loss, whether financial or reputational, due to legal or regulatory actions, proceedings or investigations, or uncertainty in the applicability or interpretation of contracts, laws or regulations.  Activities designed to promote appropriate management of legal risk include, among others: promoting and supporting Citigroup’s governance processes; advising business management, other independent control functions, the Citigroup Board of Directors and committees of the Board regarding analysis of laws and regulations, regulatory matters, disclosure matters, and potential risks and exposures on key litigation and transactional matters, among other things; advising other independent control functions in their efforts to ensure compliance with applicable laws and regulations as well as internal standards of conduct; serving on key management committees; reporting and escalating key legal issues to senior management or other independent control functions; participating in internal investigations and overseeing regulatory investigations; and advising businesses on a day-to-day basis on legal, regulatory and contractual matters.

The General Counsel reports to the Citigroup CEO and is responsible to the full Citigroup Board. In addition, to havingthe Head of HR has regular and unrestricted access to the full Citigroup Board of Directors, as well as to the Audit Committee of the Board of Directors.

Legal
Citi Legal is responsible for advising Citi’s lines of business and control functions in order to facilitate the prudent management of Citi’s exposure to legal risk.
Citi Legal’s organizational structure is designed to insulate it from potential conflicts of interest that could undermine its role in providing advice in regard to legal obligations and exposures of Citi.
Activities within Citi Legal include providing legal advice to Citi’s businesses and other functions on the interpretation of legal and regulatory requirements, including contractual requirements, and on managing and mitigating legal exposure based on a proper understanding of legal requirements; providing legal advice to promote the reporting of Citi’s and its subsidiaries obligations to identify legal matters to regulators and investors, as required by law; helping to identify current and emerging legal risks that arise in the context of Citi’s provision of products and services to its clients; attending meetings of the Board of Directors and committees of the Board to facilitate the oversight role of these bodies; and participating in management committees and forums where legal risk should be considered and evaluated.
The General Counsel or his/her delegatesleads Citi Legal and reports directly to the Citigroup CEO. The General Counsel meets regularly attend meetingswith the Board of Directors, the Audit Committee, the Risk Management Committee, Audit Committee, Personnel and Compensation Committee,the Ethics, Conduct and Culture Committee Operations and Technology Committee, andthe Nomination, Governance and Public Affairs Committee as well as other ad hoc committeesand is involved in the discussion of legal issues that arise in the Citigroupcontext of items being presented to the Board of Directors.and its committees.


Finance
Finance’s mission is to serve as an advisor to the business, delivering timely, accurate and complete information to each of its constituencies, accompanied by insightful analytics, and operating in a cost-efficient manner with highly effective controls.
The Finance organization, led by the Chief Financial Officer (CFO), is primarily composed of the following disciplines: treasury,a set of core, global disciplines (capital planning, controllers, tax andcorporate M&A, corporate
treasury, financial planning and analysis. Theseanalysis, investor relations and tax). Through the disciplines, partner with the businesses, providing key data and consultation to facilitate sound decisions in support of the businesses’ objectives. Through these activities, Finance serves as an independent control function advisingadvises business management, escalatingescalates identified risks and establishingestablishes policies, standards or processes to manage risk.
Through Also reporting to the treasury discipline,Citigroup CFO are a set of product, geographical and legal entity Finance has overall responsibility for managing Citi’s balance sheet and accordingly partnersOfficers who, along with their teams, interact with the businesses to manage global finance disciplines in the execution of their responsibilities.
Citi’s liquidity and interest rate risk (price risk for non-trading portfolios). Treasury works with the businesses to establish balance sheet targets and limits, as well as sets policies on funding costs charged for business assets based on their liquidity and duration.
Principally through the controllers discipline, Finance is responsible for establishing a strong control environment over Citi’s financial reporting processes consistent with the 2013 Committee of Sponsoring Organizations of the Treadway Commission, or COSO, Internal Control-Integrated Framework.
Finance is led by Citi’s Chief Financial Officer (CFO), whoCFO reports directly to the Citigroup CEO. The CFO chairs or co-chairs several management committees that serve as key governance and oversight forums for business activities. In addition, the CFO has regular and unrestricted access to the full Citigroup Board of Directors as well as to the Audit Committee of the Board of Directors.

Finance & Risk Infrastructure
Finance & Risk Infrastructure (FRI) is a Citi global function that was formed in April 2016 from groups within the Finance and Risk global functions. FRI was established to globally implement common data and data standards, common processes and integrated technology platforms as well as integrate infrastructure activities across both Finance and Risk. FRI works to drive straight through data processing and produce more effective and efficient processes and governance aimed at supporting both the Finance and Risk organizations.
The head of the FRI global function reports jointly to Citi’s CFO and Chief Risk Officer.


Third Line of Defense: Internal Audit
Citi’sThe role of Internal Audit function independently reviews activities of the first two lines of defense based on a risk-based audit planis to provide independent and methodology approved by the Audit Committee of the Citigroup Board of Directors. Internal Audit also provides independenttimely assurance to the Citigroup Board of Directors,and Citibank Boards, the Audit CommitteeCommittees of the Board,Boards, senior management and regulators regarding the effectiveness of Citi’s governance, risk management and controls designed tothat mitigate Citi’s exposure tocurrent and evolving risks and to enhance Citi’sthe control culture of compliance and control.within Citi.
The Internal Audit function has designated Chief Auditors responsible for assessing the design and effectiveness of controls within the various business units, functions, geographies and legal entities in which Citi operates, including specific Chief Auditors for Finance, ICRM and Independent Risk Management.
The Citigroup Chief Auditor manages Internal Audit and reports functionally to the ChairmanChair of the Citigroup Audit Committee and administratively to the CEO of Citigroup. Internal Audit’s responsibilities are carried out independently under the oversight of the Audit Committee.Committees, and Internal Audit’sAudit employees accordingly report to the Citigroup Chief Auditor and do not have reporting lines to front-line unitseither first or seniorsecond line of defense management. Internal Audit’s staff members are not permitted to provide internal-audit services for a business line or function in which they had business line or function responsibilities within the previous 12 months.




Three Lines of Defense

Citigroup Board of Directors and Committees of the Board
Citigroup’s Board of Directors actively oversees Citi’s risk-taking activities and holds management accountable for adhering to the risk governance framework. To do so, directorsDirectors review reports prepared by the businesses, Risk, Independent Compliance Risk Management, Internal Audit and others,receive presentations from management, and exercise sound independent judgment to question, probe and challenge recommendations of and decisions made by management.
The standing committees of the Citigroup Board of Directors are the Executive Committee, Risk Management Committee, Audit Committee, Personnel and Compensation Committee, Ethics, Conduct and Culture Committee, Operations and Technology Committee and Nomination, Governance and Public Affairs Committee. In addition to the standing committees, the Board creates ad hocestablishes additional committees from time to timeas necessary or appropriate in response to regulatory, legal or other requirements.

















CREDIT RISK


Overview
Credit risk is the risk of loss resulting from the decline in credit quality or the failure of a borrower, counterparty, third party or issuer to honor its financial or contractual obligations. Credit risk arises in many of Citigroup’s business activities, including:


consumer, commercial and corporate lending;
capital markets derivative transactions;
structured finance; and
securities financing transactions (repurchase and reverse repurchase agreements, and securities loaned and borrowed).


Credit risk also arises from settlement and clearing activities, when Citi transfers an asset in advance of receiving its counter-value or advances funds to settle a transaction on behalf of a client. Concentration risk, within credit risk, is the risk associated with having credit exposure concentrated within a specific client, industry, region or other category.
Credit risk is one of the most significant risks Citi faces as an institution. For additional information, see “Risk Factors—Credit Risk” above. As a result, Citi has a well-established framework in place for managing credit risk across all businesses. This includes a defined risk appetite, credit limits and credit policies, both at the business level as well as at the company-wideCompany-wide level. Citi’s credit risk management also includes processes and policies with respect to problem recognition, including “watch lists,” portfolio reviews, stress tests, updated risk ratings and classification triggers.
With respect to Citi’s settlement and clearing activities, intra-dayintraday client usage of lines is monitored against limits, as well as against usage patterns. To the extent that a problem develops, Citi typically moves the client to a secured (collateralized) operating model. Generally, Citi’s intra-dayintraday settlement and clearing lines are uncommitted and cancelable at any time.
To manage concentration of risk within credit risk, Citi has in place a correlation framework consisting of industry limits, an idiosyncratic framework consisting of single name concentrations for each business and across Citigroup and a specialized framework consisting of product limits.
Credit exposures are generally reported in notional terms for accrual loans, reflecting the value at which the loans as well as loan and other off-balance sheet commitments are carried on the Consolidated Balance Sheet. Credit exposure arising from capital markets activities is generally expressed as the current mark-to-market, net of margin, reflecting the net value owed to Citi by a given counterparty.
The credit risk associated with these credit exposures is a function of the idiosyncratic creditworthiness of the obligor, as well as the terms and conditions of the specific obligation. Citi assesses the credit risk associated with its credit exposures on a regular basis through its loan loss reserve process (see “Significant Accounting Policies and Significant Estimates—Allowance for Credit Losses” below and Notes 1 and 15 to the Consolidated Financial Statements), as well as through regular
stress testing at the company, business, geography and product levels. These stress-testing processes typically estimate
potential incremental credit costs that would occur as a result of either downgrades in the credit quality or defaults of the obligors or counterparties.
There is an independent Chief Risk Officer for each of Citi’s consumer, commercial and corporate lending businesses within ICG and GCB (Business CROs). Each of these Business CROs reports directly to Citi’s Chief Risk Officer. The Business CROs are the focal point for most day-to-day risk decisions, such as setting risk limits and approving transactions within the businesses. In addition there are Regional and Legal Entity Chief Risk Officers. There is an independent Chief Risk Officer for Asia, EMEA and Latin America, including Mexico (Regional CROs). Each of these Regional CROs reports directly to Citi’s Chief Risk Officer. The Regional CROs are accountable for overseeing the management of all risks in their geographic areas and across businesses, and are the primary risk contacts for the Regional Chief Executive Officers and local regulators. Legal Entity Chief Risk Officers are responsible for identifying and managing risks in Citibank as well as other specific legal entities, with Citibank’s Chief Risk Officer reporting directly to Citi’s Chief Risk Officer.
For additional information on Citi’s credit risk management, see Note 14 to the Consolidated Financial Statements.



Consumer Credit
CONSUMER CREDIT
Citi provides traditional retail banking, including commercialsmall business banking, and credit card products in 19 countries and jurisdictions through North America GCB, Latin America GCB and Asia GCB. The retail banking products include consumer mortgages, home equity, personal and commercialsmall business loans and lines of credit and similar related products with a focus on lending to prime customers. Citi uses its risk appetite framework to define its lending parameters. In addition, Citi uses proprietary scoring models for new customer approvals.
As stated in “Global Consumer Banking” above, GCB’s overall strategy is to leverage Citi’s global footprint and be the pre-eminent bank for the affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies. GCB’sAs of the fourth quarter of 2019, Citi’s commercial banking business focuses on small to mid-sized businesses.businesses previously reported as part of GCB in North America, Latin America and Asia, including approximately $28 billion in end-of-period loans, are now reported in ICG for all periods presented.    


Consumer Credit Portfolio
The following table shows Citi’s quarterly end-of-period consumer loans:(1) 
In billions of dollars4Q’161Q’172Q’173Q’174Q’174Q’181Q’192Q’193Q’194Q’19
Retail banking:  
Mortgages$79.4
$81.2
$81.4
$81.4
$81.7
$80.6
$80.8
$81.9
$83.0
$85.1
Commercial banking32.0
33.9
34.8
35.5
36.3
Personal and other24.9
26.3
27.2
27.3
27.9
Personal, small business and other37.0
37.3
37.8
37.6
39.7
Total retail banking$136.3
$141.4
$143.4
$144.2
$145.9
$117.6
$118.1
$119.7
$120.6
$124.8
Cards:  
Citi-branded cards$108.3
$105.7
$109.9
$110.7
$115.7
$116.8
$111.4
$115.5
$115.8
$122.2
Citi retail services47.3
44.2
45.2
45.9
49.2
52.7
48.9
49.6
50.0
52.9
Total cards$155.6
$149.9
$155.1
$156.6
$164.9
$169.5
$160.3
$165.1
$165.8
$175.1
Total GCB
$291.9
$291.3
$298.5
$300.8
$310.8
$287.1
$278.4
$284.8
$286.4
$299.9
GCB regional distribution:
  
North America64%62%62%62%63%67%66%66%66%66%
Latin America8
9
9
9
8
6
6
6
6
6
Asia(2)
28
29
29
29
29
27
28
28
28
28
Total GCB
100%100%100%100%100%100%100%100%100%100%
Corporate/Other$33.2
$29.3
$26.8
$24.8
$22.9
Corporate/Other(3)
$15.3
$12.6
$11.7
$11.0
$9.6
Total consumer loans$325.1
$320.6
$325.3
$325.6
$333.7
$302.4
$291.0
$296.5
$297.4
$309.5


(1)End-of-period loans include interest and fees on credit cards.
(2)
Asia includes loans and leases in certain EMEA countries for all periods presented.
(3)
Primarily consists of legacy assets, principally North America consumer mortgages.


For information on changes to Citi’s averageend-of-period consumer loans, see “Liquidity Risk—Loans” below.






Overall Consumer Credit Trends
The following charts show the quarterly trends in delinquencies (90+ days past due (90+ DPD) ratio) and the net credit losses (NCL) ratio across both retail banking, including commercial banking and cards for total GCB and by region.


Global Consumer Banking
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North America GCB
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North America GCBprovides mortgages,mortgage, home equity, loans,small business and personal loans and commercial banking products through Citi’s retail banking network and card products through Citi-branded cards and Citi retail services businesses. The retail bank is concentrated in six major metropolitan cities in the United States (for additional information on the U.S. retail bank, see “North America GCB” above).
As of December 31, 2017,2019, approximately 71%75% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which generally drives the overall credit performance of North America GCB, including the credit performance year-over-year as of the fourth quarter of 2017 (for(for additional information on North America GCB’s cards portfolios, including delinquency and net credit loss rates, see “Credit Card Trends” below).
Quarter-over-quarter,As shown in the chart above, the net credit loss rate in North America GCB increased quarter-over-quarter, primarily driven by seasonality in Citi retail servicesportfolios. The 90+ days past due delinquency ratesrate also increased quarter-over-quarter, primarily due to seasonality in the cards portfolios and the hurricane-related impact to the mortgage portfolio. portfolios.
The net credit loss rate decreased quarter-over-quarter, primarily reflecting the absence of an episodic charge-off in the commercial portfolio that occurred in the third quarter of 2017. The net credit lossand 90+ days past due delinquency rate increased year-over-year, primarily due todriven by seasoning of more recent vintages in bothCiti-branded cards portfolios.and an increase in net flow rates in later delinquency buckets in Citi retail services.



 
Latin America GCB
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Latin America GCBoperates in Mexico through
Citibanamex, one of Mexico’s largest banks, and provides
credit cards, consumer mortgages and small business and personal loans and commercial banking products. loans. Latin America GCBserves a more mass marketmass-market segment in Mexico and focuses on developing multi-product relationships with customers.
As set forthshown in the chart above, the net credit loss rate in Latin America GCB decreased quarter-over-quarter, primarily due to seasonality in the cards portfolio, while the 90+ days past due
delinquency rates improved year-over-year and quarter-over-quarter, largely driven by the commercial portfolio.  The improvement year-over-year was partially offset by a higher delinquency rate in cards due to the seasoning of the portfolio. remained broadly stable.
The net credit loss and 90+ days past due rate increased in Latin America GCBdecreased year-over-year, and quarter-over-quarter as of the fourth quarter of 2017, primarily due to an episodic charge-offthe growth in the commercial portfoliorecent vintages for cards as well as seasoninga slower pace of acquisitions in the cards portfolio.retail portfolios during 2019.


Asia(1)GCB
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(1)
Asia includes GCB activities in certain EMEA countries for all periods presented.


Asia GCBoperates in 17 countries in Asiaand EMEA
and provides credit cards, consumer mortgages and small business and personal loans and commercial banking products. loans.
As shown in the chart above, the net credit loss rate in Asia GCB decreased quarter-over-quarter, primarily due to seasonality, while the 90+ days past due delinquency andrate remained broadly stable quarter-over-quarter. Year-over-year, the net credit loss rates were largely stableand the 90+ days past due delinquency rate remained broadly stable.
The stability in Asia GCB year-over-year and quarter-over-quarter as of the fourth quarter of 2017. This stability’s portfolios reflects the strong credit profiles in Asia GCB’sthe region’s target customer segments. In addition, regulatoryRegulatory changes in many markets in Asia over the past few years have also resulted in stable or improved portfolio credit quality, despite weaker macroeconomic conditions in several countries.quality.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see each respective business’s results of operations above and Note 14 to the Consolidated Financial Statements.



Credit Card Trends
The following charts show the quarterly trends in delinquencies and net credit losses for total GCB cards, Citi’s North America Citi-branded cards and Citi retail services portfolios, as well as for Citi’s Latin America and Asia Citi-branded cards portfolios.


TotalGlobal Cards
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North America Citi-Branded Cards
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North America GCB’s Citi-branded cards portfolio issuesproprietary and co-branded cards. As shown in the chart above, the net credit loss rate in North America Citi-branded cards was relatively stable quarter-over-quarter, while the 90+ days past due delinquency rate in Citi-branded cards was stable year-over-year and seasonally higher quarter-over-quarter. increased, driven by seasonality.
The net credit loss and 90+ days past due delinquency rate increased year-over-year, primarily due todriven by seasoning and decreased quarter-over-quarter primarily due to seasonality as well as higher asset sales.of more recent vintages.







 

North America Citi Retail Services
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Citi retail services partners directly with more than 20 retailers and dealers to offer private-labelprivate label and co-branded consumer and commercial cards. Citi retail services’ target market is focused on select industry segments such as home improvement, specialty retail, consumer electronics and fuel.
Citi retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
Citi retail services’ delinquency andAs shown in the chart above, the net credit loss ratesand 90+ days past due delinquency rate in Citi retail services increased quarter-over-quarter, primarily due to seasonality.
The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, primarily due to seasoning as well as softness in the collections rates experienced oncedriven by an account reaches mid-stage delinquency. The quarter-over-quarter increase in both loss andnet flow rates in later delinquency rates is also due to the seasonal movements observed in Citi retail services.buckets.


Latin America Citi-Branded Cards
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Latin America GCB issues proprietary and co-brandedcards. As shown in the chart above, the net credit loss rate in Latin America Citi-branded cards decreased quarter-over-quarter, primarily due to seasonality,while the 90+ days past due delinquency rate remained stable.
The net credit loss and 90+ days past due delinquency rate decreased year-over-year, primarily due to growth in recent vintages.


Latin America
Asia Citi-Branded Cards(1)
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(1)
Asia includes loans and leases in certain EMEA countries for all periods presented.

Asia GCBissues proprietary and co-branded cards.
As set forth in the chart above, the net credit loss and delinquency rates increased year-over-yearrate in Asia Citi-branded cards decreased quarter-over-quarter, primarily due to seasoning. The decrease quarter-over-quarter ofseasonality, while the net credit loss and delinquency rates was primarily driven by higher payment rates reflecting the payment of year-end bonuses.








Asia Citi-Branded Cards(1)

(1)
Asia includes loans and leases in certain EMEA countries for all periods presented.

Asia GCB issues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency andrate remained broadly stable.
Year-over-year, the net credit loss rates haverate and 90+ days past due delinquency rate remained broadly stable, driven by the mature and well-diversified nature of the cards portfolio. stable.
For additional information on cost of credit, delinquency and other information for Citi’s cards portfolios, see each respective business’s results of operations above and Note 1413 to the Consolidated Financial Statements.



North America Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s North America Citi-branded cards and Citi retail services portfolios.portfolios based on end-of-period receivables. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.


Citi-Branded Cards
FICO distribution(1)
Dec 31, 2019Sept. 30, 2019Dec 31, 2018
  > 76042%41%42%
   680–76041
41
41
  < 68017
18
17
Total100%100%100%
Citi-Branded
 December 31,
FICO distribution20172016
  > 76042%42%
   680 - 76041
43
  < 68017
15
Total100%100%



Citi Retail Services
December 31,
FICO distribution20172016
FICO distribution(1)
Dec 31, 2019Sept. 30, 2019Dec 31, 2018
> 76024%24%25%24%25%
680 - 76043
43
680–76042
43
42
< 68033
33
33
33
33
Total100%100%100%100%100%


(1)The FICO bands in the tables are consistent with general industry peer presentations.

Both the Citi-branded cards’ and Citi retail services’ cards FICO distributions remained stable as of year-end 2017.2019.
For additional information on FICO scores, see Note 14 to the Consolidated Financial Statements.






North America Consumer Mortgage Portfolio
Citi’s North America consumer mortgage portfolio consists of both residential first mortgages and home equity loans. The following table shows the outstanding quarterly end-of-period loans for Citi’s North America residential first mortgage and home equity loan portfolios:
In billions of dollars4Q’161Q’172Q’173Q’174Q’17
GCB:     
Residential firsts$40.2
$40.3
$40.2
$40.1
$40.1
Home equity4.0
4.0
4.1
4.1
4.2
Total GCB
$44.2
$44.3
$44.3
$44.2
$44.3
Corporate/Other:     
Residential firsts$13.4
$12.3
$11.0
$10.1
$9.3
Home equity15.0
13.4
12.4
11.5
10.6
Total Corporate/Other
$28.4
$25.7
$23.4
$21.6
$19.9
Total Citigroup— North America
$72.6
$70.0
$67.7
$65.8
$64.2

For additional information on delinquency and net credit loss trends in Citi’s consumer mortgage portfolio, see “Additional Consumer Credit Details” below.

Home Equity Loans—Revolving HELOCs
As set forth in the table above, Citi had $14.8 billion of home equity loans as of December 31, 2017, of which $3.4 billion are fixed-rate home equity loans and $11.4 billion are extended under home equity lines of credit (Revolving HELOCs). Fixed-rate home equity loans are fully amortizing. Revolving HELOCs allow for amounts to be drawn for a period of time with the payment of interest only and then, at the end of the draw period, the outstanding amount is converted to an amortizing loan, or “reset” (the interest-only payment feature during the revolving period is standard for this product across the industry). Upon reset, these borrowers will be required to pay both interest, usually at a variable rate, and principal that amortizes typically over 20 years, rather than the standard 30-year amortization.
Of the Revolving HELOCs at December 31, 2017, $6.8 billion had reset (compared to $6.2 billion at December 31, 2016) and $4.6 billion were still within their revolving period and had not reset (compared to $7.8 billion at December 31, 2016). The following chart indicates the FICO and combined loan-to-value (CLTV) characteristics of Citi’s Revolving HELOCs portfolio and the year in which they reset:
North America Home Equity Lines of Credit Amortization – Citigroup
Total ENR by Reset Year
In billions of dollars as of December 31, 2017
Note: Totals may not sum due to rounding.

Approximately 59% of Citi’s total Revolving HELOCs portfolio had reset as of December 31, 2017 (compared to 44% as of December 31, 2016). Of the remaining Revolving HELOCs portfolio, approximately 29% will reset during 2018.
Citi’s customers with Revolving HELOCs that reset could experience “payment shock” due to the higher required payments on the loans. Citi currently estimates that the monthly loan payment for its Revolving HELOCs that reset during 2018 could increase on average by approximately $308, or 118%. Increases in interest rates could further increase these payments given the variable nature of the interest rates on these loans post-reset. Of the Revolving HELOCs that will reset during 2018, approximately $10 million, or 1%, of the loans have a CLTV greater than 100% as of December 31, 2017. Borrowers’ high loan-to-value positions, as well as the cost and availability of refinancing options, could limit borrowers’ ability to refinance their Revolving HELOCs as these loans reset.
Approximately 5.9% of the Revolving HELOCs that have reset as of December 31, 2017 were 30+ days past due, compared to 3.9% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 6.7% and 3.9%, respectively, as of December 31, 2016. As newly amortizing loans continue to season, the delinquency rate of Citi’s total home equity loan portfolio could increase. In addition, resets to date have generally occurred during a period of historically low interest rates, which Citi believes has likely reduced the overall “payment shock” to the borrower.
Citi monitors this reset risk closely and will continue to consider any potential impact in determining its allowance for loan loss reserves. In addition, management continues to review and take additional actions to offset potential reset risk, such as a borrower outreach program to provide reset risk education and proactively working with high-risk borrowers through a specialized single point of contact unit.


Additional Consumer Credit Details


Consumer Loan Delinquency AmountsDelinquencies and Ratios
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
December 31,December 31,December 31,December 31,December 31,December 31,
In millions of dollars, except EOP loan amounts in billions20172017201620152017201620152019201920182017201920182017
Global Consumer Banking(3)(4)
        
Total$310.8
$2,478
$2,293
$2,119
$2,762
$2,540
$2,418
$299.9
$2,737
$2,550
$2,378
$3,001
$2,864
$2,687
Ratio 0.80%0.79%0.77%0.89%0.87%0.88% 0.91%0.89%0.84%1.00%1.00%0.95%
Retail banking        
Total$145.9
$515
$474
$523
$822
$726
$739
$124.8
$438
$416
$415
$816
$752
$747
Ratio 0.35%0.35%0.38%0.57%0.54%0.53% 0.35%0.36%0.35%0.66%0.64%0.64%
North America56.0
199
181
165
306
214
221
50.3
146
135
134
334
265
256
Ratio 0.36%0.33%0.32%0.55%0.39%0.43% 0.29%0.29%0.29%0.67%0.56%0.55%
Latin America19.9
130
136
185
195
185
184
11.7
106
108
112
180
185
181
Ratio 0.65%0.76%0.94%0.98%1.03%0.93% 0.91%0.95%0.96%1.54%1.62%1.55%
Asia(5)
70.0
186
157
173
321
327
334
62.8
186
173
169
302
302
310
Ratio 0.27%0.25%0.25%0.46%0.52%0.49% 0.30%0.30%0.29%0.48%0.52%0.52%
Cards        
Total$164.9
$1,963
$1,819
$1,596
$1,940
$1,814
$1,679
$175.1
$2,299
$2,134
$1,963
$2,185
$2,112
$1,940
Ratio 1.19%1.17%1.17%1.18%1.17%1.23% 1.31%1.26%1.19%1.25%1.25%1.18%
North America—Citi-branded90.5
768
748
538
698
688
523
North America—Citi-branded
96.3
915
812
768
814
755
698
Ratio 0.85%0.87%0.80%0.77%0.80%0.78% 0.95%0.88%0.85%0.85%0.82%0.77%
North America—Citi retail services49.2
845
761
705
830
777
773
North America—Citi retail services
52.9
1,012
952
845
945
932
830
Ratio 1.72%1.61%1.53%1.69%1.64%1.68% 1.91%1.81%1.72%1.79%1.77%1.69%
Latin America5.4
151
130
173
153
125
157
6.0
165
171
151
159
170
153
Ratio 2.80%2.71%3.20%2.83%2.60%2.91% 2.75%3.00%2.80%2.65%2.98%2.83%
Asia(5)
19.8
199
180
180
259
224
226
19.9
207
199
199
267
255
259
Ratio 1.01%1.03%1.02%1.31%1.28%1.28% 1.04%1.03%1.01%1.34%1.32%1.31%
Corporate/Other—Consumer(7)(6)
        
Total$22.9
$557
$834
$927
$542
$735
$1,036
$9.6
$278
$382
$557
$295
$362
$542
Ratio 2.57%2.62%1.99%2.50%2.31%2.23% 3.02%2.63%2.58%3.21%2.50%2.51%
International1.6
43
94
157
40
49
179
Ratio 2.69%3.92%1.91%2.50%2.04%2.18%
North America21.3
514
740
770
502
686
857
Ratio 2.56%2.52%2.01%2.50%2.33%2.24%
Total Citigroup$333.7
$3,035
$3,127
$3,046
$3,304
$3,275
$3,454
$309.5
$3,015
$2,932
$2,935
$3,296
$3,226
$3,229
Ratio 0.91%0.97%0.94%1.00%1.01%1.07% 0.98%0.97%0.91%1.07%1.07%1.06%
(1)End-of-period (EOP) loans include interest and fees on credit cards.
(2)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(3)
The 90+ days past due balances for North America—Citi-brandedand North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(4)
The 90+ days past due and 30–89 days past due and related ratios for GCB North America retail banking GCB exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entitiesagencies since the potential loss predominantly resides within the U.S. government-sponsored entities.agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $298$135 million ($0.70.5 billion), $327$211 million ($0.7 billion) and $491$305 million ($1.10.8 billion) at December 31, 2017, 20162019, 2018 and 2015,2017, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $88$72 million, $70$86 million and $87$93 million at December 31, 2019, 2018 and 2017, 2016 and 2015, respectively.
(5)
Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(6)
The 90+ days past due and 30–89 days past due and related ratios for Corporate/Other—Consumer North America exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entitiesagencies since the potential loss predominantly resides within the U.S. government-sponsored entities.agencies. The amounts excluded for loans 90+ days past due (and EOPand (EOP loans) were $0.6 billion$172 million ($1.10.4 billion), $0.9 billion$367 million ($1.40.8 billion) and $1.5 billion$663 million ($2.21.2 billion) at December 31, 2017, 20162019, 2018 and 2015,2017, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.1 billion, $0.2 billion$55 million, $122 million and $0.2 billion$164 million at December 31, 2019, 2018 and 2017, 2016 and 2015, respectively.
(7)
The December 31, 2017, 2016 and 2015, loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $4 million, $7 million and $11 million, respectively, of loans that are carried at fair value.




Consumer Loan Net Credit Losses and Ratios
Average
loans(1)
Net credit losses(2)(3)(4)
Average
loans(1)
Net credit losses(2)(3)
In millions of dollars, except average loan amounts in billions20172017201620152019201920182017
Global Consumer Banking    
Total$296.8
$6,562
$5,610
$5,752
$284.1
$7,382
$6,884
$6,462
Ratio 2.21%2.01%2.12% 2.60 %2.48%2.39%
Retail banking  
Total$142.7
$1,023
$1,007
$1,058
$119.7
$910
$913
$923
Ratio 0.72%0.72%0.75% 0.76 %0.78%0.79%
North America55.7
$194
$205
$150
48.5
161
126
135
Ratio 0.35%0.38%0.30%

0.33
0.27
0.29
Latin America20.0
$584
$541
$589
11.5
494
545
550
Ratio 2.92%2.85%2.89% 4.30
4.58
4.40
Asia(5)(4)
67.0
$245
$261
$319
59.7
255
242
238
Ratio 0.37%0.39%0.45% 0.43
0.41
0.42
Cards  
Total$154.1
$5,539
$4,603
$4,694
$164.4
$6,472
$5,971
$5,539
Ratio 3.60%3.30%3.59% 3.94 %3.72%3.60%
North America—Citi-branded84.6
$2,447
$1,909
$1,892
North America—Citi-branded
89.8
2,864
2,602
2,447
Ratio 2.89%2.61%2.96% 3.19
2.97
2.90
North America—Retail services45.6
$2,155
$1,805
$1,709
North America—Citi retail services
49.9
2,558
2,357
2,155
Ratio 4.73%4.12%3.94% 5.13
4.88
4.73
Latin America5.3
$533
$499
$691
5.7
615
586
533
Ratio 10.06%9.78%11.71% 10.79
10.65
10.06
Asia(5)(4)
18.6
$404
$390
$402
19.0
435
426
404
Ratio 2.17%2.24%2.28% 2.29
2.25
2.17
Corporate/Other—Consumer(4)(3)
  
Total$27.2
$156
$438
$1,306
$11.9
$(6)$24
$156
Ratio 0.57%1.06%1.96% (0.05)%0.14%0.57%
International1.9
$82
$269
$443
—
—
42
82
Ratio 4.32%5.17%4.43% —
6.00
4.32
North America25.3
$74
$169
$863
11.9
(6)(18)74
Ratio 0.29%0.47%1.52% (0.05)NM
0.29
Other(6)(5)
—
$(21)$—
$—
—
—
—
(21)
Total Citigroup$324.0
$6,697
$6,048
$7,058
$296.0
$7,376
$6,908
$6,597
Ratio 2.07%1.88%2.08% 2.49 %2.33%2.22%
(1)Average loans include interest and fees on credit cards.
(2)The ratios of net credit losses are calculated based on average loans, net of unearned income.
(3)
As a result of Citigroup's entry into agreements in October 2016 to sell its Argentina and Brazil consumer banking businesses, these businesses were classified as HFS at the end of the fourth quarter of 2016. Loans HFS are excluded from this table as they are recorded in Other assets. In addition, as a result of HFS accounting treatment, approximately $128 million and $42 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during 2017 and 2016, respectively.2017. Accordingly, these NCLs are not included in this table. The sales of the Argentina and Brazil consumer banking businesses were completed in the first and fourth quarters of 2017, respectively.2017.
(4)
As a result of the entry into an agreement to sell OneMain Financial (OneMain), OneMain was classified as HFS beginning March 31, 2015. Loans HFS are excluded from this table as they are recordedAsia includes NCLs and average loans in Other assets. In addition, as a result of HFS accounting treatment, approximately $350 million of NCLs were recorded as a reduction in revenue (Other revenue) during 2015. Accordingly, these NCLs are not included in this table. The OneMain sale was completed on November 15, 2015.certain EMEA countries for all periods presented.
(5)
Asia includes average loans and NCLs in certain EMEA countries for all periods presented.
(6)2017 NCLs representreflected a recovery related to legacy assets.






Loan Maturities and Fixed/Variable Pricing of
U.S. Consumer Mortgages
In millions of dollars at year-end 2017
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than 5
years
Total
In millions of dollars at December 31, 2019
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than 5
years
Total
U.S. consumer mortgage loan portfolio      
Residential first mortgages$96
$543
$50,248
$50,887
$3
$118
$46,887
$47,008
Home equity loans15
856
13,709
14,580
92
330
8,801
9,223
Total$111
$1,399
$63,957
$65,467
$95
$448
$55,688
$56,231
Fixed/variable pricing of U.S. consumer mortgage loans with maturities due after one year    
Loans at fixed interest rates $1,187
$39,084
  $430
$35,975
 
Loans at floating or adjustable interest rates 212
24,873
  18
19,713
 
Total $1,399
$63,957
  $448
$55,688
 




Corporate CreditCORPORATE CREDIT
Consistent with its overall strategy, Citi’s corporate clients are typically large, multinational corporations that value the depth and breadth of Citi’s global network. Citi aims to establish relationships with these clients that, encompass multiple products, consistent with client needs, encompass multiple products, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory. As of the fourth quarter of 2019, Citi’s commercial banking businesses previously reported as part of GCB in North America, Latin America and Asia, including approximately $28 billion in end-of-period loans, are now reported in ICG for all periods presented.    


Corporate Credit Portfolio
The following table sets forthpresents Citi’s corporate credit portfolio within ICG (excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:
At December 31, 2017At September 30, 2017At December 31, 2016December 31, 2019September 30, 2019December 31, 2018
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year		Greater
than 1 year
but within
5 years		Greater
than
5 years		Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year		Greater
than 1 year
but within
5 years		Greater
than
5 years		Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings
(on-balance sheet)(1)
$127
$96
$22
$245
$124
$96
$23
$243
$109
$94
$22
$225
$141
$117
$23
$281
$150
$115
$24
$289
$144
$119
$23
$286
Unfunded lending commitments
(off-balance sheet)(2)
111
222
20
353
104
219
20
343
103
218
23
344
145
249
17
411
133
250
16
399
111
253
18
382
Total exposure$238
$318
$42
$598
$228
$315
$43
$586
$212
$312
$45
$569
$286
$366
$40
$692
$283
$365
$40
$688
$255
$372
$41
$668


(1)Includes drawn loans, overdrafts, bankers’ acceptances and leases.
(2)Includes unused commitments to lend, letters of credit and financial guarantees.


Portfolio Mix—Geography, Counterparty and Industry
Citi’s corporate credit portfolio is diverse acrossby geography and counterparty. The following table shows the percentage by regionregional percentages of this portfolio based on Citi’s internal management geography:
December 31,
2017		September 30,
2017		December 31,
2016		December 31,
2019		September 30,
2019		December 31,
2018
North America54%55%55%55%55%54%
EMEA27
26
26
26
26
26
Asia12
12
12
12
12
12
Latin America7
7
7
7
7
8
Total100%100%100%100%100%100%


The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived primarily through the use ofby leveraging validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position and regulatory environment
and commodity prices. Facility risk ratings are assigned that reflect the probability of default of the obligor and factors that affect the loss-given-defaultloss given default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to
BBB and above are considered investment grade, while those below are considered non-investment grade.

Citigroup has also has incorporated environmental factors such as climate risk assessment and reporting criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an
obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
Total exposureTotal exposure
December 31,
2017		September 30,
2017		December 31,
2016		December 31,
2019		September 30,
2019		December 31,
2018
AAA/AA/A49%49%48%46%46%47%
BBB34
34
34
36
36
35
BB/B16
16
16
16
16
17
CCC or below1
1
2
2
2
1
Total100%100%100%100%100%100%


Note: Total exposure includes direct outstandings and unfunded lending commitments.


Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:
Total exposureTotal exposure
December 31,
2017		September 30,
2017		December 31,
2016		December 31,
2019		September 30,
2019		December 31,
2018
Transportation and
industrial
22%22%22%21%21%22%
Consumer retail and health16
16
16
17
17
17
Technology, media and telecom12
11
12
12
12
13
Power, chemicals,
metals and mining
10
10
11
11
10
10
Energy and commodities8
8
9
Banks/broker-dealers/finance companies

8
8
6
8
8
8
Real estate8
7
7
8
8
8
Energy and commodities8
8
8
Public sector4
4
5
Insurance and special purpose entities

5
5
5
4
4
4
Public sector5
5
5
Hedge funds4
4
5
4
4
4
Other industries2
4
2
3
4
1
Total100%100%100%100%100%100%


Note: Total exposure includes direct outstandings and unfunded lending commitments.For additional information on Citi’s corporate credit portfolio, see Note 14 to the Consolidated Financial Statements.


Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Other revenue onPrincipal transactions in the Consolidated Statement of Income.
As ofAt December 31, 2017,2019, September 30, 20172019 and December 31, 2016, $16.3 billion, $22.2 billion and $29.5 billion, respectively, of2018, Citigroup had economic hedges in place on the corporate credit portfolio was economically hedged.of $35.2 billion, $29.5 billion and $30.2 billion, respectively. Citigroup’s expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other mitigants that are marked-to-market.marked to market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying corporate credit portfolio exposures with the following risk rating distribution:

 
Rating of Hedged Exposure
December 31,
2017		September 30,
2017		December 31,
2016		December 31,
2019		September 30,
2019		December 31,
2018
AAA/AA/A23%16%16%32%34%35%
BBB43
48
49
51
48
50
BB/B31
33
31
15
17
14
CCC or below3
3
4
2
1
1
Total100%100%100%100%100%100%


The credit protection was economically hedging underlying corporate credit portfolio exposures with the following industry distribution:


Industry of Hedged Exposure
December 31,
2017		September 30,
2017		December 31,
2016		December 31,
2019		September 30,
2019		December 31,
2018
Transportation and industrial27%27%29%24%23%23%
Technology, media and telecom19
19
17
Consumer retail and health18
16
16
Power, chemicals, metals and mining15
14
15
Energy and commodities15
17
20
9
9
11
Power, chemicals, metals and mining14
12
12
Technology, media and telecom12
14
13
Insurance and special purpose entities7
5
6
Banks/broker-dealers/finance companies3
5
4
Public sector12
8
5
3
4
3
Consumer retail and health10
12
10
Banks/broker-dealers6
5
4
Insurance and special purpose entities2
2
3
Real estate2
4
4
Other industries2
3
4
—
1
1
Total100%100%100%100%100%100%










































Loan Maturities and Fixed/Variable Pricing of Corporate
Loans
In millions of dollars at December 31, 2017
Due
within
1 year
Over 1
year
but
within
5 years
Over 5
years
Total
In millions of dollars at December 31, 2019
Due
within
1 year
Over 1
year
but
within
5 years
Over 5
years
Total
Corporate loans      
In U.S. offices      
Commercial and industrial loans$20,679
$18,474
$12,166
$51,319
$20,679
$21,623
$13,627
$55,929
Financial institutions15,767
14,085
9,276
39,128
19,938
20,846
13,138
53,922
Mortgage and real estate18,005
16,085
10,593
44,683
19,735
20,633
13,003
53,371
Installment, revolving credit and other13,369
11,945
7,867
33,181
11,550
12,077
7,611
31,238
Lease financing593
529
348
1,470
477
499
314
1,290
In offices outside the U.S.106,000
49,295
9,065
164,360
124,384
59,295
10,506
194,185
Total corporate loans$174,413
$110,413
$49,315
$334,141
$196,763
$134,973
$58,199
$389,935
Fixed/variable
pricing of corporate
loans with
maturities due after
one year(1)
  
Loans at fixed
interest rates
 $21,048
$15,276
  $22,432
$20,676
 
Loans at floating or
adjustable interest
rates
 89,365
34,039
  112,541
37,523
 
Total $110,413
$49,315
 
$134,973
$58,199
 


(1)Based on contractual terms. Repricing characteristics may effectively
be modified from time to time using derivative contracts. See Note 22
to the Consolidated Financial Statements.



Additional Consumer and Corporate Credit Details


ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding
December 31,December 31,
In millions of dollars2017201620152014201320192018201720162015
Consumer loans  
In U.S. offices 
Mortgage and real estate(1)
$65,467
$72,957
$80,281
$96,533
$108,453
Installment, revolving credit and other3,398
3,395
3,480
14,450
13,398
Cards139,006
132,654
112,800
112,982
115,651
Commercial and industrial7,840
7,159
6,407
5,895
6,592
In North America offices(1)
 
Residential first mortgages(2)
$47,008
$47,412
$49,375
$53,131
$56,872
Home equity loans(2)
9,223
11,543
14,827
19,454
22,745
Credit cards149,163
144,542
139,718
133,297
113,352
Personal, small business and other3,699
4,046
4,140
5,290
5,396
Total$215,711
$216,165
$202,968
$229,860
$244,094
$209,093
$207,543
$208,060
$211,172
$198,365
In offices outside the U.S. 
Mortgage and real estate(1)
$44,081
$42,803
$47,062
$54,462
$55,511
Installment, revolving credit and other26,556
24,887
29,480
31,128
33,182
Cards26,257
23,783
27,342
32,032
36,740
Commercial and industrial20,238
16,568
17,410
18,294
20,623
Lease financing76
81
362
546
710
In offices outside North America(1)
 
Residential first mortgages(2)
$37,686
$35,972
$37,419
$35,336
$40,139
Credit cards25,909
24,951
25,727
23,055
26,617
Personal, small business and other36,860
33,894
34,608
31,153
35,980
Total

$117,208
$108,122
$121,656
$136,462
$146,766
$100,455
$94,817
$97,754
$89,544
$102,736
Total consumer loans$332,919
$324,287
$324,624
$366,322
$390,860
Unearned income(2)
737
776
830
(679)(567)
Consumer loans, net of unearned income$333,656
$325,063
$325,454
$365,643
$390,293
Consumer loans, net of unearned income(3)
$309,548
$302,360
$305,814
$300,716
$301,101
Corporate loans  
In U.S. offices 
In North America offices(1)
 
Commercial and industrial$51,319
$49,586
$46,011
$39,542
$36,993
$55,929
$60,861
$60,219
$57,886
$53,611
Financial institutions39,128
35,517
36,425
36,324
25,130
53,922
48,447
39,128
35,517
36,425
Mortgage and real estate(1)
44,683
38,691
32,623
27,959
25,075
Mortgage and real estate(2)
53,371
50,124
44,683
38,691
32,623
Installment, revolving credit and other33,181
34,501
33,423
29,246
34,467
31,238
32,425
31,932
31,194
30,426
Lease financing1,470
1,518
1,780
1,758
1,647
1,290
1,429
1,470
1,518
1,780
Total

$169,781
$159,813
$150,262
$134,829
$123,312
$195,750
$193,286
$177,432
$164,806
$154,865
In offices outside the U.S. 
In offices outside North America(1)
 
Commercial and industrial$93,750
$81,882
$82,689
$83,506
$86,147
$112,668
$114,029
$113,178
$100,532
$99,442
Financial institutions35,273
26,886
28,704
33,269
38,372
40,211
36,837
35,273
26,886
28,704
Mortgage and real estate(1)
7,309
5,363
5,106
6,031
6,274
Mortgage and real estate(2)
9,780
7,376
7,309
5,363
5,106
Installment, revolving credit and other22,638
19,965
20,853
19,259
18,714
27,303
25,685
22,638
19,965
23,185
Lease financing190
251
303
419
586
95
103
190
251
303
Governments and official institutions5,200
5,850
4,911
2,236
2,341
4,128
4,520
5,200
5,850
4,911
Total

$164,360
$140,197
$142,566
$144,720
$152,434
$194,185
$188,550
$183,788
$158,847
$161,651
Total corporate loans$334,141
$300,010
$292,828
$279,549
$275,746
Unearned income(3)
(763)(704)(665)(557)(567)
Corporate loans, net of unearned income$333,378
$299,306
$292,163
$278,992
$275,179
Corporate loans, net of unearned income(4)
$389,935
$381,836
$361,220
$323,653
$316,516
Total loans—net of unearned income$667,034
$624,369
$617,617
$644,635
$665,472
$699,483
$684,196
$667,034
$624,369
$617,617
Allowance for loan losses—on drawn exposures(12,355)(12,060)(12,626)(15,994)(19,648)(12,783)(12,315)(12,355)(12,060)(12,626)
Total loans—net of unearned income
and allowance for credit losses		$654,679
$612,309
$604,991
$628,641
$645,824
$686,700
$671,881
$654,679
$612,309
$604,991
Allowance for loan losses as a percentage of total loans—
net of unearned income(4)
1.87%1.94%2.06%2.50%2.97%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(4)
2.96%2.88%3.02%3.71%4.36%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(4)
0.76%0.91%0.97%0.90%0.99%
Allowance for loan losses as a percentage of total loans—
net of unearned income(5)
1.84%1.81%1.86%1.94%2.06%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5)
3.20%3.14%3.08%2.94%3.08%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5)
0.75%0.74%0.82%1.01%1.08%
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(2)(3)Consumer loans are net of unearned income of $783 million, $742 million, $768 million, $803 million and $850 million at December 31, 2019, 2018, 2017, 2016 and 2015, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts. Prior to December 31, 2015, these items were more than offset by prepaid interest on loans outstanding issued by OneMain Financial. The sale of OneMain Financial was completed on November 15, 2015.
(3)(4)Corporate loans are net of unearned income of $(814) million, $(855) million, $(794) million, $(730) million and $(686) million at December 31, 2019, 2018, 2017, 2016 and 2015, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discountdiscounted basis.
(4)(5)All periods exclude loans that are carried at fair value.





Details of Credit Loss Experience
In millions of dollars2017201620152014201320192018201720162015
Allowance for loan losses at beginning of period$12,060
$12,626
$15,994
$19,648
$25,455
$12,315
$12,355
$12,060
$12,626
$15,994
Provision for loan losses  
Consumer$7,363
$6,321
$6,228
$6,699
$7,591
$7,751
$7,258
$7,329
$6,207
$6,073
Corporate140
428
880
129
13
467
96
174
542
1,035
Total

$7,503
$6,749
$7,108
$6,828
$7,604
$8,218
$7,354
$7,503
$6,749
$7,108
Gross credit losses  
Consumer  
In U.S. offices$5,736
$4,970
$5,500
$6,780
$8,402
$6,538
$5,971
$5,664
$4,874
$5,439
In offices outside the U.S. 2,447
2,672
3,192
3,874
3,926
2,316
2,351
2,377
2,594
3,077
Corporate  
Commercial and industrial, and other  
In U.S. offices151
274
112
66
125
265
121
223
370
173
In offices outside the U.S. 331
256
182
310
216
196
208
401
334
297
Loans to financial institutions  
In U.S. offices3
5
—
2
2
—
3
3
5
—
In offices outside the U.S. 1
5
4
13
7
3
7
1
5
4
Mortgage and real estate  
In U.S offices2
34
8
8
62
In U.S. offices23
2
2
34
8
In offices outside the U.S.2
6
43
55
29
—
2
2
6
43
Total

$8,673
$8,222
$9,041
$11,108
$12,769
$9,341
$8,665
$8,673
$8,222
$9,041
Credit recoveries(1)
  
Consumer  
In U.S. offices$903
$980
$975
$1,122
$1,073
$975
$912
$892
$972
$954
In offices outside the U.S. 583
614
659
853
1,008
503
502
552
576
642
Corporate  
Commercial and industrial, and other  
In U.S. offices20
23
22
64
62
28
47
31
31
43
In offices outside the U.S. 86
41
67
84
109
59
78
117
79
84
Loans to financial institutions  
In U.S. offices1
1
7
1
1
—
—
1
1
7
In offices outside the U.S. 1
1
2
11
20
—
3
1
1
2
Mortgage and real estate  
In U.S. offices2
1
7
—
31
8
6
2
1
7
In offices outside the U.S. 1
—
—
—
2
—
4
1
—
—
Total

$1,597
$1,661
$1,739
$2,135
$2,306
$1,573
$1,552
$1,597
$1,661
$1,739
Net credit losses  
In U.S. offices$4,966
$4,278
$4,609
$5,669
$7,424
$5,815
$5,132
$4,966
$4,278
$4,609
In offices outside the U.S. 2,110
2,283
2,693
3,304
3,039
1,953
1,981
2,110
2,283
2,693
Total$7,076
$6,561
$7,302
$8,973
$10,463
$7,768
$7,113
$7,076
$6,561
$7,302
Other—net(2)(3)(4)(5)(6)(7)(8)
$(132)$(754)$(3,174)$(1,509)$(2,948)$18
$(281)$(132)$(754)$(3,174)
Allowance for loan losses at end of period$12,355
$12,060
$12,626
$15,994
$19,648
$12,783
$12,315
$12,355
$12,060
$12,626
Allowance for loan losses as a percentage of total loans(9)
1.87%1.94%2.06%2.50%2.97%1.84%1.81%1.86%1.94%2.06%
Allowance for unfunded lending commitments(8)(10)
$1,258
$1,418
$1,402
$1,063
$1,229
$1,456
$1,367
$1,258
$1,418
$1,402
Total allowance for loan losses and unfunded lending commitments$13,613
$13,478
$14,028
$17,057
$20,877
$14,239
$13,682
$13,613
$13,478
$14,028
Net consumer credit losses$6,697
$6,048
$7,058
$8,679
$10,247
$7,376
$6,908
$6,597
$5,920
$6,920
As a percentage of average consumer loans2.07%1.88%2.08%2.31%2.63%
Net corporate credit losses$379
$513
$244
$294
$216

As a percentage of average consumer loans2.49%2.33%2.22%2.00%2.19%
Net corporate credit losses$392
$205
$479
$641
$382
As a percentage of average corporate loans0.12%0.17%0.08%0.10%0.08%0.10%0.05%0.14%0.20%0.12%
Allowance by type(11)
   
Allowance by type at end of period(11)
   
Consumer$9,869
$9,358
$9,835
$13,547
$16,974
$9,897
$9,504
$9,412
$8,842
$9,273
Corporate2,486
2,702
2,791
2,447
2,674
2,886
2,811
2,943
3,218
3,353
Total Citigroup$12,355
$12,060
$12,626
$15,994
$19,648
$12,783
$12,315
$12,355
$12,060
$12,626
(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)2019 includes reductions of approximately $42 million related to the transfer to HFS of various real estate loan portfolios. In addition, 2019 includes an increase of approximately $60 million related to FX translation.
(4)2018 includes reductions of approximately $201 million related to the sale or transfer to HFS of various loan portfolios, which include approximately $91 million related to the transfer of various real estate loan portfolios to HFS. In addition, 2018 includes a reduction of approximately $60 million related to FX translation.
(5)2017 includes reductions of approximately $261 million related to the sale or transfer to HFS of various loan portfolios, which includesinclude approximately $106 million related to the transfer of various real estate loan portfolios to HFS. Additionally,In addition, 2017 includes an increase of approximately $115 million related to FX translation.
(4)(6)2016 includes reductions of approximately $574 million related to the sale or transfer to HFS of various loan portfolios, which includesinclude approximately $106 million related to the transfer of various real estate loan portfolios to HFS. Additionally,In addition, 2016 includes a reduction of approximately $199 million related to FX translation.
(5)(7)2015 includes reductions of approximately $2.4 billion related to the sale or transfer to HFS of various loan portfolios, which includesinclude approximately $1.5 billion related to the transfer of various real estate loan portfolios to HFS. Additionally,In addition, 2015 includes a reduction of approximately $474 million related to FX translation.
(6)
2014 includes reductions of approximately $1.1 billion related to the sale or transfer to HFS of various loan portfolios, which includes approximately $411 million related to the transfer of various real estate loan portfolios to HFS, approximately $204 million related to the transfer to HFS of a business in Greece, approximately $177 million related to the transfer to HFS of a business in Spain, approximately $29 million related to the transfer to HFS of a business in Honduras, and approximately $108 million related to the transfer to HFS of various EMEA loan portfolios. Additionally, 2014 includes a reduction of approximately $463 million related to FX translation.
(7)2013 includes reductions of approximately $2.4 billion related to the sale or transfer to HFS of various loan portfolios, which includes approximately $360 million related to the sale of Credicard and approximately $255 million related to a transfer to HFS of a loan portfolio in Greece, approximately $230 million related to a non-provision transfer of reserves associated with deferred interest to other assets which includes deferred interest and approximately $220 million related to FX translation.
(8)
2015 includes a reclassification of $271 million of Allowance for loan losses to allowance for unfunded lending commitments, included in the Other line item. This reclassification reflects the re-attribution of $271 million in the allowance for credit losses between the funded and unfunded portions of the corporate credit portfolios and does not reflect a change in the underlying credit performance of these portfolios.
(9)December 31, 2019, 2018, 2017, December 31, 2016 December 31,and 2015 December 31, 2014 and December 31, 2013 exclude $4.1 billion, $3.2 billion, $4.4 billion, $3.5 billion, $5.0 billion, $5.9 billion and $5.0 billion, respectively, of loans which are carried at fair value.
(10)
Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(11)Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and troubled debt restructurings. See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements below. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.

Allowance for Loan Losses
The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:
December 31, 2017December 31, 2019
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$6.1
$139.7
4.4%$7.0
$149.2
4.7%
North America mortgages(3)
0.7
64.2
1.1
0.3
56.2
0.5
North America other
0.3
13.0
2.3
0.1
3.7
2.7
International cards1.3
25.7
5.1
0.7
25.9
2.7
International other(4)
1.5
91.1
1.6
1.8
74.6
2.4
Total consumer$9.9
$333.7
3.0%$9.9
$309.6
3.2%
Total corporate2.5
333.3
0.8
2.9
389.9
0.7
Total Citigroup$12.4
$667.0
1.9%$12.8
$699.5
1.8%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $6.1$7.0 billion of loan loss reserves represented approximately 1615 months of coincident net credit loss coverage.
(3)
Of the $0.7$0.3 billion, approximately $0.6 billionnearly all was allocated to North America mortgages in Corporate/Other. Of the $0.7, including $0.1 billion approximatelyand $0.2 billion and $0.5 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $64.2$56.2 billion in loans, approximately $60.4$54.2 billion and $3.7$2.0 billion of the loans arewere evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 15 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.


December 31, 2016December 31, 2018
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$5.2
$133.3
3.9%$6.6
$144.5
4.6%
North America mortgages(3)
1.1
72.6
1.5
0.4
59.0
0.7
North America other
0.5
13.6
3.7
0.1
4.0
2.5
International cards1.2
23.1
5.2
0.7
25.0
2.8
International other(4)
1.4
82.5
1.7
1.7
69.9
2.4
Total consumer$9.4
$325.1
2.9%$9.5
$302.4
3.1%
Total corporate2.7
299.3
0.9
2.8
381.8
0.7
Total Citigroup$12.1
$624.4
1.9%$12.3
$684.2
1.8%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $5.2$6.6 billion of loan loss reserves represented approximately 1516 months of coincident net credit loss coverage.
(3)
Of the $1.1$0.4 billion, approximately $1.0 billionnearly all was allocated to North America mortgages in Corporate/Other. Of the $1.1 billion,, including approximately $0.4$0.1 billion and $0.7$0.3 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $72.6$59.0 billion in loans, approximately $67.7$56.3 billion and $4.8$2.5 billion of the loans arewere evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 15 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.





Non-Accrual Loans and Assets and Renegotiated Loans
There is a certain amount of overlap among non-accrual loans and assets and renegotiated loans. The following summary provides a general description of each category:category.


Non-Accrual Loans and Assets:Assets:
Corporate and consumer (including commercial banking) non-accrual status is based on the determination that payment of interest or principal is doubtful.
A corporate loan may be classified as non-accrual and still be performing under the terms of the loan structure. Payments receivedNon-accrual loans may still be current on corporate non-accrual loans are generally applied to loan principalinterest payments. Approximately 44%, 41% and not reflected as interest income. Approximately 74%, 69% and 64%48% of Citi’s corporate non-accrual loans were performing at December 31, 2017,2019, September 30, 20172019 and December 31, 2016,2018, respectively.
Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.
Consumer mortgage loans, other than Federal Housing Administration (FHA) insured loans, are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy. In addition, home equity loans are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due.
•
North America Citi-branded cards and Citi retail services are not included because, under industry standards, credit card loans accrue interest until such loans are charged off, which typically occurs at 180 days of contractual delinquency.
North America Citi-branded cards and Citi retail services are not included because, under industry standards, credit card loans accrue interest until such loans are charged off, which typically occurs at 180 days of contractual delinquency.
Renegotiated Loans:Loans:
Includes both corporate and consumer loans whose terms have been modified in a troubled debt restructuring (TDR).
Includes both accrual and non-accrual TDRs.



Non-Accrual Loans
The table below summarizes Citigroup’s non-accrual loans as of the periods indicated. Non-accrual loans may still be current on interest payments. In situations where Citi reasonably expects that only a portion of the principal owed
 
will ultimately be collected, all payments received are reflected as a reduction of principal and not as interest income. For all other non-accrual loans, cash interest receipts are generally recorded as revenue.
December 31,December 31,
In millions of dollars2017201620152014201320192018201720162015
Corporate non-accrual loans(1)(2)
  
North America$784
$984
$818
$321
$735
$1,214
$586
$966
$1,291
$1,005
EMEA849
904
347
285
812
430
375
849
904
347
Latin America280
379
303
417
132
473
307
348
441
421
Asia29
154
128
179
279
71
243
70
220
191
Total corporate non-accrual loans$1,942
$2,421
$1,596
$1,202
$1,958
$2,188
$1,511
$2,233
$2,856
$1,964
Consumer non-accrual loans(1)(3)
  
North America$1,650
$2,160
$2,515
$4,411
$5,239
$905
$1,138
$1,468
$1,854
$2,328
Latin America756
711
874
1,188
1,420
632
638
688
648
756
Asia(4)
284
287
269
306
386
279
250
243
221
206
Total consumer non-accrual loans$2,690
$3,158
$3,658
$5,905
$7,045
$1,816
$2,026
$2,399
$2,723
$3,290
Total non-accrual loans $4,632
$5,579
$5,254
$7,107
$9,003
$4,004
$3,537
$4,632
$5,579
$5,254
(1)Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $128 million at December 31, 2019, $128 million at December 31, 2018, $167 million at December 31, 2017, $187 million at December 31, 2016 and $250 million at December 31, 2015, $421 million at December 31, 2014 and $703 million at December 31, 2013.2015.
(2)
The 2016 increase in corporate non-accrual loans from December 31, 2015 to December 31, 2016 was primarily related to Citi’s North America and EMEA energy and energy-related corporate credit exposure during 2016.exposure.
(3)
The 2015 decline in consumer non-accrual loans includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans HFS (included within Other assets).
(4)
Asia includes balances in certain EMEA countries for all periods presented.
(3) 2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans HFS (included within Other assets).
(4) Asia includes balances in certain EMEA countries for all periods presented.


The changes in Citigroup’s non-accrual loans were as follows:


Year endedYear endedYear endedYear ended
December 31, 2017December 31, 2016December 31, 2019December 31, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,421
$3,158
$5,579
$1,596
$3,658
$5,254
$1,511
$2,026
$3,537
$2,233
$2,399
$4,632
Additions1,347
3,508
4,855
2,713
4,460
7,173
3,407
2,954
6,361
2,108
3,148
5,256
Sales and transfers to held-for-sale(134)(379)(513)(82)(738)(820)
Sales and transfers to HFS(23)(171)(194)(119)(268)(387)
Returned to performing(47)(634)(681)(150)(606)(756)(68)(431)(499)(127)(629)(756)
Paydowns/settlements(1,400)(1,163)(2,563)(1,198)(1,648)(2,846)(2,496)(902)(3,398)(2,282)(1,052)(3,334)
Charge-offs(144)(1,869)(2,013)(386)(1,855)(2,241)(268)(1,444)(1,712)(196)(1,634)(1,830)
Other(101)69
(32)(72)(113)(185)125
(216)(91)(106)62
(44)
Ending balance$1,942
$2,690
$4,632
$2,421
$3,158
$5,579
$2,188
$1,816
$4,004
$1,511
$2,026
$3,537



Non-Accrual Assets
The table below summarizes Citigroup’s other real estate owned (OREO) assets as ofassets. OREO is recorded on the periods indicated. Consolidated Balance Sheet within Other assets. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
December 31,December 31,
In millions of dollars2017201620152014201320192018201720162015
OREO(1)
  
North America$89
$161
$166
$196
$304
$39
$64
$89
$161
$166
EMEA2
—
1
7
59
1
1
2
—
1
Latin America35
18
38
47
47
14
12
35
18
38
Asia18
7
4
10
6
7
22
18
7
4
Total OREO$144
$186
$209
$260
$416
$61
$99
$144
$186
$209
Non-accrual assets  
Corporate non-accrual loans$1,942
$2,421
$1,596
$1,202
$1,958
$2,188
$1,511
$2,233
$2,856
$1,964
Consumer non-accrual loans(2)
2,690
3,158
3,658
5,905
7,045
1,816
2,026
2,399
2,723
3,290
Non-accrual loans (NAL)$4,632
$5,579
$5,254
$7,107
$9,003
$4,004
$3,537
$4,632
$5,579
$5,254
OREO$144
$186
$209
$260
$416
$61
$99
$144
$186
$209
Non-accrual assets (NAA)$4,776
$5,765
$5,463
$7,367
$9,419
$4,065
$3,636
$4,776
$5,765
$5,463
NAL as a percentage of total loans0.69%0.89%0.85%1.10%1.35%0.57%0.52%0.69%0.89%0.85%
NAA as a percentage of total assets0.26
0.32
0.32
0.40
0.50
0.21
0.19
0.26
0.32
0.32
Allowance for loan losses as a percentage of NAL(3)(1)
267
216
240
225
218
319
348
267
216
240


(1)Reflects a decrease of $130 million related to the adoption of ASU 2014-14 in the fourth quarter of 2014, which requires certain government guaranteed mortgage loans to be recognized as separate other receivables upon foreclosure. Prior periods have not been restated.
(2)
2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans HFS (included within Other assets).
(3)The allowance for loan losses includes the allowance for Citi’s credit card portfolios and purchased distressed loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios) and purchased distressed loans as these continue to accrue interest until charge-off.





Renegotiated Loans
The following table presents Citi’s loans modified in TDRs:
In millions of dollarsDec. 31, 2017Dec. 31, 2016Dec. 31, 2019Dec. 31, 2018
Corporate renegotiated loans(1)
    
In U.S. offices    
Commercial and industrial$226
$188
Mortgage and real estate57
111
Financial institutions—
16
Other4
2
Total$287
$317
In offices outside the U.S. 
Commercial and industrial(2)
$225
$89
$200
$226
Mortgage and real estate90
84
22
12
Financial institutions33
9
—
9
Other45
228
40
—
$393
$410
In offices outside the U.S. 
Commercial and industrial(2)
$392
$319
Mortgage and real estate11
3
Financial institutions15
—
Lease Financing7
—
$425
$322
Total

$262
$247
Total corporate renegotiated loans$818
$732
$549
$564
Consumer renegotiated loans(5)(3)
   
In U.S. offices   
Mortgage and real estate(6)
$3,709
$4,695
$1,956
$2,520
Cards1,246
1,313
1,464
1,338
Installment and other169
117
17
13
$5,124
$6,125
Total

$3,437
$3,871
In offices outside the U.S.   
Mortgage and real estate$345
$447
$305
$299
Cards541
435
466
480
Installment and other427
443
400
387
$1,313
$1,325
Total

$1,171
$1,166
Total consumer renegotiated loans$6,437
$7,450
$4,608
$5,037
(1)Includes $715$472 million and $445$466 million of non-accrual loans included in the non-accrual loans table above at December 31, 20172019 and December 31, 2016,2018, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at December 31, 20172019 and December 31, 2016,2018, Citi also modified $51$26 million and $257$2 million respectively, and $95 million and $217 million,in offices outside the U.S., respectively, of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices inside and outside the U.S.. These modifications were not considered TDRs because the modifications did not involve a concession (a required element of a TDR for accounting purposes).concession.
(3)Includes $1,376$814 million and $1,502$933 million of non-accrual loans included in the non-accrual loans table above at December 31, 20172019 and 2016,2018, respectively. The remaining loans are accruing interest.
(4)Includes $26 million and $58 million of commercial real estate loans at December 31, 2017 and 2016, respectively.
(5)Includes $165 million and $105 million of other commercial loans at December 31, 2017 and 2016, respectively.
(6)Reduction in 2017 includes $892 million related to TDRs sold or transferred to held-for-sale.















 
Forgone Interest Revenue on Loans(1) 


In millions of dollarsIn U.S.
offices		In non-
U.S.
offices		2017
total		In U.S.
offices		In non-
U.S.
offices		2019
total
Interest revenue that would have been accrued at original contractual rates(2)
$637
$416
$1,053
$488
$421
$909
Amount recognized as interest revenue(2)
299
133
432
130
112
242
Forgone interest revenue$338
$283
$621
$358
$309
$667


(1)Relates to corporate non-accrual loans, renegotiated loans and consumer loans on which accrual of interest has been suspended.
(2)Interest revenue in offices outside the U.S. may reflect prevailing local interest rates, including the effects of inflation and monetary correction in certain countries.




LIQUIDITY RISK
Overview
Adequate and diverse sources of funding and liquidity are essential to Citi’s businesses. Funding and liquidity risks arise from several factors, many of which are mostly or entirely outside Citi’s control, such as disruptions in the financial markets, changes in key funding sources, credit spreads, changes in Citi’s credit ratings and macroeconomic, geopolitical and macroeconomicother conditions. For additional information, see “Risk Factors” above.
Citi’s funding and liquidity management objectives are aimed at (i) funding its existing asset base, (ii) growing its core businesses, (iii) maintaining sufficient liquidity, structured appropriately, so that Citi can operate under a variety of adverse circumstances, including potential Company-specific and/or market liquidity events in varying durations and severity, and (iv) satisfying regulatory requirements, including, among other things, those related to resolution and resolution planning (for additional information, see “Resolution Plan” and “Total Loss-Absorbing Capacity (TLAC)” below). Citigroup’s primary liquidity objectives are established by entity, and in aggregate, across two major categories:
 
Citibank (including Citibank Europe plc, Citibank Singapore Ltd. and Citibank (Hong Kong) Ltd.); and
theCiti’s non-bank and other which includesentities, including the parent holding company (Citigroup)(Citigroup Inc.), Citi’s primary intermediate holding company (Citicorp LLC), Citi’s broker-dealer subsidiaries (including Citigroup Global Markets Inc., Citigroup Global Markets Ltd. and Citigroup Global Markets Japan Inc.) and other bank and non-bank subsidiaries that are consolidated into Citigroup (including Citibanamex).


At an aggregate Citigroup level, Citigroup’sCiti’s goal is to maintain sufficient funding in amount and tenor to fully fund customer assets and to provide an appropriate amount of cash and high-quality liquid assets (as discussed further below), even in
times of stress.stress, in order to meet its payment obligations as they come due. The liquidity risk management framework provides that in addition to the aggregate requirements, certain entities be self-sufficient or net providers of liquidity, including in conditions established under their designated stress tests.
Citi’s primary sources of funding include (i) deposits via Citi’s bank subsidiaries, which are Citi’s most stable and lowest cost source of long-term funding, (ii) long-term debt (primarily senior and subordinated debt) primarily issued at the parent and certain bank subsidiaries, and (iii) stockholders’ equity. These sources may be supplemented by short-term borrowings, primarily in the form of secured funding transactions.
As referenced above, Citi works to ensureCiti’s funding and liquidity framework ensures that the tenor of these funding sources is sufficiently longof sufficient term in relation to the tenor of its asset base. The goal of Citi’s asset/liability management is to ensure that there is excess liquidity and tenor in the liability structure relative to the liquidity profile of the assets. This reduces the risk that liabilities will become due before asset maturitiesassets mature or monetizations through sale.are monetized. This excess liquidity is held primarily in the form of high-quality liquid assets (HQLA), as set forth in the table below.
Citi’s Treasurer has overall responsibility for management of Citi’s HQLA. Citi’s liquidity is managed via a centralized treasury model by Corporate Treasury, in conjunction with regional and in-country treasurers.treasurers with independent oversight provided by Independent Risk Management. Pursuant to this approach, Citi’s HQLA isare managed with emphasis on asset-liability management and entity-level liquidity adequacy throughout Citi.
Citi’s Chief Risk Officer is responsible for the overall liquidity risk profile of Citi. The Chief Risk Officer and Citi’s CFO co-chair Citi’s Asset Liability Management Committee (ALCO), which includes Citi’s Treasurer and other senior executives. ALCO, among other things, sets the strategy of the liquidity portfolio and monitors its performance. Significant changes to portfolio asset allocations need to be approved by ALCO.


Liquidity Monitoring and Measurement

Stress Testing
Liquidity stress testing is performed for each of Citi’s major entities, operating subsidiaries and/or countries. Stress testing and scenario analyses are intended to quantify the potential impact of an adverse liquidity event on the balance sheet and liquidity position, and to identify viable funding alternatives that can be utilized. These scenarios include assumptions about significant changes in key funding sources, market triggers (such as credit ratings), potential uses of funding and macroeconomic, geopolitical and other conditions. These conditions include expected and stressed market conditions as well as Company-specific events.
Liquidity stress tests are performed to ascertain potential mismatches between liquidity sources and uses over a variety of time horizons and over different stressed conditions. Liquidity limits are set accordingly. To monitor the liquidity of an entity, these stress tests and potential mismatches are calculated with varying frequencies, with several tests performed daily.
Given the range of potential stresses, Citi maintains contingency funding plans on a consolidated basis and for individual entities. These plans specify a wide range of readily available actions for a variety of adverse market conditions or idiosyncratic stresses.




High-Quality Liquid Assets (HQLA)
CitibankNon-bank and OtherTotalCitibankCiti non-bank and other entitiesTotal
In billions of dollarsDec. 31, 2017Sept. 30, 2017Dec. 31, 2016Dec. 31, 2017Sept. 30, 2017Dec. 31, 2016Dec. 31, 2017Sept. 30, 2017Dec. 31, 2016Dec. 31, 2019Sept. 30, 2019Dec. 31, 2018Dec. 31, 2019Sept. 30, 2019Dec. 31, 2018Dec. 31, 2019Sept. 30, 2019Dec. 31, 2018
Available cash$94.3
$92.7
$80.9
$30.9
$32.9
$18.4
$125.2
$125.6
$99.2
$158.7
$123.7
$97.1
$2.1
$31.8
$27.6
$160.8
$155.5
$124.7
U.S. sovereign113.2
108.4
113.6
27.9
26.6
22.5
141.1
135.0
136.1
100.2
94.3
103.2
29.6
32.4
24.0
129.8
126.7
127.2
U.S. agency/agency MBS80.8
68.1
62.8
0.5
0.6
0.1
81.3
68.7
63.0
56.9
55.5
60.0
4.4
4.6
5.8
61.3
60.1
65.8
Foreign government debt(1)
80.5
101.3
87.5
16.4
16.3
15.5
96.9
117.6
103.0
66.4
65.9
76.8
16.5
10.9
6.3
82.9
76.8
83.1
Other investment grade0.7
0.5
0.9
1.2
1.2
1.5
1.9
1.7
2.5
2.4
2.9
1.5
0.5
0.7
1.4
2.8
3.6
2.9
Total HQLA (AVG)$369.5
$371.0
$345.7
$76.9
$77.6
$58.0
$446.4
$448.6
$403.7
$384.6
$342.3
$338.6
$53.1
$80.4
$65.1
$437.6
$422.7
$403.7


Note: The amounts set forth in the table above are presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts that would be required for securities financing transactions. The table above incorporates various restrictions that could limit the transferability of liquidity between legal entities, including Section 23A of the Federal Reserve Act.
(1)Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and primarilyprincipally include government bonds from Mexico, Hong Kong, South Korea, Singapore, Korea, India and Mexico.Brazil.


As set forthThe table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the table above, Citi’s totalcalculation of Citigroup’s consolidated Liquidity Coverage Ratio (LCR), pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and any amounts in excess of these minimums that are assumed to be transferable to other entities within Citigroup. Citigroup’s HQLA increased year-over-year, primarily driven by an increase in cash related to resolution planning. Sequentially, Citi’s HQLA decreased modestly, primarily driven by loansequentially, reflecting deposit growth partially offset by growth in deposits.and the issuance of long-term debt.
Citi’s HQLA as set forth above does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLB)(FHLBs) of which Citi is a member, which was approximately $10$35 billion as of December 31, 20172019 (compared to $16$40 billion as of September 30, 20172019 and $21$29 billion as of December 31, 2016)2018) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.

Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)
In general,addition to internal 30-day liquidity stress testing performed for Citi’s major entities, operating subsidiaries and countries, Citi also monitors its liquidity is fungible across legal entities within its bank group. Citi’s bank subsidiaries, including Citibank, can lendby reference to the Citi parentLCR.
Generally, the LCR is designed to ensure that banks maintain an adequate level of HQLA to meet liquidity needs under an acute 30-day stress scenario. The LCR is calculated by dividing HQLA by estimated net outflows over a stressed 30-day period, with the net outflows determined by applying prescribed outflow factors to various categories of liabilities, such as deposits, unsecured and broker-dealer entitiessecured wholesale borrowings, unused lending commitments and derivatives-related exposures, partially offset by inflows from assets maturing within 30 days. Banks are required to calculate an add-on to address potential maturity mismatches between contractual cash outflows and inflows within the 30-day period in accordance with Section 23Adetermining the total amount of net outflows. The minimum LCR requirement is 100%.
The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:
In billions of dollarsDec. 31, 2019Sept. 30, 2019Dec. 31, 2018
HQLA$437.6
$422.7
$403.7
Net outflows382.0
373.4
334.8
LCR115%113%121%
HQLA in excess of net outflows$55.6
$49.3
$68.9

Note: The amounts are presented on an average basis.

Citi’s average LCR increased sequentially, reflecting the issuance of long-term debt.


Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
In 2016, the Federal Reserve Act. AsBoard, the FDIC and the OCC issued a proposed rule to implement the Basel III NSFR requirement.
The U.S.-proposed NSFR is largely consistent with the Basel Committee’s final NSFR rules. In general, the NSFR assesses the availability of a bank’s stable funding against a required level. A bank’s available stable funding would include portions of equity, deposits and long-term debt, while its required stable funding would be based on the liquidity characteristics and encumbrance period of its assets, derivatives and commitments. Prescribed factors would be required to be applied to the various categories of asset and liabilities classes. The ratio of available stable funding to required stable funding would be required to be greater than 100%.
While Citi believes that it is compliant with the proposed U.S. NSFR rules as of December 31, 2017,2019, it will need to evaluate a final version of the capacity available for lending to these entities under Section 23A was approximately $15 billion, unchanged from both September 30, 2017 and December 31, 2016, subject to certain eligible non-cash collateral requirements.rules. Citi expects that the NSFR final rules implementation period will be communicated along with the final version of the rules.


Loans
As part of its funding and liquidity objectives, Citi seeks to fund its existing asset base appropriately as well as maintain sufficient liquidity to grow its GCB and ICG businesses, including its loan portfolio. Citi maintains a diversified portfolio of loans to its consumer and institutional clients. The table below sets forthdetails the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
In billions of dollarsDec. 31, 2017Sept. 30, 2017Dec. 31, 2016Dec. 31, 2019Sept. 30, 2019Dec. 31, 2018
Global Consumer Banking  
North America$189.7
$186.7
$182.0
$192.7
$188.8
$186.8
Latin America25.7
26.8
23.5
17.4
17.0
16.9
Asia(1)
87.9
86.2
81.9
80.9
78.3
76.7
Total$303.3
$299.7
$287.4
$291.0
$284.1
$280.4
Institutional Clients Group  
Corporate lending124.8
123.3
118.9
$154.2
$160.9
$158.2
Treasury and trade solutions (TTS)77.0
74.9
71.5
74.5
72.5
77.0
Private Bank85.9
82.6
75.2
Private bank106.6
104.0
94.7
Markets and securities services and other
40.4
40.1
38.6
56.0
52.3
49.2
Total$328.2
$320.9
$304.3
$391.3
$389.7
$379.1
Total Corporate/Other
23.6
25.8
34.6
$10.3
$11.2
$16.0
Total Citigroup loans (AVG)$655.1
$646.3
$626.3
$692.6
$685.0
$675.5
Total Citigroup loans (EOP)$667.0
$653.2
$624.4
$699.5
$691.7
$684.2


(1)
Includes loans in certain EMEA countries for all periods presented.



As set forth in the table above, end-of-periodEnd-of period loans increased 7%2% year-over-year and 2% sequentially in the fourth quarter.1% quarter-over-quarter. On an average basis, loans increased 5%3% year-over-year and 1% sequentially.quarter-over-quarter.
Excluding the impact of FX translation, average loans increased 3% year-over-year, driven by 5%4% aggregate across GCB and ICG. Within GCB, average loans grew 4%, withdriven by continued growth across all regions.in North America GCB and Asia GCB. Average loans in Latin America GCB were largely unchanged year-over-year, reflecting lower overall industry volumes.
Average ICG loans increased 6% year-over-year, driven primarily by client-led growth in the private bank.3% year-over-year. Treasury and trade solutions and corporate(TTS) loans declined 3% year-over-year, as Citi continued to utilize its distribution capabilities in order to optimize its balance sheet while supporting its clients. Corporate lending loans declined 2%, reflecting the episodic nature of clients’ funding needs, as well as an active quarter in debt capital markets originations. Private bank loans increased 6% and 4%13%, respectively, bothreflecting growth across regions, driven by growth in Asiaboth new clients and EMEA.the deepening of relationships with existing clients. Markets and securities services loans increased 14%, primarily driven by residential and commercial real estate warehouse lending.
Average Corporate/Other loans decreased 32% year-over-year,continued to decline (down 34%), driven by the continued wind-down of legacy assets.


Deposits
Deposits are Citi’s primary and lowest-cost funding source. The table below sets forthdetails the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:
In billions of dollarsDec. 31, 2017Sept. 30, 2017Dec. 31, 2016Dec. 31, 2019Sept. 30, 2019Dec. 31, 2018
Global Consumer Banking  
North America$182.7
$184.1
$186.0
$156.2
$153.6
$146.5
Latin America27.8
28.8
25.2
23.0
22.5
22.3
Asia(1)
96.0
95.2
89.9
103.4
100.7
97.7
Total$306.5
$308.1
$301.1
$282.6
$276.8
$266.5
Institutional Clients Group  
Treasury and trade solutions (TTS)444.5
427.8
415.4
$558.7
$541.0
$510.9
Banking ex-TTS126.9
122.4
122.4
140.7
137.0
128.3
Markets and securities services82.9
84.7
81.7
95.0
95.7
86.7
Total$654.4
$634.9
$619.5
$794.4
$773.7
$725.9
Total Corporate/Other
12.4
22.9
14.6
$12.5
$15.8
$13.3
Total Citigroup deposits (AVG)$973.3
$965.9
$935.1
$1,089.5
$1,066.3
$1,005.7
Total Citigroup deposits (EOP)$959.8
$964.0
$929.4
$1,070.6
$1,087.8
$1,013.2
(1)
Includes deposits in certain EMEA countriesfor all periods presented.


End-of-period deposits increased 3%6% year-over-year and remained unchanged sequentially in the fourth quarter.declined 2% quarter-over-quarter. On an average basis, deposits increased 4%8% year-over-year and 1% sequentially.2% quarter-over-quarter.
Excluding the impact of FX translation, average deposits increased 3% year-over-year,9% year-over-year. In GCB, deposits increased 6%, driven primarily by 6%continued growth in TTS, as well as 4% aggregateAsia GCB and North America GCB. In North America GCB, deposit growth accelerated to 7%, with contributions from both traditional and digital channels.
In ICG, deposits increased 10%, primarily driven by high-quality deposit growth in Asia GCB and Latin America GCB. North America GCB deposits declined 2% year-over-year, with half of the decline coming from lower escrow balances as a result of lower mortgage activity. Growth in checking deposits was more than offset by a reduction in money market balances, as clients transferred cash to investment accounts.TTS.


Long-Term Debt
Long-term debt (generally defined as debt with original maturities of one year or more) represents the most significant component of Citi’s funding for the Citigroup parent entitiescompany and Citi’s non-bank subsidiaries and is a supplementary source of funding for the bank entities.
Long-term debt is an important funding source due in part to its multi-year contractual maturity structure. The weighted-average maturity of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank) with a remaining life greater than one year (excluding remaining trust preferred securities outstanding) was approximately 6.88.4 years as of December 31, 2017,2019, unchanged sequentiallyfrom September 30, 2019 and a modestslight decline from 7.0 years from the prior year. The weighted-average maturity is calculated based on the contractual maturity of each security. For securities that are redeemable prior to maturity at the option of the holder, the weighted-average maturity is calculated based on the earliest date an option becomes exercisable.
Citi’s long-term debt outstanding at the Citigroup parent company includes benchmark senior and subordinated debt and what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally driven by customer demand and supplements benchmark debt issuance as a source of funding for Citi’s parentnon-bank entities. Citi’s long-term debt at the bank also includes benchmark senior debt, FHLB advances and securitizations.

Long-Term Debt Outstanding
The following table sets forth Citi’s end-of-period total long-term debt outstanding for each of the periodsdates indicated:
In billions of dollarsDec. 31, 2017Sept. 30, 2017Dec. 31, 2016Dec. 31, 2019Sept. 30, 2019Dec. 31, 2018
Parent and other(1)
      
Benchmark debt:  
Senior debt$109.8
$109.8
$99.9
$106.6
$104.3
$104.6
Subordinated debt26.9
27.0
26.8
25.5
25.9
24.5
Trust preferred1.7
1.7
1.7
1.7
1.7
1.7
Customer-related debt30.7
30.3
25.8
53.8
50.1
37.1
Local country and other(2)
1.8
1.8
2.5
7.9
5.3
2.9
Total parent and other$170.9
$170.6
$156.7
$195.5
$187.3
$170.8
Bank   
FHLB borrowings$19.3
$19.8
$21.6
$5.5
$5.5
$10.5
Securitizations(3)
30.3
28.6
23.5
20.7
22.8
28.4
CBNA benchmark senior debt12.5
9.5
—
Citibank benchmark senior debt23.1
23.1
18.8
Local country and other(2)
3.7
4.2
4.4
4.0
3.5
3.5
Total bank$65.8
$62.1
$49.5
$53.3
$54.9
$61.2
Total long-term debt$236.7
$232.7
$206.2
$248.8
$242.2
$232.0
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)“Parent and other”other includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of December 31, 2017 “parent2019, parent and other”other included $18.7$46.9 billion of long-term debt issued by Citi’s broker-dealer subsidiaries.
(2)Local country debtand other includes debt issued by Citi’s affiliates in support of their local operations. Within parent and other, certain secured financing is also included.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.


Citi’s total long-term debt outstanding increased both year-over-year and quarter-over-quarter. The increase year-over-year was primarilyquarter-over-quarter, largely driven by an increase in seniorcustomer-related debt at

the parent, as well as increasesnon-bank entities. Year-over-year, this growth was partially offset by a decline in both Citibank benchmark senior debt and securitizations at the bank. In addition, the year-over-year increase in outstanding customer-related debt was driven by stronger customer demand and fewer maturities and redemptions. Sequentially, the increase was driven primarily by an increase in Citibank benchmark debt and securitizations at the bank.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi’s overall funding costs and assist it in meeting regulatory changes and requirements.costs. During 2017,2019, Citi repurchased an aggregate of approximately $2.6$13.1 billion of its outstanding long-term debt, including early redemptions of FHLB advances.advances, but excluding the exercise of call options on $4.0 billion of securities with a remaining life of three months or less.


Long-Term Debt Issuances and Maturities
The table below details Citi’s long-term debt issuances and maturities (including repurchases and redemptions) during the periods presented:
201720162015201920182017
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent and other            
Benchmark debt:          
Senior debt$14.1
$21.6
$14.9
$26.0
$23.9
$20.2
$16.5
$16.2
$18.5
$14.8
$14.1
$21.6
Subordinated debt1.6
1.3
3.2
4.0
4.0
7.5
—
—
2.9
0.6
1.6
1.3
Trust preferred—
—
—
—
—
—
Customer-related debt7.6
12.3
10.2
10.5
9.9
9.5
12.7
25.1
6.6
16.9
7.6
12.3
Local country and other1.1
0.1
2.1
2.2
0.4
1.9
1.1
5.4
1.2
2.3
1.2
0.1
Total parent and other$24.5
$35.3
$30.4
$42.7
$38.2
$39.1
$30.3
$46.7
$29.2
$34.6
$24.5
$35.3
Bank          
FHLB borrowings$7.8
$5.5
$10.5
$14.3
$4.0
$2.0
$7.1
$2.1
$15.8
$7.9
$7.8
$5.5
Securitizations5.3
12.2
10.7
3.3
7.9
0.8
7.9
0.1
8.6
6.8
5.3
12.2
CBNA benchmark senior debt—
12.6
—
—
—
—
Citibank benchmark senior debt4.8
8.8
2.3
8.5
—
12.6
Local country and other3.4
2.3
3.9
3.4
2.8
2.7
0.9
1.4
2.2
2.9
3.4
2.4
Total bank$16.5
$32.6
$25.1
$21.0
$14.7
$5.5
$20.7
$12.4
$28.9
$26.1
$16.5
$32.7
Total$41.0
$68.0
$55.5
$63.7
$52.9
$44.6
$51.0
$59.1
$58.1
$60.7
$41.0
$68.0


The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) in 2017,2019, as well as its aggregate expected annual long-term debt maturities as of December 31, 2017:2019:
 Maturities
In billions of dollars201920202021202220232024ThereafterTotal
Parent and other        
Benchmark debt:        
Senior debt$16.5
$6.4
$14.2
$11.3
$12.5
$7.0
$55.2
$106.6
Subordinated debt—
—
—
0.7
1.2
0.9
22.7
25.5
Trust preferred—
—
—
—
—
—
1.7
1.7
Customer-related debt12.7
9.2
6.3
5.1
3.7
3.6
25.9
53.8
Local country and other1.1
1.0
3.6
1.5
0.1
0.1
1.6
7.9
Total parent and other$30.3
$16.6
$24.1
$18.6
$17.5
$11.6
$107.1
$195.5
Bank        
FHLB borrowings$7.1
$5.5
$—
$—
$—
$—
$—
$5.5
Securitizations7.9
4.6
7.3
2.3
2.6
1.1
2.8
20.7
Citibank benchmark senior debt4.8
8.7
6.1
5.6
—
2.7
—
23.1
Local country and other0.9
1.9
0.6
0.6
—
0.6
0.3
4.0
Total bank$20.7
$20.7
$14.0
$8.5
$2.6
$4.4
$3.1
$53.3
Total long-term debt$51.0
$37.3
$38.1
$27.1
$20.1
$16.0
$110.2
$248.8
 Maturities
In billions of dollars201720182019202020212022ThereafterTotal
Parent and other        
Benchmark debt:        
Senior debt$14.1
$18.4
$14.8
$8.9
$14.4
$8.1
$45.3
$109.8
Subordinated debt1.6
1.0
1.4
—
—
0.8
23.7
26.9
Trust preferred—
—
—
—
—
—
1.7
1.7
Customer-related debt7.6
4.2
2.8
3.9
2.5
2.0
15.4
30.7
Local country and other1.1
0.6
0.1
0.2
0.1
0.1
0.7
1.8
Total parent and other$24.5
$24.2
$19.0
$12.9
$16.9
$10.9
$86.8
$170.9
Bank        
FHLB borrowings$7.8
$16.8
$2.6
$—
$—
$—
$—
$19.3
Securitizations5.3
8.7
9.0
4.6
3.9
1.3
2.8
30.3
CBNA benchmark senior debt—
2.2
4.7
5.2
—
—
0.3
12.5
Local country and other3.4
1.5
1.0
0.5
0.2
0.2
0.3
3.7
Total bank$16.5
$29.3
$17.2
$10.3
$4.1
$1.5
$3.5
$65.8
Total long-term debt$41.0
$53.5
$36.3
$23.2
$21.0
$12.4
$90.3
$236.7

Resolution Plan
UnderCiti is required under Title I of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act), Citigroup has developed and the rules promulgated by the FDIC and FRB to periodically submit a “single point of entry”plan for Citi’s rapid and orderly resolution strategy and plan under the U.S. Bankruptcy Code. On July 1, 2017, Citi submitted its 2017 resolution plan to the Federal Reserve and FDIC. On December 19, 2017, the Federal Reserve and FDIC informed Citi that (i) the agencies jointly decided that Citi’s 2017 resolution plan submission satisfactorily addressed the shortcomings identifiedCode in the 2015 resolution plan submission, and (ii) the agencies together did not identify any shortcomingsevent of material financial distress or deficiencies in the 2017 resolution plan submission. Citi’s next resolution plan submission is due July 1, 2019.failure. For additional information on Citi’s resolution plan submissions, see “Risk Factors—Strategic Risks” above. Citigroup’s preferred resolution strategy is “single point of entry” under the U.S. Bankruptcy Code. 
Under Citi’s resolution plan, only Citigroup, the parent holding company, would enter into bankruptcy, while Citigroup’s material legal entities (as defined in the public section of its 20172019 resolution plan, which can be found on the Federal ReserveFRB’s and FDICFDIC’s websites) would remain operational and outside of any resolution or insolvency proceedings. Citigroup believes itsCitigroup’s resolution plan has been designed to minimize the risk of systemic impact to the U.S. and global financial systems, while maximizing the value of the bankruptcy estate for the benefit of Citigroup’s creditors, including its unsecured long-term debt holders. In addition, in line with the Federal Reserve’s final total loss-absorbing capacity (TLAC) rule, Citigroup believes it has developed the resolution plan so that Citigroup’s shareholders and unsecured creditors—including its unsecured long-term debt holders—bear any losses resulting from Citigroup’s bankruptcy. Accordingly, any value realized by holders of its unsecured long-term debt may not be sufficient to repay the amounts owed to such debt holders in the event of a bankruptcy or other resolution proceeding of Citigroup.
InThe FDIC has also indicated that it was developing a single point of entry strategy to implement its resolution authority under Title II of the Dodd-Frank Act.
As previously disclosed, in response to feedback received from the Federal Reserve and FDIC, on Citigroup’s 2015 resolution plan, Citigroup took the following actions in connection with its 2017 resolution plan submission (which, as noted above, did not contain any shortcomings or deficiencies):actions:


(i)Citicorp LLC (Citicorp), an existing wholly owned subsidiary of Citigroup, was established as an intermediate holding company (an IHC) for certain of Citigroup’s operating material legal entities;
(ii)Citigroup executed an inter-affiliate agreement with Citicorp, Citigroup’s operating material legal entities and certain other affiliated entities pursuant to which Citicorp is required to provide liquidity and capital support to Citigroup’s operating material legal entities in the event Citigroup were to enter bankruptcy proceedings (Citi Support Agreement);
(iii)pursuant to the Citi Support Agreement:


Citigroup made an initial contribution of assets, including certain high-quality liquid assets and inter-affiliate loans (Contributable Assets), to Citicorp, and Citicorp became the business as usual funding vehicle for Citigroup’s operating material legal entities;
Citigroup will be obligated to continue to transfer Contributable Assets to Citicorp over time, subject to certain amounts retained by Citigroup to, among
 
other things, meet Citigroup’s near-term cash needs;
in the event of a Citigroup bankruptcy, Citigroup will be required to contribute most of its remaining assets to Citicorp; and


(iv)the obligations of both Citigroup and Citicorp under the Citi Support Agreement, as well as the Contributable Assets, are secured pursuant to a security agreement.


The Citi Support Agreement provides two mechanisms, besides Citicorp’s issuing of dividends to Citigroup, pursuant to which Citicorp will be required to transfer cash to Citigroup during business as usual so that Citigroup can fund its debt service as well as other operating needs: (i) one or more funding notes issued by Citicorp to Citigroup and (ii) a committed line of credit under which Citicorp may make loans to Citigroup.

On December 17, 2019, the FRB and FDIC issued feedback on the resolution plans filed on July 1, 2019 by the eight U.S. GSIBs, including Citi. The FRB and FDIC identified one shortcoming, but no deficiencies, in Citi’s resolution plan relating to governance mechanisms. Citi is required to submit a plan to address the shortcoming by March 31, 2020, which the FRB and FDIC will take into account in determining the scope of Citi’s targeted resolution plan due on July 1, 2021.

Total Loss-Absorbing Capacity(TLAC)
In 2016, the Federal Reserve Board released a final rule that imposesimposed minimum external loss-absorbing capacity (TLAC)TLAC and long-term debt (LTD) requirements on U.S. global systemically important bank holding companies (GSIBs), including Citi. The intended purposeCiti, effective as of the final rule is to facilitate the orderly resolution of U.S. GSIBs under the U.S. Bankruptcy Code and Title II of the Dodd-Frank Act. The effective date for all requirements under the final rule is January 1, 2019. While Citi believes that it meets the final minimum TLAC and LTD requirements as of December, 31, 2017, there are uncertainties regarding certain key aspects of the final rule. For additional information, see “Risk Factors—Compliance, Conduct and Legal Risks” above. For additional discussion of the method 1 and method 2 GSIB capital surcharge methodology, see “Capital Resources—Current Regulatory Capital Standards” above.
Under the Federal Reserve Board’s final rule,As a result, U.S. GSIBs will beare required to maintain minimum levels of TLAC and eligible LTD, each set by reference to the GSIB’s consolidated risk-weighted assets (RWA) and total leverage exposure, and as described further below. The intended purpose of the requirements is to facilitate the orderly resolution of U.S. GSIBs under the U.S. Bankruptcy Code and Title II of the Dodd-Frank Act. For additional information, including Citi’s TLAC and LTD amounts and ratios, see “Capital Resources�� Current Regulatory Capital Standards” and “Risk Factors—Compliance Risks” above.


Minimum TLAC Requirements
The minimum TLAC requirement is the greater of (i) 18% of the GSIB’s RWA plus the then-applicable RWA-based TLAC buffer (see below) and (ii) 7.5% of the GSIB’s total leverage exposure plus a leveraged-based TLAC buffer of 2% (i.e., 9.5%).
The RWA-based TLAC buffer equals the 2.5% capital conservation buffer, plus any applicable countercyclical capital buffer (currently 0%), plus the GSIB’s capital surcharge as determined under method 1 of the GSIB surcharge rule (2.0% for Citi as of January 1, 2018)for 2020). Accordingly, Citi estimates itsCiti’s total current minimum TLAC requirement is 22.5% of RWA under the final rule. Pursuant to the final rule, TLAC may generally only consistfor 2020.
As of December 31, 2019, Citi exceeded each of the GSIB’s (i) Common Equity Tier 1 Capital and Additional Tier 1 Capital issued directly by the bank holding company (excluding qualifying trust preferred securities) plus (ii) eligible LTD (as discussed below). Breachminimum TLAC requirements, with ratios of either the RWA-11.5% of TLAC

or leveraged-basedas a percentage of Total Leverage Exposure and 24.7% of TLAC buffer would result in restrictions on distributions and discretionary bonus payments.as a percentage of Standardized Approach RWA.


Minimum Eligible LTD Requirements
The minimum LTD requirement is the greater of (i) 6% of the GSIB’s RWA plus its capital surcharge as determined under method 2 of the GSIB surcharge rule (3.0% for Citi as of January 1, 2018)for 2020), for a total current requirement of 9% of RWA for Citi, and (ii) 4.5% of the GSIB’s total leverage exposure.
Generally, under the final rule, eligible LTD is defined as the unpaid principal balanceAs of unsecured, “plain vanilla” debt securities (i.e., would not include certainDecember 31, 2019, Citi exceeded each of Citi’s customer-related debt) issued directly by the bank holding company, governed by U.S. law, with a remaining maturity greater than one year and which provides for acceleration only upon the occurrence of insolvency or non-payment of principal or interest for 30 days or more. Further, pursuant to what has been referred to as the “haircut” provision, otherwise eligible LTD with a remaining maturity between one and two years is subject to a 50% haircut for purposes of meeting the minimum LTD requirement (although suchrequirements, with ratios of 10.9% of LTD would continue to count at full value for purposesas a percentage of Standardized Approach RWA and 5.1% of LTD as a percentage of Total Leverage Exposure.
For additional discussion of the minimum TLAC requirement; eligible LTD with a remaining maturity of less than one year would not count toward either the minimum TLAC or eligible LTD requirement). The final rule provides that debt issued prior to December 31, 2016 with acceleration provisions other than those summarized above or governed by non-U.S. law is permanently grandfatheredmethod 1 and may count as eligible LTD, assuming it otherwise meets the requirements of eligible LTD.method 2 GSIB capital surcharge methodologies, see “Capital Resources—Current Regulatory Capital Standards” above.


Clean Holding Company Requirements
The final rule prohibits or limits certain financial arrangements at the bank holding company level, or what are referred to as “clean holding company” requirements. Pursuant to these requirements, Citi, as the bank holding company, is prohibited from having certain types of third-party liabilities, including short-term debt, certain derivatives and other qualified financial contracts, liabilities guaranteed by a subsidiary (i.e., upstream guarantees) and guarantees of subsidiary liabilities or similar arrangements, if the liability or guarantee includes a default right linked to the insolvency of the bank holding company (i.e., downstream guarantees with cross default provisions). In addition, the final rule limits third-party, non-contingent liabilities of the bank holding company (other than those related to TLAC or eligible LTD) to 5% of the U.S. GSIB’s outstanding TLAC. Examples of the types of liabilities subject to this 5% limit include structured notes and various operating liabilities, such as rent and obligations to employees, as well as litigation and similar liabilities.

Secured Funding Transactions and Short-Term Borrowings
As referenced above, Citi supplements its primary sources of funding with short-term borrowings. Short-term borrowingsfinancings that generally include (i) secured funding transactions (securitiesconsisting of securities loaned or sold under agreements to repurchase, or repos)repos, and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants (see Note 17 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).participants.
Outside of secured funding transactions, Citi’s short-term borrowings increased both year-over-year (a 45% increase) and sequentially (a 17% increase), driven by an increase in FHLB borrowing, as Citi continued to optimize liquidity across its legal vehicles.


Secured Funding Transactions
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both (i) secured lending activity and (ii) a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which isare typically collateralized by foreign government debt securities. Generally, daily changes in the level of Citi’s secured funding are primarily due to fluctuations in secured lending activity in the matched book (as described below) and securities inventory.
Secured funding of $156$166 billion as of December 31, 2017 increased 10%2019 decreased 6% from the prior-year periodprior year and declined 3% sequentially.15% from the prior quarter. Excluding the impact of FX translation, secured funding increased 5%decreased 7% from the prior-year periodprior year and decreased 3% sequentially,17% from the prior quarter, both driven by normal business activity. Average balances for secured funding were approximately $163$188 billion for the quarter ended December 31, 2017.2019.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less-liquidless liquid securities, including equity securities, corporate bonds and asset-backed securities. Thesecurities, the tenor of Citi’s matched book liabilitieswhich is generally equal to or longer than the tenor of the corresponding matched book assets.
The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund securities inventory held in the context of market making and customer activities. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral and stipulating financing tenor.establishing minimum required funding tenors. The weighted average maturity of Citi’s secured funding of less-liquidless liquid securities inventory was greater than 110 days as of December 31, 2017.2019.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions.

Additionally, In addition, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.

Short-Term Borrowings
Citi’s short-term borrowings of $45 billion increased 39% year-over-year and 28% sequentially, primarily driven by an increase in FHLB advances as well as commercial paper issued out of the broker-dealer entities (see Note 17 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).



Overall Short-Term Borrowings
The following table contains the year-end, average and maximum month-end amounts for the following respective short-term borrowings categories at the end of each of the three prior fiscal years:
 
Federal funds purchased and securities sold under
agreements to repurchase
Short-term borrowings(1)
Commercial paper(2)
Other short-term borrowings(3)
In billions of dollars201720162015201720162015201720162015
Amounts outstanding at year end$156.3
$141.8
$146.5
$9.9
$10.0
$10.0
$34.5
$20.7
$11.1
Average outstanding during the year(4)(5)
157.7
158.1
174.5
10.0
10.0
10.7
23.2
14.8
22.2
Maximum month-end outstanding163.0
171.7
186.2
10.1
10.2
15.3
34.5
20.9
41.9
Weighted-average interest rate         
During the year(4)(5)(6)
1.69%1.21%0.92%1.27%0.80%0.36%2.81%2.32%1.40%
At year end(7)
1.02
0.63
0.59
1.28
0.79
0.22
1.62
1.39
1.50
  
Securities sold under
agreements to repurchase
Other borrowings(1)(2)
 
 In billions of dollars201920182017201920182017
 Amounts outstanding at year end$166.3
$177.8
$156.3
$93.7
$96.9
$105.8
 
Average outstanding during the year(3)(4)
190.2
172.1
157.7
98.8
108.4
97.7
 Maximum month-end outstanding196.8
191.2
163.0
105.8
113.5
112.3
 
Weighted average interest rate during the year(3)(4)(5)
3.29%2.84%1.69%2.49%2.04%1.08%


(1)Original maturities of less than one year.
(2)Substantially allOther borrowings include commercial paper, outstanding was issued by certain Citibank entities for the periods presented.
(3)Other short-term borrowings includebrokerage payables and borrowings from the FHLB and other market participants. See “Average Balances and Interest Rates” below.
(4)(3)Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(5)(4)Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to ASC 210-20-45; average rates exclude the impact of ASC 210-20-45.
(6)(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary correction in certain countries.
(7)Based on contractual rates at respective year ends; non-interest-bearing accounts are excluded from the weighted average interest rate calculated at year end.




Liquidity Monitoring and Measurement

Stress Testing
Liquidity stress testing is performed for each of Citi’s major entities, operating subsidiaries and/or countries. Stress testing and scenario analyses are intended to quantify the potential impact of an adverse liquidity event on the balance sheet and liquidity position, and to identify viable funding alternatives that can be utilized. These scenarios include assumptions about significant changes in key funding sources, market triggers (such as credit ratings), potential uses of funding and geopolitical and macroeconomic conditions. These conditions include expected and stressed market conditions as well as Company-specific events.
Liquidity stress tests are conducted to ascertain potential mismatches between liquidity sources and uses over a variety of time horizons and over different stressed conditions. Liquidity limits are set accordingly. To monitor the liquidity of an entity, these stress tests and potential mismatches are calculated with varying frequencies, with several tests performed daily.
Given the range of potential stresses, Citi maintains contingency funding plans on a consolidated basis and for individual entities. These plans specify a wide range of readily available actions for a variety of adverse market conditions or idiosyncratic stresses.

Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)
In addition to internal liquidity stress metrics that Citi has developed for a 30-day stress scenario, Citi also monitors its liquidity by reference to the LCR, as calculated pursuant to the U.S. LCR rules.
Generally, the LCR is designed to ensure that banks maintain an adequate level of HQLA to meet liquidity needs under an acute 30-day stress scenario. The LCR is calculated by dividing HQLA by estimated net outflows over a stressed 30-day period, with the net outflows determined by applying prescribed outflow factors to various categories of liabilities, such as deposits, unsecured and secured wholesale borrowings, unused lending commitments and derivatives-related exposures, partially offset by inflows from assets maturing within 30 days. Banks are required to calculate an add-on to address potential maturity mismatches between contractual cash outflows and inflows within the 30-day period in determining the total amount of net outflows. The minimum LCR requirement is 100%, effective January 2017.
Pursuant to the Federal Reserve Board’s final rule regarding LCR disclosures, effective April 1, 2017, Citi began to disclose LCR in the prescribed format.
The table below sets forth the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:
In billions of dollarsDec. 31, 2017Sept. 30, 2017Dec. 31, 2016
HQLA$446.4
$448.6
$403.7
Net outflows364.3
365.1
332.5
LCR123%123%121%
HQLA in excess of net outflows$82.1
$83.5
$71.3

Note: Amounts set forth in the table above are presented on an average basis.

As set forth in the table above, Citi’s LCR increased year-over-year, as the increase in the HQLA (as discussed above) more than offset an increase in modeled net outflows. The increase in modeled net outflows was primarily driven by changes in assumptions, including changes in methodology to better align Citi’s outflow assumptions with those embedded in its resolution planning. Sequentially, Citi’s LCR remained unchanged.

Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
In 2016, the Federal Reserve Board, the FDIC and the OCC issued a proposed rule to implement the Basel III NSFR requirement.
The U.S.-proposed NSFR is largely consistent with the Basel Committee’s final NSFR rules. In general, the NSFR assesses the availability of a bank’s stable funding against a required level. A bank’s available stable funding would include portions of equity, deposits and long-term debt, while its required stable funding would be based on the liquidity characteristics of its assets, derivatives and commitments. Prescribed factors would be required to be applied to the various categories of asset and liabilities classes. The ratio of available stable funding to required stable funding would be required to be greater than 100%. While Citi believes that it is compliant with the proposed U.S. NSFR rules as of December 31, 2017, it will need to evaluate a final version of the rules, which are expected to be released during 2018. Citi expects that the NSFR final rules implementation period will be communicated along with the final version of the rules.

Credit Ratings
Citigroup’s funding and liquidity, funding capacity, ability to access capital markets and other sources of funds, the cost of these funds and its ability to maintain certain deposits are partially dependent on its credit ratings.
The table below sets forthshows the ratings for Citigroup and Citibank as of December 31, 2017.2019. While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Holding Inc. (CGMI)(CGMHI) were “A2/P-1” at Moody’s, “A+BBB+/A-1”A-2 at Standard & Poor’s and “A+/F1”A/F1 at Fitch as of December 31, 2017. The long-term and short-term ratings of CGMHI were “BBB+/A-2” at Standard & Poor’s and “A/F1” at Fitch2019.

Ratings as of December 31, 2017.
.
2019
 Citigroup Inc.Citibank, N.A.
 
Senior
debt
Commercial
paper
Outlook
Long-
term
Short-
term
Outlook
Fitch Ratings (Fitch)AF1StableA+F1Stable
Moody’s Investors Service (Moody’s)Baa1A3P-2PositiveStableA1Aa3P-1PositiveStable
Standard & Poor’s (S&P)BBB+A-2StableA+A-1Stable

Recent Credit Rating Developments
As of November 14, 2017, Moody's Investors Service has placed Citi on "Positive" outlook, citing Citi’s durable business model with a narrower geographic footprint and refined customer base targets, and the ability to demonstrate a strengthened risk asset profile as well as improved earnings stability.


Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including derivativesderivative triggers, which could take the form of cash obligations and collateral requirements.
The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank of a hypothetical, simultaneous
ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and markets counterparties could re-evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors—Liquidity Risks” above.



 Citigroup Inc. and Citibank—Potential Derivative Triggers
As of December 31, 2017,2019, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.8$0.5 billion, compared to $1.0$0.3 billion as of September 30, 2017.2019. Other funding sources, such as securitiessecured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.


As of December 31, 2017,2019, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity by approximately $0.4$0.3 billion, compared to $0.5$0.7 billion as of September 30, 2017, due to derivative triggers.2019.
In total, as of December 31, 2019, Citi estimates that a one-notch downgrade of Citigroup and Citibank across all three major rating agencies could result in increased aggregate cash obligations and collateral requirements of approximately $1.2$0.8 billion, compared to $1.5$1.0 billion as of September 30, 20172019 (see also Note 22 to the Consolidated Financial Statements). As set forthdetailed under “High-Quality Liquid Assets” above, the liquidity resources that are eligible for inclusion in the calculation of CitibankCiti’s consolidated HQLA were approximately $369$385 billion for Citibank and the liquidity resources of$53 billion for Citi’s non-bank and other entities, were approximately $77 billion, for a total of approximately $446$438 billion as of December 31, 2017.2019. These liquidity resources are available in part as a contingency for the potential events described above.

In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating

actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.


Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential one-notch downgrade of Citibank’s senior debt/long-term rating by S&Pacross any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of December 31, 2017,2019, Citibank had liquidity commitments of approximately $9.9$10.2 billion to consolidated asset-backed commercial paper conduits, compared to $10.0 billion as of September 30, 20172019 (as referenced in Note 21 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank and Citibanamex entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.




MARKET RISK


Overview
Market risk is the potential for losses arising from changes in the value of Citi’s assets and liabilities resulting from changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices and credit spreads, as well as their implied volatilities. Market risk emanates from both Citi’s trading and non-trading portfolios. For additional information on market risk, see “Risk Factors” above.
Each business is required to establish, with approval from Citi’s market risk management, a market risk limit framework for identified risk factors that clearly defines approved risk profiles and is within the parameters of Citi’s overall risk appetite. These limits are monitored by the Risk organization, Citi’s country and business Asset and Liability Committees and the Citigroup Asset and Liability Committee. In all cases, the businesses are ultimately responsible for the market risks taken and for remaining within their defined limits.
Market risk emanates from both Citi’s trading and non-trading portfolios. Trading portfolios comprise all assets and liabilities marked-to-market, with results reflected in earnings. Non-trading portfolios include all other assets and liabilities.


Market Risk of Non-Trading Portfolios
Market risk from non-trading portfolios stems from the potential impact of changes in interest rates and foreign exchange rates on Citi’s net interest revenues, the changes in Accumulatedother comprehensive income (loss) (AOCI) from its investmentdebt securities portfolios and capital invested in foreign currencies.


Net Interest Revenue at Risk
Net interest revenue, for interest rate exposure purposes, is the difference between the yield earned on the non-trading portfolio assets (including customer loans) and the rate paid on the liabilities (including customer deposits or company borrowings). Net interest revenue is affected by changes in the level of interest rates, as well as the amounts and mix of assets and liabilities, and the timing of contractual and assumed repricing of assets and liabilities to reflect market rates.
Citi’s principal measure of risk to net interest revenue is interest rate exposure (IRE). IRE measures the change in expected net interest revenue in each currency resulting solely from unanticipated changes in forward interest rates.
Citi’s estimated IRE incorporates various assumptions including prepayment rates on loans, customer behavior and the impact of pricing decisions. For example, in rising interest rate scenarios, portions of the deposit portfolio may be assumed to experience rate increases that are less than the change in market interest rates. In declining interest rate scenarios, it is assumed that mortgage portfolios experience higher prepayment rates. Citi’s estimated IRE below assumes that its businesses and/or Citi Treasury make no additional changes in balances or positioning in response to the unanticipated rate changes.
In order to manage changes in interest rates effectively, Citi may modify pricing on new customer loans and deposits, purchase fixed-rate securities, issue debt that is either fixed or floating or enter into derivative transactions that have the opposite risk exposures. Citi regularly assesses the viability of these and other strategies to reduce its interest rate risks and
 
implements such strategies when it believes those actions are prudent.
Citi manages interest rate risk as a consolidated company-wideCompany-wide position. Citi’s client-facing businesses create interest-rate sensitiveinterest rate-sensitive positions, including loans and deposits, as part of their ongoing activities. Citi Treasury aggregates these risk positions and manages them centrally. Operating within established limits, Citi Treasury makes positioning decisions and uses tools, such as Citi’s investment securities portfolio, company-issued debt and interest rate derivatives, to target the desired risk profile. Changes in Citi’s interest rate risk position reflect the accumulated changes in all non-trading assets and liabilities, with potentially large and offsetting impacts, as well as in Citi Treasury’s positioning decisions.
Citigroup employs additional measurements, including stress testing the impact of non-linear interest rate movements on the value of the balance sheet;sheet, and the analysis of portfolio duration and volatility, particularly as they relate to mortgage loans and mortgage-backed securities;securities and the potential impact of the change in the spread between different market indices.


Interest Rate Risk of Investment Portfolios—Impact
on AOCI
Citi also measures the potential impacts of changes in interest rates on the value of its AOCI, which can in turn impact Citi’s common equity and tangible common equity. This will impact Citi’s Common Equity Tier 1 and other regulatory capital ratios. Citi’s goal is to benefit from an increase in the market level of interest rates, while limiting the impact of changes in AOCI on its regulatory capital position.
AOCI at risk is managed as part of the company-wideCompany-wide interest rate risk position. AOCI at risk considers potential changes in AOCI (and the corresponding impact on the Common Equity Tier 1 Capital ratio) relative to Citi’s capital generation capacity.



The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 bpsbasis point (bps) increase in interest rates:
In millions of dollars (unless otherwise noted)Dec. 31, 2017Sept. 30, 2017Dec. 31, 2016
In millions of dollars, except as otherwise notedDec. 31, 2019Sept. 30, 2019Dec. 31, 2018
Estimated annualized impact to net interest revenue      
U.S. dollar(1)
$1,471
$1,449
$1,586
$20
$292
$758
All other currencies598
610
550
606
605
661
Total$2,069
$2,059
$2,136
$626
$897
$1,419
As a percentage of average interest-earning assets0.12%0.12%0.13%0.03%0.05%0.08%
Estimated initial impact to AOCI (after-tax)(3)(2)
$(4,853)$(4,206)$(4,617)$(5,002)$(4,055)$(3,920)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(35)(48)(53)(31)(24)(28)
(1)Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest revenue in the table, since these exposures are managed economically in combination with mark-to-market positions. The U.S. dollar interest rate exposure associated with these businesses was $(182)$(240) million for a 100 bps instantaneous increase in interest rates as of December 31, 2017.2019.
(2)
Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
(3)Results as of December 31, 2017 reflect the impact of Tax Reform, including the lower expected effective tax rate and the impact to Citi’s DTA position. Prior periods have not been restated. The estimated initial impact on Common Equity Tier I Capital ratio (bps) is calculated on a pre-tax basis prior to December 31, 2017.


The 2017year-over-year decrease in the estimated impact to net interest revenue primarily reflected changes in Citi’s balance sheet composition including increases in loan balances and increased sensitivity in deposits, net of Citi Treasury positioning. The 2017year-over-year changes in the estimated impact to AOCI and the Common Equity Tier 1 Capital ratio primarily reflected the impact of Tax Reform, including the lower expected effective tax rate and the impact to Citi’s DTA position, net of changes in the composition of Citi Treasury’s investment and derivatives portfolio.
In the event of an unanticipated parallel instantaneous 100 bps increase in interest rates, Citi expects that the negative impact to AOCI would be offset in shareholders’ equity through the combination of expected incremental net interest
 
revenue and the expected recovery of the impact on AOCI through accretion of Citi’s investment portfolio over a period of time. As of December 31, 2017,2019, Citi expects that the negative $4.9$5.0 billion impact to AOCI in such a scenario could potentially be offset over approximately 2137 months.
The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis) under fourfive different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies. While Citi also monitors the impact of a parallel decrease in interest rates, a 100 bps decrease in short-term rates is not meaningful, as it would imply negative interest rates in many of Citi’s markets.currencies:
In millions of dollars (unless otherwise noted)Scenario 1Scenario 2Scenario 3Scenario 4
In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 4Scenario 5
Overnight rate change (bps)100
100
—
—
100
100
—
—
(100)
10-year rate change (bps)100
—
100
(100)100
—
100
(100)(100)
Estimated annualized impact to net interest revenue
  
U.S. dollar$1,471
$1,377
$86
$(102)$20
$92
$39
$(93)$(363)
All other currencies598
558
35
(35)606
558
34
(34)(411)
Total$2,069
$1,935
$121
$(137)$626
$650
$73
$(127)$(774)
Estimated initial impact to AOCI (after-tax)(1)
$(4,853)$(3,046)$(2,010)$1,484
$(5,002)$(3,230)$(1,944)$1,570
$4,389
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2)
(35)(22)(15)11
(31)(20)(13)9
26
Note: Each scenario in the table above assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated.
(1)
Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
(2)Results as of December 31, 2017 reflect the impact of Tax Reform, including the lower expected effective tax rate and the impact to Citi’s DTA position.

As shown in the table above, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under scenario 2 as compared to scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shortershorter- and intermediate termintermediate-term maturities.



Changes in Foreign Exchange Rates—Impacts on AOCI
and Capital
As of December 31, 2017,2019, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.6$1.5 billion, or 1.0%1%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro, Australian dollar and the British pound sterling.Indian rupee.
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
 
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 19 to the Consolidated Financial Statements.
For the quarter endedFor the quarter ended
In millions of dollars (unless otherwise noted)Dec. 31, 2017Sept. 30, 2017Dec. 31, 2016
In millions of dollars, except as otherwise notedDec. 31, 2019Sept. 30, 2019Dec. 31, 2018
Change in FX spot rate(1)
(1.2)%1.1%(5.2)%2.8%(3.0)%(1.6)%
Change in TCE due to FX translation, net of hedges$(498)$222
$(1,668)$659
$(1,192)$(491)
As a percentage of TCE(0.3)%0.1%(0.9)%0.4%(0.8)%(0.3)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
to changes in FX translation, net of hedges (bps)
(5)(3)—
(3)(1)(1)


(1)FX spot rate change is a weighted average based uponon Citi’s quarterly average GAAP capital exposure to foreign countries.






Interest Revenue/Expense and Net Interest Margin (NIM)
a4qchartforwdeska02.jpg
In millions of dollars, except as otherwise noted2017 2016 2015 Change 
 2017 vs. 2016		 Change 
 2016 vs. 2015		 2019 2018 2017 Change 
 2019 vs. 2018		 Change 
 2018 vs. 2017		 
Interest revenue(1)
$61,700
 $58,077
 $59,040
 6 % (2)% $76,718
 $71,082
 $62,075
 8% 15% 
Interest expense (2)
16,517
 12,511
 11,921
 32
 5
 29,163
 24,266
 16,518
 20
 47
 
Net interest revenue$45,183
 $45,566
 $47,119
 (1)% (3)% 
Net interest revenue, taxable equivalent basis$47,555
 $46,816
 $45,557
 2% 3% 
Interest revenue—average rate(3)3.69% 3.64% 3.68% 5
bps(4)bps4.27% 4.08% 3.71% 19
bps37
bps
Interest expense—average rate1.28
 1.03
 0.95
 25
bps8
bps2.01
 1.77
 1.28
 24
bps49
bps
Net interest margin (3)(4)
2.70
 2.86
 2.93
 (16)bps(7)bps2.65
 2.69
 2.73
 (4)bps(4)bps
Interest rate benchmarks                    
Two-year U.S. Treasury note—average rate1.40% 0.83% 0.69% 57
bps14
bps1.97% 2.53% 1.40% (56)bps113
bps
10-year U.S. Treasury note—average rate2.33
 1.83
 2.14
 50
bps(31)bps2.14
 2.91
 2.33
 (77)bps58
bps
10-year vs. two-year spread93
bps100
bps145
bps 
   17
bps38
bps93
bps 
   


Note: All interest expense amounts include FDIC, as well as other similar deposit insurance assessments.assessments outside of the U.S. As of the fourth quarter of 2018, Citi’s FDIC surcharge was eliminated (approximately $130 million per quarter).
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax raterates of 21% in 2019 and 2018 and 35%) in 2017) of $208 million, $254 million and $496 million $462 millionfor 2019, 2018 and $489 million for 2017, 2016 and 2015, respectively.
(2)
Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together
with any changes in fair value as part of Principal transactions in the Consolidated StatementsStatement of Income and is therefore not reflected in Interest expense in the
table above.
(3)
(3)The average rate on interest revenue and net interest margin reflects the taxable equivalent gross-up adjustment. See footnote 1 on “Average Balances and Interest Rates—Assets” below.
(4)Citi’s net interest margin (NIM) is calculated by dividing net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest-earning assets.


Net Interest Revenue Excluding ICG Markets
In millions of dollars201920182017
Net interest revenue—taxable equivalent basis(1) per above
$47,555
$46,816
$45,557
ICG Markets net interest revenue—taxable equivalent basis(1)
4,372
4,506
5,741
Net interest revenue excluding ICG Markets—taxable equivalent basis(1)
$43,183
$42,310
$39,816

(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rates of 21% in 2019 and 2018 and 35% in 2017) of $208 million, $254 million and $496 million for 2019, 2018 and 2017, respectively.

Citi’s net interest revenue in the fourth quarter of 2017 remained largely unchanged versus the prior-year period at $11.22019 increased 1% to $12.0 billion ($11.4(also $12.0 billion on a taxable equivalent basis). versus the prior-year period. Excluding the impact of FX translation, Citi’s net interest revenue was down slightly versus the prior-year period (down $50 million)also increased 1%, or approximately $70 million, as higher core accrualgrowth in ICG Markets (fixed income markets and equity markets) net interest revenue ($10.4 billion, up approximately 5%of 21%, or $0.5 billion)$210 million, was partially offset by lower trading-relateda 1% decline, or $150 million, in net interest revenue ($0.5 billion, down approximately 46% or $0.4 billion) and lower net interest revenue associated with legacy assets in Corporate/Other ($0.3 billion, down approximately 34% or $0.1 billion).ex-markets. The increase in core accrualmarkets net interest revenue was driven mainly by ongoing changes in the benefitcomposition and mix of the December 2016, March 2017 and June 2017 interest rate increases and volume growth.
Citi’sbusiness’s revenues between net interest revenue for the full-year remained largely unchanged versus the prior-year at $44.7 billion ($45.2 billion on a taxable equivalent basis). Excluding the impact of FX translation, Citi’sand non-interest revenue. The decline in net interest revenue declined by approximately $0.5 billion, as higher core accrual net interest revenue (approximately $40.5 billion, up 5%, or $2.0 billion) was offset by lower trading-related net interest revenue (approximately $2.9 billion, down 37%, or $1.7 billion), largely driven by higher wholesale funding costs, and lower net interest revenue associated with legacy assets in Corporate/Other (approximately $1.2 billion, down 40%, or $0.8 billion). The increase in core accrual net interest revenueex-markets was primarily due to the benefitimpact of lower interest rates, partially offset by growth in the interest rate increases and volume growth.

non-markets franchise. Citi’s NIM was 2.63% on a taxable equivalent basis in the fourth quarter of 2017, a decrease2019, an increase of 9 bps7 basis points (bps) from the thirdprior quarter, primarily driven by the higher markets net interest revenue, partially offset by the impact of 2017, driven primarily by lower trading-related NIM.interest rates.

Citi’s net interest revenue for the full year 2019 increased 2% to $47.3 billion ($47.6 billion on a taxable equivalent basis) versus the prior year. Excluding the impact of FX translation, Citi’s net interest revenue increased 3%, or approximately $1.4 billion, mainly reflecting strength in Citi-branded cards in North America GCB and treasury and trade solutions, including the impact of volume growth as well as interest rates. On a full-year basis, Citi’s NIM was 2.70%2.65% on a taxable equivalent basis, compared to 2.86%2.69% in 2016, a decrease of 16 bps.2018. Citi’s full-year core accrual NIM was 3.45%, a decline of 5 bps from the prior year, as higher core accrualmarkets and non-markets net interest revenue was more than offset by balance sheet growth. (Citi’s core accrual net interest revenue and core accrual NIMrevenues are non-GAAP financial measures. Citi reviews non-markets net interest revenue to assess the performance of its lending, investing and deposit-raising activities. Citi believes these measures providedisclosure of this metric assists in providing a more meaningful depiction for investors of the underlying fundamentals of its business results.)non-markets businesses.






Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)(4) 
Taxable Equivalent Basis
Average volumeInterest revenue% Average rateAverage volumeInterest revenue% Average rate
In millions of dollars, except rates201720162015201720162015201720162015201920182017201920182017201920182017
Assets              
Deposits with banks(5)(4)
$169,385
$131,925
$133,853
$1,635
$971
$727
0.97%0.74%0.54%$188,523
$177,294
$169,385
$2,682
$2,203
$1,635
1.42%1.24%0.97%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)
       
Securities borrowed and purchased under agreements to resell(5)
       
In U.S. offices$141,308
$147,734
$150,340
$1,922
$1,483
$1,215
1.36%1.00%0.81%$146,030
$149,879
$141,308
$4,752
$3,818
$1,922
3.25%2.55%1.36%
In offices outside the U.S.(5)
106,605
85,142
84,013
1,326
1,060
1,301
1.24
1.24
1.55
In offices outside the U.S.(4)
119,550
117,695
106,606
2,133
1,674
1,327
1.78
1.42
1.24
Total$247,913
$232,876
$234,353
$3,248
$2,543
$2,516
1.31%1.09%1.07%$265,580
$267,574
$247,914
$6,885
$5,492
$3,249
2.59%2.05%1.31%
Trading account assets(8)(7)
            
In U.S. offices$99,755
$103,610
$113,475
$3,531
$3,791
$3,945
3.54%3.66%3.48%$109,064
$94,065
$99,755
$4,099
$3,706
$3,531
3.76%3.94%3.54%
In offices outside the U.S.(5)
104,196
94,603
96,333
2,117
2,095
2,140
2.03
2.21
2.22
In offices outside the U.S.(4)
131,217
115,601
104,197
3,589
2,615
2,117
2.74
2.26
2.03
Total$203,951
$198,213
$209,808
$5,648
$5,886
$6,085
2.77%2.97%2.90%$240,281
$209,666
$203,952
$7,688
$6,321
$5,648
3.20%3.01%2.77%
Investments              
In U.S. offices            
Taxable$226,227
$225,764
$214,683
$4,450
$3,980
$3,812
1.97%1.76%1.78%$221,895
$228,686
$226,227
$5,162
$5,331
$4,450
2.33%2.33%1.97%
Exempt from U.S. income tax18,152
19,079
20,034
775
693
443
4.27
3.63
2.21
15,227
17,199
18,152
577
706
775
3.79
4.10
4.27
In offices outside the U.S.(5)
106,040
106,159
102,374
3,309
3,157
3,071
3.12
2.97
3.00
In offices outside the U.S.(4)
117,529
104,033
106,040
4,222
3,600
3,309
3.59
3.46
3.12
Total$350,419
$351,002
$337,091
$8,534
$7,830
$7,326
2.44%2.23%2.17%$354,651
$349,918
$350,419
$9,961
$9,637
$8,534
2.81%2.75%2.44%
Loans (net of unearned income)(9)(8)
              
In U.S. offices$371,711
$360,957
$354,434
$25,943
$24,240
$25,082
6.98%6.72%7.08%$395,792
$385,350
$371,711
$30,563
$28,627
$25,944
7.72%7.43%6.98%
In offices outside the U.S.(5)
267,774
262,715
273,064
15,529
15,578
15,465
5.80
5.93
5.66
In offices outside the U.S.(4)
288,319
285,505
267,774
17,266
17,129
15,904
5.99
6.00
5.94
Total$639,485
$623,672
$627,498
$41,472
$39,818
$40,547
6.49%6.38%6.46%$684,111
$670,855
$639,485
$47,829
$45,756
$41,848
6.99%6.82%6.54%
Other interest-earning assets(10)
$60,628
$56,398
$63,209
$1,163
$1,029
$1,839
1.92%1.82%2.91%
Other interest-earning assets(9)
$64,322
$67,269
$60,626
$1,673
$1,673
$1,161
2.60%2.49%1.92%
Total interest-earning assets$1,671,781
$1,594,086
$1,605,812
$61,700
$58,077
$59,040
3.69%3.64%3.68%$1,797,468
$1,742,576
$1,671,781
$76,718
$71,082
$62,075
4.27%4.08%3.71%
Non-interest-earning assets(7)(6)
$203,657
$214,642
$218,025
      $181,341
$177,654
$203,657
      
Total assets$1,875,438
$1,808,728
$1,823,837
    $1,978,809
$1,920,230
$1,875,438
    
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax raterates of 21% in 2019 and 2018 and 35%) in 2017) of $208 million, $254 million and $496 million $462 millionfor 2019, 2018 and $489 million for 2017, 2016 and 2015, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)(5)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(7)(6)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(8)(7)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)(8)Includes cash-basis loans.
(10)(9)Includes brokerage receivables.

Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)(4) 
Taxable Equivalent Basis
Average volumeInterest expense% Average rateAverage volumeInterest expense% Average rate
In millions of dollars, except rates201720162015201720162015201720162015201920182017201920182017201920182017
Liabilities                
Deposits              
In U.S. offices(5)(4)
$313,094
$288,817
$273,135
$2,530
$1,630
$1,291
0.81%0.56%0.47%$388,948
$338,060
$313,094
$6,304
$4,500
$2,530
1.62%1.33%0.81%
In offices outside the U.S.(6)
436,949
429,608
425,086
4,056
3,670
3,761
0.93
0.85
0.88
In offices outside the U.S.(5)
487,318
453,793
436,949
6,329
5,116
4,057
1.30
1.13
0.93
Total$750,043
$718,425
$698,221
$6,586
$5,300
$5,052
0.88%0.74%0.72%$876,266
$791,853
$750,043
$12,633
$9,616
$6,587
1.44%1.21%0.88%
Federal funds purchased and securities loaned or sold under agreements to repurchase(7)
      
Securities loaned and sold under agreements to repurchase(6)
      
In U.S. offices$96,258
$100,472
$108,320
$1,574
$1,024
$614
1.64%1.02%0.57%$112,876
$102,843
$96,258
$4,194
$3,320
$1,574
3.72%3.23%1.64%
In offices outside the U.S.(6)
61,434
57,588
66,197
1,087
888
998
1.77
1.54
1.51
In offices outside the U.S.(5)
77,283
69,264
61,434
2,069
1,569
1,087
2.68
2.27
1.77
Total$157,692
$158,060
$174,517
$2,661
$1,912
$1,612
1.69%1.21%0.92%$190,159
$172,107
$157,692
$6,263
$4,889
$2,661
3.29%2.84%1.69%
Trading account liabilities(9)(8)
            
In U.S. offices$33,399
$29,481
$24,711
$380
$242
$107
1.14%0.82%0.43%$37,099
$37,305
$33,399
$818
$612
$380
2.20%1.64%1.14%
In offices outside the U.S.(6)
57,149
44,669
45,252
258
168
110
0.45
0.38
0.24
In offices outside the U.S.(5)
51,817
58,919
57,149
490
389
258
0.95
0.66
0.45
Total$90,548
$74,150
$69,963
$638
$410
$217
0.70%0.55%0.31%$88,916
$96,224
$90,548
$1,308
$1,001
$638
1.47%1.04%0.70%
Short-term borrowings(10)
      
Short-term borrowings(9)
      
In U.S. offices$74,825
$61,015
$64,973
$684
$202
$224
0.91%0.33%0.34%$78,230
$85,009
$74,825
$2,138
$1,885
$684
2.73%2.22%0.91%
In offices outside the U.S.(6)
22,837
19,184
50,803
375
275
299
1.64
1.43
0.59
In offices outside the U.S.(5)
20,575
23,402
22,837
327
324
375
1.59
1.38
1.64
Total$97,662
$80,199
$115,776
$1,059
$477
$523
1.08%0.59%0.45%$98,805
$108,411
$97,662
$2,465
$2,209
$1,059
2.49%2.04%1.08%
Long-term debt(11)
       
Long-term debt(10)
       
In U.S. offices$192,079
$175,342
$182,347
$5,382
$4,179
$4,308
2.80%2.38%2.36%$193,972
$197,933
$192,079
$6,398
$6,386
$5,382
3.30%3.23%2.80%
In offices outside the U.S.(6)
4,615
6,426
7,642
191
233
209
4.14
3.63
2.73
In offices outside the U.S.(5)
4,803
4,895
4,615
96
165
191
2.00
3.37
4.14
Total$196,694
$181,768
$189,989
$5,573
$4,412
$4,517
2.83%2.43%2.38%$198,775
$202,828
$196,694
$6,494
$6,551
$5,573
3.27%3.23%2.83%
Total interest-bearing liabilities$1,292,639
$1,212,602
$1,248,466
$16,517
$12,511
$11,921
1.28%1.03%0.95%$1,452,921
$1,371,423
$1,292,639
$29,163
$24,266
$16,518
2.01%1.77%1.28%
Demand deposits in U.S. offices$37,824
$38,120
$26,144
    $27,737
$33,398
$37,824
    
Other non-interest-bearing liabilities(8)(7)
316,379
328,822
330,037
    301,813
315,862
316,129
    
Total liabilities$1,646,842
$1,579,544
$1,604,647
    $1,782,471
$1,720,683
$1,646,592
    
Citigroup stockholders’ equity(12)
$227,599
$228,065
$217,875
    
Noncontrolling interest997
1,119
1,315
    
Total equity(12)
$228,596
$229,184
$219,190
    
Citigroup stockholders’ equity$195,632
$198,681
$227,849
    
Noncontrolling interests706
866
997
    
Total equity$196,338
$199,547
$228,846
    
Total liabilities and stockholders’ equity$1,875,438
$1,808,728
$1,823,837
    $1,978,809
$1,920,230
$1,875,438
    
Net interest revenue as a percentage of average interest-earning assets(13)
       
Net interest revenue as a percentage of average interest-earning assets(11)
       
In U.S. offices$967,752
$944,893
$931,258
$27,551
$27,929
$28,492
2.85%2.96%3.06%$1,017,021
$992,543
$970,439
$28,466
$28,157
$27,551
2.80%2.84%2.84%
In offices outside the U.S.(6)
704,029
649,193
674,554
17,632
17,637
18,627
2.50
2.72
2.76
780,447
750,033
701,342
19,089
18,659
18,006
2.45
2.49
2.57
Total$1,671,781
$1,594,086
$1,605,812
$45,183
$45,566
$47,119
2.70%2.86%2.93%$1,797,468
$1,742,576
$1,671,781
$47,555
$46,816
$45,557
2.65%2.69%2.73%
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax raterates of 21% in 2019 and 2018 and 35%) in 2017) of $208 million, $254 million and $496 million $462 millionfor 2019, 2018 and $489 million for 2017, 2016 and 2015, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
(6)(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(7)(6)
Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of ASC 210-20-45.
(8)(7)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(9)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenueIncludes Brokerage payables.Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(10)Includes brokerage payables.
(11)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as these obligations are accounted for inthe changes in fair value for these obligations are recorded in Principal transactions.
(12)Includes stockholders’ equity from discontinued operations.
(13)(11)Includes allocations for capital and funding costs based on the location of the asset.


Analysis of Changes in Interest Revenue(1)(2)(3) 
2017 vs. 20162016 vs. 20152019 vs. 20182018 vs. 2017
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits with banks(4)(3)
$317
$347
$664
$(11)$255
$244
$146
$333
$479
$79
$489
$568
Federal funds sold and securities borrowed or
purchased under agreements to resell
   
Securities borrowed and purchased under agreements to resell   
In U.S. offices$(67)$506
$439
$(21)$289
$268
$(100)$1,034
$934
$123
$1,773
$1,896
In offices outside the U.S.(4)
267
(1)266
17
(258)(241)
In offices outside the U.S.(3)
27
432
459
146
201
347
Total$200
$505
$705
$(4)$31
$27
$(73)$1,466
$1,393
$269
$1,974
$2,243
Trading account assets(5)(4)
      
In U.S. offices$(139)$(121)$(260)$(354)$200
$(154)$570
$(177)$393
$(209)$384
$175
In offices outside the U.S.(4)
203
(181)22
(38)(7)(45)
In offices outside the U.S.(3)
382
592
974
245
253
498
Total$64
$(302)$(238)$(392)$193
$(199)$952
$415
$1,367
$36
$637
$673
Investments(1)
      
In U.S. offices$(9)$561
$552
$188
$230
$418
$(213)$(85)$(298)$32
$780
$812
In offices outside the U.S.(4)
(4)156
152
113
(27)86
In offices outside the U.S.(3)
481
141
622
(64)355
291
Total$(13)$717
$704
$301
$203
$504
$268
$56
$324
$(32)$1,135
$1,103
Loans (net of unearned income)(6)(5)
      
In U.S. offices$734
$969
$1,703
$455
$(1,297)$(842)$789
$1,149
$1,938
$974
$1,709
$2,683
In offices outside the U.S.(4)
297
(346)(49)(598)711
113
In offices outside the U.S.(3)
169
(34)135
1,062
163
1,225
Total$1,031
$623
$1,654
$(143)$(586)$(729)$958
$1,115
$2,073
$2,036
$1,872
$3,908
Other interest-earning assets(7)(6)
$80
$54
$134
$(182)$(628)$(810)$(75)$75
$—
$137
$375
$512
Total interest revenue$1,679
$1,944
$3,623
$(431)$(532)$(963)$2,176
$3,460
$5,636
$2,525
$6,482
$9,007
(1)The taxable equivalent adjustment isadjustments related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax raterates of 21% in 2019 and 2018 and 35% and isin 2017, are included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)(5)Includes cash-basis loans.
(7)(6)
Includes brokerage receivables.Brokerage receivables.

Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3) 
2017 vs. 20162016 vs. 20152019 vs. 20182018 vs. 2017
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits      
In U.S. offices$147
$753
$900
$77
$262
$339
$738
$1,066
$1,804
$216
$1,754
$1,970
In offices outside the U.S.(4)
64
322
386
40
(131)(91)
In offices outside the U.S.(3)
397
816
1,213
162
897
1,059
Total$211
$1,075
$1,286
$117
$131
$248
$1,135
$1,882
$3,017
$378
$2,651
$3,029
Federal funds purchased and securities loaned or
sold under agreements to repurchase
    
Securities loaned and sold under agreements to repurchase    
In U.S. offices$(45)$595
$550
$(47)$457
$410
$343
$531
$874
$115
$1,631
$1,746
In offices outside the U.S.(4)
62
137
199
(132)22
(110)
In offices outside the U.S.(3)
194
306
500
151
331
482
Total$17
$732
$749
$(179)$479
$300
$537
$837
$1,374
$266
$1,962
$2,228
Trading account liabilities(5)(4)
      
In U.S. offices$35
$103
$138
$24
$111
$135
$(3)$209
$206
$49
$183
$232
In offices outside the U.S.(4)
52
38
90
(1)59
58
In offices outside the U.S.(3)
(51)152
101
8
123
131
Total$87
$141
$228
$23
$170
$193
$(54)$361
$307
$57
$306
$363
Short-term borrowings(6)(5)
      
In U.S. offices$55
$427
$482
$(13)$(9)$(22)$(159)$412
$253
$105
$1,096
$1,201
In offices outside the U.S.(4)
57
43
100
(267)243
(24)
In offices outside the U.S.(3)
(42)45
3
9
(60)(51)
Total$112
$470
$582
$(280)$234
$(46)$(201)$457
$256
$114
$1,036
$1,150
Long-term debt      
In U.S. offices$424
$779
$1,203
$(167)$38
$(129)$(129)$141
$12
$168
$836
$1,004
In offices outside the U.S.(4)
(72)30
(42)(37)61
24
In offices outside the U.S.(3)
(3)(66)(69)11
(37)(26)
Total$352
$809
$1,161
$(204)$99
$(105)$(132)$75
$(57)$179
$799
$978
Total interest expense$779
$3,227
$4,006
$(523)$1,113
$590
$1,285
$3,612
$4,897
$994
$6,754
$7,748
Net interest revenue$900
$(1,283)$(383)$92
$(1,645)$(1,553)$891
$(152)$739
$1,531
$(272)$1,259
(1)The taxable equivalent adjustment isadjustments related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax raterates of 21% in 2019 and 2018 and 35% and isin 2017, are included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)(5)
Includes brokerage payables.Brokerage payables.




Market Risk of Trading Portfolios
Trading portfolios include positions resulting from market makingmarket-making activities, hedges of certain available-for-sale (AFS) debt securities, the CVA relating to derivative counterparties and all associated hedges, fair value option loans and hedges toof the loan portfolio and the leverage finance pipeline within capital markets origination within ICG.
The market risk of Citi’s trading portfolios is monitored using a combination of quantitative and qualitative measures, including, but not limited to:


factor sensitivities;
value at risk (VAR); and
stress testing.


Each trading portfolio across Citi’s businesses has its own market risk limit framework encompassing these measures and other controls, including trading mandates, permittednew product
 
approval, permitted product lists and a new productpre-trade approval process for larger, more complex products.and less liquid transactions.
The following chart of total daily trading-related revenue (loss) captures trading volatility and shows the number of days in which revenues for Citi’s trading businesses fell within particular ranges. Trading-related revenue includes trading, net interest and other revenue associated with Citi’s trading businesses. It excludes DVA, FVA and CVA adjustments incurred due to changes in the credit quality of counterparties, as well as any associated hedges toof that CVA. In addition, it excludes fees and other revenue associated with capital markets origination activities. Trading-related revenues are driven by both customer flows and the changes in valuation of the trading inventory. As shown in the chart below, positive trading-related revenue was achieved for 99.6%100% of the trading days in 2017.2019.




Daily Trading-Related Revenue (Loss)(1)— Twelve Months ended December 31, 2017
2019
In millions of dollars


a2019vardailytradingrelatedr.jpg

(1)
Reflects the effects of asymmetrical accounting for economic hedges of certain AFS debt securities. Specifically, the change in the fair value of hedging derivatives is included inTrading-related trading-related revenue, while the offsetting change in the fair value of hedged AFS debt securities is included in AOCI and not reflected above.







Factor Sensitivities
Factor sensitivities are expressed as the change in the value of a position for a defined change in a market risk factor, such as a change in the value of a U.S. Treasury bill for a one-basis-point change in interest rates. Citi’s market risk management, within the Risk organization, works to ensure that factor sensitivities are calculated, monitored and in most cases, limited for all material risks taken in the trading portfolios.


Value at Risk (VAR)
VAR estimates, at a 99% confidence level, the potential decline in the value of a position or a portfolio under normal market conditions assuming a one-day holding period. VAR statistics, which are based on historical data, can be materially different across firms due to differences in portfolio composition, differences in VAR methodologies and differences in model parameters. As a result, Citi believes VAR statistics can be used more effectively as indicators of trends in risk-taking within a firm, rather than as a basis for inferring differences in risk-taking across firms.
Citi uses a single, independently approved Monte Carlo simulation VAR model (see “VAR Model Review and Validation” below), which has been designed to capture material risk sensitivities (such as first- and second-order sensitivities of positions to changes in market prices) of various asset classes/risk types (such as interest rate, credit
spread, foreign exchange, equity and commodity risks). Citi’s VAR includes positions whichthat are measured at fair value; it does not include investment securities classified as AFS or
HTM. For information on these securities, see Note 13 to the Consolidated Financial Statements.
Citi believes its VAR model is conservatively calibrated to incorporate fat-tail scaling and the greater of short-term (approximately the most recent month) and long-term (three years) market volatility. The Monte Carlo simulation involves approximately 350,000450,000 market factors, making use of approximately 200,000350,000 time series, with sensitivities updated daily, volatility parameters updated daily to weeklyintra-monthly and correlation parameters updated monthly. The conservative features of the VAR calibration contribute an approximate 20%26% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets.
As set forth in the table below, Citi’s average trading VAR increaseddecreased from December 31, 20162018 to December 31, 2017,2019, mainly due to changes in interest rate exposures from mark-to-market hedging activity against non-trading positionsrates in the ICGMarkets and securitiesservices businesses within ICG. businesses. The increase was partially offset by lower credit spread exposures and volatilities. Averageaverage trading and credit portfolio VAR also declined, although the decrease in average trading VAR was largely unchanged from December 31, 2016 to December 31, 2017, mainly due to a reduction of thepartially offset by additional hedging related to lending activities offsetting the increase in average trading VAR.2019.







Year-end and Average Trading VAR and Trading and Credit Portfolio VAR
In millions of dollarsDecember 31, 20172017 AverageDecember 31, 20162016 AverageDecember 31, 20192019 AverageDecember 31, 20182018 Average
Interest rate$69
$58
$37
$35
$32
$35
$48
$60
Credit spread54
48
63
62
44
44
55
47
Covariance adjustment(1)
(25)(20)(17)(28)(27)(23)(23)(24)
Fully diversified interest rate and credit spread(2)
$98
$86
$83
$69
$49
$56
$80
$83
Foreign exchange25
25
32
24
22
23
18
25
Equity17
15
13
14
21
16
25
22
Commodity17
22
27
21
13
24
23
19
Covariance adjustment(1)
(63)(64)(70)(58)(52)(62)(66)(67)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$94
$84
$85
$70
$53
$57
$80
$82
Specific risk-only component(3)
$—
$1
$3
$7
$3
$2
$4
$4
Total trading VAR—general market risk factors only (excluding credit portfolios)$94
$83
$82
$63
$50
$55
$76
$78
Incremental impact of the credit portfolio(4)
$11
$10
$20
$22
$30
$14
$18
$10
Total trading and credit portfolio VAR$105
$94
$105
$92
$83
$71
$98
$92


(1)Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each individual risk type. The benefit reflects the fact that the risks within each and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each individual risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.    
(2) The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG, with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.
(2)
The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG, with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.
(3)The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.
(4)
The credit portfolio is composed of mark-to-market positions associated with non-trading business units including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination in ICG.



The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
2017201620192018
In millions of dollarsLowHighLowHighLowHighLowHigh
Interest rate$29
$97
$25
$64
$25
$58
$34
$89
Credit spread38
63
55
73
36
55
38
64
Fully diversified interest rate and credit spread$59
$109
$59
$97
$43
$89
$59
$118
Foreign exchange16
49
14
46
12
34
13
44
Equity6
27
6
26
7
29
15
33
Commodity13
31
10
33
12
75
13
27
Total trading$58
$116
$53
$106
$38
$87
$56
$120
Total trading and credit portfolio67
123
72
131
54
103
66
124
Note: No covariance adjustment can be inferred from the above table as the high and low for each market factor will be from different close-of-business dates.


The following table provides the VAR for ICG, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio:
In millions of dollarsDec. 31, 2017Dec. 31, 2019
Total—all market risk factors, including general and specific risk$93
$53
Average—during year$83
$57
High—during year115
86
Low—during year57
38


VAR Model Review and Validation
Generally, Citi’s VAR review and model validation process entails reviewing the model framework, major assumptions and implementation of the mathematical algorithm. In addition, as part of the model validation process, product specific back-testing on portfolios is periodically completed and reviewed with Citi’s U.S. banking regulators. Furthermore, Regulatory VAR back-testing (as described below) is performed against buy-and-hold profit and loss on a monthly basis for multiple sub-portfolios across the organization (trading desk level, ICG business segment and Citigroup) and the results are shared with U.S. banking regulators.
Significant VAR model and assumption changes must be independently validated within Citi’s risk management organization. This validation process includes a review by Citi’s model validation group and further approval from its model validation review committee, which is composed of senior quantitative risk management officers.within Citi’s Model Risk Management. In the event of significant model changes, parallel model runs are undertaken prior to implementation. In addition, significant model and assumption changes are subject to the periodic reviews and approval by Citi’s U.S. banking regulators.
Citi uses the same independently validated VAR model for both Regulatory VAR and Risk Management VAR (i.e., total trading and total trading and credit portfolios VARs) and, as such, the model review and oversightvalidation process for both purposes is as described above.
Regulatory VAR, which is calculated in accordance with Basel III, differs from Risk Management VAR due to the fact that certain positions included in Risk Management VAR are
not eligible for market risk treatment in Regulatory VAR. The
composition of Risk Management VAR is discussed under “Value at Risk” above. The applicability of the VAR model for positions eligible for market risk treatment under U.S. regulatory capital rules is periodically reviewed and approved by Citi’s U.S. banking regulators.
In accordance with Basel III, Regulatory VAR includes all trading book-covered positions and all foreign exchange and commodity exposures. Pursuant to Basel III, Regulatory VAR excludes positions that fail to meet the intent and ability to trade requirements and are therefore classified as non-trading book and categories of exposures that are specifically excluded as covered positions. Regulatory VAR excludes CVA on derivative instruments and DVA on Citi’s own fair value option liabilities. CVA hedges are excluded from Regulatory VAR and included in credit risk-weighted assets as computed under the Advanced Approaches for determining risk-weighted assets.


Regulatory VAR Back-Testing
In accordance with Basel III, Citi is required to perform back-testing to evaluate the effectiveness of its Regulatory VAR model. Regulatory VAR back-testing is the process in which the daily one-day VAR, at a 99% confidence interval, is compared to the buy-and-hold profit and loss (i.e., the profit and loss impact if the portfolio is held constant at the end of the day and re-priced the following day). Buy-and-hold profit and loss represents the daily mark-to-market profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees and commissions, intra-day trading profit and loss and changes in reserves.
Based on a 99% confidence level, Citi would expect two to three days in any one year wherewhen buy-and-hold losses exceededexceed the Regulatory VAR. Given the conservative calibration of Citi’s VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.

The following graph shows the daily buy-and-hold profit and loss associated with Citi’s covered positions compared to Citi’s one-day Regulatory VAR during 2017. During 2017,2019. As of December 31, 2019, there were no back-testing exceptions observed for Citi’s Regulatory VAR.VAR for the prior 12 months.

The difference between the 45.4%54.8% of days with buy-and-hold gains for Regulatory VAR back-testing and the 99.6%100% of days with trading, net interest and other revenue associated with Citi’s trading businesses, shown in the histogram of daily trading-related revenue below, reflects, among other things, that a significant portion of Citi’s trading-related revenue is not generated from daily price movements on these positions and exposures, as well as differences in the portfolio composition of Regulatory VAR and Risk Management VAR.




Regulatory Trading VAR and Associated Buy-and-Hold Profit and Loss(1)—12 Months ended December 31, 20172019
In millions of dollars
a2019varbacktestingexception.jpg
(1)Buy-and-hold profit and loss, as defined by the banking regulators under Basel III, represents the daily mark-to-market revenue movement attributable to the trading position from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue and net interest intra-day trading profit and loss on new and terminated trades, as well as changes in reserves. Therefore, it is not comparable to the trading-related revenue presented in the chart of daily trading-related revenue above.







Stress Testing
Citi performs market risk stress testing on a regular basis to estimate the impact of extreme market movements. It is performed on individual positions and trading portfolios, as well as in aggregate, inclusive of multiple trading portfolios. Citi’s market risk management, after consultations with the businesses, develops both systemic and specific stress scenarios, reviews the output of periodic stress testing exercises and uses the information to assess the ongoing appropriateness of exposure levels and limits. Citi uses two complementary approaches to market risk stress testing across all major risk factors (i.e., equity, foreign exchange, commodity, interest rate and credit spreads): top-down systemic stresses and bottom-up business-specific stresses. Systemic stresses are designed to quantify the potential impact of extreme market movements on an institution-wide basis, and are constructed using both historical periods of market stress and projections of adverse economic scenarios. Business-specific stresses are designed to probe the risks of particular portfolios and market segments, especially those risks that are not fully captured in VAR and systemic stresses.
The systemic stress scenarios and business-specific stress scenarios at Citi are used in several reports reviewed by senior management and also to calculate internal risk capital for trading market risk. In general, changes in market values are defined over a one-year horizon. For the most liquid positions and market factors, changes in market values are defined over a shorter two-month horizon. The limited set of positions and market factors whose market value changes are defined over a two-month time horizon are those that in management’s judgment have historically remained very liquid during financial crises, even as the trading liquidity of most other positions and market factors materially declined.




OPERATIONAL RISK

Overview
Operational risk is the risk of loss resulting from inadequate or failed internal processes, systems or human factors, or from external events. It includes risk of failing to comply with applicable laws and regulations, but excludes strategic risk. Operational risk includes the reputation and franchise risk associated with business practices or market conduct in which Citi is involved, as well as compliance, conduct and legal risks.
Operational risk is inherent in Citi’s global business activities, as well as related support functions, and can result in losses arising from events associated with the following, among others:


fraud, theft and unauthorized activity;
employment practices and workplace environment;
clients, products and business practices;
physical assets and infrastructure; and
execution, delivery and process management.


Citi manages operational risk consistent with the overall framework described in “Managing Global Risk—Overview” above. The Company’s goal is to keep operational risk at appropriate levels relative to the characteristics of Citi’s businesses, the markets in which it operates, its capital and liquidity and the competitive, economic and regulatory environment.
To anticipate, mitigate and control operational risk, Citi has established policies and a global framework for assessing, monitoring and communicating operational risks and the overall operating effectiveness of the internal control environment across Citigroup. As part of this framework, Citi has defined its operational risk appetite and has established a manager’s control assessment (MCA) process (a process through which managers at Citi identify, monitor, measure, report on and manage risks and the related controls) to help managers self-assess significant operational risks and key controls and identify and address weaknesses in the design and/or operating effectiveness of internal controls that mitigate significant operational risks.
Each major business segment must implement an operational risk process consistent with the requirements of this framework. The process for operational risk management includes the following steps:


identify and assess key operational risks;
design controls to mitigate identified risks;
establish key risk indicators;
implement a process for early problem recognition and timely escalation;
produce comprehensive operational risk reporting; and
ensure that sufficient resources are available to actively improve the operational risk environment and mitigate emerging risks.


As new products and business activities are developed, processes are designed, modified or sourced through alternative means and operational risks are considered.
An Operational Risk Management Committee has been established to provide oversight for operational risk across
Citigroup and to provide a forum to assess Citi’s operational risk profile and ensure actions are taken so that Citi’s operational risk exposure is actively managed consistent with Citi’s risk appetite. The Committee seeks to ensure that these actions address the root causes that persistently lead to operational risk losses and create lasting solutions to minimize these losses. Members include Citi’s Chief Risk Officer and Citi’s Head of Operational Risk and senior members of their organizations. These members cover multiple dimensions of risk management and include business and regional Chief Risk Officers and senior operational risk managers.
In addition, Riskrisk management, including Operational Risk Management, works proactively with the businesses and other independent control functions to embed a strong operational risk management culture and framework across Citi. Operational Risk Management engages with the businesses to ensure effective implementation of the Operational Risk Management framework by focusing on (i) identification, analysis and assessment of operational risks, (ii) effective challenge of key control issues and operational risks and (iii) anticipation and mitigation of operational risk events.
Information about the businesses’ operational risk, historical operational risk losses and the control environment is reported by each major business segment and functional area. The information is summarized and reported to senior management, as well as to the Audit Committeeand Risk Committees of Citi’s Board of Directors.
Operational risk is measured and assessed through risk capital.Operational Risk Capital and Operational Risk Regulatory Capital for the Advanced Approaches under Basel III. Projected operational risk losses under stress scenarios are also required as part of the Federal Reserve Board’s CCAR process.
For additional information on Citi’s operational risks, see “Risk Factors—Operational Risk” above.

Cybersecurity Risk
Cybersecurity risk is the business risk associated with the threat posed by a cyber attack, cyber breach or the failure to protect Citi’s most vital business information assets or operations, resulting in a financial or reputational loss(for additional information, see the operational systems and cybersecurity risk factors in “Risk Factors—Operational Risks” above). With an evolving threat landscape, ever-increasing sophistication of cybersecurity attacks and use of new technologies to conduct financial transactions, Citi and its clients, customers and third parties are and will continue to be at risk for cyber attacks and information security incidents. Citi recognizes the significance of these risks and, therefore, employs an intelligence-led strategy to prevent, detect, respond to and recover from cyber attacks. Further, Citi actively participates in financial industry, government and cross-sector knowledge-sharing groups to enhance individual and collective cyber resilience.

Citi’s technology and cybersecurity risk management program is built on three lines of defense. Citi’s first line of defense under the Office of the Chief Information Security Officer provides frontline business, operational and technical controls and capabilities to protect against cybersecurity risks, and to respond to cyber incidents and data breaches. Citi manages these threats through state-of-the-art Fusion Centers, which serve as central command for monitoring and coordinating responses to cyber threats. The enterprise information security team is responsible for infrastructure defense and security controls, performing vulnerability assessments and third-party information security assessments, employee awareness and training programs and security incident management, in each case working in coordination with a network of information security officers who are embedded within the businesses and functions on a global basis.
Citi’s Operational Risk Management-Technology and Cyber (ORM-T/C) and Independent Compliance Risk Management-Technology and Information Security (ICRM-T) groups serve as the second line of defense, and actively evaluate, anticipate and challenge Citi’s risk mitigation practices and capabilities. Internal audit serves as the third line of defense and independently provides assurance on how effectively the organization as a whole manages cybersecurity risk. Citi also has multiple senior committees such as the Information Security Risk Committee (ISRC), which governs enterprise-level risk tolerance inclusive of cybersecurity risk.
Citi seeks to proactively identify and remediate technology and cybersecurity risks before they materialize as incidents that negatively affect business operations. Accordingly, the ORM-T/C team independently challenges and monitors capabilities in accordance with Citi’s defined Technology and Cyber Risk Appetite statements. To address evolving cybersecurity risks and corresponding regulations, ORM-T/C also monitors cyber legal and regulatory requirements, identifies and defines emerging risks, executes strategic cyber threat assessments, performs new products and initiative reviews, performs data management risk oversight and conducts cyber risk assurance reviews (inclusive of third-party assessments). In addition, ORM-T/C employs tools and oversees and challenges metrics that are both tailored to cybersecurity and technology and aligned with Citi’s overall operational risk management framework to effectively track, identify and manage risk.

COMPLIANCE RISK
Compliance riskis the risk to current or projected financial condition and resilience arising from violations of or non-conformance with, local, national, or cross-border laws rules, or regulations, Citi'sor from nonconformance with prescribed practices, internal policies and procedures or other relevant standardsethical standards. This risk exposes a bank to fines, civil money penalties, payment of conduct ordamages and the voiding of contracts. Compliance risk is not limited to risk from failure to comply with consumer protection laws; it encompasses the risk of harming customers, clients ornoncompliance with all laws and regulations, as well as prudent ethical standards and contractual obligations. It also includes the exposure to litigation (known as legal risk) from all aspects of banking, traditional and nontraditional.
Compliance risk spans all risk types in Citi’s risk governance framework and the risk categories outlined in the Governance, Risk, Compliance (GRC) taxonomy. Citi seeks to operate with integrity, maintain strong ethical standards and adhere to applicable policies and regulatory and legal requirements. Citi must maintain and execute a proactive Compliance Risk Management (CRM) Policy that is designed to manage compliance risk effectively across Citi, with a view to fundamentally strengthen the compliance risk management culture across the lines of the market.
As the champion of responsible finance,defense, taking into account Citi’s risk governance framework and regulatory requirements. Independent Compliance Risk Management’s (ICRM) primary objectives are to:


Maintain a frameworkand oversee an integrated CRM Policy that facilitates enterprise-wide compliance with local, national or cross-border laws, rules or regulations, Citi’s internal policies, standards and procedures and relevant standards of conduct;
Support Citi’s operations by assisting in the management ofAssess compliance riskrisks and issues across products, businessproduct lines, functions and geographies, supported by globally consistent systems and compliance risk management processes; and
Drive and embed a risk culture of compliance and control throughout Citi; and
Provide compliance risk data aggregation and ethical conduct throughout Citi.reporting capabilities.



Independent Compliance Risk Management (ICRM) Program
To anticipate, mitigatecontrol and controlmitigate compliance risk, Citi has established a global independentthe CRM Policy to achieve standardization and centralization of methodologies and processes, and to enable more consistent and comprehensive execution of compliance risk management framework for assessing, monitoring and communicating compliance risks. To achieve this mission, ICRM seeks to:management.

CommunicateCiti has a strong culture of compliance, control and ethical conduct.
Identify compliance risk and AML compliance risk for which each business or function has responsibility, including through compliance risk assessments, and set standards with respect to these requirements.
Identify regulatory changes and oversee the assessment of impact,commitment, as well as capturean obligation, to identify, assess and monitor adherence to existing regulatory requirements, providing themitigate compliance risks associated with its businesses with guidance and support as needed in accordance with the regulatory change management standard.
Provide credible challenge to the first-line units in their assessment and managementfunctions. ICRM is responsible for oversight of compliance risk.
Perform compliance assurance activities to oversee adherence to applicable requirements.
Issue policies, procedures and other documentation that set standards for employees in conducting Citi’s business and provide oversight in the application of those standards to specific circumstances.
Manage regulatory examinations and other supervisory activity impacting Citi’sCRM Policy, while all businesses and global control functions are responsible for managing their compliance risks and operating within the Compliance Risk Appetite.
Citi carries out its objectives and fulfills its responsibilities through the integrated CRM Policy, which is based upon four components: (i) governance and organization; (ii) compliance risk requirements; (iii) processes and activities; and (iv) resources and capabilities. To achieve this, Citi follows these CRM Policy process steps:

Identifying regulatory changes and performing the impact assessment, as well as capturing and monitoring adherence to existing regulatory requirements.
Establishing, maintaining and adhering to policies, standards and procedures for the management of compliance risk, in accordance with the regulatory exam managementpolicy governance requirements.
Developing and process standards.
Provideproviding training to support the effective execution of roles and responsibilities related to the identification, control, reporting and escalation of matters related to compliance risks.
Report to senior management and the Citigroup BoardSelf-assessment (e.g., Managers Control Assessment) of Directors or their designated committees on the effectiveness of the processes and standards implemented to manage compliance risk.
Escalate
ICRM is responsible for independently assessing the management of compliance risks.
Independently testing and monitoring that Citi is operating within the Compliance Risk Appetite. Identifying instances of non-conformance with laws, regulations, rules and breaches of internal policies.
Escalating through the appropriate channels, which may include governance forums, the results of monitoring, testing, reporting or other oversight activities that may represent a violation of law, regulation, policy or other significant compliance risk and take reasonable action to see that the matter is appropriately identified, tracked and resolved, including through the issuance of corrective action plans against the first line of defense.
Advise, as needed or when required by policy, on the degree to which existing and new business processes, methodologies, performance, products, services, transactions or customer segments satisfy Citi standards and are consistent with the prudent management of compliance risk.

CONDUCT RISK
Citi places conduct risk within compliance risk and defines conduct risk as the risk that Citi’s employees or agents may—intentionally or through negligence—harm customers, clients, or the integrity of the markets, and thereby the integrity of the Company. Citi manages its exposure to conduct risk through a global conduct risk program that is implemented across its businesses and functions. The conduct risk program requires all three lines of defense to understand and perform certain key roles and responsibilities. The first line of defense owns and manages the risks inherent in or arising from the business, including conduct risk, and is responsible for managing, minimizing and mitigating those risks. The second line of defense takes a risk-based approach to assess, advise on, monitor and test current and emerging significant conduct risks across products, businesses, functions, countries and regions and works to enhance the effectiveness of controls. The third line of defense provides independent risk-based assurance over the conduct risk program based upon a risk-based audit plan and audit methodology as approved by the Citigroup Board of Directors.
Each business and function identifies its significant conduct risks through a diagnostic process that includes broadly understanding their potential significant conduct risks in the context of their overall activities, identifying and flagging their significant conduct risks and related controls and incorporating the results of this diagnostic process into their annual risk assessment process. Citi also manages its conduct risk through other initiatives, including various culture-related efforts.

LEGAL RISK
Citi views legal risk as qualitative in nature because it does not lend itself to an appetite expressed through a numerical limit and it cannot be reliably estimated or measured based on forecasts. As such, Citi seeks to manage this risk in accordance with its qualitative risk appetite principle, which generally states that activities in which Citi engages and the risks those activities generate must be consistent with Citi’s underlying commitment to the principle of responsible finance and managed with a goal to eliminate, minimize or mitigate this risk, as practicable. To accomplish this goal, legal risk is managed in accordance with the overall framework described in greater detail in “Managing Global Risk—Overview” above.


REPUTATIONALREPUTATION RISK
Citi’s reputation is a vital asset in building trust with its stakeholders and Citi is diligent in communicating its corporate values including the importance of protecting Citi’s reputation, to its employees, customers and investors.  To support this, Citi has defined a reputation risk appetite approach. Under this approach, each major business segment has implemented a risk appetite statement and related key indicators to monitor and address weaknesses that may result in significant reputation risks. The responsibility for maintaining Citi’sapproach requires that each business segment or region escalates significant reputation is shared by all employees, who are guided by Citi’s code of conduct.  Employees are expected to exercise sound judgment and common sense in every action they take and issuesrisks that present potential franchise, reputational and/require review or systemic risks are to be appropriately escalated.  mitigation through its business practice committee or equivalent.
The business practices committees for each of Citi’s businesses and regions are part of the governance infrastructure that Citi has in place to properly

review business activities, sales practices, product design, perceived conflicts of interest and other potential franchise or reputational risks that arise in these businesses and regions.reputation risks. These committees may also raise potential franchise, reputationalreputation or systemic risks for due consideration by the business practices committee at the corporate level. All of these committees, which are composed of Citi’s most senior executives, provide the guidance necessary for Citi’s business practices to meet the highest standards of professionalism, integrity and ethical behavior consistent with Citi’s mission and value proposition.

Further, the responsibility for maintaining Citi’s reputation is shared by all employees, who are guided by Citi’s code of conduct. Employees are expected to exercise sound judgment and common sense in decisions and actions. They are also expected to promptly and appropriately escalate all issues that present potential franchise, reputation and/or systemic risk.

STRATEGIC RISK

Overview
Citi seniorexecutive management, led bywith Citi’s CEO at the lead, is responsible for the development and execution of Citi’s strategy. This strategy is translated into forward-looking plans that are then cascaded across the strategyorganization. Strategic risk is monitored through a range of practices: regular Citigroup Board of Director meetings provide strategic external checkpoints where management’s progress against executing the plans is assessed and where decisions to refine the strategic direction of the Company. SignificantCompany are evaluated; Citi’s
executive management assesses progress against executing the defined plans; CEO reviews, which include a risk assessment of the plans, occur across products, regions and functions to focus on progress against executing the plans; products, regions and functions have internal reviews to assess performance at lower levels across the organization; and specific forums exist to focus on key areas that drive strategic risk such as balance sheet management, the introduction of new or modified products and services and country management, among others. In addition to these day-to-day practices, significant strategic actions, such as mergers, acquisitions or capital expenditures, are reviewed and approved by, or notified to, the Citigroup and Citibank BoardBoards of Directors, as appropriate.

Exit of U.K. from EU
As a result of a 2016 U.K. referendum, Citi has reorganized certain U.K. and EU operations and implemented contingency plans to address the U.K.’s official exit from the EU, which occurred as of January 31, 2020. In addition, Citi has established a formal program with senior-level sponsorship and governance to deliver a coordinated response to the U.K.’s exit.
Until negotiations between the U.K. and the EU are finalized and any exit agreement is ratified, Citi continues to plan for a “hard” exit scenario. Citi’s strategy focuses on providing continuity of services to its U.K. and EU clients with minimal disruption. Consequently, Citi has migrated certain business activities to alternative legal entities and branches with appropriate regulatory permissions to carry out such activity, and has established required capabilities in the U.K. and EU. Citi’s plans for a U.K. exit from the EU have primarily covered:

the enhancement of Citi’s European bank in Ireland, supported by its substantial European branch network to ensure business continuity for its EU clients;
the conversion of Citi’s banking subsidiary in Germany into Citi’s EU investment firm to support broker-dealer activities with EU clients;
the establishment of a new U.K. consumer bank to focus on servicing consumer business clients in the U.K.; and
the amendments to existing U.K. legal entities or branches, where required, to ensure continuity of services to U.K. and non-EU clients.

Citi has worked closely with clients, regulators and other relevant stakeholders in the execution of its plans to prepare for the U.K.’s exit from the EU. In addition, Citi continues to monitor macroeconomic scenarios and market events and has been undertaking stress testing to assess potential impacts on its businesses. For additional information, see “Risk Factors—Strategic Risks” above.

LIBOR Transition Risk
Citi recognizes that a transition away from and discontinuance of LIBOR presents risks and challenges that could significantly impact financial markets and market participants, including Citi (for information about Citi’s risks from a transition away from and discontinuation of LIBOR or any

other benchmark, see “Risk Factors—Strategic Risks” above). Accordingly, Citi has continued its efforts to identify and manage its LIBOR transition risks.
Citi’s LIBOR governance and implementation program remains focused on identifying and addressing the LIBOR transition impacts to Citi’s clients, operational capabilities and legal and financial contracts, among others. The Citigroupprogram operates globally across Citi’s businesses and functions and includes active involvement of senior management, oversight by Citi’s Asset and Liability Committee and reporting to the Risk Management Committee of Citigroup’s Board of Directors holds an annual strategic meeting and annual regional strategic meetings, and receives business presentations at its regular meetings, in order to monitor management’s execution of Citi’s strategy. At the business level, business heads are accountable for the interpretation and executionDirectors. As part of the Company-wideprogram, Citi has developed LIBOR transition action plans and associated roadmaps under the following key workstreams: program management; transition strategy as it applies to their area,and risk management; customer management, including decisions on new businessinternal communications and training, legal/contract management and product entries.management; financial exposures and risk management; regulatory and industry engagement; operations and technology; and finance, risk, tax and treasury.
The managementDuring 2019, Citi continued to participate in a number of strategic risk rests uponworking groups formed by global regulators, including the foundational elementsAlternative Reference Rates Committee (ARRC) convened by the Federal Reserve Board. These working groups continue to promote and advance development of alternative reference rates and to identify and address potential challenges from any transition to such rates. Citi also continues to engage with and monitor developments involving regulators, financial accounting bodies and others on LIBOR transition matters and relief.
Moreover, Citi has been investing in its systems and infrastructure, as client activity moves away from LIBOR to alternative reference rates. Citi also has continued to identify its LIBOR transition exposures, including existing financial instruments that include an annualdo not contain contract provisions that adequately contemplate the discontinuance of reference rates and that would require additional negotiation with counterparties. In addition, Citi has begun to mitigate its LIBOR transition exposures by, among other things, using alternative reference rates in certain newly issued financial operating plan encompassing all businesses, productsinstruments and geographiesproducts. For example, since early 2019, Citi has issued both preferred stock and defined financialbenchmark debt referencing the Secured Overnight Financing Rate (SOFR) and operating targets, derived fromupdated the operating plan, which can be monitored throughoutLIBOR determination method in its debt documentation with the year in order to assess strategic and operating performance.   Strategic risk is monitored through various mechanisms, including regular updates to senior management and the Board of Directors on performance against the operating plan, quarterly business reviews between theARRC recommended fallback language. Citi CEO and business and regional CEOs in which the performance and risks of each major business and region are discussed, ongoing reporting to senior management and executive management scorecards.has also been conducting LIBOR transition-related training for employees.






Country Risk


Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by
country (excluding the U.S.) as of December 31, 2017.2019. The total exposure as of December 31, 20172019 to the top 25 countries disclosed below, in combination with the U.S., would represent approximately 94%95% of Citi’s exposure to all countries. For purposes of the table, loan amounts are reflected in the country where the loan is booked, which is generally based on the domicile of the borrower. For example, a loan to a Chinese subsidiary of a Switzerland-based corporation will generally be categorized as a loan in China. In addition, Citi has developed regional booking centers in certain countries,
most significantly in the United Kingdom (U.K.) and Ireland, in order to more efficiently serve its corporate customers. As an example, with respect to the U.K., only 24%33% of corporate
loans presented in the table below are to U.K. domiciled
entities (25%(35% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 80%85% of the total U.K. funded loans and 88%89% of
the total U.K. unfunded commitments were investment grade
as of December 31, 2017.2019. Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.
For a discussion of uncertainties arising as a result of the terms and other uncertainties resulting from the U.K.’s potential exit from the EU, see “Risk Factors—Strategic Risks” above.
 
In billions of dollars
ICG
loans(1)
GCB loans
Other funded(3)
Unfunded(4)
Net MTM on derivatives/repos(5)
Total hedges (on loans and CVA)
Investment securities(6)
Trading account assets(7)
Total
as of
4Q17
Total
as of
3Q17
Total
as of
4Q16
Total as a % of Citi as of 4Q17(8)
In billions of U.S. dollars
ICG
loans(1)
GCB loans
Other funded(2)
Unfunded(3)
Net MTM on derivatives/repos(4)
Total hedges (on loans and CVA)
Investment securities(5)
Trading account assets(6)
Total
as of
4Q19
Total
as of
3Q19
Total
as of
4Q18
Total as a % of Citi as of 4Q19
United Kingdom$36.1
$—
$4.6
$60.3
$8.4
$(2.2)$7.0
$(1.0)$113.2
$110.2
$107.5
7.2%$41.8
$—
$1.9
$50.0
$12.3
$(5.2)$7.3
$(2.3)$105.8
$116.6
$111.6
6.5%
Mexico9.4
25.3
0.4
7.3
0.5
(0.7)13.1
3.1
58.4
62.8
52.4
3.7
17.8
17.6
0.3
8.9
0.8
(0.8)16.0
4.4
65.0
67.3
59.6
4.0
Hong Kong16.3
11.6
0.7
6.4
0.7
(0.3)5.7
1.1
42.2
40.8
35.9
2.7
20.5
12.9
0.9
7.2
1.4
(0.7)6.2
0.6
49.0
52.5
48.1
3.0
Singapore15.2
12.4
0.3
5.1
1.2
(0.2)7.1
0.3
41.4
43.8
36.4
2.6
14.5
13.3
0.1
5.0
0.7
(0.4)8.2
1.9
43.3
41.3
40.7
2.6
Korea2.2
19.9
0.2
3.3
2.2
(1.2)7.7
1.0
35.3
34.2
34.0
2.3
Ireland12.6
—
2.3
15.8
0.4
—
—
0.8
31.9
28.8
24.8
2.0
12.1
—
0.5
26.4
0.5
—
—
0.4
39.9
34.8
33.7
2.4
South Korea3.1
16.5
0.1
2.4
1.0
(0.4)8.9
3.1
34.7
31.2
33.8
2.1
India6.4
7.0
0.6
5.3
1.1
(0.7)9.3
1.3
30.3
28.7
30.9
1.9
6.5
4.8
0.9
5.9
1.5
(0.6)10.1
0.9
30.0
29.6
30.2
1.8
Brazil12.7
—
—
3.1
5.6
(0.9)4.1
3.7
28.3
25.7
26.0
1.7
Germany0.5
—
0.1
6.0
3.9
(3.9)9.2
6.0
21.8
18.0
17.4
1.3
Australia4.4
10.9
—
5.6
0.8
(0.5)3.8
0.2
25.2
27.0
22.4
1.6
4.7
9.8
0.1
6.2
1.6
(0.4)1.5
(2.0)21.5
20.8
23.5
1.3
Brazil(2)
11.7
—
—
2.7
5.0
(1.8)3.2
3.9
24.7
28.0
28.5
1.6
China8.0
4.6
0.4
1.8
1.8
(0.7)3.8
(0.3)19.4
20.8
17.2
1.2
7.6
3.3
0.6
2.9
0.8
(0.5)5.0
(1.0)18.7
18.6
18.0
1.1
Germany0.1
—
—
3.9
4.3
(1.9)8.9
3.8
19.1
18.6
16.0
1.2
Taiwan5.9
8.0
0.1
1.9
0.4
(0.1)0.9
0.8
17.9
17.2
17.4
1.1
Japan3.1
0.1
0.2
2.7
2.8
(1.0)5.3
4.5
17.7
18.8
18.3
1.1
2.7
—
0.1
2.5
2.4
(1.7)5.8
5.2
17.0
18.3
17.6
1.0
Taiwan4.5
9.1
0.1
1.1
0.3
—
1.3
0.9
17.3
18.5
16.6
1.1
Canada1.8
0.6
0.5
7.0
1.8
(0.4)4.4
0.6
16.3
16.0
17.0
1.0
2.4
0.6
0.1
6.8
1.7
(0.7)3.9
0.4
15.2
15.9
16.0
0.9
Poland3.6
2.0
—
3.1
—
(0.1)5.0
0.4
14.0
13.6
11.8
0.9
4.1
2.0
0.1
2.4
0.2
(0.1)3.8
0.9
13.4
13.6
13.2
0.8
Jersey8.0
—
0.1
5.1
—
(0.4)—
—
12.8
13.6
10.4
0.8
United Arab Emirates8.1
1.5
0.1
2.9
0.2
(0.1)0.1
—
12.8
11.6
9.6
0.8
Malaysia1.4
4.9
0.3
2.1
0.1
(0.1)0.9
0.4
10.0
9.1
9.3
0.6
1.9
4.2
0.2
1.0
0.2
(0.1)1.0
—
8.4
9.1
10.0
0.5
Thailand0.9
2.2
—
1.8
0.1
—
1.8
0.6
7.4
7.0
5.8
0.5
0.9
2.9
—
1.8
—
—
1.7
0.4
7.7
7.8
7.4
0.5
United Arab Emirates2.9
1.5
0.1
2.5
0.3
(0.1)—
(0.2)7.0
6.7
6.0
0.4
Indonesia2.4
0.9
—
1.4
0.1
(0.1)1.1
0.1
5.9
5.9
6.3
0.4
Russia1.8
1.0
—
1.0
1.9
(0.1)0.8
0.2
6.6
5.0
5.3
0.4
1.9
1.0
—
0.7
0.2
(0.1)1.1
0.2
5.0
5.0
4.6
0.3
Indonesia1.9
1.1
—
1.5
—
(0.1)1.5
0.4
6.3
6.2
5.2
0.4
Philippines0.7
1.6
0.1
0.5
—
—
1.9
0.1
4.9
4.6
5.3
0.3
Luxembourg—
—
—
—
0.5
(0.3)4.6
0.6
5.4
6.1
5.4
0.3
—
—
—
—
0.7
(0.3)3.7
0.5
4.6
3.1
4.9
0.3
Colombia(2)
1.7
1.6
—
1.1
0.3
—
0.4
—
5.1
4.9
5.6
0.3
Jersey3.2
—
—
1.6
—
—
—
—
4.8
4.5
3.7
0.3
South Africa1.6
—
—
1.2
0.4
(0.1)1.4
(0.2)4.3
4.3
3.9
0.3
Argentina(2)
1.9
—
—
0.1
1.3
(0.4)0.4
0.9
4.2
4.3
2.2
0.3
 Total
36.2%
Czech Republic0.8
—
—
0.7
2.7
—
—
0.1
4.3
3.8
3.0
0.3
Cayman Islands—
—
—
—
0.1
(0.6)3.0
1.0
3.5
3.8
2.5
0.2
Total as a % of Citi’s Total ExposureTotal as a % of Citi’s Total Exposure   36.0%
Total as a % of Citi’s non-U.S. Total ExposureTotal as a % of Citi’s non-U.S. Total Exposure   89.7%


(1)
ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of December 31, 2017,2019, private bank loans in the table above totaled $23.5$30 billion, concentrated in Singapore ($7.0 billion), Hong Kong ($6.89.3 billion), Singapore ($7.6 billion) and the U.K. ($5.17.2 billion).                    

(2)
GCB loans include funded loans in Argentina, Brazil and Colombia related to businesses that were transferred to Corporate/Other as of January 1, 2016. The sales of the Argentina and Brazil consumer banking businesses were completed in the first and fourth quarters of 2017, respectively.
(3)
Other funded includes other direct exposure such as accounts receivable, loans held-for-sale,HFS, other loans in Corporate/Other and investments accounted for under the equity method.                                        

(4)(3)Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.            
(5)(4)Net mark-to-market counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.                                        
(6)(5)Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost. Investment securities are reflected in the country that holds, not issues, the investments.    
(7)(6)Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country.



Argentina
Citi operates in Argentina through its ICG businesses. As of December 31, 2017,2019, Citi’s net investment in its Argentine operations was approximately $954 million, compared to $725 million at December 31, 2016.
$730 million. Citi uses the Argentine pesoU.S. dollar as the functional currency for its operations in Argentina because the Argentine economy is considered highly inflationary under U.S. GAAP.
During 2019, the Argentine peso depreciated 59% against the U.S. dollar, and the U.S. rating agencies downgraded Argentina’s sovereign debt rating given renewed concerns of a debt default. In addition, the government of Argentina re-profiled certain short-term debt obligations, and also implemented new capital and currency controls during the third quarter of 2019. Prior to the implementation of these new capital controls, Citi had already remitted all available earnings from its Argentine operations that could be remitted during the 2019 calendar year; the new controls may restrict Citi’s ability to access U.S. dollars in Argentina and translatesremit earnings from its financial statements into U.S. dollarsArgentine operations in the future.
Citi economically hedges the foreign currency risk in its net Argentine peso-denominated assets to the extent possible and prudent using the official exchange rate as published by the Central Banknon-deliverable forward (NDF) derivative instruments that are executed outside of Argentina. The impactAs of devaluationsDecember 31, 2019, the international NDF market had very limited liquidity, resulting in Citi being unable to economically hedge a significant portion of theits Argentine peso exposure. To the extent that Citi is unable to execute additional NDF contracts in the future, devaluations on Citi’s net investmentArgentine peso-denominated assets would be recorded in Argentina, net of hedges, is reported as a translation loss in stockholders’ equity.
Although Citi currently uses the Argentine peso as the functional currency, an increase in inflation resulting in a cumulative three-year inflation rate of 100% or more would result inearnings, without any benefit from a change in the functional currencyfair value of derivative positions used to economically hedge the exposure.
In addition, Citi continually evaluates its economic exposure to its Argentine counterparties and reserves for changes in credit risk and sovereign risk associated with its Argentine assets. Citi believes it has established appropriate loan loss reserves on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for such risks under U.S. dollar. Citi has historically based its evaluation of the cumulative three-year inflation rate on the CPI (Consumer Price Index) inflation statistics published by INDEC, the Argentine government’s statistics agency. However, for the period from November 2015 to April 2016, INDEC did not publish CPI statistics, which has led to uncertainty about the cumulative three-year inflation rate. AsGAAP as of December 31, 2017,2019. However, given the recent events in Argentina, U.S. regulatory agencies may require Citi evaluatedto record additional reserves in the available CPI statistics as well as inflation statistics published byfuture, increasing ICG’s cost of credit, based on the perceived country risk associated with its Argentine Central Bank and concluded that Argentina’s cumulative three-year inflation rate had not reached 100%. However, uncertainty continues as to the cumulative three-year inflation rate, andexposures. For additional information received in future periods could result in a change of functional currency to the U.S. dollar in 2018.on emerging markets risks, see “Risk Factors—Strategic Risks” above.
While a change in the functional currency to the U.S. dollar would not result in any immediate gains or losses to Citi, it would result in future changes in the translation of Citi’s Argentine peso-denominated assets and liabilities into U.S. dollars being recorded in earnings instead of stockholders’ equity.






 


FFIEC—Cross-Border Claims on Third Parties and Local Country Assets
Citi’s cross-border disclosures are based on the country exposure bank regulatory reporting guidelines of the Federal Financial Institutions Examination Council (FFIEC). The following summarizes some of the FFIEC key reporting guidelines:


Amounts are based on the domicile of the ultimate obligor, counterparty, collateral (only including qualifying liquid collateral), issuer or guarantor, as applicable.applicable (e.g., a security recorded by a Citi U.S. entity but issued by the U.K. government is considered U.K. exposure; a loan recorded by a Citi Mexico entity to a customer domiciled in Mexico where the underlying collateral is held in Germany is considered German exposure).
Amounts do not consider the benefit of collateral received for secured financing transactions (i.e., repurchase agreements, reverse repurchase agreements and securities loaned and borrowed) and are reported based on notional amounts.
Netting of derivative receivables and payables, reported at fair value, is permitted, but only under a legally binding netting agreement with the same specific counterparty, and does not include the benefit of margin received or hedges.
The netting of long and short positions for AFS securities and trading portfolios is not permitted.
Credit default swaps (CDS) are included based on the gross notional amount sold and purchased and do not include any offsetting CDS on the same underlying entity.
Loans are reported without the benefit of hedges.


Given the requirements noted above, Citi’s FFIEC cross-border exposures and total outstandings tend to fluctuate, in some cases significantly, from period to period. As an example, because total outstandings under FFIEC guidelines do not include the benefit of margin or hedges, market volatility in interest rates, foreign exchange rates and credit spreads may cause significant fluctuations in the level of total outstandings, all else being equal.



The tables below set forthshow each country whose total outstandings exceeded 0.75% of total Citigroup assets:
December 31, 2017December 31, 2019
Cross-border claims on third parties and local country assetsCross-border claims on third parties and local country assets
In billions of U.S. dollarsBanks (a)Public (a)
NBFIs(1) (a)
Other (corporate
and households) (a)
Trading
assets(2) (included in (a))
Short-term claims(2) (included in (a))
Total outstanding(3) (sum of (a))
Commitments
 and
guarantees(4)
Credit derivatives purchased(5)
Credit derivatives
sold(5)
Banks (a)Public (a)
NBFIs(1) (a)
Other (corporate
and households) (a)
Trading
assets(2) (included in (a))
Short-term claims(2) (included in (a))
Total outstanding(3) (sum of (a))
Commitments
 and
guarantees(4)
Credit derivatives purchased(5)
Credit derivatives
sold(5)
Cayman Islands$—
$—
$96.8
$10.3
$5.3
$75.9
$107.1
$10.0
$—
$—
United Kingdom$17.3
$23.2
$36.4
$19.4
$13.5
$62.4
$96.3
$32.3
$74.9
$77.1
13.3
24.4
34.8
20.6
12.9
61.3
93.1
23.2
71.6
71.6
Cayman Islands—
—
63.6
8.6
4.3
45.3
72.2
5.2
—
—
Germany6.9
38.3
9.3
11.8
10.2
45.4
66.2
12.1
54.6
54.1
Japan25.4
25.8
6.4
8.5
13.3
49.6
66.1
6.1
22.9
22.3
32.7
33.3
7.8
6.5
13.1
57.4
80.3
4.7
18.7
17.1
Mexico4.8
18.3
7.9
34.4
4.7
42.8
65.4
19.6
6.4
6.2
2.8
26.3
9.4
35.2
5.5
37.0
73.7
22.4
8.9
8.8
Germany6.8
29.8
7.7
9.7
9.3
33.6
54.0
13.1
48.0
46.4
France14.3
5.1
21.1
6.1
8.7
37.2
46.6
23.6
59.8
60.6
8.4
6.8
22.2
7.5
9.6
35.3
44.9
29.0
56.0
54.3
Singapore2.3
17.7
7.2
16.1
2.8
36.1
43.3
12.0
2.0
1.9
South Korea2.5
15.8
1.9
24.4
1.4
38.3
44.6
16.7
14.4
12.4
2.0
16.0
1.7
21.7
2.6
31.4
41.4
12.0
13.9
13.0
Singapore1.9
22.5
4.3
15.0
0.4
33.6
43.7
10.9
1.8
1.8
India6.0
12.7
4.4
16.0
5.6
25.8
39.1
9.5
2.5
2.1
1.7
12.9
3.1
16.3
2.7
23.4
34.0
10.8
2.3
2.0
Hong Kong0.6
10.2
3.0
20.0
4.1
27.9
33.8
13.7
2.2
2.0
Australia4.6
8.2
4.7
15.0
7.3
19.3
32.5
13.2
13.2
13.3
4.8
8.7
4.7
12.9
7.9
20.6
31.1
11.8
7.4
7.3
China5.2
9.5
3.7
12.9
3.6
24.4
31.3
3.9
14.2
14.5
3.4
11.0
3.1
12.7
3.9
25.3
30.2
5.1
12.8
11.6
Hong Kong0.8
9.8
3.0
16.1
5.0
23.9
29.7
14.5
2.5
2.3
Brazil3.7
11.4
0.9
10.5
5.5
17.3
26.6
2.2
10.6
9.6
3.3
13.3
1.8
11.0
6.1
20.8
29.4
3.2
8.1
8.2
Canada2.9
4.7
11.5
5.0
3.1
13.5
24.1
14.7
4.3
5.1
Netherlands5.8
9.5
4.9
6.1
4.1
15.9
26.3
9.8
27.3
27.8
6.8
8.5
3.9
4.6
4.6
15.7
23.8
11.0
26.9
26.5
Taiwan1.0
6.1
2.2
13.3
2.7
16.9
22.5
14.1
0.1
0.1
0.6
6.8
1.6
14.3
2.9
13.2
23.3
14.6
0.1
0.1
Canada4.3
4.7
7.8
4.9
2.9
11.1
21.7
13.3
5.4
6.2
Italy3.3
15.9
0.7
1.7
12.8
14.9
21.6
2.5
44.5
44.0
Switzerland1.2
13.7
1.3
4.2
1.7
17.2
20.4
5.1
19.3
19.4
1.2
14.5
1.1
4.6
2.2
18.1
21.4
8.2
17.8
17.3
Italy3.3
11.3
0.6
1.3
7.5
9.3
16.5
2.7
59.6
58.4
Ireland0.2
0.3
8.9
5.4
4.2
12.9
14.8
5.4
1.6
1.8
December 31, 2016December 31, 2018
Cross-border claims on third parties and local country assets

Cross-border claims on third parties and local country assets

In billions of U.S. dollarsBanks (a)Public (a)
NBFIs(1) (a)
Other
(corporate
and households) (a)
Trading
assets(2) (included in (a))
Short-term claims(2) (included in (a))
Total outstanding(3) (sum of (a))
Commitments
 and
guarantees(4)
Credit derivatives purchased(5)
Credit derivatives
sold(5)
Banks (a)Public (a)
NBFIs(1) (a)
Other
(corporate
and households) (a)
Trading
assets(2) (included in (a))
Short-term claims(2) (included in (a))
Total outstanding(3) (sum of (a))
Commitments
 and
guarantees(4)
Credit derivatives purchased(5)
Credit derivatives
sold(5)
United Kingdom$15.0
$18.1
$35.3
$20.0
$8.7
$47.7
$88.4
$23.2
$81.8
$82.9
$14.6
$23.5
$35.7
$22.4
$12.3
$67.8
$96.2
$25.1
$74.3
$76.4
Mexico6.4
18.3
7.7
30.7
4.5
29.9
63.1
17.0
7.3
6.7
Cayman Islands0.1
—
55.6
3.8
1.3
35.5
59.5
2.9
0.4
0.1
—
—
81.6
9.2
5.4
62.5
90.8
5.0
—
—
Japan21.2
27.3
7.4
3.0
7.2
42.1
58.9
7.2
25.3
24.9
31.4
28.8
8.4
7.8
13.6
40.7
76.4
4.0
19.9
18.3
Mexico3.1
24.5
7.4
34.7
6.0
29.1
69.7
20.2
7.3
7.6
Germany7.9
26.7
8.8
6.7
4.2
28.3
50.1
12.9
65.4
63.5
6.3
45.6
7.2
7.6
6.6
49.8
66.7
10.7
51.3
50.2
France15.8
4.3
24.5
2.8
2.9
36.1
47.4
11.9
64.9
64.4
12.4
8.5
30.7
5.6
9.1
49.5
57.2
30.7
59.9
58.5
Korea2.2
15.4
0.8
21.6
1.4
32.1
40.0
16.4
11.0
9.4
South Korea1.5
17.8
3.0
22.6
1.8
33.2
44.9
12.1
12.2
12.2
Singapore2.6
17.4
2.4
14.3
1.1
28.2
36.7
11.9
1.5
1.4
2.3
22.5
4.4
13.4
1.7
32.3
42.6
11.4
1.9
1.9
India5.7
11.5
2.1
13.3
2.8
23.2
32.6
7.9
2.1
1.6
3.3
12.7
3.3
15.3
4.3
22.5
34.6
9.7
2.5
2.0
Hong Kong0.9
11.2
3.2
16.9
3.9
27.5
32.2
14.6
2.2
2.2
China5.0
11.3
3.0
12.3
4.5
20.6
31.6
4.2
15.6
14.6
Australia3.1
7.8
4.8
13.4
7.1
14.4
29.1
12.1
10.6
10.5
Brazil3.5
11.9
0.8
15.0
5.1
19.8
31.2
5.1
11.9
10.1
3.8
10.4
1.4
10.9
5.0
16.8
26.5
2.6
8.4
8.1
Australia6.2
7.4
4.5
12.3
6.0
14.3
30.4
11.8
17.5
17.2
China4.2
12.2
2.4
11.2
3.8
25.7
30.0
3.9
12.6
13.2
Taiwan0.7
7.4
3.2
12.6
1.6
18.7
23.9
13.0
0.1
0.1
Netherlands8.8
9.9
6.2
4.4
2.1
14.2
29.3
7.7
29.5
29.3
6.8
9.0
3.2
4.7
3.7
14.7
23.7
8.6
28.4
28.3
Hong Kong0.9
10.3
2.7
13.4
4.9
24.4
27.3
12.9
2.3
1.9
Canada3.2
4.0
9.9
5.2
2.8
15.5
22.3
13.8
5.3
6.2
Switzerland1.9
13.1
1.2
4.8
0.7
17.2
21.0
5.5
20.8
20.7
1.4
13.9
1.1
3.6
1.6
5.1
20.0
6.0
19.7
19.6
Canada4.2
4.5
5.8
6.2
2.2
8.9
20.7
13.9
6.6
6.8
Taiwan0.9
5.8
1.7
11.4
1.9
15.4
19.8
12.6
0.1
0.1
Italy2.4
8.5
1.3
1.0
3.8
5.9
13.2
2.7
66.0
63.6
3.4
11.0
0.8
1.6
7.9
10.5
16.8
2.5
51.3
51.5


(1)Non-bank financial institutions.
(2)Included in total outstanding.
(3)Total outstanding includes cross-border claims on third parties, as well as local country assets. Cross-border claims on third parties include cross-border loans, securities, deposits with banks and other monetary assets, as well as net revaluation gains on foreign exchange and derivative products.

(4)Commitments (not included in total outstanding) include legally binding cross-border letters of credit and other commitments and contingencies as defined by the FFIEC guidelines. The FFIEC definition of commitments includes commitments to local residents to be funded with local currency liabilities originated within the country.
(5)CDSCredit default swaps (CDS) are not included in total outstanding.


SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES
This section contains a summary of Citi’s most significant accounting policies and accounting standards that have been issued, but are not yet effective.policies. Note 1 to the Consolidated Financial Statements contains a summary of all of Citigroup’s significant accounting policies, including a discussion of recently adopted accounting pronouncements.policies. These policies, as well as estimates made by management, are integral to the presentation of Citi’s results of operations and financial condition. While all of these policies require a certain level of management judgment and estimates, this section highlights and discusses the significant accounting policies that require management to make highly difficult, complex or subjective judgments and estimates at times regarding matters that are inherently uncertain and susceptible to change (see also “Risk Factors—Operational Risks” above). Management has discussed each of these significant accounting policies, the related estimates and its judgments with the Audit Committee of the Citigroup Board of Directors.


Valuations of Financial Instruments
Citigroup holds debt and equity securities, derivatives, retained interests in securitizations, investments in private equity and other financial instruments. Substantially all of
these assets and liabilities are reflected at fair value on Citi’s
Consolidated Balance Sheet.
Citi purchases securities under agreements to
resell (reverse repos) and sells securities under agreements
to repurchase (repos), a majority of which are carried at
fair value. In addition, certain loans, short-term borrowings,
long-term debt and deposits, as well as certain securities
borrowed and loaned positions that are collateralized with
cash, are carried at fair value. Citigroup holds its investments, trading assets and liabilities, and resale and repurchase agreements on the Consolidated Balance Sheet to meet customer needs and to manage liquidity needs, interest rate risks and private equity investing.
When available, Citi generally uses quoted market prices to determine fair value and classifies such items within Level 1 of the fair value hierarchy established under ASC 820-10, Fair Value Measurement. If quoted market prices are not available, fair value is based upon internally developed valuation models that use, where possible, current market-based or independently sourced market parameters, such as interest rates, currency rates and option volatilities. Such models are often based on a discounted cash flow analysis. In addition, items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified under the fair value hierarchy as Level 3 even though there may be some significant inputs that are readily observable.
Citi is required to exercise subjective judgments relating to the applicability and functionality of internal valuation models, the significance of inputs or value drivers to the valuation of an instrument and the degree of illiquidity and subsequent lack of observability in certain markets. These
judgments have the potential to impact the Company’s financial performance for instruments where the changes in
fair value are recognized in either the Consolidated Statement of Income or in AOCI.AOCI.
Moreover, for certain investments, decreases in fair value are only recognized in earnings in the Consolidated Statement of Income if such decreases are judged to be an other-than-temporary impairment (OTTI). Adjudicating the temporary nature of fair value impairments is also inherently judgmental.
The fair value of financial instruments incorporates the effects of Citi’s own credit risk and the market view of counterparty credit risk, the quantification of which is also complex and judgmental. For additional information on Citi’s fair value analysis, see Notes 1, 6, 24 and 25 to the Consolidated Financial Statements.


Allowance for Credit Losses
Management provides reserves for an estimate of probable losses inherent in the funded loan portfolio and in unfunded loan commitments and standby letters of credit on the Consolidated Balance Sheet in the Allowance for loan losses and in Other liabilities, respectively.
Estimates of these probable losses are based upon (i) Citigroup’s internal system of credit-risk ratings that are analogous to the risk ratings of the major credit rating agencies and (ii) historical default and loss data, including rating agency information regarding default rates from 1983 to 20162017 and internal data dating to the early 1970s on severity of losses in the event of default. Adjustments may be made to this data, including (i) statistically calculated estimates to cover the historical fluctuation of the default rates over the credit cycle, the historical variability of loss severity among defaulted loans and the degree to which there are large obligor concentrations in the global portfolio and (ii) adjustments made for specifically known items, such as current environmental factors and credit trends.
In addition, representatives from both the risk management and finance staffs who cover business areas with delinquency-managed portfolios containing smaller balance homogeneous loans present their recommended reserve balances based upon leading credit indicators, including loan delinquencies and changes in portfolio size, as well as economic trends, including housing prices, unemployment and GDP. This methodology is applied separately for each individual product within each geographic region in which these portfolios exist.
This evaluation process is subject to numerous estimates and judgments. The frequency of default, risk ratings, loss recovery rates, the size and diversity of individual large credits and the ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account during this review. Changes in these estimates could have a direct impact on Citi’s credit costs and the allowance in any period.

For a further description of the loan loss reserve and related accounts, see Notes 1 and 15 to the Consolidated Financial Statements.

For a discussion of the recently adopted CECL accounting pronouncement, see Note 1 to the Consolidated Financial Statements.

Goodwill
Citi tests goodwill for impairment annually on July 1 (the annual test) and through interim assessments between annual tests (the interim test) if an event occurs or circumstances change that would more-likely-than-not reduce the fair value of a reporting unit below its carrying amount, such as a significant adverse change in the business climate, a decision to sell or dispose of all or a significant portion of a reporting unit or a significant decline in Citi’s stock price. During 2017,2019, the annual and interim tests weretest was performed, which resulted in no goodwill impairment as described in Note 16 to the Consolidated Financial Statements.
As of December 31, 2017,2019, Citigroup’s activities are conducted through the Global Consumer Banking and Institutional Clients Group business segments and Corporate/Other. Goodwill impairment testing is performed at the level below the business segment (referred to as a reporting unit). Goodwill is recorded in a business combination under the acquisition method of accounting when the acquisition price is higher than the fair value of net assets, including identifiable intangible assets. At the time a business is acquired, goodwill is allocated to Citi’s applicable reporting units based on relative fair value. Once goodwill has been allocated to the reporting units, it generally no longer retains its identification with a particular acquisition, but instead becomes identified with the reporting unit as a whole. As a result, all of the fair value of each reporting unit is available to support the allocated goodwill. If any significant business reorganization occurs, Citi may reallocate the goodwill.
Consistent with prior years, Citi utilizes allocated equity as a proxy for the carrying value of its reporting units for purposes of goodwill impairment testing. The allocated equity in the reporting units is determined based on the capital the business would require if it were operating as a standalone entity, incorporating sufficient capital to be in compliance with both current and expected regulatory capital requirements, including capital for specifically identified goodwill and intangible assets. The capital allocated to the businesses is incorporated into the annual budget process, which is approved by Citi’s Board of Directors.
Goodwill impairment testing involves management judgment, requiring an assessment of whether the carrying value of the reporting unit can be supported by the fair value of the reporting unit using widely accepted valuation techniques, such as the market approach (earnings multiples and/or transaction multiples) and/or the income approach (discounted cash flow (DCF) method). In applying these methodologies, Citi utilizes a number of factors, including actual operating results, future business plans, economic projections and market data.
Similar to 2016,2018, Citigroup engaged an independent valuation specialist in 20172019 to assist in Citi’s valuation for most ofall the reporting units with goodwill balances, employing both the market approach and the DCF method. For reporting units in which both methods were utilized in 2017, theThe resulting fair values
were relatively consistent and appropriate weighting was given to outputs from both methods.
The DCF method utilized at the time of each impairment test used discount rates that Citi believes adequately reflected the risk and uncertainty in the financial markets in the internally generated cash flow projections. The DCF method employs a capital asset pricing model in estimating the discount rate.
Since none of the Company’s reporting units are publicly traded, individual reporting unit fair-valuefair value determinations cannot be directly correlated to Citigroup’s common stock price. The sum of the fair values of the
reporting units exceeded the overall market capitalization of Citi as of July 1, 2017.2019. However, Citi believes that it is not meaningful to reconcile the sum of the fair values of the Company’s reporting units to its market capitalization due to several factors. The market capitalization of Citigroup reflects the execution risk in a transaction involving Citigroup due to its size. However, the individual reporting units’ fair values are not subject to the same level of execution risk nor a business model that is perceived to be as complex. In addition, the market capitalization of Citigroup does not include consideration of the individual reporting unit’s control premium.
See NoteNotes 1 and 16 to the Consolidated Financial Statements for additional information on goodwill, including the changes in the goodwill balance year-over-year and the reporting unitunits’ goodwill balances as of December 31, 2017.2019.


Income Taxes


Overview
Citi is subject to the income tax laws of the U.S., its states and local municipalities and the non-U.S. jurisdictions in which Citi operates. These tax laws are complex and are subject to differing interpretations by the taxpayer and the relevant governmental taxing authorities. Disputes over interpretations of the tax laws may be subject to review and adjudication by the court systems of the various tax jurisdictions or may be settled with the taxing authority upon audit.
In establishing a provision for income tax expense, Citi must make judgments and interpretations about the application of these inherently complex tax laws. Citi must also make estimates about when in the future certain items will affect taxable income in the various tax jurisdictions, both domestic and foreign. Deferred taxes are recorded for the future consequences of events that have been recognized in the financial statements or tax returns, based upon enacted tax laws and rates. Deferred tax assets (DTAs) are recognized subject to management’s judgment that realization is more-likely-than-not. For example, if it is more-likely-than-not that a carry-forward would expire unused, Citi would set up a valuation allowance against that DTA. Citi has established valuation allowances as described below.
On December 22, 2017, the President signedAs a result of the Tax Cuts and Jobs Act (Tax Reform), reflecting many of the anticipated changes to U.S. corporate taxation, including a lower statutory tax rate of 21%, a quasi-territorial regime and a deemed repatriation of all accumulated earnings and profits of foreign subsidiaries. The new law was generally effective January 1, 2018.

Citi recorded a charge to continuing operations of $22.6 billion in the fourth quarter of 2017, composed of a $12.4 billion remeasurement due to the reduction to the U.S. corporate tax rate and a change to a quasi- territorial tax system, a $7.9 billion valuation allowance against Citi’s FTC carry-forwards and its U.S. residual DTAs related to its non-U.S. branches, and a $2.3 billion reduction in Citi’s FTC carry-forwards related to the deemed repatriation of undistributed earnings of non-U.S. subsidiaries. Quasi-territorial refers to the continued U.S. taxation of non-U.S. branches, with a separate FTC basket for branches, and the application of Global Intangible Low Taxed Income (GILTI) provisions to intangible income (e.g., services income) of non-U.S. subsidiaries. The valuation allowance against FTCs results from the impact of the lower tax rate and the new separate FTC basket for non-U.S. branches, as well as diminished ability under Tax Reform to generate income from sources outside the U.S. to support FTC utilization. Some of the components of the charge are provisional amounts as defined in SAB 118 and therefore will be revised in 2018. For additional information, see Note 1 to the Consolidated Financial Statements.
Citi has an overall domestic loss (ODL) of approximately $52 billion. An ODL allows a company to recharacterize domestic income as income from sources outside the U.S., which enables a taxpayer to use FTC carry-forwards and FTCs generated in future years, assuming the generation of sufficient U.S. taxed income. The change in Tax Reform to allow a taxpayer to elect to recharacterize up to 100% of its domestic source income as non-U.S. source income (up from 50%) is not expected to materially impact the valuation allowance.
Beginningbeginning in 2018, Citi will beis taxed on income generated by its U.S. operations at a federal tax rate of 21%. The effect on itsCiti’s state tax rate is dependent upon how and when the individual states choose to or automatically adopt the various new provisions of the U.S. Internal Revenue Code.
Citi’s non-U.S. branches and subsidiaries will beare subject to tax at their local tax rates. While non-U.S. branches continue to be subject to U.S. taxation, Citi expects no material residual U.S. tax on such earnings since its overall non-U.S. branch tax rate is in excess of 21%. With respect to non-U.S. subsidiaries, dividends from these subsidiaries will be excluded from U.S. taxation. While Citi expects that the majority of itsCiti’s non-U.S. subsidiary earnings may beare classified as GILTI, itGlobal Intangible Low Taxed Income (GILTI), Citi similarly

expects no material residual U.S. tax on such earnings based on its non-U.S. subsidiaries’ local tax rates, which exceed, on average, the GILTI tax rate. Although Citi is still in the process of analyzing the provisions of Tax Reform associated with GILTI, it does not expect a material change in impact. Finally, Citi does not expect the BEAT (BaseBase Erosion Anti-Abuse Tax)Tax (BEAT) to affect its tax provision.
Citi expects that its effective tax rate will be roughly 25% in 2018 with the possibility of lower effective tax rates in subsequent years.

Deferred Tax Assets and Valuation Allowances
DTAs
At December 31, 2017,2019, Citi had net DTAs of $22.5$23.1 billion. In the fourth quarter of 2017,2019, Citi’s DTAs decreasedincreased by $23.0$0.6 billion, driven primarily by the remeasurementrelease of a portion of the valuation allowance related to Tax ReformCiti’s general basket FTC carry-forwards and by earnings, partially offset by an increaselosses in AOCI.AOCI. On a full-year basis, Citi’s DTAs decreased $24.2increased $0.2 billion from $46.7$22.9 billion at December 31, 2016. The decrease in total DTAs year-over-year was2018, primarily due to Tax Reform and earnings,the releases of a portion of the valuation allowance related to Citi’s general basket FTC carry-forwards, partially offset by an increasegains in AOCI.AOCI.
Of Citi’s total net DTAs of $23.1 billion as of December 31, 2019, $10.7 billion, primarily related to tax carry-forwards, was excluded in calculating Citi’s regulatory capital. The amount excluded from Citi’s regulatory capital decreased $0.9 billion in the full year 2019, adjusting for the impact of the valuation allowance releases. Net DTAs arising from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above). For the year ended December 31, 2019, Citi did not have any such DTAs. Accordingly, the remaining $12.4 billion of net DTAs as of December 31, 2019 was not deducted in calculating regulatory capital pursuant to Basel III standards, and was appropriately risk weighted under those rules.
Citi’s total valuation allowance at December 31, 2019 was $6.5 billion, a decrease of $2.8 billion from $9.3 billion at December 31, 2018. The decrease was primarily driven by carry-forward expirations in the FTC branch basket and in a non-U.S. NOL, FTC general basket valuation allowance releases and a reduction in the net U.S. residual DTA related to non-U.S. branches. Citi’s valuation allowance of $6.5 billion is composed of $4.6 billion on its FTC carry-forwards, $0.8 billion on its U.S. residual DTA related to its non-U.S. branches, $1.0 billion on local non-U.S. DTAs and $0.1 billion on state net operating loss and capital loss carry-forwards.
Citi’s valuation allowance of $3.5 billion against FTC carry-forwards relating to its non-U.S. branches decreased by $0.9 billion in 2019, primarily due to the expiration of the 2009 FTC carry-forward. Citi expects that the absolute amount of its $5.7 billion valuation allowance against FTC carry-forwards may growchange in future years as it generates additional FTCs relating to its non-U.S. branches due to theirthe higher overall local tax rate of its non-U.S. branches, reduced by the statutory expiration of FTC carry-forwards. With
Citi’s valuation allowance of $1.1 billion against FTC carry-forwards in its general basket decreased by $0.5 billion, primarily due to actions taken to increase foreign source income in the U.S. and the updated forecast of foreign source income for the FTC carry-forward period. In the fourth quarter of 2019, Citi committed to a plan to move a financing business involving non-U.S. clients and its associated funding to the U.S. The incremental foreign
source income generated by this action over time will more-likely-than-not enable usage of FTC carry-forwards of $0.2 billion. See Note 9 to the Consolidated Financial Statements. As stated above, with respect to the portion of the valuation allowance established on itsCiti’s FTC carry-forwards that are available for use in the general basket, changes in the amount of earnings from sources outside the U.S. could alter the amount of valuation allowance that is eventually needed against such FTCs. Citi continues to look for other actions that may improve foreign source income in the U.S. tax return and thus affect the valuation allowance. These actions can include the relocation of certain businesses to the U.S., each of which can raise client, regulatory or operational challenges. No other actions were deemed prudent and feasible as of December 31, 2019.
Recognized FTCs comprised approximately $7.6$6.3 billion of Citi’s DTAs as of December 31, 2017,2019, compared to approximately $14.2$6.8 billion as of December 31, 2016.2018. The decrease in FTCs year-over-year was primarily due to the use of FTCs against the deemed repatriation under Tax Reform,current-year usage, partially offset by the valuation allowance established as a result of the reduced future corporate tax rate and the change to a quasi-territorial tax system. This represented $6.6 billion of the $24.2 billion decrease in Citi’s overall DTAs noted above.release. The FTC carry-forward periods representperiod represents the most time-sensitive component of Citi’s DTAs.
Citi has an overall domestic loss (ODL) of approximately $39 billion at December 31, 2019, which allows Citi to elect a percentage between 50% and 100% of future years’ domestic source income to be reclassified as foreign source income. (See Note 9 to the Consolidated Financial Statements for a description of the ODL).
Citi believes the U.S. federal and New York stateState and cityCity net operating loss carry-forward period of 20 years provides enough time to fully utilize the net DTAs pertaining to the existing net operating loss carry-forwards. This is due to Citi’s forecast of sufficient U.S. taxable income and the continued taxation of Citi’s non-U.S. income by New York stateState and city.City. Although realization is not assured, Citi believes that the realization of theits recognized net DTAs of $22.5$23.1 billion at December 31, 20172019 is more-likely-than-not, based upon management’s expectations as to future taxable income in the jurisdictions in which the DTAs arise, as well as available tax planning strategies (as defined in ASC Topic 740, Income Taxes) that would be implemented, if necessary, to prevent a carry-forward from expiring.. Citi has concluded that it has the necessary positive evidence to support the realization of its net DTAs after taking its valuation allowances into consideration.
For additional information on Citi’s income taxes, including its income tax provision, tax assets and liabilities and a tabular summary of Citi’s net DTAs balance as of December 31, 20172019 (including the FTCs and applicable expiration dates of the FTCs), see Note 9 to the Consolidated Financial Statements. For additional discussion of the potential impactinformation on Citi’s ability to Citi’suse its DTAs, that could arise from Tax Reform, see “Risk Factors—Strategic Risks” above.

Tax Cuts and Jobs Act
On December 22, 2017, the President signed Tax Reform into law, reflecting changes to U.S. corporate taxation, including a lower statutory tax rate of 21%, a quasi-territorial regime and a deemed repatriation of all accumulated earnings and profits of foreign subsidiaries. The new law was generally effective January 1, 2018.

Citi recorded a one-time, non-cash charge to continuing operations of $22.6 billion in the fourth quarter of 2017, composed of (i) a $12.4 billion remeasurement due to the reduction of the U.S. corporate tax rate and the change to a “quasi-territorial tax system,” (ii) a $7.9 billion valuation allowance against Citi’s FTC carry-forwards and its U.S. residual DTAs related to its non-U.S. branches and (iii) a $2.3 billion reduction in Citi’s FTC carry-forwards related to the deemed repatriation of undistributed earnings of non-U.S. subsidiaries. Of this one-time charge, $16.4 billion was
considered provisional pursuant to Staff Accounting Bulletin (SAB) 118.
Citi completed its accounting for Tax Reform under SAB 118 during the fourth quarter of 2018 and recorded a one-time, non-cash tax benefit of $94 million in Corporate/Other, related to amounts that were considered provisional pursuant to SAB 118.
The table below details the fourth quarter of 2018 changes to Citi’s provisional impact from Tax Reform:

Provisional Impact of Tax Reform
In billions of dollars
Provisional amounts
included in the
2017 Form 10-K
SAB 118 impact to fourth quarter of 2018
tax provision
Quasi-territorial tax system$6.2
$0.2
Valuation allowance7.9
(1.2)
Deemed repatriation2.3
0.9
Total of provisional items$16.4
$(0.1)


2017 Impact of Tax Reform
The table below discloses the as-reported GAAP results for 2018 and 2017, as well as the 2017 adjusted results excluding the one-time 2017 impact of Tax Reform. The table below does not reflect any adjustment to 2018 results.
In millions of dollars, except per share amounts and as otherwise noted
2018
as reported(1)
2017
as reported
2017 one-time impact of
Tax Reform
 
2017
adjusted results(2)
2018 increase (decrease)
vs. 2017 ex-Tax Reform
 
$ Change% Change 
Net income (loss)$18,045
$(6,798)$(22,594) $15,796
$2,249
14% 
Diluted earnings per share:        
  Income (loss) from continuing operations6.69
(2.94)(8.31) 5.37
1.32
25
 
  Net income (loss)6.68
(2.98)(8.31) 5.33
1.35
25
 
  Effective tax rate22.8%129.1 %(9,930)bps29.8% (700)bps
Performance and other metrics:        
  Return on average assets0.94%(0.36)%(120)bps0.84% 10
bps
  Return on average common stockholders’
  equity
9.4
(3.9)(1,090) 7.0
 240
 
  Return on average total stockholders’ equity9.1
(3.0)(1,000) 7.0
 210
 
  Return on average tangible common equity11.0
(4.6)(1,270) 8.1
 290
 
  Dividend payout ratio23.1
(32.2)(5,020) 18.0
 510
 
  Total payout ratio109.1
(213.9)(33,140) 117.5
 840
 

(1)
2018 includes the one-time benefit of $94 million, due to the finalization of the provisional component of the impact based on Citi’s analysis as well as additional guidance received from the U.S. Treasury Department related to Tax Reform, which impacted the tax line within Corporate/Other.
(2)2017 excludes the one-time impact of Tax Reform.

Litigation Accruals
See the discussion in Note 27 to the Consolidated Financial Statements for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.


FUTURE APPLICATION OF ACCOUNTING STANDARDS

Accounting for Financial Instruments—Credit Losses
In June 2016, the FASB issued ASU No. 2016-13, Financial Instruments—Credit Losses(Topic 326). The ASU introduces a new credit loss methodology, Current Expected Credit Losses (CECL), which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity securities and other receivables at the time the financial asset is originated or acquired. The expected credit losses are adjusted each period for changes in expected lifetime credit losses. This methodology replaces the multiple existing impairment methods in current GAAP, which generally require that a loss be incurred before it is recognized. For available-for-sale securities where fair value is less than cost, credit-related impairment, if any, will be recognized through an allowance for credit losses and adjusted each period for changes in credit risk.
The CECL methodology represents a significant change from existing GAAP and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the ASU will depend upon the state of the economy and the nature of Citi’s portfolios at the date of adoption. Based on a preliminary analysis performed in 2017 and the environment and portfolios at that time, the overall impact was estimated to be an approximate 10% to 20% increase in credit reserves as of that time. Moreover, there are still some implementation questions that will need to be resolved that could affect the estimated impact. The ASU will be effective for Citi as of January 1, 2020.

Revenue Recognition
In May 2014, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers, which requires an entity to recognize the amount of revenue to which it expects to be entitled for the transfer of promised goods or services to customers. The Company adopted the guidance as of January 1, 2018 using full retrospective application for all periods presented. There is no material change in timing and amount of revenue recognized associated with the adoption.
The new standard clarified the guidance related to reporting revenue gross as a principal versus net as an agent. The Company has identified transactions, including underwriting activity where Citi is deemed the principal, rather than the agent, which require a gross up of annual revenues and expenses of approximately $1.0 billion. This

change in presentation will not have an impact on Income from continuing operations;however, this standard would have increased Citi’s efficiency ratio by approximately 57 bps for the year ended December 31, 2017. The impact for 2018 is expected to be consistent with 2017.

Lease Accounting
In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842),which is intended to increase transparency and comparability of accounting for lease transactions. The ASU will require lessees to recognize leases on the balance sheet as lease assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting is largely unchanged. The guidance is effective beginning January 1, 2019 with an option to early adopt. The Company does not plan to early adopt the ASU. The Company estimates that upon adoption, its Consolidated Balance Sheet will have an approximate $5 billion increase in assets and liabilities. Additionally, the Company estimates an approximate $200 million increase in retained earnings due to the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions.

Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory, which requires an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. The ASU was effective January 1, 2018. The impact of this standard upon adoption is an increase of DTAs by approximately $0.2 billion, a decrease of retained earnings by approximately $0.2 billion and a decrease of prepaid tax assets by approximately $0.4 billion. 

Subsequent Measurement of Goodwill
In January 2017, the FASB issued ASU No. 2017-04, Intangibles—Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment. The ASU simplifies the subsequent measurement of goodwill impairment by eliminating the requirement to calculate the implied fair value of goodwill (i.e., the current Step 2 of the goodwill impairment test) to measure a goodwill impairment charge. Under the ASU, the impairment test is the comparison of the fair value of a reporting unit with its carrying amount (the current Step 1), with the impairment charge being the deficit in fair value but not exceeding the total amount of goodwill allocated to that reporting unit. The simplified one-step impairment test applies to all reporting units (including those with zero or negative carrying amounts).
The ASU will be effective for Citi as of January 1, 2020, with early adoption permitted. The impact of the ASU will depend upon the performance of the reporting units and the market conditions impacting the fair value of each reporting unit going forward.


Clarifying the Definition of a Business
In January 2017, the FASB issued ASU No. 2017-01, Business Combinations (Topic 805): Clarifying the Definition of a Business. The definition of a business directly and indirectly affects many areas of accounting (e.g., acquisitions, disposals, goodwill and consolidation). The ASU narrows the definition of a business by introducing a quantitative screen as the first step, such that if substantially all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets, the set of transferred assets and activities is not a business. If the set is not scoped out from the quantitative screen, the entity then evaluates whether the set meets the requirement that a business include, at a minimum, an input and a substantive process that together significantly contribute to the ability to create outputs.
The ASU was effective for public entities, including Citi, as of January 1, 2018 with prospective application. The impact of the ASU will depend upon the acquisition and disposal activities of Citi. If fewer transactions qualify as a business, there could be less initial recognition of goodwill, but also less goodwill allocated to disposals.

Changes in Accounting for Pension and Postretirement (Benefit) Expense
In March 2017, the FASB issued ASU No. 2017-07, Compensation—Retirement Benefits (Topic 715): Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost,which changes the income statement presentation of net benefit expense and requires restating the Company’s financial statements for each of the earlier periods presented in Citi’s annual and interim financial statements. The change in presentation was effective for annual and interim periods starting January 1, 2018. The ASU requires that only the service cost component of net benefit expense be included in Compensation and benefits on the income statement.  The other components of net benefit expense will be required to be presented outside of Compensation and benefits and will be presented in Other operating expense.  Since both of these income statement line items are part of Operating expenses, total Operating expenses will not change, nor will there be any change in Net income. This change in presentation is not expected to have a material effect on Compensation and benefits and Other operating expenses and will be applied prospectively. The components of the net benefit expense are currently disclosed in Note 7 to the Consolidated Financial Statements.
 The new standard also changes the components of net benefit expense that are eligible for capitalization when employee costs are capitalized in connection with various activities, such as internally developed software, construction-in-progress, and loan origination costs. Prospectively from January 1, 2018, only the service cost component of net benefit expense may be capitalized.  Existing capitalized balances are not affected. This change in amounts eligible for capitalization is not expected to have a material effect on the Company’s Consolidated Financial Statements and related disclosures.
Hedging
In August 2017, the FASB issued ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities, which will better align an entity’s risk management activities and financial reporting for hedging relationships through changes to the designation and measurement guidance for qualifying hedging relationships and the presentation of hedge results.  The mandatory effective date for calendar year-end public companies is January 1, 2019, but the amendments may be early adopted in any interim or annual period after issuance. The targeted improvements in the ASU will allow Citi increased flexibility to structure hedges of fixed- and floating-rate instruments and will allow a one-time transfer of certain pre-payable debt securities from HTM to AFS.  Application of the ASU is expected to better reflect the economics of Citi’s risk management activities and will also reduce the volatility associated with foreign currency hedging. The ASU requires the change in the fair value of the hedging instrument to be presented in the same income statement line as the hedged item and also requires expanded disclosures. Citi adopted this standard on January 1, 2018 and transferred approximately $4 billion of HTM securities into AFS classification as permitted as a one-time transfer under the standard. The impact to opening retained earnings was immaterial.

See Note 1 to the Consolidated Financial Statements for a discussion of “Accounting Changes.”


DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of December 31, 2017 and, based2019. Based on that evaluation, the CEO and CFO have concluded that at that date Citigroup’s disclosure controls and procedures were effective.




MANAGEMENT’S ANNUAL REPORT ON INTERNAL CONTROL OVER FINANCIAL REPORTING


Citi’s management is responsible for establishing and maintaining adequate internal control over financial reporting. Citi’s internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of its financial reporting and the preparation of financial statements for external reporting purposes in accordance with U.S. generally accepted accounting principles. Citi’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of Citi’s assets, (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles and that Citi’s receipts and expenditures are made only in accordance with authorizations of Citi’s management and directors and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of Citi’s assets that could have a material effect on its financial statements.
 


Because of its inherent limitations, internal control over financial reporting may not prevent or detect all misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions or that the degree of compliance with the policies or procedures may deteriorate. In addition, given Citi’s large size, complex operations and global footprint, lapses or deficiencies in internal controls may occur from time to time.
Citi’s management assessed the effectiveness of Citigroup’s internal control over financial reporting as of December 31, 20172019 based on the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-IntegratedControl—Integrated Framework (2013). Based on this assessment, management believes that, as of December 31, 2017,2019, Citi’s internal control over financial reporting was effective. In addition, there were no changes in Citi’s internal control over financial reporting during the fiscal quarter ended December 31, 20172019 that materially affected, or are reasonably likely to materially affect, Citi’s internal control over financial reporting.
The effectiveness of Citi’s internal control over financial reporting as of December 31, 20172019 has been audited by KPMG LLP, Citi’s independent registered public accounting firm, as stated in their report below, which expressed an unqualified opinion on the effectiveness of Citi’s internal control over financial reporting as of December 31, 2017.2019.




FORWARD-LOOKING STATEMENTS


Certain statements in this Form 10-K, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the U.S. Securities and Exchange Commission (SEC).SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.
Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events.
Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, target illustrate,and illustrative, and similar expressions or future or conditional verbs such as will, should, would and could.
Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within each individual business’s discussion and analysis of its results of operations and (ii) the factors listed and described under “Risk Factors” above.
Any forward-looking statements made by or on behalf of Citigroup speak only as to the date they are made, and Citi does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the date the forward-looking statements were made.






REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—
INTERNAL CONTROL OVER FINANCIAL REPORTINGFIRM
kpmgpica12.jpg


The
To the Stockholders and Board of Directors and Stockholders
Citigroup Inc.:


OpinionOpinions on the Consolidated Financial Statements and Internal Control Over Financial Reporting
We have audited the accompanying consolidated balance sheet of Citigroup Inc. and subsidiaries’subsidiaries (the “Company”)Company) as of December 31, 2019 and 2018, the related consolidated statements of income, comprehensive income, changes in stockholders’ equity and cash flows for each of the years in the three-year period ended December 31, 2019, and the related notes (collectively, the consolidated financial statements). We also have audited the Company’s internal control over financial reporting as of December 31, 2017,2019, based on criteria established inInternal Control - Control—Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission.
In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of the Company as of December 31, 2019 and 2018, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2019, in conformity with U.S. generally accepted accounting principles. Also in our opinion, the Company maintained, in all material respects, effective internal control over financial reporting as of December 31, 2017,2019 based on criteria established in Internal Control -Control— Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”), the consolidated balance sheet of the Company as of December 31, 2017 and 2016, the related consolidated statements of income, comprehensive income, stockholders’ equity, and cash flows for each of the years in the three-year period ended December 31, 2017, and the related notes (collectively, the “consolidated financial statements”), and our report dated February 23, 2018 expressed an unqualified opinion on those consolidated financial statements.


Basis for OpinionOpinions
The Company’s management is responsible for these consolidated financial statements, for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying management’s annual report on internal control over financial reporting. Our responsibility is to express an opinion on the Company’s consolidated financial statements and an opinion on the Company’s internal control over financial reporting based on our audit.audits. We are a public accounting firm registered with the PCAOBPublic Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our auditaudits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the auditaudits to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud, and whether effective internal control over financial reporting was maintained in all material respects.





Our audits of the consolidated financial statements included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our auditaudits also included performing such other procedures as we considered necessary in the circumstances. We believe that our audit providesaudits provide a reasonable basis for our opinion.
opinions.





Definition and Limitations of Internal Control Over Financial Reporting
A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the company’s assets that could have a material effect on the financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.



Critical Audit Matters
The critical audit matters communicated below are matters arising from the current period audit of the consolidated financial statements that were communicated or required to be communicated to the audit committee and that: (1) relate to accounts or disclosures that are material to the consolidated financial statements and (2) involved our especially challenging, subjective, or complex judgments. The communication of critical audit matters does not alter in any way our opinion on the consolidated financial statements, taken as a whole, and we are not, by communicating the critical audit matters below, providing separate opinions on the critical audit matters or on the accounts or disclosures to which they relate.

Assessment of the fair value of hard-to-price financial instruments
As described in Notes 1, 6, 24 and 25 to the consolidated financial statements, the Company’s financial assets and liabilities recorded at fair value on a recurring basis were $1,148.7 billion and $615.5 billion, respectively at December 31, 2019. Financial instruments which are measured at fair value using valuation techniques, inclusive of complex internal valuation models or alternative pricing procedures with significant unobservable inputs, represent all Level 3 assets and liabilities ($8.0 billion and $23.0 billion, respectively) and certain Level 2 assets and liabilities (collectively, hard-to-price financial instruments). The Company estimated the fair value of hard-to-price financial instruments utilizing various valuation techniques including, but not limited to, internal valuation models, price-based or comparables analysis and discounted cash flows.
We identified the assessment of the fair value for hard-to-price financial instruments as a critical audit matter, as the assessment involved complex auditor judgment. In particular, there was a high level of subjectivity in the evaluation of the key assumptions and estimates utilized for prices and/or inputs that are not readily observable in the current market and complex internally developed valuation techniques and/or models were used. This assessment encompassed the evaluation of the fair value estimate methodologies, including the Company’s key assumptions and inputs such as interest rate, price, yield, credit spread, volatilities, correlations and forward prices. This also included an evaluation of the underlying models for mathematical accuracy and assessing if the models are appropriate to value the financial instruments.
The following are the primary procedures we performed to address this critical audit matter. We tested internal controls over hard-to-price financial instruments, including pricing methodologies and valuation techniques, and key inputs and assumptions to determine the fair value. We tested the Company’s process to develop the fair value estimate. This included performing an assessment of the key policies and methodologies used in the fair value determination. We involved valuation professionals with industry knowledge and experience
who assisted in challenging the models’ significant prices, inputs and assumptions that are not readily observable and which are used in the fair value determination, by testing the reliability of the process used by the Company to determine fair value and evaluating that:

the key assumptions and/or inputs reflected those which a market participant would use to determine an exit price in the current market environment;
the valuation models used were mathematically accurate and appropriate to value the financial instruments; and
relevant information that was reasonably available was considered in the fair value determination.

We involved valuation professionals with industry knowledge and experience who assisted in developing an independent fair value estimate for certain financial instruments based on independently developed valuation models and/or assumptions and comparing to the Company’s fair value measurements.

Assessment of the allowance for loan losses collectively evaluated for impairment
As discussed in Notes 1 and 15 to the consolidated financial statements, the Company’s allowance for loan losses related to loans collectively evaluated for impairment (ALL) was $11.3 billion as of December 31, 2019. The Company estimated this ALL for consumer loans utilizing a migration analysis, in which historical delinquency and credit loss experience is applied to the current aging of the portfolio, together with analyses that reflect economic conditions. For corporate loans, the ALL was determined using a statistical model considering the portfolio’s size, remaining tenor and credit quality as measured by internal risk ratings assigned to individual credit facilities, which reflect probability of default and loss given default. The statistical model and migration analysis were each supplemented by qualitative assessments.
We identified the assessment of the ALL as a critical audit matter, as the assessment involved significant measurement uncertainty requiring complex auditor judgment, and knowledge and experience in the industry. This assessment encompassed the evaluation of the various components of the ALL methodology, including certain key assumptions and inputs for the Company’s quantitative and qualitative assessments. Key assumptions and inputs for consumer loans included historical credit losses, delinquency status and the manner in which they are applied within a migration analysis. For corporate loans, key assumptions and inputs included internal risk ratings, probability of default and loss given default considered in the statistical model.
The following are the primary procedures we performed to address this critical audit matter. We tested certain internal controls over (1) the approval of the ALL methodologies and (2) the determination of the key

assumptions and inputs used to estimate the quantitative and qualitative assessments. We evaluated the Company’s process to develop the ALL estimate by testing certain sources of data, factors and assumptions that the Company used and considered the relevance and reliability of such data, factors and assumptions. We assessed the methodologies used to develop the resulting qualitative assessments and the effect of those assessments on the ALL compared with credit trends. We involved credit risk professionals with industry knowledge and experience who assisted in:

reviewing the Company’s ALL methodologies and key assumptions for compliance with U.S. generally accepted accounting principles;
testing the key assumptions and inputs in the consumer loans migration analysis and corporate loans statistical model; and
evaluating the qualitative assessments of the ALL.

We tested corporate loan internal risk ratings for a selection of credit facilities by (1) involving credit risk professionals with industry knowledge and risk rating experience to assist in evaluating the appropriateness of the internal risk ratings and (2) testing the historical accuracy of internal risk ratings compared to prior periods.

Assessment of the realizability of deferred tax assets, specifically as it relates to foreign tax credits
As discussed in Notes 1 and 9 to the consolidated financial statements, the Company’s net deferred tax assets (DTA) were $23.1 billion as of December 31, 2019. This balance is net of a valuation allowance of $6.5 billion recorded by the Company. The estimation of the DTA for foreign tax credits (FTCs) and related valuation allowance was $10.9 billion and $4.6 billion respectively. The Company evaluated the realization of the DTA for FTCs to determine whether there was more than a 50% likelihood that the DTA for FTCs would be realized, based primarily on the Company’s expectations of future taxable income in each relevant jurisdiction, available tax planning strategies and timing of tax credit expirations.
We identified the assessment of the realizability of the DTA for FTCs as a critical audit matter, as the
assessment involved complex auditor judgment and knowledge of global tax regulations. This assessment encompassed the evaluation of the Company’s estimations that are complex due to its global structure and subjective, given the Company’s assumptions used to determine that sufficient taxable income will be generated or tax planning strategies implemented to support the realization of the DTA for FTCs before expiration of foreign tax credits.
The following are the primary procedures we performed to address this critical audit matter. We tested certain internal controls over the Company’s analysis of the realizability of the DTA for FTCs, including future taxable income and tax planning strategies. We tested the Company’s process to develop the valuation allowance estimate. This included performing an assessment of the key policies and methodologies used in the valuation allowance determination. We involved income tax professionals with FTC knowledge and experience, including resources from our national office, who assisted in assessing:

the assumptions used to determine the Company’s future taxable income, including the interpretation of the various tax laws and regulations and the source and character of future taxable income;
the timing of tax credit expirations; and
the prudence and feasibility of tax planning strategies.

We performed sensitivity analyses over the Company’s expectations of future taxable income and timing of tax credit expirations.



/s/ KPMG LLP

We have served as the Company’s auditor since 1969.

New York, New York
February 23, 201821, 2020











































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REPORT
FINANCIAL STATEMENTS AND NOTES TABLE OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Income—
For the Years Ended December 31, 2019, 2018 and 2017
124
Consolidated Statement of Comprehensive Income—
For the Years Ended December 31, 2019, 2018 and 2017
125
Consolidated Balance Sheet—December 31, 2019 and 2018
126
Consolidated Statement of Changes in Stockholders’ Equity—For the Years Ended December 31, 2019, 2018 and 2017
128
Consolidated Statement of Cash Flows—
For the Years Ended December 31, 2019, 2018 and 2017
130

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Note 1—Summary of Significant Accounting Policies
132
Note 2—Discontinued Operations and Significant Disposals
145
Note 3—Business Segments
146
Note 4—Interest Revenue and Expense
147
Note 5—Commissions and Fees; Administration and Other
                  Fiduciary Fees
148
Note 6—Principal Transactions
151
Note 7—Incentive Plans
152
Note 8—Retirement Benefits
156
Note 9—Income Taxes
168
Note 10—Earnings per Share
172
Note 11—Securities Borrowed, Loaned and
Subject to Repurchase Agreements
173
Note 12—Brokerage Receivables and Brokerage Payables
176
Note 13—Investments
177
Note 14—Loans
190
Note 15—Allowance for Credit Losses
201


Note 16—Goodwill and Intangible Assets
204
Note 17—Debt
206
Note 18—Regulatory Capital
208
Note 19—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
209
Note 20—Preferred Stock
212
Note 21—Securitizations and Variable Interest Entities
214
Note 22—Derivatives
226
Note 23—Concentrations of Credit Risk
242
Note 24—Fair Value Measurement
243
Note 25—Fair Value Elections
264
Note 26—Pledged Assets, Collateral, Guarantees and
                   Commitments
268
Note 27—Contingencies
276
Note 28—Condensed Consolidating Financial Statements
283
Note 29—Selected Quarterly Financial Data (Unaudited)
292


CONSOLIDATED FINANCIAL STATEMENTS

The Board of Directors and Stockholders
Citigroup Inc.:

Opinion on the Consolidated Financial Statements
We have audited the accompanying consolidated balance sheet of Citigroup Inc. and subsidiaries (the “Company”) as of December 31, 2017 and 2016, and the related consolidated statements of income, comprehensive income, changes in stockholders’ equity and cash flows for each of the years in the three-year period ended December 31, 2017, and the related notes (collectively, the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Company as of December 31, 2017 and 2016, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2017, in conformity with U.S. generally accepted accounting principles.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”), the Company’s internal control over financial reporting as of December 31, 2017, based on criteria established in Internal Control-Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission, and our report dated February 23, 2018 expressed an unqualified opinion on the effectiveness of the Company’s internal control over financial reporting.








Basis for Opinion
These consolidated financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on these consolidated financial statements based on our audits. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence supporting the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. We believe that our audits provide a reasonable basis for our opinion.



/s/ KPMG LLP

We have served as the Company’s auditor since 1969.

New York, New York
February 23, 2018



FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Income—
For the Years Ended December 31, 2017, 2016 and 2015
132
Consolidated Statement of Comprehensive Income—
For the Years Ended December 31, 2017, 2016 and 2015
133
Consolidated Balance Sheet—December 31, 2017 and 2016
134
Consolidated Statement of Changes in Stockholders’ Equity—For the Years Ended December 31, 2017, 2016 and 2015
136
Consolidated Statement of Cash Flows—
For the Years Ended December 31, 2017, 2016 and 2015
138

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Note 1—Summary of Significant Accounting Policies
140
Note 2—Discontinued Operations and Significant Disposals
151
Note 3—Business Segments
153
Note 4—Interest Revenue and Expense
154
Note 5—Commissions and Fees
155
Note 6—Principal Transactions
156
Note 7—Incentive Plans
157
Note 8—Retirement Benefits
161
Note 9—Income Taxes
174
Note 10—Earnings per Share
178
Note 11—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
179
Note 12—Brokerage Receivables and Brokerage Payables
183
Note 13—Investments
184
Note 14—Loans
196
Note 15—Allowance for Credit Losses
208


Note 16—Goodwill and Intangible Assets
211
Note 17—Debt
214
Note 18—Regulatory Capital
216
Note 19—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
217
Note 20—Preferred Stock
220
Note 21—Securitizations and Variable Interest Entities
221
Note 22—Derivatives Activities
233
Note 23—Concentrations of Credit Risk
248
Note 24—Fair Value Measurement
249
Note 25—Fair Value Elections
271
Note 26—Pledged Assets, Collateral, Guarantees and
                   Commitments
275
Note 27—Contingencies
282
Note 28—Condensed Consolidating Financial Statements
290
Note 29—Selected Quarterly Financial Data (Unaudited)
300


CONSOLIDATED FINANCIAL STATEMENTS

CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries

CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries

CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries
Years ended December 31,Years ended December 31,
In millions of dollars, except per share amounts201720162015201920182017
Revenues(1)
 
 
 
 
 
 
Interest revenue$61,204
$57,615
$58,551
$76,510
$70,828
$61,579
Interest expense16,517
12,511
11,921
29,163
24,266
16,518
Net interest revenue$44,687
$45,104
$46,630
$47,347
$46,562
$45,061
Commissions and fees$12,939
$11,938
$14,485
$11,746
$11,857
$12,707
Principal transactions9,168
7,585
6,008
8,892
8,905
8,940
Administration and other fiduciary fees3,079
2,783
2,856
3,411
3,580
3,584
Realized gains on sales of investments, net778
948
682
1,474
421
778
Other-than-temporary impairment losses on investments 
 
 
Gross impairment losses(63)(620)(265)
Less: Impairments recognized in AOCI—
—
—
Net impairment losses recognized in earnings$(63)$(620)$(265)$(32)$(132)$(63)
Other revenue$861
$2,137
$5,958
$1,448
$1,661
$1,437
Total non-interest revenues$26,762
$24,771
$29,724
$26,939
$26,292
$27,383
Total revenues, net of interest expense$71,449
$69,875
$76,354
$74,286
$72,854
$72,444
Provisions for credit losses and for benefits and claims 
 
 
 
 
 
Provision for loan losses$7,503
$6,749
$7,108
$8,218
$7,354
$7,503
Policyholder benefits and claims109
204
731
73
101
109
Provision (release) for unfunded lending commitments(161)29
74
92
113
(161)
Total provisions for credit losses and for benefits and claims$7,451
$6,982
$7,913
$8,383
$7,568
$7,451
Operating expenses(1)
 
 
 
Operating expenses 
 
 
Compensation and benefits$21,181
$20,970
$21,769
$21,433
$21,154
$21,181
Premises and equipment2,453
2,542
2,878
2,328
2,324
2,453
Technology/communication6,891
6,685
6,581
7,077
7,193
6,909
Advertising and marketing1,608
1,632
1,547
1,516
1,545
1,608
Other operating9,104
9,587
10,840
9,648
9,625
10,081
Total operating expenses$41,237
$41,416
$43,615
$42,002
$41,841
$42,232
Income from continuing operations before income taxes$22,761
$21,477
$24,826
$23,901
$23,445
$22,761
Provision for income taxes (benefits)29,388
6,444
7,440
Provision for income taxes4,430
5,357
29,388
Income (loss) from continuing operations$(6,627)$15,033
$17,386
$19,471
$18,088
$(6,627)
Discontinued operations 
 
 
 
 
 
Loss from discontinued operations$(104)$(80)$(83)$(31)$(26)$(104)
Provision (benefit) for income taxes7
(22)(29)(27)(18)7
Loss from discontinued operations, net of taxes$(111)$(58)$(54)$(4)$(8)$(111)
Net income (loss) before attribution of noncontrolling interests$(6,738)$14,975
$17,332
$19,467
$18,080
$(6,738)
Noncontrolling interests60
63
90
66
35
60
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
$19,401
$18,045
$(6,798)
Basic earnings per share(2)
 
 
 
Basic earnings per share(1)
 
 
 
Income (loss) from continuing operations
$(2.94)$4.74
$5.43
$8.08
$6.69
$(2.94)
Loss from discontinued operations, net of taxes(0.04)(0.02)(0.02)—
—
(0.04)
Net income (loss)$(2.98)$4.72
$5.41
$8.08
$6.69
$(2.98)
Weighted average common shares outstanding2,698.5
2,888.1
3,004.0
Weighted average common shares outstanding (in millions)
2,249.2
2,493.3
2,698.5


CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries


Diluted earnings per share(2)
 
 
 
CONSOLIDATED STATEMENT OF INCOME (Continued) 
Citigroup Inc. and Subsidiaries

 
Years ended December 31,
In millions of dollars, except per share amounts201920182017
Diluted earnings per share(1)
 
 
 
Income (loss) from continuing operations
$(2.94)$4.74
$5.42
$8.04
$6.69
$(2.94)
Income (loss) from discontinued operations, net of taxes(0.04)(0.02)(0.02)—
—
(0.04)
Net income (loss)$(2.98)$4.72
$5.40
$8.04
$6.68
$(2.98)
Adjusted weighted average common shares outstanding2,698.5
2,888.3
3,007.7
Adjusted weighted average common shares outstanding
(in millions)
2,265.3
2,494.8
2,698.5


(1)Certain prior-period revenue and expense lines and totals were reclassified to conform to the current period’s presentation. See Note 3 to the Consolidated Financial Statements.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.




CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME Citigroup Inc. and Subsidiaries
Years ended December 31,Years ended December 31,
In millions of dollars201720162015201920182017
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
$19,401
$18,045
$(6,798)
Add: Citigroup’s other comprehensive income (loss)



 
 
Net change in unrealized gains and losses on investment securities, net of taxes$(863)$108
$(964)
Net change in unrealized gains and losses on debt securities, net of taxes(1)(2)
$1,985
$(1,089)$(863)
Net change in debt valuation adjustment (DVA), net of taxes(1)
(569)(337)—
(1,136)1,113
(569)
Net change in cash flow hedges, net of taxes(138)57
292
851
(30)(138)
Benefit plans liability adjustment, net of taxes(2)(3)
(1,019)(48)43
(552)(74)(1,019)
Net change in foreign currency translation adjustment, net of taxes and hedges(202)(2,802)(5,499)(321)(2,362)(202)
Citigroup’s total other comprehensive income (loss)(3)
$(2,791)$(3,022)$(6,128)
Net change in excluded component of fair value hedges, net of taxes

25
(57)—
Citigroup’s total other comprehensive income (loss)(4)
$852
$(2,499)$(2,791)
Citigroup’s total comprehensive income (loss)

$(9,589)$11,890
$11,114
$20,253
$15,546
$(9,589)
Add: Other comprehensive income (loss) attributable to noncontrolling interests$114
$(56)$(83)$—
$(43)$114
Add: Net income attributable to noncontrolling interests60
63
90
66
35
60
Total comprehensive income (loss)$(9,415)$11,897
$11,121
$20,319
$15,538
$(9,415)

(1)    See Note 1 to the Consolidated Financial Statements.
(2)For the years ended December 31, 2019 and 2018, amounts represent the net change in unrealized gains and losses on available-for-sale (AFS) debt securities. Effective January 1, 2018, the AFS category was eliminated for equity securities under ASU 2016-01.
(2)(3)    See Note 8 to the Consolidated Financial Statements.
(3)
(4)Includes the impact of ASU 2018-02, adopted in the fourth quarter of 2017. See Note 1 to the Consolidated Financial Statements.




The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.




CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries
December 31,December 31,
In millions of dollars2017201620192018
Assets 
 
 
 
Cash and due from banks$23,775
$23,043
Cash and due from banks (including segregated cash and other deposits)$23,967
$23,645
Deposits with banks156,741
137,451
169,952
164,460
Federal funds sold and securities borrowed or purchased under agreements to resell (including $132,949 and $133,204 as of December 31, 2017 and December 31, 2016, respectively, at fair value)232,478
236,813
Securities borrowed and purchased under agreements to resell (including $153,193 and $147,701 as of December 31, 2019 and 2018, respectively, at fair value)251,322
270,684
Brokerage receivables38,384
28,887
39,857
35,450
Trading account assets (including $99,460 and $80,986 pledged to creditors at December 31, 2017 and December 31, 2016, respectively)251,556
243,925
Trading account assets (including $120,236 and $112,932 pledged to creditors at December 31, 2019 and 2018, respectively)276,140
256,117
Investments:  
Available for sale (including $9,493 and $8,239 pledged to creditors as of December 31, 2017 and December 31, 2016, respectively)290,914
299,424
Held to maturity (including $435 and $843 pledged to creditors as of December 31, 2017 and December 31, 2016, respectively)53,320
45,667
Non-marketable equity securities (including $1,206 and $1,774 at fair value as of December 31, 2017 and December 31, 2016, respectively)8,056
8,213
Available-for-sale debt securities (including $8,721 and $9,284 pledged to creditors as of December 31, 2019 and 2018, respectively)280,265
288,038
Held-to-maturity debt securities (including $1,923 and $971 pledged to creditors as of December 31, 2019 and 2018, respectively)80,775
63,357
Equity securities (including $1,162 and $1,109 as of December 31, 2019 and 2018, respectively, at fair value)7,523
7,212
Total investments$352,290
$353,304
$368,563
$358,607
Loans: 
 
 
 
Consumer (including $25 and $29 as of December 31, 2017 and December 31, 2016, respectively, at fair value)333,656
325,063
Corporate (including $4,349 and $3,457 as of December 31, 2017 and December 31, 2016, respectively, at fair value)333,378
299,306
Consumer (including $18 and $20 as of December 31, 2019 and 2018, respectively, at fair value)309,548
302,360
Corporate (including $4,067 and $3,203 as of December 31, 2019 and 2018, respectively, at fair value)389,935
381,836
Loans, net of unearned income$667,034
$624,369
$699,483
$684,196
Allowance for loan losses(12,355)(12,060)(12,783)(12,315)
Total loans, net$654,679
$612,309
$686,700
$671,881
Goodwill22,256
21,659
22,126
22,046
Intangible assets (other than MSRs)4,588
5,114
Mortgage servicing rights (MSRs)558
1,564
Other assets (including $19,793 and $15,729 as of December 31, 2017 and December 31, 2016, respectively, at fair value)105,160
128,008
Intangible assets (including MSRs of $495 and $584 as of December 31, 2019 and 2018,
respectively, at fair value)
4,822
5,220
Other assets (including $12,830 and $20,788 as of December 31, 2019 and 2018, respectively,
at fair value)
107,709
109,273
Total assets$1,842,465
$1,792,077
$1,951,158
$1,917,383


The following table presents certain assets of consolidated variable interest entities (VIEs), which are included inon the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally,In addition, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.

December 31,December 31,
In millions of dollars2017201620192018
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
 
 
Cash and due from banks$52
$142
$108
$270
Trading account assets1,129
602
6,719
917
Investments2,498
3,636
1,295
1,796
Loans, net of unearned income 
 
 
 
Consumer54,656
53,401
46,977
49,403
Corporate19,835
20,121
16,175
19,259
Loans, net of unearned income$74,491
$73,522
$63,152
$68,662
Allowance for loan losses(1,930)(1,769)(1,841)(1,852)
Total loans, net$72,561
$71,753
$61,311
$66,810
Other assets154
158
73
151
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$76,394
$76,291
$69,506
$69,944
Statement continues on the next page.

CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
(Continued)
December 31,December 31,
In millions of dollars, except shares and per share amounts2017201620192018
Liabilities 
 
 
 
Non-interest-bearing deposits in U.S. offices$126,880
$136,698
$98,811
$105,836
Interest-bearing deposits in U.S. offices (including $303 and $434 as of December 31, 2017 and December 31, 2016, respectively, at fair value)318,613
300,972
Interest-bearing deposits in U.S. offices (including $1,624 and $717 as of December 31, 2019 and 2018, respectively, at fair value)401,418
361,573
Non-interest-bearing deposits in offices outside the U.S.87,440
77,616
85,692
80,648
Interest-bearing deposits in offices outside the U.S. (including $1,162 and $778 as of December 31, 2017 and December 31, 2016, respectively, at fair value)426,889
414,120
Interest-bearing deposits in offices outside the U.S. (including $695 and $758 as of December 31, 2019 and 2018, respectively, at fair value)484,669
465,113
Total deposits$959,822
$929,406
$1,070,590
$1,013,170
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $40,638 and $33,663 as of December 31, 2017 and December 31, 2016, respectively, at fair value)156,277
141,821
Securities loaned and sold under agreements to repurchase (including $40,651 and $44,510 as of December 31, 2019 and 2018, respectively, at fair value)166,339
177,768
Brokerage payables61,342
57,152
48,601
64,571
Trading account liabilities124,047
139,045
119,894
144,305
Short-term borrowings (including $4,627 and $2,700 as of December 31, 2017 and December 31, 2016, respectively, at fair value)44,452
30,701
Long-term debt (including $31,392 and $26,254 as of December 31, 2017 and December 31, 2016, respectively, at fair value)236,709
206,178
Other liabilities (including $15,084 and $10,796 as of December 31, 2017 and December 31, 2016, respectively, at fair value)58,144
61,631
Short-term borrowings (including $4,946 and $4,483 as of December 31, 2019 and 2018, respectively,
at fair value)
45,049
32,346
Long-term debt (including $55,783 and $38,229 as of December 31, 2019 and 2018, respectively,
at fair value)
248,760
231,999
Other liabilities (including $6,343 and $15,906 as of December 31, 2019 and 2018, respectively,
at fair value)
57,979
56,150
Total liabilities$1,640,793
$1,565,934
$1,757,212
$1,720,309
Stockholders’ equity 
 
 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of December 31, 2017 and December 31, 2016, at aggregate liquidation value
$19,253
$19,253
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,523,273 and 3,099,482,042 as of December 31, 2017 and December 31, 2016, respectively
31
31
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 719,200 as of December 31, 2019 and 738,400 as of December 31, 2018, at aggregate liquidation value
$17,980
$18,460
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,602,856 as of December 31, 2019 and 3,099,567,177 as of December 31, 2018
31
31
Additional paid-in capital108,008
108,042
107,840
107,922
Retained earnings138,425
146,477
165,369
151,347
Treasury stock, at cost: December 31, 2017—529,614,728 shares and December 31, 2016—327,090,192 shares
(30,309)(16,302)
Accumulated other comprehensive income (loss)(34,668)(32,381)
Treasury stock, at cost: 985,479,501 shares as of December 31, 2019 and 731,099,833 shares as of
December 31, 2018
(61,660)(44,370)
Accumulated other comprehensive income (loss) (AOCI)(36,318)(37,170)
Total Citigroup stockholders’ equity$200,740
$225,120
$193,242
$196,220
Noncontrolling interest932
1,023
704
854
Total equity$201,672
$226,143
$193,946
$197,074
Total liabilities and equity$1,842,465
$1,792,077
$1,951,158
$1,917,383


The following table presents certain liabilities of consolidated VIEs, which are included inon the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.

December 31,December 31,
In millions of dollars2017201620192018
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup 
 
 
 
Short-term borrowings$10,079
$10,697
$10,031
$13,134
Long-term debt30,492
23,919
25,582
28,514
Other liabilities611
1,275
917
697
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup$41,182
$35,891
$36,530
$42,345
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.


CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY Citigroup Inc. and Subsidiaries
 Years ended December 31,
 AmountsShares
In millions of dollars, except shares in thousands201920182017201920182017
Preferred stock at aggregate liquidation value 
 
 
 
 
 
Balance, beginning of year$18,460
$19,253
$19,253
738
770
770
Issuance of new preferred stock1,500
—
—
60
—
—
Redemption of preferred stock(1,980)(793)—
(79)(32)—
Balance, end of period$17,980
$18,460
$19,253
719
738
770
Common stock and additional paid-in capital  
 
 
 
 
Balance, beginning of year$107,953
$108,039
$108,073
3,099,567
3,099,523
3,099,482
Employee benefit plans(112)(94)(27)36
44
41
Preferred stock issuance expense(4)—
—
—
—
—
Other34
8
(7)—
—
—
Balance, end of period$107,871
$107,953
$108,039
3,099,603
3,099,567
3,099,523
Retained earnings  
 
 
 
 
Balance, beginning of year$151,347
$138,425
$146,477
   
Adjustment to opening balance, net of taxes(1)
151
(84)(660)   
Adjusted balance, beginning of period$151,498
$138,341
$145,817
 
 
 
Citigroup’s net income (loss)19,401
18,045
(6,798) 
 
 
Common dividends(2)
(4,403)(3,865)(2,595) 
 
 
Preferred dividends(1,109)(1,174)(1,213) 
 
 
Impact of Tax Reform related to AOCI reclassification(3)
—
—
3,304
 
 
 
Other(4)
(18)—
(90)   
Balance, end of period$165,369
$151,347
$138,425
 
 
 
Treasury stock, at cost  
 
 
 
 
Balance, beginning of year$(44,370)$(30,309)$(16,302)(731,100)(529,615)(327,090)
Employee benefit plans(5)
585
484
531
9,872
10,557
11,651
Treasury stock acquired(6)
(17,875)(14,545)(14,538)(264,252)(212,042)(214,176)
Balance, end of period$(61,660)$(44,370)$(30,309)(985,480)(731,100)(529,615)
Citigroup’s accumulated other comprehensive income (loss)  
 
 
 
 
Balance, beginning of year$(37,170)$(34,668)$(32,381) 
 
 
Adjustment to opening balance, net of taxes(1)
—
(3)504
   
Adjusted balance, beginning of period$(37,170)$(34,671)$(31,877)   
Citigroup’s total other comprehensive income (loss)(3)
852
(2,499)(2,791) 
 
 
Balance, end of period$(36,318)$(37,170)$(34,668) 
 
 
Total Citigroup common stockholders’ equity$175,262
$177,760
$181,487
2,114,123
2,368,467
2,569,908
Total Citigroup stockholders’ equity$193,242
$196,220
$200,740
   
Noncontrolling interests  
 
 
 
 
Balance, beginning of year$854
$932
$1,023
 
 
 
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary—
—
(28)   
Transactions between Citigroup and the noncontrolling-interest shareholders(169)(50)(121) 
 
 
Net income attributable to noncontrolling-interest shareholders66
35
60
 
 
 
Distributions paid to noncontrolling-interest shareholders(40)(38)(44) 
 
 
Other comprehensive income (loss) attributable to
   noncontrolling-interest shareholders
—
(43)114
 
 
 
Other(7)18
(72) 
 
 
Net change in noncontrolling interests$(150)$(78)$(91) 
 
 
Balance, end of period$704
$854
$932
 
 
 
Total equity$193,946
$197,074
$201,672
   
 Years ended December 31,
 AmountsShares
In millions of dollars, except shares in thousands201720162015201720162015
Preferred stock at aggregate liquidation value 
 
 
 
 
 
Balance, beginning of year$19,253
$16,718
$10,468
770
669
419
Issuance of new preferred stock—
2,535
6,250
—
101
250
Balance, end of period$19,253
$19,253
$16,718
770
770
669
Common stock and additional paid-in capital 
 
 
 
 
 
Balance, beginning of year$108,073
$108,319
$108,010
3,099,482
3,099,482
3,082,038
Employee benefit plans(27)(251)357
41
—
17,438
Preferred stock issuance expense—
(37)(23)—
—
—
Other(7)42
(25)—
—
6
Balance, end of period$108,039
$108,073
$108,319
3,099,523
3,099,482
3,099,482
Retained earnings 
 
 
 
 
 
Balance, beginning of year$146,477
$133,841
$117,852
   
Adjustment to opening balance, net of taxes(1)
(660)15
—
   
Adjusted balance, beginning of period$145,817
$133,856
$117,852
 
 
 
Citigroup’s net income (loss)(6,798)14,912
17,242
 
 
 
Common dividends(2)
(2,595)(1,214)(484) 
 
 
Preferred dividends(1,213)(1,077)(769) 
 
 
Impact of Tax Reform related to AOCI reclassification(3)
3,304
—
—
 
 
 
Other(4)
(90)—
—
   
Balance, end of period$138,425
$146,477
$133,841
 
 
 
Treasury stock, at cost 
 
 
 
 
 
Balance, beginning of year$(16,302)$(7,677)$(2,929)(327,090)(146,203)(58,119)
Employee benefit plans(5)
531
826
704
11,651
14,256
13,318
Treasury stock acquired(6)
(14,538)(9,451)(5,452)(214,176)(195,143)(101,402)
Balance, end of period$(30,309)$(16,302)$(7,677)(529,615)(327,090)(146,203)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
 
 
Balance, beginning of year$(32,381)$(29,344)$(23,216) 
 
 
Adjustment to opening balance, net of taxes(1)
504
(15)—
   
Adjusted balance, beginning of period$(31,877)$(29,359)$(23,216)   
Citigroup’s total other comprehensive income (loss)(3)
(2,791)(3,022)(6,128) 
 
 
Balance, end of period$(34,668)$(32,381)$(29,344) 
 
 
Total Citigroup common stockholders’ equity$181,487
$205,867
$205,139
2,569,908
2,772,392
2,953,279
Total Citigroup stockholders’ equity$200,740
$225,120
$221,857
 
 
 
Noncontrolling interests 
 
 
 
 
 
Balance, beginning of year$1,023
$1,235
$1,511
 
 
 
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary(28)(11)—
   
Transactions between Citigroup and the noncontrolling-interest shareholders(121)(130)(164) 
 
 
Net income attributable to noncontrolling-interest shareholders60
63
90
 
 
 
Dividends paid to noncontrolling-interest shareholders(44)(42)(78) 
 
 
Other comprehensive income (loss) attributable to
   noncontrolling-interest shareholders
114
(56)(83) 
 
 
Other(72)(36)(41) 
 
 
Net change in noncontrolling interests$(91)$(212)$(276) 
 
 
Balance, end of period$932
$1,023
$1,235
 
 
 
Total equity$201,672
$226,143
$223,092
   


(1)See Note 1 to the Consolidated Financial Statements.Statements for additional details.
(2)Common dividends declared were $0.16$0.45 per share in the first and second quarters of 2019 and $0.51 per share in the third and fourth quarters of 2019; $0.32 per share in the first and second quarters of 2018 and $0.45 per share in the third and fourth quarters of 2018; and $0.16 in the first and second quarters of 2017 and $0.32 per share in the third and fourth quarters of 2017; $0.05 per share in the first and second quarters and $0.16 per share in the third and fourth quarters of 2016; and $0.01 in the first quarter and $0.05 per share in the second, third and fourth quarters of 2015.2017.
(3)
Includes the impact of ASU 2018-02, which transferred those amounts from AOCI to 2017 Retained earnings. See Notes 1 and 19 to the Consolidated Financial Statements.
(4) Includes the impact of ASU No. 2016-09.
(4)
2017 includes the impact of ASU No. 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. See Note 1 to the Consolidated Financial Statements.
(5)Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee-restrictedemployee restricted or deferred-stockdeferred stock programs where shares are withheld to satisfy tax requirements.
(6)For 2017, 2016 and 2015, primarilyPrimarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.


The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.


CONSOLIDATED STATEMENT OF CASH FLOWS Citigroup Inc. and Subsidiaries
Years ended December 31,Years ended December 31,
In millions of dollars201720162015201920182017
Cash flows from operating activities of continuing operations 
 
 
 
 
 
Net income (loss) before attribution of noncontrolling interests$(6,738)$14,975
$17,332
Net income before attribution of noncontrolling interests$19,467
$18,080
$(6,738)
Net income attributable to noncontrolling interests60
63
90
66
35
60
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
Citigroup’s net income$19,401
$18,045
$(6,798)
Loss from discontinued operations, net of taxes(111)(58)(54)(4)(8)(111)
Income (loss) from continuing operations—excluding noncontrolling interests$(6,687)$14,970
$17,296
$19,405
$18,053
$(6,687)
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations 
 
 
Net gains on significant disposals(1)
(602)(404)(3,210)—
(247)(602)
Depreciation and amortization3,659
3,720
3,506
3,905
3,754
3,659
Deferred tax provision (2)
24,877
1,459
2,794
Deferred income taxes(2)
(610)(51)24,877
Provision for loan losses7,503
6,749
7,108
8,218
7,354
7,503
Realized gains from sales of investments(778)(948)(682)(1,474)(421)(778)
Net impairment losses on investments, goodwill and intangible assets91
621
318
Net impairment losses on investments32
132
91
Change in trading account assets(7,726)(2,710)46,830
(20,124)(3,469)(7,038)
Change in trading account liabilities(14,998)21,533
(21,524)(24,411)19,135
(15,375)
Change in brokerage receivables, net of brokerage payables(5,307)2,226
2,278
Change in loans held-for-sale (HFS)247
6,603
(7,207)
Change in brokerage receivables net of brokerage payables(20,377)6,163
(5,307)
Change in loans HFS(909)770
247
Change in other assets(2,489)(6,859)(32)4,724
(5,791)(3,364)
Change in other liabilities(3,421)(28)(1,135)1,829
(871)(3,044)
Other, net(2,956)7,000
(6,603)16,955
(7,559)(2,956)
Total adjustments$(1,900)$38,962
$22,441
$(32,242)$18,899
$(2,087)
Net cash provided by (used in) operating activities of continuing operations$(8,587)$53,932
$39,737
$(12,837)$36,952
$(8,774)
Cash flows from investing activities of continuing operations 
 
 
 
 
 
Change in deposits with banks$(19,290)$(25,311)$15,488
Change in federal funds sold and securities borrowed or purchased under agreements to resell4,335
(17,138)22,895
Change in securities borrowed and purchased under agreements to resell$19,362
$(38,206)$4,335
Change in loans(58,062)(39,761)1,353
(22,466)(29,002)(58,062)
Proceeds from sales and securitizations of loans8,365
18,140
9,610
2,878
4,549
8,365
Purchases of investments(185,740)(211,402)(242,362)(274,491)(152,487)(185,740)
Proceeds from sales of investments(3)
107,368
132,183
141,470
Proceeds from sales of investments137,173
61,491
107,368
Proceeds from maturities of investments84,369
65,525
82,047
119,051
83,604
84,369
Proceeds from significant disposals(1)
3,411
265
5,932
—
314
3,411
Payments due to transfers of net liabilities associated with significant disposals(1)(4)
—
—
(18,929)
Capital expenditures on premises and equipment and capitalized software(3,361)(2,756)(3,198)(5,336)(3,774)(3,361)
Proceeds from sales of premises and equipment, subsidiaries and affiliates
and repossessed assets
377
667
577
259
212
377
Net cash provided by (used in) investing activities of continuing operations$(58,228)$(79,588)$14,883
Other, net196
181
187
Net cash used in investing activities of continuing operations$(23,374)$(73,118)$(38,751)
Cash flows from financing activities of continuing operations 
 
 
 
 
 
Dividends paid$(3,797)$(2,287)$(1,253)$(5,447)$(5,020)$(3,797)
Issuance of preferred stock—
2,498
6,227
1,496
—
—
Redemption of preferred stock(1,980)(793)—
Treasury stock acquired(14,541)(9,290)(5,452)(17,571)(14,433)(14,541)
Stock tendered for payment of withholding taxes(405)(316)(428)(364)(482)(405)
Change in federal funds purchased and securities loaned or sold under agreements to repurchase14,456
(4,675)(26,942)
Change in securities loaned and sold under agreements to repurchase(11,429)21,491
14,456
Issuance of long-term debt67,960
63,806
44,619
59,134
60,655
67,960
Payments and redemptions of long-term debt(40,986)(55,460)(52,843)(51,029)(58,132)(40,986)
Change in deposits30,416
24,394
8,555
57,420
53,348
30,416
Change in short-term borrowings13,751
9,622
(37,256)12,703
(12,106)13,751

Net cash provided by (used in) financing activities of continuing operations$66,854
$28,292
$(64,773)
Effect of exchange rate changes on cash and cash equivalents$693
$(493)$(1,055)
Change in cash and due from banks$732
$2,143
$(11,208)
Cash and due from banks at beginning of period23,043
20,900
32,108
Cash and due from banks at end of period$23,775
$23,043
$20,900
Supplemental disclosure of cash flow information for continuing operations 
 
 
Cash paid during the year for income taxes$2,083
$4,359
$4,978
Cash paid during the year for interest15,675
12,067
12,031
Non-cash investing activities 
 
 
Decrease in net loans associated with significant disposals reclassified to HFS$—
$—
$(9,063)
Decrease in investments associated with significant disposals reclassified to HFS—
—
(1,402)
Decrease in goodwill and intangible assets associated with significant disposals reclassified to HFS—
—
(223)
Decrease in deposits associated with banks with significant disposals reclassified to HFS—
—
(404)
Transfers to loans HFS from loans5,900
13,900
28,600
Transfers to OREO and other repossessed assets113
165
276
Non-cash financing activities   
Decrease in long-term debt associated with significant disposals reclassified to HFS$—
$—
$(4,673)
CONSOLIDATED STATEMENT OF CASH FLOWS
(Continued)

Citigroup Inc. and Subsidiaries

 
 Years ended December 31,
In millions of dollars201920182017
Net cash provided by financing activities of continuing operations$42,933
$44,528
$66,854
Effect of exchange rate changes on cash and cash equivalents$(908)$(773)$693
Change in cash, due from banks and deposits with banks$5,814
$7,589
$20,022
Cash, due from banks and deposits with banks at beginning of period(3)
188,105
180,516
160,494
Cash, due from banks and deposits with banks at end of period(3)
$193,919
$188,105
$180,516
Cash and due from banks$23,967
$23,645
$23,775
Deposits with banks169,952
164,460
156,741
Cash, due from banks and deposits with banks at end of period$193,919
$188,105
$180,516
Supplemental disclosure of cash flow information for continuing operations 
 
 
Cash paid during the year for income taxes$4,888
$4,313
$2,083
Cash paid during the year for interest28,682
22,963
15,675
Non-cash investing activities(4)
 
 
 
Transfers to loans HFS (Other assets) from loans
$5,500
$4,200
$5,900


(1)See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
(2)Includes the full impact of the $22.6 billion non-cash charge related to the Tax Cuts and Jobs Act (Tax Reform). in 2017. See Notes 1 and 9 to the Consolidated Financial Statements for further information.
(3) Proceeds for 2016 include approximately $3.3 billion from the sale of Citi’s investment in China Guangfa Bank.
(3)
Includes the impact of ASU 2016-18, Restricted Cash. See Notes 1 and 26 to the Consolidated Financial Statements.
(4)The payments associated with significant disposals result primarily fromOperating and finance lease right-of-use assets and lease liabilities represent non-cash investing and financing activities, respectively, and are not included in the salenon-cash investing activities presented here. See Note 26 to the Consolidated Financial Statements for more information and balances as of deposit liabilities.December 31, 2019.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.






NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES


Throughout these Notes, “Citigroup,” “Citi” and the “Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications have been made to the prior periods’ financial statements and Notes to conform to the current period’s presentation.


Principles of Consolidation
The Consolidated Financial Statements include the accounts of Citigroup and its subsidiaries prepared in accordance with U.S. generally accepted accounting principles (GAAP). The Company consolidates subsidiaries in which it holds, directly or indirectly, more than 50% of the voting rights or where it exercises control. Entities where the Company holds 20% to 50% of the voting rights and/or has the ability to exercise significant influence, other than investments of designated venture capital subsidiaries or investments accounted for at fair value under the fair value option, are accounted for under the equity method, and the pro rata share of their income (loss) is included in Other revenue. Income from investments in less-than-20%-owned companies is recognized when dividends are received. As discussed in more detail in Note 21 to the Consolidated Financial Statements, Citigroup also consolidates entities deemed to be variable interest entities when Citigroup is determined to be the primary beneficiary. Gains and losses on the disposition of branches, subsidiaries, affiliates, buildings and other investments are included in Other revenue.


Citibank
Citibank, N.A. (Citibank) is a commercial bank and wholly owned subsidiary of Citigroup. Citibank’s principal offerings include consumer finance, mortgage lending and retail banking (including commercial banking) products and services; investment banking, cash management and trade finance; and private banking products and services.


Variable Interest Entities (VIEs)
An entity is a variable interest entity (VIE) if it meets either of the criteria outlined in Accounting Standards Codification (ASC) Topic 810, Consolidation, which are (i) the entity has equity that is insufficient to permit the entity to finance its activities without additional subordinated financial support from other parties, or (ii) the entity has equity investors that cannot make significant decisions about the entity’s operations or that do not absorb their proportionate share of the entity’s expected losses or expected returns.
The Company consolidates a VIE when it has both the power to direct the activities that most significantly impact the VIE’s economic performance and a right to receive benefits or the obligation to absorb losses of the entity that could be potentially significant to the VIE (that is, Citi is the primary beneficiary). In addition to variable interests held in
 
consolidated VIEs, the Company has variable interests in other VIEs that are not consolidated because the Company is not the primary beneficiary.
All unconsolidated VIEs are monitored by the Company to assess whether any events have occurred to cause its primary beneficiary status to change.
All entities not deemed to be VIEs with which the Company has involvement are evaluated for consolidation under other subtopics of ASC 810. See Note 21 to the Consolidated Financial Statements for more detailed information.


Foreign Currency Translation
Assets and liabilities of Citi’s foreign operations are translated from their respective functional currencies into U.S. dollars using period-end spot foreign exchange rates. The effects of those translation adjustments are reported in Accumulated other comprehensive income (loss), a component of stockholders’ equity, net of any related hedge and tax effects, until realized upon sale or substantial liquidation of the foreign operation.operation, at which point such amounts related to the foreign entity are reclassified into earnings. Revenues and expenses of Citi’s foreign operations are translated monthly from their respective functional currencies into U.S. dollars at amounts that approximate weighted average exchange rates.
For transactions that are denominated in a currency other than the functional currency, including transactions denominated in the local currencies of foreign operations that use the U.S. dollar as their functional currency, the effects of changes in exchange rates are primarily included in Principal transactions, along with the related effects of any economic hedges. Instruments used to hedge foreign currency exposures include foreign currency forward, option and swap contracts and, in certain instances, designated issues of non-U.S. dollar debt. Foreign operations in countries with highly inflationary economies designate the U.S. dollar as their functional currency, with the effects of changes in exchange rates primarily included in Other revenue.


Investment Securities
Investments include fixed incomedebt and equity securities. Fixed income instrumentsDebt securities include bonds, notes and redeemable preferred stocks, as well as certain loan-backed and structured securities that are subject to prepayment risk. Equity securities include common and nonredeemable preferred stock.
Investment securities are classified and accounted for as follows:

Debt Securities

•
Debt securities classified as “held-to-maturity” are securities that the Company has both the ability and the intent to hold until maturity and are carried at amortized cost. Interest income on such securities is included in Interest revenue.
Fixed income securities classified as “held-to-maturity” are securities that the Company has both the ability and the intent to hold until maturity and are carried at amortized cost. Interest income on such securities is included in Interest revenue.
Fixed income securities and marketable equityDebt securities classified as “available-for-sale” are carried at fair value with changes in fair value reported

in Accumulated other comprehensive income (loss), a component of

stockholders’ equity, net of applicable income taxes and hedges. Realized gains and losses on sales are included in income primarily on a specific identification cost basis. Interest and dividend income on such securities is included in Interest revenue.
Certain investments in non-marketable
Equity Securities

Marketable equity securities are measured at fair value with changes in fair value recognized in earnings.
Non-marketable equity securities are measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost. Non-marketable equity securities under the measurement alternative are carried at cost plus or minus changes resulting from observed prices for orderly transactions for the identical or a similar investment of the same issuer.
Certain investments that would otherwise have been accounted for using the equity method are carried at fair value with changes in fair value recognized in earnings, since the Company has elected to apply fair value accounting. Changes in fair value of such investments are recorded in earnings.
Certain non-marketable equity securities are carried at cost.


For investments in fixed incomedebt securities classified as held-to-maturityHTM or available-for-sale,AFS, the accrual of interest income is suspended for investments that are in default or for which it is likely that future interest payments will not be made as scheduled.
InvestmentDebt securities not measured at fair value through earnings, such as securities held in HTM or AFS, and equity securities under the measurement alternative, are subject to evaluation for other-than-temporary impairment as described in Note 13 to the Consolidated Financial Statements. Realized gains and losses on sales of investments are included in earnings, primarily on a specific identification basis.
The Company uses a number of valuation techniques for investments carried at fair value, which are described in Note 24 to the Consolidated Financial Statements. Realized gains and losses on sales of investments are included in earnings.


Trading Account Assets and Liabilities
Trading account assets include debt and marketable equity securities, derivatives in a receivable position, residual interests in securitizations and physical commodities inventory. In addition, as described in Note 25 to the Consolidated Financial Statements, certain assets that Citigroup has elected to carry at fair value under the fair value option, such as loans and purchased guarantees, are also included in Trading account assets.
Trading account liabilities include securities sold, not yet purchased (short positions) and derivatives in a net payable position, as well as certain liabilities that Citigroup has elected to carry at fair value (as described in Note 25 to the Consolidated Financial Statements).
Other than physical commodities inventory, all trading account assets and liabilities are carried at fair value. Revenues generated from trading assets and trading liabilities are generally reported in Principal transactions and include realized gains and losses as well as unrealized
gains and losses resulting from changes in the fair value of such instruments. Interest income on trading assets is recorded in Interest revenue reduced by interest expense on trading liabilities.
Physical commodities inventory is carried at the lower of cost or market with related losses reported in Principal transactions. Realized gains and losses on sales of commodities inventory are included in Principal transactions. Investments in unallocated precious metals accounts (gold, silver, platinum and palladium) are accounted for as hybrid instruments containing a debt host contract and an embedded non-financial derivative
instrument indexed to the price of the relevant precious metal. The embedded derivative instrument is separated from the debt host contract and accounted for at fair value. The debt host contract is carried at fair value under the fair value option, as described in Note 25 to the Consolidated Financial Statements.
Derivatives used for trading purposes include interest rate, currency, equity, credit and commodity swap agreements, options, caps and floors, warrants, and financial and commodity futures and forward contracts. Derivative asset and liability positions are presented net by counterparty on the Consolidated Balance Sheet when a valid master netting agreement exists and the other conditions set out in ASC Topic 210-20, Balance Sheet—Offsetting, are met. See Note 22 to the Consolidated Financial Statements.
The Company uses a number of techniques to determine the fair value of trading assets and liabilities, which are described in Note 24 to the Consolidated Financial Statements.


Securities Borrowed and Securities Loaned
Securities borrowing and lending transactions do not constitute a sale of the underlying securities for accounting purposes and are treated as collateralized financing transactions. Such transactions are recorded at the amount of proceeds advanced or received plus accrued interest. As described in Note 25 to the Consolidated Financial Statements, the Company has elected to apply fair value accounting to a number of securities borrowing and lending transactions. Fees paid or received for all securities lending and borrowing transactions are recorded in Interest expense or Interest revenue at the contractually specified rate.
The Company monitors the fair value of securities borrowed or loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
As described in Note 24 to the Consolidated Financial Statements, the Company uses a discounted cash flow technique to determine the fair value of securities lending and borrowing transactions.


Repurchase and Resale Agreements
Securities sold under agreements to repurchase (repos) and securities purchased under agreements to resell (reverse repos) do not constitute a sale (or purchase) of the underlying securities for accounting purposes and are treated as collateralized financing transactions. As described in Note

25 to the Consolidated Financial Statements, the Company has elected to apply fair value accounting to the majoritycertain of such transactions, with changes in fair value reported in earnings. Any transactions for which fair value accounting has not been elected are recorded at the amount of cash advanced or received plus accrued interest. Irrespective of whether the Company has elected fair value accounting, interest paid or received on all repo and reverse repo transactions is recorded in Interest expense or Interest revenue at the contractually specified rate.
Where the conditions of ASC 210-20-45-11, Balance Sheet—Offsetting: Repurchase and Reverse Repurchase

Agreements, are met, repos and reverse repos are presented net on the Consolidated Balance Sheet.
The Company’s policy is to take possession of securities purchased under reverse repurchase agreements. The Company monitors the fair value of securities subject to repurchase or resale on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
As described in Note 24 to the Consolidated Financial Statements, the Company uses a discounted cash flow technique to determine the fair value of repo and reverse repo transactions.


Loans
Loans are reported at their outstanding principal balances net of any unearned income and unamortized deferred fees and costs, except thatfor credit card receivable balances, alsowhich include accrued interest and fees. Loan origination fees and certain direct origination costs are generally deferred and recognized as adjustments to income over the lives of the related loans.
As described in Note 25 to the Consolidated Financial Statements, Citi has elected fair value accounting for certain loans. Such loans are carried at fair value with changes in fair value reported in earnings. Interest income on such loans is recorded in Interest revenue at the contractually specified rate.
Loans that are held-for-investment are classified as Loans, net of unearned income on the Consolidated Balance Sheet, and the related cash flows are included within the cash flows from investing activities category in the Consolidated Statement of Cash Flows on the line Change in loans. However, when the initial intent for holding a loan has changed from held-for-investment to HFS,held-for-sale (HFS), the loan is reclassified to held-for-sale,HFS, but the related cash flows continue to be reported in cash flows from investing activities in the Consolidated Statement of Cash Flows on the line Proceeds from sales and securitizations of loans.


Consumer Loans
Consumer loans represent loans and leases managed primarily by the Global Consumer Banking (GCB) businesses and Corporate/Other.


Consumer Non-accrual and Re-aging Policies
As a general rule, interest accrual ceases for installment and real estate (both open- and closed-end) loans when payments
are 90 days contractually past due. For credit cards and other unsecured revolving loans, however, Citi generally accrues interest until payments are 180 days past due. As a result of OCC guidance, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is 90 days or more past due. Also as a result of OCC guidance, mortgage loans in regulated bank entities are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy, other than FHA-insured loans, are classified as non-accrual. Commercial market loans are placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the
collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due.Federal Housing Administration (FHA)-insured loans.
Loans that have been modified to grant a concession to a borrower in financial difficulty may not be accruing interest at the time of the modification. The policy for returning such modified loans to accrual status varies by product and/or region. In most cases, a minimum number of payments (ranging from one1 to six)6) is required, while in other cases the loan is never returned to accrual status. For regulated bank entities, such modified loans are returned to accrual status if a credit evaluation at the time of, or subsequent to, the modification indicates the borrower is able to meet the restructured terms, and the borrower is current and has demonstrated a reasonable period of sustained payment performance (minimum six months of consecutive payments).
For U.S. consumer loans, generally one of the conditions to qualify for modification is that a minimum number of payments (typically ranging from one1 to three)3) must be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open-ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for the loan to be re-aged to current status is that at least three3 consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, Federal Housing Administration (FHA)FHA and Department of Veterans Affairs (VA) loans may only be modified under those respective agencies’ guidelines, and payments are not always required in order to re-age a modified loan to current.


Consumer Charge-Off Policies
Citi’s charge-off policies follow the general guidelines below:


Unsecured installment loans are charged off at 120 days contractually past due.
Unsecured revolving loans and credit card loans are charged off at 180 days contractually past due.
Loans secured with non-real estate collateral are written down to the estimated value of the collateral, less costs to sell, at 120 days contractually past due.
Real estate-secured loans are written down to the estimated value of the property, less costs to sell, at 180 days contractually past due.

Real estate-secured loans arecharged off no later than 180 days contractually past due if a decision has been made not to foreclose on the loans.
•
Real estate-secured loans arecharged off no later than 180 days contractually past due if a decision has been made not to foreclose on the loans.
Unsecured loans in bankruptcy are charged off within 60 days of notification of filing by the bankruptcy court or in accordance with Citi’s charge-off policy, whichever occurs earlier.

Real estate-secured loans in bankruptcy, other than FHA-insured loans, are written down to the estimated value of the property, less costs to sell, within 60 days of notification that the borrower has filed for bankruptcy or in accordance with Citi’s charge-off policy, whichever is earlier.
Commercial marketbanking loans are written down to the extent that principal is judged to be uncollectable.


Corporate Loans
Corporate loans represent loans and leases managed by Institutional Clients Group (ICG)(ICG). Corporate loans are identified as impaired and placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired corporate loans and leases is reversed at 90 days past due and charged against current earnings, and interest is thereafter included in earnings only to the extent actually received in cash. When there is doubt regarding the ultimate collectability of principal, all cash receipts are thereafter applied to reduce the recorded investment in the loan.
Impaired corporate loans and leases are written down to the extent that principal is deemed to be uncollectable. Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral and there are no other available and reliable sources of repayment, are written down to the lower of costcarrying value or collateral value. Cash-basis loans are returned to accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance in accordance with the contractual terms.


Loans Held-for-Sale
Corporate and consumer loans that have been identified for sale are classified as loans held-for-saleHFS and included in Other assets. The practice of Citi’s U.S. prime mortgage business has been to sell substantially all of its conforming loans. As such, U.S. prime mortgage conforming loans are classified as held-for-saleHFS and the fair value option is elected at origination, with changes in fair value recorded in Other revenue. With the exception of those loans for which the fair value option has been elected, held-for-saleHFS loans are accounted for at the lower of cost or market value, with any write-downs or subsequent recoveries charged to Other revenue. The related cash flows are classified in the Consolidated Statement of Cash Flows in the cash flows from operating activities category on the line Change in loans held-for-sale.

 
Allowance for Loan Losses
Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, including probable losses related to large individually evaluated impaired loans and troubled debt restructurings. Attribution of the allowance is made for analytical purposes only, and the entire allowance is available to absorb probable loan losses inherent in the overall portfolio. Additions to the allowance are made through the Provision for loan losses. Loan losses are deducted from the allowance and subsequent recoveries are added. Assets received in exchange for loan claims in a restructuring are initially recorded at fair value, with any gain or loss reflected as a recovery or charge-off toin the provision.


Consumer Loans
For consumer loans, each portfolio of non-modified smaller-balance homogeneous loans is independently evaluated for impairment by product type (e.g., residential mortgage, credit card, etc.) in accordance with ASC 450, Contingencies. The allowance for loan losses attributed to these loans is established via a process that estimates the probable losses inherent in the specific portfolio. This process includes migration analysis, in which historical delinquency and credit loss experience is applied to the current aging of the portfolio, together with analyses that reflect current and anticipated economic conditions, including changes in housing prices and unemployment trends. Citi’s allowance for loan losses under ASC 450 only considers contractual principal amounts due, except for credit card loans, where estimated loss amounts related to accrued interest receivable are also included.
Management also considers overall portfolio indicators, including historical credit losses,losses; delinquent, non-performing and classified loans,loans; trends in volumes and terms of loans,loans; an evaluation of overall credit quality,quality; the credit process, including lending policies and procedures,procedures; and economic, geographical, product and other environmental factors.
Separate valuation allowances are determined for impaired smaller-balance homogeneous loans whose terms have been modified in a troubled debt restructuring (TDR). Long-term modification programs, and short-term (less than 12 months) modifications that provide concessions (such as interest rate reductions) to borrowers in financial difficulty, are reported as TDRs. In addition, loan modifications that involve a trial period are reported as TDRs at the start of the trial period. The allowance for loan losses for TDRs is determined in accordance with ASC 310-10-35, Receivables—Subsequent Measurement, considering all available evidence, including, as appropriate, the present value of the expected future cash flows discounted at the loan’s original contractual effective rate, the secondary market value of the loan and the fair value of collateral less disposal costs. These expected cash flows incorporate modification program default rate assumptions. The original contractual effective rate for credit card loans is the pre-modification rate, which may include interest rate increases under the original contractual agreement with the borrower.


Valuation allowances for commercial market loans, which are classifiably managed consumer loans, are determined in the same manner as for corporate loans and are described in more detail in the following section. Generally, an asset-specific component is calculated under ASC 310-10-35 on an individual basis for larger-balance, non-homogeneous loans that are considered impaired, and the allowance for the remainder of the classifiably managed consumer loan portfolio is calculated under ASC 450 using a statistical methodology that may be supplemented by management adjustment.

Corporate Loans
In the corporate portfolios, the Allowance for loan losses includes an asset-specific component and a statistically based component. The asset-specific component is calculated under ASC 310-10-35 for larger-balance, non-homogeneous loans that are considered impaired. An asset-specific allowance is established when the discounted cash flows, collateral value (less disposal costs) or observable market price of the impaired loan are lower than its carrying value. This allowance considers the borrower’s overall financial condition, resources and payment record, the prospects for support from any financially responsible guarantors (discussed further below) and, if appropriate, the realizable value of any collateral. The asset-specific component of the allowance for smaller-balance impaired loans is calculated on a pool basis considering historical loss experience.
The allowance for the remainder of the loan portfolio is determined under ASC 450 using a statistical methodology, supplemented by management judgment. The statistical analysis considers the portfolio’s size, remaining tenor and credit quality as measured by internal risk ratings assigned to individual credit facilities, which reflect probability of default and loss given default. The statistical analysis considers historical default rates and historical loss severity in the event of default, including historical average levels and historical variability. The result is an estimated range for inherent losses. The best estimate within the range is then determined by management’s quantitative and qualitative assessment of current conditions, including general economic conditions, specific industry and geographic trends and internal factors including portfolio concentrations, trends in internal credit quality indicators and current and past underwriting standards.
For both the asset-specific and the statistically based components of the Allowance for loan losses, management may incorporate guarantor support. The financial wherewithal of the guarantor is evaluated, as applicable, based on net worth, cash flow statements and personal or company financial statements, which are updated and reviewed at least annually. Citi seeks performance on guarantee arrangements in the normal course of business. Seeking performance entails obtaining satisfactory cooperation from the guarantor or borrower in the specific situation. This regular cooperation is indicative of pursuit and successful enforcement of the guarantee; the exposure is reduced without the expense and burden of pursuing a legal
remedy. A guarantor’s reputation and willingness to work with Citigroup isare evaluated based on the historical experience with the guarantor and the knowledge of the marketplace. In the rare event that the guarantor is unwilling or unable to perform or facilitate borrower cooperation, Citi pursues a legal remedy; however, enforcing a guarantee via legal action against the guarantor is not the primary means of resolving a troubled loan situation and rarely occurs. If Citi does not pursue a legal remedy, it is because Citi does not believe that the guarantor has the financial wherewithal to perform regardless of legal action or because there are legal limitations on simultaneously pursuing guarantors and
foreclosure. A guarantor’s reputation does not impact Citi’s decision or ability to seek performance under the guarantee.
In cases where a guarantee is a factor in the assessment of loan losses, it is included via adjustment to the loan’s internal risk rating, which in turn is the basis for the adjustment to the statistically based component of the Allowance for loan losses. To date, it is only in rare circumstances that an impaired commercial loan or commercial real estate loan is carried at a value in excess of the appraised value due to a guarantee.
When Citi’s monitoring of the loan indicates that the guarantor’s wherewithal to pay is uncertain or has deteriorated, there is either no change in the risk rating, because the guarantor’s credit support was never initially factored in, or the risk rating is adjusted to reflect that uncertainty or deterioration. Accordingly, a guarantor’s ultimate failure to perform or a lack of legal enforcement of the guarantee does not materially impact the allowance for loan losses, as there is typically no further significant adjustment of the loan’s risk rating at that time. Where Citi is not seeking performance under the guarantee contract, it provides for loan losses as if the loans were non-performing and not guaranteed.


Reserve Estimates and Policies
Management provides reserves for an estimate of probable losses inherent in the funded loan portfolio on the Consolidated Balance Sheet in the form of an allowance for loan losses. These reserves are established in accordance with Citigroup’s credit reserve policies, as approved by the Audit Committee of the Citigroup Board of Directors. Citi’s Chief Risk Officer and Chief Financial Officer review the adequacy of the credit loss reserves each quarter with representatives from the risk management and finance staffs for each applicable business area. Applicable business areas include those having classifiably managed portfolios, where internal credit-risk ratings are assigned (primarily ICG and GCB) or modified consumer loans, where concessions were granted due to the borrowers’ financial difficulties.
The above-mentionedaforementioned representatives for these business areas present recommended reserve balances for their funded and unfunded lending portfolios along with supporting quantitative and qualitative data discussed below:



Estimated probable losses for non-performing, non-homogeneous exposures within a business line’s classifiably managed portfolio and impaired smaller-balance homogeneous loans whose terms have been modified due to the borrowers’ financial difficulties, where it was determined that a concession was granted to the borrower. Consideration may be given to the following, as appropriate, when determining this estimate: (i) the present value of expected future cash flows discounted at the loan’s original effective rate, (ii) the borrower’s overall financial condition, resources and payment record and (iii) the prospects for support from financially responsible guarantors or the realizable value of any collateral. In the determination of the allowance for loan losses for TDRs, management considers a combination of historical re-default rates, the current

economic environment and the nature of the modification program when forecasting expected cash flows. When impairment is measured based on the present value of expected future cash flows, the entire change in present value is recorded in Provision for loan losses.


Statistically calculated losses inherent in the classifiably managed portfolio for performing and de minimis non-performing exposures. The calculation is based on (i) Citi’s internal system of credit-risk ratings, which are analogous to the risk ratings of the major rating agencies, and (ii) historical default and loss data, including rating agency information regarding default rates from 1983 to 20162017 and internal data dating to the early 1970s on severity of losses in the event of default. Adjustments may be made to this data. Such adjustments include (i) statistically calculated estimates to cover the historical fluctuation of the default rates over the credit cycle, the historical variability of loss severity among defaulted loans and the degree to which there are large obligor concentrations in the global portfolio and (ii) adjustments made for specific known items, such as current environmental factors and credit trends.
In addition, representatives from each of the risk management and finance staffs thatwho cover business areas with delinquency-managed portfolios containing smaller-balance homogeneous loans present their recommended reserve balances based on leading credit indicators, including loan delinquencies and changes in portfolio size as well as economic trends, including current and future housing prices, unemployment, length of time in foreclosure, costs to sell and GDP. This methodology is applied separately for each individual product within each geographic region in which these portfolios exist.
This evaluation process is subject to numerous estimates and judgments. The frequency of default, risk ratings, loss recovery rates, the size and diversity of individual large credits and the ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account during this review. Changes in these estimates could have a direct impact on the credit costs in any period and could result in a change in the allowance.


Allowance for Unfunded Lending Commitments
A similar approach to the allowance for loan losses is used for calculating a reserve for the expected losses related to unfunded lending commitments and standby letters of credit. This reserve is classified on the balance sheetConsolidated Balance Sheet in Other liabilities. Changes to the allowance for unfunded lending commitments are recorded in Provision for unfunded lending commitments.


Mortgage Servicing Rights (MSRs)
Mortgage servicing rights (MSRs) are recognized as intangible assets when purchased or when the Company sells or securitizes loans acquired through purchase or origination and retains the right to service the loans. Mortgage servicing rights are accounted for at fair value, with changes in value recorded in Other revenue in the Company’s Consolidated Statement of Income.
For additional information on the Company’s MSRs, see Notes 16 and 21 to the Consolidated Financial Statements.


Goodwill
Goodwill represents the excess of acquisition cost over the fair value of net tangible and intangible assets acquired in a business combination. Goodwill is subject to annual impairment testing and interim assessments between annual tests if an event occurs or circumstances change that would more-likely-than-not reduce the fair value of a reporting unit below its carrying amount.
Under ASC Topic 350, Intangibles—Goodwill and Other,the Company has an option to assess qualitative factors to determine if it is necessary to perform the goodwill impairment test. If, after assessing the totality of events or circumstances, the Company determines that it is not more-likely-than-not that the fair value of a reporting unit is less than its carrying amount, no further testing is necessary. If, however, the Company determines that it is more-likely-than-not that the fair value of a reporting unit is less than its carrying amount, then the Company must perform the first step of the two-step goodwill impairment test.
The Company has an unconditional option to bypass the qualitative assessment for any reporting unit in any reporting period and proceed directly to the first step of the goodwill impairment test.
The first step requires a comparison of the fair value of the individual reporting unit to its carrying value, including goodwill. If the fair value of the reporting unit is in excess of the carrying value, the related goodwill is considered not impaired and no further analysis is necessary. If the carrying value of the reporting unit exceeds the fair value, this is an indication of potential impairment and the second step of testing is performed to measure the amount of impairment, if any, for that reporting unit.
If required, the second step involves calculating the implied fair value of goodwill for each of the affected reporting units. The implied fair value of goodwill is determined in the same manner as the amount of goodwill recognized in a business combination, which is the excess of the fair value of the reporting unit determined in step one over the fair value of the net assets and identifiable

intangibles as if the reporting unit were being acquired. If the amount of the goodwill allocated to the reporting unit exceeds the implied fair value of the goodwill in the pro forma purchase price allocation, an impairment charge is recorded for the excess. A recognized impairment charge cannot exceed the amount of goodwill allocated to a reporting unit and cannot subsequently be reversed even if the fair value of the reporting unit recovers.

Upon any business disposition, goodwill is allocated to, and derecognized with, the disposed business based on the ratio of the fair value of the disposed business to the fair value of the reporting unit.
Additional information on Citi’s goodwill impairment testing can be found in Note 16 to the Consolidated Financial Statements.


Intangible Assets
Intangible assets,assets—including core deposit intangibles, present value of future profits, purchased credit card relationships, credit card contract related intangibles, other customer relationships and other intangible assets, but excluding MSRs—are amortized over their estimated useful lives. Intangible assets that are deemed to have indefinite useful lives, primarily trade names, are not amortized and are subject to annual impairment tests. An impairment exists if the carrying value of the indefinite-lived intangible asset exceeds its fair value. For other intangible assets subject to amortization, an impairment is recognized if the carrying amount is not recoverable and exceeds the fair value of the intangible asset.


Other Assets and Other Liabilities
Other assets include, among other items, loans held-for-sale,HFS, deferred tax assets, equity method investments, interest and fees receivable, lease right-of-use assets, premises and equipment (including purchased and developed software), repossessed assets and other receivables. Other liabilities include, among other items, accrued expenses and other payables, lease liabilities, deferred tax liabilities and reserves for legal claims, taxes, unfunded lending commitments, repositioning reserves and other matters.


Other Real Estate Owned and Repossessed Assets
Real estate or other assets received through foreclosure or repossession are generally reported in Other assets, net of a valuation allowance for selling costs and subsequent declines in fair value.


Securitizations
There are two key accounting determinations that must be made relating to securitizations. Citi first makes a determination as to whether the securitization entity must be consolidated. Second, it determines whether the transfer of financial assets to the entity is considered a sale under GAAP. If the securitization entity is a VIE, the Company consolidates the VIE if it is the primary beneficiary (as discussed in “Variable Interest Entities” above). For all other securitization entities determined not to be VIEs in which Citigroup participates, consolidation is based on which party
has voting control of the entity, giving consideration to removal and liquidation rights in certain partnership structures. Only securitization entities controlled by Citigroup are consolidated.
Interests in the securitized and sold assets may be retained in the form of subordinated or senior interest-only strips, subordinated tranches, spread accounts and servicing rights. In credit card securitizations, the Company retains a
seller’s interest in the credit card receivables transferred to the trusts, which is not in securitized form. In the case of consolidated securitization entities, including the credit card trusts, these retained interests are not reported on Citi’s Consolidated Balance Sheet. The securitized loans remain on
the balance sheet. Substantially all of the consumer loans sold or securitized through non-consolidated trusts by Citigroup are U.S. prime residential mortgage loans. Retained interests in non-consolidated mortgage securitization trusts are classified as Trading account assets, except for MSRs, which are included in Mortgage servicing rights Intangible assets on Citigroup’s Consolidated Balance Sheet.


Debt
Short-term borrowings and Long-term debt are accounted for at amortized cost, except where the Company has elected to report the debt instruments, including certain structured notes at fair value, or the debt is in a fair value hedging relationship.


Transfers of Financial Assets
For a transfer of financial assets to be considered a salesale: (i) the assets must be legally isolated from the Company, even in bankruptcy or other receivership, (ii) the purchaser must have the right to pledge or sell the assets transferred or,(or, if the purchaser is an entity whose sole purpose is to engage in securitization and asset-backed financing activities through the issuance of beneficial interests and that entity is constrained from pledging the assets it receives, each beneficial interest holder must have the right to sell or pledge their beneficial interestsinterests) and (iii) the Company may not have an option or obligation to reacquire the assets.
If these sale requirements are met, the assets are removed from the Company’s Consolidated Balance Sheet. If the conditions for sale are not met, the transfer is considered to be a secured borrowing, the assets remain on the Consolidated Balance Sheet and the sale proceeds are recognized as the Company’s liability. A legal opinion on a sale generally is obtained for complex transactions or where the Company has continuing involvement with assets transferred or with the securitization entity. For a transfer to be eligible for sale accounting, those opinionsthat opinion must state that the asset transfer would be considered a sale and that the assets transferred would not be consolidated with the Company’s other assets in the event of the Company’s insolvency.
For a transfer of a portion of a financial asset to be considered a sale, the portion transferred must meet the definition of a participating interest. A participating interest must represent a pro rata ownership in an entire financial asset; all cash flows must be divided proportionately, with

the same priority of payment; no participating interest in the transferred asset may be subordinated to the interest of another participating interest holder; and no party may have the right to pledge or exchange the entire financial asset unless all participating interest holders agree. Otherwise, the transfer is accounted for as a secured borrowing.
See Note 21 to the Consolidated Financial Statements for further discussion.

Risk Management Activities—Derivatives Used for Hedging Purposes
The Company manages its exposures to market movements outside of its trading activities by modifying the asset and liability mix, either directly or through the use of derivative financial products, including interest-rateinterest rate swaps, futures, forwards and purchased options, as well as foreign-exchange contracts. These end-user derivatives are carried at fair value in Other assets, Other liabilities,Trading account assets and Trading account liabilities.
See Note 22 to the Consolidated Financial Statements for a further discussion of the Company’s hedging and derivative activities.


Instrument-specific Credit Risk
Citi presents separately in AOCI the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk, when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. Accordingly, the change in fair value of liabilities for which the fair value option was elected, related to changes in Citigroup’s own credit spreads, is presented in AOCI.

Employee Benefits Expense
Employee benefits expense includes current service costs of pension and other postretirement benefit plans (which are accrued on a current basis), contributions and unrestricted awards under other employee plans, the amortization of restricted stock awards and costs of other employee benefits.
For its most significant pension and postretirement benefit plans (Significant Plans), Citigroup measures and discloses plan obligations, plan assets and periodic plan expense quarterly, instead of annually. The effect of remeasuring the Significant Plan obligations and assets by updating plan actuarial assumptions on a quarterly basis is reflected in Accumulated other comprehensive income (loss) and periodic plan expense. All other plans (All Other Plans) are remeasured annually. See Note 8 to the Consolidated Financial Statements.


Stock-Based Compensation
The Company recognizes compensation expense related to stock and option awards over the requisite service period, generally based on the instruments’ grant-date fair value, reduced by actual forfeitures as they occur. Compensation cost related to awards granted to employees who meet certain age plus years-of-service requirements (retirement-eligible employees) is accrued in the year prior to the grant date, in the same manner as the accrual for cash incentive compensation. Certain stock awards with performance conditions or certain clawback provisions are subject to variable accounting, pursuant to which the associated compensation expense fluctuates with changes in Citigroup’s common stock price. See Note 7 to the Consolidated Financial Statements.


 
Income Taxes
The Company is subject to the income tax laws of the U.S. and its states and municipalities, as well as the non-U.S. jurisdictions in which it operates. These tax laws are complex and may be subject to different interpretations by the taxpayer and the relevant governmental taxing authorities. In establishing a provision for income tax expense, the Company must make judgments and interpretations about these tax laws. The Company must also make estimates about when in the future certain items will affect taxable income in the various tax jurisdictions, both domestic and foreign.
Disputes over interpretations of the tax laws may be subject to review and adjudication by the court systems of the various tax jurisdictions, or may be settled with the taxing authority upon examination or audit. The Company treats interest and penalties on income taxes as a component of Income tax expense.
Deferred taxes are recorded for the future consequences of events that have been recognized in financial statements or tax returns, based upon enacted tax laws and rates. Deferred tax assets are recognized subject to management’s judgment about whether realization is more-likely-than-not. ASC 740, Income Taxes, sets out a consistent framework to determine the appropriate level of tax reserves to maintain for uncertain tax positions. This interpretation uses a two-step approach wherein a tax benefit is recognized if a position is more-likely-than-not to be sustained. The amount of the benefit is then measured to be the highest tax benefit that is more than 50% likely to be realized. ASC 740 also sets out disclosure requirements to enhance transparency of an entity’s tax reserves.
On December 22, 2017, the SEC issued Staff Accounting Bulletin (SAB) 118, which sets forth the accounting for the changes in tax law caused by the enactment of the Tax Cuts and Jobs Act (Tax Reform). The Bulletin provides guidance as to how ASC 740 should be applied for the quarterly reporting period that includes the December 22, 2017 enactment date of Tax Reform. SAB 118 covers three different fact patterns that can be applied to each aspect of Tax Reform. The first is where the accounting is complete as of December 31, 2017; in this case, a company must report the effects of Tax Reform in its financial statements that include the enactment date. The second situation is where a company cannot complete its accounting as of December 31, 2017, but can provide a reasonable estimate based upon the information available to it and its ability to prepare and analyze this information (including related computations). In the situation described, the company must include the reasonable estimate it so determined in its financial statements as a provisional amount that will then be trued up within the one-year measurement period after the date of enactment of Tax Reform. The third situation, in which no reasonable estimate can be made for an item, requires a company to apply ASC 740 using the pre-Tax Reform tax law until the first reporting period in which it can make a reasonable estimate for the item.

To the extent that a company records a provisional amount in its financial statements, it must update its reporting during the one-year measurement period whenever the facts and circumstances existing at the enactment date are further analyzed. Any company providing provisional amounts must qualitatively disclose the income tax effects for which the accounting is incomplete, the reason it is incomplete and the additional information that is needed to complete the accounting. In addition, when the company revises or finalizes its provisional accounting for any item, it must disclose the nature and amount of any measurement period adjustments recognized in the reporting period, the impact of such adjustments on its effective tax rate and a confirmation when the accounting for such items is complete.
Citi recorded a charge to continuing operations of $22.6 billion in the fourth quarter of 2017, composed of a $12.4 billion remeasurement due to the reduction to the U.S. corporate tax rate and a change to a quasi-territorial tax system, a $7.9 billion valuation allowance against Citi’s FTC carry-forwards and its U.S. residual DTAs related to its non-U.S. branches, and a $2.3 billion reduction in Citi’s FTC carry-forwards related to the deemed repatriation of undistributed earnings of non-U.S. subsidiaries.
Of the aforementioned amounts, the following are considered to be provisional for which certain aspects of Citi’s accounting is incomplete, as described below. First, of the $12.4 billion, $6.2 billion is provisional as Citi continues to analyze the aspects of the quasi-territorial tax regime, particularly as it affects the deferred taxes, including indefinite reinvestment assertions, for non-U.S. operations, as well as the interaction with U.S. tax rate reduction. Also included as provisional is Citi’s state income tax charge for Tax Reform due to the uncertainty of how states will interpret the new federal provisions. The remaining $6.2 billion primarily relates to the reduction in the U.S. corporate tax rate and for which the accounting is complete. Second, Citi’s reported valuation allowance of $7.9 billion is a provisional amount, because there is uncertainty under Tax Reform as to the calculation of the deemed repatriation tax on non-U.S. subsidiary earnings, which itself is a provisional amount, and thus the amount of FTC carry-forwards that will be utilized to offset the resulting tax. In addition, such valuation allowance is also affected by uncertainty as to the methodology to be employed to allocate Citi’s FTC carry-forwards and related overall domestic loss among the redefined FTC baskets under Tax Reform, as well as related calculations affecting the usage of its FTCs in future periods. Transitional guidance is expected from the U.S. Treasury on these issues. Citi also continues to analyze the effects on the amount of residual U.S. tax related to its non-U.S. branches.
In all other material respects, Citi has completed its accounting for Tax Reform, and there are no amounts for which a reasonable estimate was not possible.
Additionally, Citi has not yet made a policy election with respect to its treatment of GILTI. Companies can either account for taxes on GILTI as incurred, or recognize deferred taxes when basis differences exist that are expected to impact the amount of the GILTI inclusion upon reversal.
Citi is still in the process of analyzing the provisions of Tax Reform associated with GILTI and the expected future impact.
See Note 9 to the Consolidated Financial Statements for a further description of the Company’s tax provision and related income tax assets and liabilities.


Commissions, Underwriting and Principal Transactions
Commissions and fees revenues are recognized in income when earned. Underwriting revenues are recognized in income typically at the closing of the transaction. Principal transactions revenues are recognized in income on a trade-date basis. See Note 5 to the Consolidated Financial Statements for a description of the Company’s revenue recognition policies for commissionsCommissions and fees, and Note 6 to the Consolidated Financial Statements for details of principalPrincipal transactions revenue.


Earnings per Share
Earnings per share (EPS) is computed after deducting preferred stock dividends. The Company has granted restricted and deferred share awards with dividend rights that are considered to be participating securities, which are akin to a second class of common stock. Accordingly, a portion of Citigroup’s earnings is allocated to those participating securities in the EPS calculation.
Basic earnings per share is computed by dividing income available to common stockholders after the allocation of dividends and undistributed earnings to the participating securities by the weighted average number of

common shares outstanding for the period. Diluted earnings per share reflects the potential dilution that could occur if securities or other contracts to issue common stock were exercised. It is computed after giving consideration to the weighted average dilutive effect of the Company’s stock options and warrants and convertible securities and after the allocation of earnings to the participating securities. Anti-dilutive options and warrants are disregarded in the EPS calculations.


Use of Estimates
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related Notes to the Consolidated Financial Statements. Such estimates are used in connection with certain fair value measurements. See Note 24 to the Consolidated Financial Statements for further discussions on estimates used in the determination of fair value. Moreover, estimates are significant in determining the amounts of other-than-temporary impairments, impairments of goodwill and other intangible assets, provisions for probable losses that may arise from credit-related exposures and probable and estimable losses related to litigation and regulatory proceedings, and income taxes. While management makes its best judgment, actual amounts or results could differ from those estimates.



Cash Flows
Cash equivalents are defined as those amounts included in Cash and due from banks and predominately all of Deposits with banks. Cash flows from risk management activities are classified in the same category as the related assets and liabilities.


Related Party Transactions
The Company has related party transactions with certain of its subsidiaries and affiliates. These transactions, which are primarily short-term in nature, include cash accounts, collateralized financing transactions, margin accounts, derivative transactions, charges for operational support and the borrowing and lending of funds, and are entered into in the ordinary course of business.


ACCOUNTING CHANGES

Lease Accounting
In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842), which increases the transparency and comparability of accounting for lease transactions. The ASU requires lessees to recognize liabilities for operating leases and corresponding right-of-use (ROU) assets on the balance sheet. The ASU also requires quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessee accounting for finance leases, as well as lessor accounting, are largely unchanged.
Effective January 1, 2019, the Company prospectively adopted the provisions of the ASU. At adoption, Citi recognized a lease liability and a corresponding ROU asset of approximately $4.4 billion on the Consolidated Balance
Sheet related to its future lease payments as a lessee under operating leases. In addition, the Company recorded a $151 million increase in Retained earnings for the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions. Adoption of the ASU did not have a material impact on the Consolidated Statement of Income. See Notes 14 and 26 for additional details.
The Company has elected not to separate lease and non-lease components in its lease contracts and accounts for them as a single lease component. Citi has also elected not to record an ROU asset for short-term leases that have a term of 12 months or less and do not contain purchase options that Citi is reasonably certain to exercise. The cost of short-term leases is recognized in the Consolidated Statement of Income on a straight-line basis over the lease term. In addition, Citi applies the portfolio approach to account for certain equipment leases with nearly identical contractual terms.

Lessee accounting
Operating lease ROU assets and lease liabilities are included in Other assets and Other liabilities, respectively, on the Consolidated Balance Sheet. Finance lease assets and liabilities are included in Other assets and Long-term debt, respectively, on the Consolidated Balance Sheet. The Company uses its incremental borrowing rate, factoring in the lease term, to determine the lease liability, which is measured at the present value of future lease payments. The ROU asset is initially measured at the amount of the lease liability plus any prepaid rent and remaining initial direct costs, less any remaining lease incentives and accrued rent. The ROU asset is subject to impairment, during the lease term, in a manner consistent with the impairment of long-lived assets. The lease terms include periods covered by options to extend or terminate the lease depending on whether Citi is reasonably certain to exercise such options.

Lessor accounting
Lessor accounting is largely unchanged under the ASU. Citi acts as a lessor for power, railcar, shipping and aircraft assets, where the Company has executed operating, direct financing and leveraged leasing arrangements. In a direct financing or a leveraged lease, Citi derecognizes the leased asset and records a lease financing receivable at lease commencement in Loans. Upon lease termination, Citi may obtain control of the asset, which is then recorded in Other assets on the Consolidated Balance Sheet and any remaining receivable for the asset’s residual value is derecognized. Under the ASU, leveraged lease accounting is grandfathered and may continue to be applied until the leveraged lease is terminated or modified. Upon modification, the lease must be classified as an operating, direct finance or sales-type lease in accordance with the ASU.
Separately, as part of managing its real estate footprint, Citi subleases excess real estate space via operating lease arrangements.


SEC Staff Accounting Bulletin 118
On December 22, 2017, the SEC issued Staff Accounting Bulletin (SAB) 118, which set forth the accounting for the changes in tax law caused by the enactment of the Tax Cuts and Jobs Act (Tax Reform). SAB 118 provided guidance where the accounting under ASC 740 was incomplete for certain income tax effects of Tax Reform, at the time of the issuance of an entity’s financial statements for the period in which Tax Reform was enacted (provisional items). Citi disclosed several provisional items recorded as part of its $22.6 billion fourth quarter 2017 charge related to Tax Reform.
Citi completed its accounting for Tax Reform under SAB 118 during the fourth quarter of 2018 and recorded a one-time, non-cash tax benefit of $94 million in Corporate/Other related to amounts that were considered provisional pursuant to SAB 118. The adjustments for the provisional amounts consisted of a $1.2 billion benefit relating to a reduction of the valuation allowance against Citi’s FTC carry-forwards and its U.S. residual DTAs related to its non-U.S. branches, offset by additional charges of $0.2 billion related to the impact of a change to a “quasi-territorial tax system” and $0.9 billion related to the impact of deemed repatriation of undistributed earnings of non-U.S. subsidiaries.
Also, Citi has made a policy election to account for taxes on Global Intangible Low Taxed Income (GILTI) as incurred.

Revenue Recognition
In May 2014, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers (Revenue Recognition), which outlines a single comprehensive model for entities to use in accounting for revenue arising from contracts with customers. The core principle of the revenue model is that an entity recognizes revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled, in exchange for those goods or services. The ASU defines the promised good or service as the performance obligation under the contract.
While the guidance replaces most existing revenue recognition guidance in GAAP, the ASU is not applicable to financial instruments and, therefore, does not impact a majority of the Company’s revenues, including net interest income, loan fees, gains on sales and mark-to-market accounting.
In accordance with the new revenue recognition standard, Citi has identified the specific performance obligation (promised services) associated with the contract with the customer and has determined when that specific performance obligation has been satisfied, which may be at a point in time or over time depending on how the performance obligation is defined. The contracts with customers also contain the transaction price, which consists of fixed consideration and/or consideration that may vary (variable consideration), and is defined as the amount of consideration an entity expects to be entitled to when or as the performance obligation is satisfied, excluding amounts
collected on behalf of third parties (including transaction taxes). The amounts recognized at the point in time the performance obligation is satisfied may differ from the ultimate transaction price associated with that performance obligation when a portion of it is based on variable consideration. For example, some consideration is based on the client’s month-end balance or market values, which are unknown at the time the contract is executed. The remaining transaction price amount, if any, will be recognized as the variable consideration becomes determinable. In certain transactions, the performance obligation is considered satisfied at a point in time in the future. In this instance, Citi defers revenue on the balance sheet that will only be recognized upon completion of the performance obligation.
The new revenue recognition standard further clarified the guidance related to reporting revenue gross as principal versus net as an agent. In many cases, Citi outsources a component of its performance obligations to third parties. The Company has determined that it acts as principal in the majority of these transactions and therefore presents the amounts paid to these third parties gross within operating expenses.
The Company has retrospectively adopted this standard as of January 1, 2018 and as a result was required to report amounts paid to third parties where Citi is principal to the contract within Operating expenses. The adoption resulted in an increase in both revenue and expenses of approximately $1 billion for each of the years ended December 31, 2019 and 2018 with similar amounts for prior years. Prior to adoption, these expense amounts were reported as contra revenue primarily within Commissions and fees and Administration and other fiduciary fees revenues. Accordingly, prior periods have been reclassified to conform to the new presentation.
See Note 5 to the Consolidated Financial Statements for a description of the Company’s revenue recognition policies for Commissions and fees and Administration and other fiduciary fees.

Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory, which requires an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. The ASU was effective January 1, 2018 and was adopted as of that date. The impact of this standard was an increase of DTAs by approximately $300 million, a decrease of Retained earnings by approximately $80 million and a decrease of prepaid tax assets by approximately $380 million. 

Clarifying the Definition of a Business
In January 2017, the FASB issued ASU No. 2017-01, Business Combinations (Topic 805): Clarifying the Definition of a Business. The definition of a business directly and indirectly affects many areas of accounting (e.g., acquisitions, disposals, goodwill and consolidation). The ASU narrows the definition of a business by introducing a quantitative screen as the first step, such that if substantially

all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets, then the set of transferred assets and activities is not a business. If the set is not clarified from the quantitative screen, the entity then evaluates whether the set meets the requirement that a business include, at a minimum, an input and a substantive process that together significantly contribute to the ability to create outputs.
Citi adopted the ASU upon its effective date on January 1, 2018, prospectively. The ongoing impact of the ASU will depend upon the acquisition and disposal activities of Citi. If fewer transactions qualify as a business, there could be less initial recognition of Goodwill, but also less goodwill allocated to disposals. There was no impact during 2018 from the adoption of this ASU.

Changes in Accounting for Pension and Postretirement (Benefit) Expense
In March 2017, the FASB issued ASU No. 2017-07, Compensation—Retirement Benefits (Topic 715): Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost,which changes the income statement presentation of net benefit expense and requires restating the Company’s financial statements for each of the earlier periods presented in Citi’s annual and interim financial statements. The change in presentation was effective for annual and interim periods starting January 1, 2018. The ASU requires that only the service cost component of net benefit expense be included in Compensation and benefits on the income statement. The other components of net benefit expense are required to be presented outside of Compensation and benefits and are presented in Other operating expenses. Since both of these income statement line items are part of Operating expenses, total Operating expenses and Net income will not change. This change in presentation did not have a material effect on Compensation and benefits and Other operating expenses and was applied prospectively. The components of the net benefit expense are disclosed in Note 8 to the Consolidated Financial Statements.
 The standard also changes the components of net benefit expense that are eligible for capitalization when employee costs are capitalized in connection with various activities, such as internally developed software, construction-in-progress and loan origination costs. Prospectively from January 1, 2018, only the service cost component of net benefit expense may be capitalized.  Existing capitalized balances are not affected. This change in amounts eligible for capitalization does not have a material effect on the Company’s Consolidated Financial Statements and related disclosures.

Hedging
In August 2017, the FASB issued ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities, which better aligns an entity’s risk management activities and financial reporting for hedging relationships through changes to the designation and measurement guidance for qualifying hedging relationships and the presentation of
hedge results. The ASU requires the change in the fair value of the hedging instrument to be presented in the same income statement line as the hedged item and also requires expanded disclosures. Citi adopted this standard on January 1, 2018 and transferred approximately $4 billion of pre-payable mortgage-backed securities and municipal bonds from held-to-maturity (HTM) into available-for-sale (AFS) securities classification as permitted as a one-time transfer upon adoption of the standard, as these assets were deemed to be eligible to be hedged under the last-of-layer hedge strategy. The impact to opening Retained earnings was immaterial. See Note 19 to the Consolidated Financial Statements for more information.

Statement of Cash Flows
In November 2016, the FASB issued ASU No. 2016-18, Restricted Cash,which requires that companies present cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents (restricted cash) when reconciling beginning-of-period and end-of-period totals on the Consolidated Statement of Cash Flows. In connection with the adoption of the ASU, Citigroup also changed its definition of cash and cash equivalents to include all of Cash and due from banks and predominately all of Deposits with banks. The Company has retrospectively adopted this ASU as of January 1, 2018 and as a result Net cash provided by investing activities of continuing operations on the Consolidated Statement of Cash Flows for the year ended December 31, 2017 increased by $19.3 billion.

Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income
On February 14, 2018, the Financial Accounting Standards Board (FASB)FASB issued ASU No. 2018-02, Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income. The ASU allows a reclassification from Accumulated other comprehensive income (loss) (AOCI)AOCI to Retained earnings for the deferred taxes previously recorded in AOCI that exceed the current federal tax rate of 21%, resulting from the newly enacted corporate tax rate in the Tax Cuts and Jobs Act (Tax Reform)Reform, and other stranded tax amounts related to the application of Tax Reform that Citi elects to reclassify. The ASU allows adjustments to reclassification amounts in subsequent periods as a result of changes to the amounts recorded under SAB 118. If adopted, the ASU is effective in years beginning after December 15, 2018, but permits early adoption in a period for which financial statements have not yet been issued. Citi has elected to early adopt the ASU effective December 31, 2017, which affectsapplied only to the period thatin which the effects related to the one-time Tax Reform arecharge were recognized. In addition to the reclassification of deferred taxes recorded in AOCI that exceed the current federal tax rate, Citi has also reclassified amounts recorded in AOCI related to the effects of the shift to a territorial system related to the application of Tax Reform using the portfolio method.
The effect of adopting the ASU resulted in an increase of $3.3 billion to Retained earnings at December 31, 2017 due to the reclassification of AOCI to Retained earnings. This amount is provisional because more information needs to be obtained and analyzed related to Tax Reform as noted above and, thus, the amount to be reclassified
may change in 2018.

Premium Amortization on Purchased Callable
Debt Securities
In March 2017, the FASB issued ASU No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which amends the amortization period for certain purchased callable debt securities held at a premium. The ASU requires entities to amortize premiums on debt securities by the first call date when the securities
have fixed and determinable call dates and prices. The scope of the ASU includes all accounting premiums, such as purchase premiums and cumulative fair value hedge adjustments. The ASU does not change the accounting for discounts, which continue to be recognized over the contractual life of a security.
The ASU is effective as of January 1, 2019, but it may be early adopted in any interim or year-end period after issuance. Adoption of the ASU is on a modified retrospective basis through a cumulative effect adjustment to retained earnings as of the beginning of the year of adoption. Citi early adopted the ASU in the second quarter of 2017, with an effective date of January 1, 2017. Adoption of the ASU is on a modified retrospective basis through a cumulative effect adjustment to Retained earnings as of the beginning of the year of adoption. Adoption of the ASU primarily affected Citi’s available-for-sale (AFS)AFS and held-to-maturity (HTM)HTM portfolios of callable state and municipal debt securities. The ASU adoption resulted in a net reduction to total stockholders’ equity of $156 million (after tax)(after-tax), effective as of January 1, 2017. This amount is composed of a reduction of approximately $660 million to retainedRetained earnings for the incremental amortization of purchase premiums and cumulative hedge adjustments generated under fair value hedges of these callable debt securities, offset by an increase to AOCI of $504 million related to the cumulative fair value hedge adjustments reclassified to retainedRetained earnings for AFS debt securities.
Financial statements for periods prior to 2017 were not subject to restatement under the provisions of this ASU.  The amortization recorded in each of quarter of 2017 and cumulatively as of each quarter end under the provisions of the ASU was not materially different than the amount that would have been recorded if the ASU had not been early adopted.

Fair Value Measurement
Accounting for Stock-Based Compensation
In March 2016,August 2018, the FASB issued ASU No. 2016-09, Compensation—Stock Compensation2018-13, Fair Value Measurement (Topic 718)820): ImprovementsDisclosure Framework—Changes to Employee Share-Based Payment Accountingthe Disclosure Requirements for Fair Value Measurement. The amendments modify certain disclosure requirements for fair value measurements and were effective January 1, 2020, with early adoption permitted. The Company early adopted this ASU as of December 31, 2019 in orderits entirety, with no material impact on the Company.

FUTURE ACCOUNTING CHANGES

Accounting for Financial Instruments—Credit Losses

Overview
In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introduces a new credit loss methodology, the Current Expected Credit Losses (CECL) methodology, which requires earlier recognition of credit losses while also providing additional transparency about credit risk. Citi adopted the ASU as of January 1, 2020, which, as discussed below, resulted in an increase in Citi’s Allowance for credit losses and a decrease to simplify certain complex aspectsopening Retained earnings, net of deferred income taxes, at January 1, 2020.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. The allowance for credit losses is adjusted each period for changes in expected lifetime credit losses. The CECL methodology represents a significant change from prior U.S. GAAP and replaced the prior multiple existing impairment methods, which generally required that a loss be incurred before it was recognized. Within the life cycle of a loan or other financial asset, the methodology generally results in the earlier recognition of the accountingprovision for income taxescredit losses and forfeituresthe related allowance for credit losses than prior U.S. GAAP. For available-for-sale debt securities where fair value is less than cost, that Citi intends to hold or more-likely-than-not will not be required to sell, credit-related impairment, if any, is recognized through an allowance for credit losses and adjusted each period for changes in credit risk.

January 1, 2020 CECL Transition (Day 1) Impact
The CECL methodology’s impact on expected credit losses, among other things, reflects Citi’s view of the current state of the economy, forecasted macroeconomic conditions and Citi’s portfolios. At the January 1, 2020 date of adoption, based on forecasts of macroeconomic conditions and exposures at that time, the aggregate impact to Citi was an approximate $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the Allowance for credit losses for Citi’s consumer exposures, primarily driven by the impact on credit card receivables of longer estimated tenors under the CECL lifetime expected credit loss methodology (loss coverage of approximately 23 months) compared to shorter estimated tenors under the probable loss methodology under prior U.S. GAAP (loss coverage of approximately 14 months), net of recoveries; and (ii) a release of $0.8 billion of reserves primarily related to employee stock-based compensation. The guidance became effective for Citi beginningCiti’s corporate net loan loss exposures, largely due to more precise contractual maturities that result in shorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based on January 1, 2017. an increase in portfolio segmentation across industries and geographies.
Under the new standard, excess tax benefitsCECL methodology, the Allowance for credit losses consists of quantitative and deficiencies relatedqualitative components. Citi’s quantitative component of the Allowance for credit losses is model based and utilizes a single forward-looking macroeconomic forecast, complemented by the qualitative component described below, in estimating expected credit losses and discounts inputs for the corporate classifiably managed portfolios. Reasonable and supportable forecast periods vary by product. For example, Citi’s consumer cards models use a 13-quarter reasonable and supportable period and revert to employee stock-based compensation are recognized directly within Income tax expense or benefit in Citi’s Consolidated Statement of Income, rather than within Additional paid-in capital. The impact of this change was not material in the first quarter of 2017 or each subsequent quarterly periods of 2017 as the majority of employees’ deferred stock-based compensation awards are granted within the first quarter of each year,historical loss experience thereafter, while its corporate loan models use a nine-quarter reasonable and therefore vest within the first quarter of each year, commensurate with vesting in equal annual installments. For additional information on these receivables and payables, see Note 7supportable period followed by a three-quarter graduated transition to the Consolidated Financial Statements.
Additionally, as permitted under the new guidance, Citi made an accounting policy election to account for forfeitures of awards as they occur, which represents a change from the previous requirement to estimate forfeitures when recognizing compensation expense. This change resulted in ahistorical loss experience.

cumulative effect adjustment to retained earnings that was not material at January 1, 2017.Citi’s qualitative component of the Allowance for credit losses considers (i) the uncertainty of forward-looking scenarios based on the likelihood and severity of a possible recession as another possible scenario; (ii) certain portfolio characteristics, such as portfolio concentration and collateral coverage; and (iii) model limitations as well as idiosyncratic events.


Recognition andSubsequent Measurement of Financial Assets and Financial LiabilitiesGoodwill
In January 2016,2017, the FASB issued ASU No. 2016-01, Financial Instruments—Overall (Subtopic 825-10)2017-04, Intangibles—Goodwill and Other (Topic 350): Recognition and MeasurementSimplifying the Test for Goodwill Impairment. The ASU simplifies the subsequent measurement of Financial Assets and Financial Liabilitiesgoodwill impairment by eliminating the requirement to calculate the implied fair value of goodwill (i.e., which addresses certain aspects of recognition, measurement, presentation and disclosure of financial instruments.
This ASU requires entities to present separately in AOCI the portioncurrent step 2 of the total change ingoodwill impairment test) to measure a goodwill impairment charge. Under the ASU, the impairment test is the comparison of the fair value of a liability resulting from a changereporting unit with its carrying amount (the current step 1), with the impairment charge being the deficit in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordancebut not exceeding the total amount of goodwill allocated to that reporting unit. The simplified one-step impairment test applies to all reporting units (including those with zero or negative carrying amounts).
The ASU was adopted by Citi as of January 1, 2020 with prospective application. The impact of the ASU will depend upon the performance of Citi’s reporting units and the market conditions impacting the fair value option for financial instruments. It also requires equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the investee) to be measured at fair value with changes in fair value recognized in net income, thus eliminating eligibility for the current available-for-sale category. However, Federal Reserve Bank and Federal Home Loan Bank stock, as well as certain exchange seats, will continue to be presented at cost. The ASU also introduces a measurement alternative for non-marketable equity securities.each reporting unit going forward.
Citi early adopted only the provisions of this ASU related to presentation of the change in fair value of liabilities for which the fair value option was elected, related to changes in Citigroup’s own credit spreads in AOCI effective January 1, 2016. Accordingly, since the first quarter of 2016, these amounts have been reflected as a component of AOCI, whereas these amounts were previously recognized in Citigroup’s revenues and net income. The impact of adopting this amendment resulted in a cumulative catch-up reclassification from retained earnings to AOCI of an accumulated after-tax loss of approximately $15 million at January 1, 2016. Financial statements for periods prior to 2016 were not subject to restatement under the provisions of this ASU. For additional information, see Notes 19, 24 and 25 to the Consolidated Financial Statements. Citi adopted the other provisions of ASU 2016-01 on January 1, 2018. The ASU does not have a significant impact on the Company’s Consolidated Financial Statements and related disclosures.








2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS


Summary of Discontinued Operations
The Company’s discontinuedDiscontinued operations consisted of residual activities related to the sales of the Brazil CredicardCredit Card business in 2013, the Egg Banking plc Credit Card Businessbusiness in 2011, and the German Retail Banking business in 2008. All discontinuedDiscontinued operations results are recorded within Corporate/Other.
The following summarizes financial information for all discontinued operations:Discontinued operations:
In millions of dollars201920182017
Total revenues, net of interest expense$—
$—
$—
Loss from discontinued operations$(31)$(26)$(104)
Provision (benefit) for income taxes(27)(18)7
Loss from discontinued operations, net of taxes$(4)$(8)$(111)

In millions of dollars

201720162015
Total revenues, net of interest expense$—
$—
$—
Income (loss) from discontinued operations$(104)$(80)$(83)
Provision (benefit) for income taxes7
(22)(29)
Loss from discontinued operations, net of taxes$(111)$(58)$(54)


Cash flows for discontinuedfrom Discontinued operations were not material for all periods presented.


Significant Disposals
There were no significant disposals during 2019. The transactions during 2017, 2016 and 2015 described below were identified as significant disposals. The major classes of assetsdisposals during 2018 and liabilities derecognized from the Consolidated Balance Sheet at closing, and the income (loss) before taxes related to each business until the disposal date, are presented below.2017.


Sale of Mexico Asset Management Business
On November 27, 2017,September 21, 2018, Citi entered into an agreement to sellcompleted the sale of its Mexico asset management business, which iswas part of Latin America GCB. As part of the sale, Citi derecognized total assets of $137 million and total liabilities of $41 million. The transaction is expected to resultresulted in a pretax gain on sale at closing, which is anticipated to occur during the second half of 2018, subject to regulatory approval and other customary closing conditions. The transaction will also result in derecognition of approximately $72$250 million of net book value, including $32(approximately $150 million of goodwill. after-tax) recorded in Other revenue in 2018. Further, Citi and the buyer entered into a 10-year services framework agreement, with Citi acting as the distributor in exchange for an ongoing fee.
Income before taxes offor the divested business, excluding the pretax gain on sale, was as follows:
In millions of dollars201920182017
Income before taxes$—
$123
$164

In millions of dollars201720162015
Income before taxes$164
$155
$159


Sale of Fixed Income Analytics and Index Business
On August 31, 2017, Citi completed the sale of a fixed income analytics business (Yield Book) and a fixed income index business that were part of Markets and Securities Services securities services within Institutional Clients Group (ICG). As part of the sale, Citi derecognized totalTotal assets of $112 million, including goodwill of $72 million, while the derecognized liabilities were $18 million. The transaction generatedresulted in a pretax gain on sale of approximately $580 million ($355 million after-tax) recorded in Other Revenuerevenue in ICG during 2017.
Income before taxes for the divested businesses, excluding the pretax gain on sale, was as follows:immaterial.


In millions of dollars201720162015
Income before taxes$31
$55
$54

Exit of U.S. Mortgage Service Operations
Citigroup executed agreements during the first quarter of 2017 to effectively exit its direct U.S. mortgage servicing operations, by the end of 2018 to intensify focus on originations. The exit of the mortgage servicing operationswhich included the sale of mortgage servicing rights and execution of a subservicing agreement for the remaining Citi-owned loans and certain other mortgage servicing rights. As part of this transaction, Citi has also transferred certain employees.
This transaction, which was part of Corporate/Other, resulted in a pretax loss of $331 million ($207 million after-tax) recorded in Other revenue during 2017. The loss on sale did not include certain other costs and charges related to the disposed operation recorded primarily in Operating expenses during 2017, resulting in a total pretax loss of $382 million. As part of the completed sale, during 2017, Citi derecognized a total of $1,162 million of servicing-related assets, including $1,046 million of mortgageMortgage servicing rights, related to approximately 750,000 Fannie Mae and Freddie Mac held loans with outstanding balances of approximately $93 billion.
Excluding the loss on sale and the additional charges, income before taxes for the disposed operation was immaterial for 2017, 2016 and 2015.immaterial.



Sale of CitiFinancial Canada Consumer Finance Business
On March 31, 2017, Citi completed the sale of CitiFinancial Canada (CitiFinancial), which was part of Corporate/Other, and included 220 retail branches and approximately 1,400 employees. As part of the sale, Citi derecognized totalTotal assets of approximately $1.9 billion, including $1.7 billion consumer loans (net of allowance), and totalTotal liabilities of approximately $1.5 billion related to intercompany borrowings, which were settled at closing of the transaction. Separately, during 2017 and prior to closing of the transaction, CitiFinancial settled $0.4 billion of debt issued through loan securitizations. The sale of CitiFinancial generated a pretax gain on sale of approximately $350 million recorded in Other revenue ($178 million after-tax) during 2017.
Income before taxes for the divested business, excluding the pretax gain on sale, was as follows:
In millions of dollars201920182017
Income before taxes$—
$—
$41

In millions of dollars201720162015
Income before taxes$41
$139
$118


Novation of the Primerica 80% Coinsurance Agreement
Effective January 1, 2016, Citi completed a novation (an
arrangement that extinguishes Citi’s rights and obligations
under a contract) of the Primerica 80% coinsurance
agreement, which was recorded in Corporate/Other, to a third-party re-insurer. The novation resulted in revenues of $404 million recorded in Other revenue ($263 million after-tax) during 2016. Furthermore, the novation resulted in derecognition of $1.5 billion of available-for-sale securities and cash, $0.95 billion of deferred acquisition costs and $2.7 billion of insurance liabilities.
Income before taxes, excluding the revenue upon
novation, was as follows:
In millions of dollars201720162015
Income before taxes$—
$—
$135

Sale of OneMain Financial Business
On November 15, 2015, Citi sold OneMain Financial (OneMain), which was part of Corporate/Other, including 1,100 retail branches, 5,500 employees and approximately 1.3 million customer accounts. OneMain had approximately $10.2 billion of assets, including $7.8 billion of loans (net of allowance), and $1.4 billion of available-for-sale securities. OneMain also had $8.4 billion of liabilities, including $6.2 billion of long-term debt and $1.1 billion of short-term borrowings. The transaction generated a pretax gain on sale of $2.6 billion, recorded in Other revenue ($1.6 billion after-tax) in 2015. However, when combined with the loss on redemption of certain long-term debt supporting certain Corporate/Other assets during the fourth quarter of 2015, the resulting net after-tax gain was $0.8 billion.
Income before taxes, excluding the pretax gain on sale and loss on redemption of debt, was as follows:
In millions of dollars201720162015
Income before taxes$—
$—
$663

Sale of Japan Cards Business
On December 14, 2015, Citi sold its Japan cards business, which was part of Corporate/Other, including $1,350 million of consumer loans (net of allowance), approximately 720,000 customer accounts and 840 employees. The transaction generated a pretax gain on sale of $180 million, recorded in Other revenue ($155 million after-tax) in 2015.
Loss before taxes, excluding the pretax gain on sale, was as follows:
In millions of dollars201720162015
Loss before taxes$—
$—
$(5)

Sale of Japan Retail Banking Business
On November 1, 2015, Citi sold its Japan retail banking business, which was part of Corporate/Other, including $563 million of consumer loans (net of allowance), $20 billion of deposits, approximately 725,000 customer accounts, 1,600 employees and 32 branches. The transaction generated a pretax gain on sale of $446 million, recorded in Other revenue ($276 million after-tax) in 2015.
Loss before taxes, excluding the pretax gain on sale, was as follows:
In millions of dollars201720162015
Loss before taxes$—
$—
$(57)



3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the following business segments: Global Consumer Banking (GCB) and Institutional Clients Group (ICG). In addition, Corporate/Other includes activities not assigned to a specific business segment, as well as certain North America and international loan portfolios, discontinued operations and other legacy assets and discontinued operations.assets.
The business segments are determined based on products and services provided or type of customers served, of which those identified as non-core are recorded in Corporate/Other and are reflective of how management currently evaluates financial information to make business decisions.
GCB includes a global, full-service consumer franchise delivering a wide array of banking, including commercial banking, credit card lending and investment services through a network of local branches, offices and electronic delivery systems and is composedconsists of three GCB businesses: North America, Latin America and Asia (including consumer banking activities in certain EMEA countries).
ICG is composed consists of Banking and Markets and securities services and provides corporate, institutional, public sector and high-net-worth clients in 9798 countries and jurisdictions with a broad range of banking and financial products and services.
Corporate/Other includes certain unallocated costs of global functions, other corporate expenses and net treasury
results, unallocated corporate expenses, offsets to certain line-item reclassifications and eliminations, the results of certain
North America and international legacy loan portfolios, discontinued operations and unallocated taxes.
The accounting policies of these reportable segments are the same as those disclosed in Note 1 to the Consolidated Financial Statements.
The prior-period balances reflect reclassifications to conform the presentation for all periods to the current period’s presentation. FinancialDuring 2019, financial data was reclassified to reflect:


the reporting of the remaining businesses and portfolios of assets of Citi Holdings as part of Corporate/Other (prior to the first quarter of 2017, Citi Holdings was a separately reported business segment);
the re-attribution of certain treasury-related costs between Corporate/Other, GCB and ICG;
the re-attribution of regional revenues within ICG;and
•
Citi’s commercial banking businesses previously reported as part of GCB in North America, Latin America and Asia, including approximately $28 billion in end-of-period loans and approximately $37 billion in end-of-period deposits, are reported in ICG for all periods presented;
•
the re-attribution of certain costs between Corporate/Other and GCB and ICG; and
certain other immaterial reclassifications.


Citi’s consolidated results remainNet income (loss) reported in its 2018 Annual Report on Form 10-K remains unchanged for all periods presented as a result of the changes and reclassifications discussed above.
The following table presents certain information regarding the Company’s continuing operations by segment:
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes(2)
Income (loss) from
continuing operations(2)(3)
Identifiable assets
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes(2)
Income (loss) from
continuing operations(2)(3)
Identifiable assets
In millions of dollars, except identifiable assets in billions2017201620152017201620152017201620152017201620192018201720192018201720192018201720192018
Global Consumer Banking$32,697
$31,519
$32,251
$3,320
$2,655
$3,369
$3,893
$4,954
$6,214
$429
$412
$32,971
$32,339
$31,445
$1,746
$1,689
$3,067
$5,702
$5,309
$3,542
$407
$388
Institutional Clients Group35,667
33,227
33,332
7,008
4,260
4,173
9,066
9,525
9,110
1,336
1,277
39,301
38,325
37,822
3,570
3,756
7,241
12,944
12,574
9,375
1,447
1,438
Corporate/Other3,085
5,129
10,771
19,060
(471)(102)(19,586)554
2,062
77
103
2,014
2,190
3,177
(886)(88)19,080
825
205
(19,544)97
91
Total$71,449
$69,875
$76,354
$29,388
$6,444
$7,440
$(6,627)$15,033
$17,386
$1,842
$1,792
$74,286
$72,854
$72,444
$4,430
$5,357
$29,388
$19,471
$18,088
$(6,627)$1,951
$1,917
(1)
Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $33.9 billion, $32.2$33.4 billion and $32.2$34.1 billion; in EMEA of $10.7$12.0 billion, $9.9$11.8 billion and $9.8$10.9 billion; in Latin America of $9.4$10.4 billion, $8.9$10.3 billion and $9.7$9.6 billion; and in Asia of $14.4$16.0 billion, $13.7$15.3 billion and $13.9$14.6 billion in 2019, 2018 and 2017, 2016 and 2015, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Corporate/Other, GCB and ICG 2017 results include the one-time impact of Tax Reform. See Notes 1 and 9 to the Consolidated Financial Statements.
(3)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $7.9 billion, $7.6 billion $6.4 billion and $5.5$7.6 billion; in the ICG results of ($15)$563 million, $486$215 million and $962$19 million; and in the Corporate/Other results of ($175)$(75) million, $69$(202) million and $1.5 billion$(175) million in 2019, 2018 and 2017, 2016 and 2015, respectively.


4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
In millions of dollars201720162015201920182017
Interest revenue  
Loan interest, including fees$41,361
$39,752
$40,510
$47,751
$45,682
$41,736
Deposits with banks1,635
971
727
2,682
2,203
1,635
Federal funds sold and securities borrowed or purchased under agreements to resell3,248
2,543
2,516
Securities borrowed and purchased under agreements to resell6,872
5,492
3,249
Investments, including dividends8,295
7,582
7,017
9,860
9,494
8,295
Trading account assets(1)
5,502
5,738
5,942
7,672
6,284
5,501
Other interest(2)
1,163
1,029
1,839
1,673
1,673
1,163
Total interest revenue$61,204
$57,615
$58,551
$76,510
$70,828
$61,579
Interest expense  
Deposits(3)(2)
$6,586
$5,300
$5,052
$12,633
$9,616
$6,587
Federal funds purchased and securities loaned or sold under agreements to repurchase2,661
1,912
1,612
Securities loaned and sold under agreements to repurchase6,263
4,889
2,661
Trading account liabilities(1)
638
410
217
1,308
1,001
638
Short-term borrowings1,059
477
523
2,465
2,209
1,059
Long-term debt5,573
4,412
4,517
6,494
6,551
5,573
Total interest expense$16,517
$12,511
$11,921
$29,163
$24,266
$16,518
Net interest revenue$44,687
$45,104
$46,630
$47,347
$46,562
$45,061
Provision for loan losses7,503
6,749
7,108
8,218
7,354
7,503
Net interest revenue after provision for loan losses$37,184
$38,355
$39,522
$39,129
$39,208
$37,558
(1)
Interest expense on Trading account liabilities of ICG is reported as a reduction of interest revenue from Trading account assets.
(2)
During 2015, interest earned related to assets of significant disposals (primarily OneMain Financial) was reclassified to Other interest.
(3)Includes deposit insurance fees and charges of $781 million, $1,182 million and $1,249 million $1,145 millionfor 2019, 2018 and $1,118 million for 2017, 2016 and 2015, respectively.








5.   COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES
Commissions and Fees
The primary components of Citi’s Commissions and fees revenue are investment banking fees, trading-related fees, fees related to trade and securities services in ICG andbrokerage commissions, credit card and bank card income and deposit-related fees.
Investment banking fees are substantially composed of underwriting and advisory revenues andrevenues. Such fees are recognized at the point in time when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the closing of a transaction. Underwriting revenue is recorded in Commissions and fees, net of both reimbursable and non-reimbursableReimbursed expenses consistent with the AICPA Accounting Guide for Brokers and Dealers in Securities (codified in ASC 940-605-05-1). Expenses associated with advisoryrelated to these transactions are recorded as revenue and are included within investment banking fees. In certain instances for advisory contracts, Citi will receive amounts in Other operating expenses, netadvance of client reimbursements. the deal’s closing. In these instances, the amounts received will be recognized as a liability and not recognized in revenue until the transaction closes. For the periods presented, the contract liability amount was negligible.
Out-of-pocket expenses associated with underwriting activity are deferred and recognized at the time the related revenue is recognized.recognized, while out-of-pocket expenses associated with advisory arrangements are expensed as incurred. In general, expenses incurred related to investment banking transactions, that fail to close (arewhether consummated or not, consummated) are recorded gross in Other operating expenses. The Company has determined that it acts as principal in the majority of these transactions and therefore presents expenses gross within Other operating expenses.
Trading-related feesBrokerage commissions primarily include commissions and fees from the following: executing transactions for clients on



exchanges and over-the-counter markets; sales of mutual funds and other annuity products; and assisting clients in clearing transactions, providing brokerage services and other such activities. Trading-related feesBrokerage commissions are recognized when earned in Commissions and fees. at the point in time the associated service is fulfilled, generally on the trade execution date. Gains or losses, if any, on these transactions are included in Principal transactions (see Note 6 to the Consolidated Financial Statements). Sales of certain investment products include a portion of variable consideration associated with the underlying product. In these instances, a portion of the revenue associated with the sale of the product is not recognized until the variable consideration becomes fixed. The Company recognized $485 million, $521 million and $416 million of revenue related to such variable consideration for the years ended December 31, 2019, 2018 and 2017, respectively. These amounts primarily relate to performance obligations satisfied in prior periods.










Credit card and bank card fees areincome is primarily composed of interchange revenuefees, which are earned by card issuers based on
purchase sales, and certain card fees, including annual fees, reduced byfees.
Costs related to customer reward program costsprograms and certain partner payments.
payments to partners (primarily based on program sales,
profitability and customer acquisitions) are recorded as a
reduction of credit card and bank card income. Interchange revenue and fees
revenues are recognized as earned on a daily basis when earned.Citi's
performance obligation to transmit funds to the payment
networks has been satisfied. Annual card fees, net of
origination costs, are deferred and amortized on a straight-line
basis over a 12-month period. Reward costsCosts related to card reward
programs are recognized when pointsthe rewards are earned by the customers.
cardholders. Payments to partners are recognized when
incurred.
Deposit-related fees consist of service charges on deposit
accounts and fees earned from performing cash management
activities and other deposit account services. Such fees are
recognized in the period in which the related service is
provided.
Transactional service fees primarily consist of fees
charged for processing services such as cash management,
global payments, clearing, international funds transfer and
other trade services. Such fees are recognized as/when the
associated service is satisfied, which normally occurs at the
point in time the service is requested by the customer and
provided by Citi.
Insurance premiumsdistribution revenue consists of premium income from insurance policies which Citi has underwritten and sold to policyholders. Insurance distribution revenue consists of commissions
earned from third partythird-party insurance companies for marketing
and selling insurance policies on behalf of such entities. Such
commissions are recognized in Commissions and fees at the
point in time the associated service is fulfilled, generally when
the insurance policy is sold to the policyholder. Sales of
certain insurance products include a portion of variable
consideration associated with the underlying product. In these
instances, a portion of the revenue associated with the sale of
the policy is not recognized until the variable consideration
becomes determinable. The Company recognized $322 million, $386 million and $440 million of revenue related to such variable consideration for the years ended December 31, 2019, 2018 and 2017, respectively. These amounts primarily relate to performance obligations satisfied in prior periods.
Insurance premiums consist of premium income from
insurance policies that Citi has underwritten and sold to
policyholders.




The following table presents Commissions and fees revenue:
In millions of dollars201720162015
Investment banking$3,613
$2,847
$3,423
Trading-related3,015
2,799
3,138
Trade and securities services1,632
1,564
1,735
Credit cards and bank cards1,510
1,324
1,786
Corporate finance(1)
713
686
493
Other consumer(2)
703
659
685
Insurance distribution revenue(3)
514
548
621
Insurance premiums (3)
122
288
1,224
Checking-related478
467
497
Loan servicing312
325
404
Other327
431
479
Total commissions and fees$12,939
$11,938
$14,485
 201920182017
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Investment banking$3,767
$—
$—
$3,767
$3,568
$—
$—
$3,568
$3,817
$—
$—
$3,817
Brokerage commissions1,771
841
—
2,612
1,977
815
—
2,792
1,889
826
3
2,718
Credit card and bank card
  income
   

   

   

     Interchange fees1,222
8,621
—
9,843
1,077
8,112
11
9,200
953
7,523
99
8,575
     Card-related loan fees60
718
—
778
63
627
12
702
53
693
48
794
     Card rewards and partner
       payments
(691)(8,883)—
(9,574)(504)(8,253)(12)(8,769)(426)(7,242)(57)(7,725)
Deposit-related fees(1)
1,048
470
—
1,518
1,031
572
1
1,604
1,031
642
14
1,687
Transactional service fees824
123
—
947
733
83
4
820
751
78
49
878
Corporate finance(2)
616
—
—
616
734
—
—
734
766
—
—
766
Insurance distribution
  revenue
12
524
—
536
14
565
11
590
12
562
68
642
Insurance premiums—
186
—
186
—
119
—
119
—
122
—
122
Loan servicing78
55
21
154
100
91
37
228
117
71
95
283
Other99
261
3
363
116
139
14
269
30
90
30
150
Total commissions and
  fees(3)
$8,806
$2,916
$24
$11,746
$8,909
$2,870
$78
$11,857
$8,993
$3,365
$349
$12,707

(1)Includes overdraft fees of $127 million, $128 million and $135 million for the years ended December 31, 2019, 2018 and 2017, respectively. Overdraft fees are accounted for under ASC 310.
(2)Consists primarily of fees earned from structuring and underwriting loan syndications.
(2)Primarily consists of feessyndications or related financing activity. This activity is accounted for investment fund administration and management, third-party collections, commercial demand deposit accounts and certain credit card services.under ASC 310.
(3)Insurance
Commissions and fees includes $(7,695) million, $(6,853) million and $(5,627) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the years ended December 31, 2019, 2018 and 2017, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums were previously separately reportedand loan servicing fees.


Administration and Other Fiduciary Fees
Administration and other fiduciary fees revenue is primarily composed of custody fees and fiduciary fees.
The custody product is composed of numerous services related to the administration, safekeeping and reporting for both U.S. and non-U.S. denominated securities. The services offered to clients include trade settlement, safekeeping, income collection, corporate action notification, record-keeping and reporting, tax reporting and cash management. These services are provided for a wide range of securities, including but not limited to equities, municipal and corporate bonds, mortgage- and asset-backed securities, money market instruments, U.S. Treasuries and agencies, derivative instruments, mutual funds, alternative investments and precious metals. Custody fees are recognized as or when the associated promised service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi.
Fiduciary fees consist of trust services and investment management services. As an escrow agent, Citi receives, safe-
keeps, services and manages clients’ escrowed assets, such as cash, securities, property (including intellectual property), contracts or other collateral. Citi performs its escrow agent duties by safekeeping the funds during the specified time period agreed upon by all parties and therefore earns its revenue evenly during the contract duration.
Investment management services consist of managing assets on behalf of Citi’s retail and institutional clients. Revenue from these services primarily consists of asset-based fees for advisory accounts, which are based on the market value of the client’s assets and recognized monthly, when the market value is fixed. In some instances, the Company contracts with third-party advisors and with third-party custodians. The Company has determined that it acts as principal in the majority of these transactions and therefore presents the amounts paid to third parties gross within Other operating expenses.
The following table presents Administration and other fiduciary fees revenue:

 201920182017
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Custody fees$1,453
$16
$73
$1,542
$1,497
$133
$65
$1,695
$1,508
$164
$56
$1,728
Fiduciary fees647
621
28
1,296
645
597
43
1,285
593
575
91
1,259
Guarantee fees558
8
7
573
584
9
7
600
584
5
8
597
Total administration
  and other fiduciary fees(1)
$2,658
$645
$108
$3,411
$2,726
$739
$115
$3,580
$2,685
$744
$155
$3,584
(1)
Administration and other fiduciary fees includes $573 million, $600 million and $597 million for the Consolidated Statement of Income.years ended December 31, 2019, 2018 and 2017, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.



6. PRINCIPAL TRANSACTIONS
Citi’s Principal transactions revenue consists of realized and unrealized gains and losses from trading activities. Trading activities include revenues from fixed income, equities, credit and commodities products and foreign exchange transactions that are managed on a portfolio basis characterized by primary risk. Not included in the table below is the impact of net interest revenue related to trading activities, which is an integral part of trading activities’ profitability. For additional information regarding Principal transactions revenue, seeSee Note 4 to the Consolidated Financial Statements for information about
 
information about net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments on derivatives),adjustments) and FVA (funding valuation adjustments) on over-the-counter derivatives, and prior to 2016, DVA (debt valuation adjustmentsgains (losses) on issued liabilities for which the fair value option has been elected)certain economic hedges on loans in ICG. These adjustments are discussed further in Note 24 to the Consolidated Financial Statements.
In certain transactions, Citi incurs fees and presents these fees paid to third parties in operating expenses. The following table presents Principaltransactions revenue:
In millions of dollars201720162015
Global Consumer Banking(1)
$570
$629
$577
Institutional Clients Group7,740
7,335
5,824
Corporate/Other(1)
858
(379)(393)
Total Citigroup$9,168
$7,585
$6,008
Interest rate risks(2)
$5,124
$4,115
$3,798
Foreign exchange risks(3)
2,488
1,726
1,532
Equity risks(4)
491
189
331
Commodity and other risks(5)
294
806
750
Credit products and risks(6)
771
749
(403)
Total$9,168
$7,585
$6,008
(1) Primarily relates to foreign exchange risks.
In millions of dollars201920182017
Interest rate risks(1)
$5,990
$5,178
$5,304
Foreign exchange risks(2)
1,650
1,398
2,435
Equity risks(3)
872
1,336
525
Commodity and other risks(4)
516
669
425
Credit products and risks(5)
(136)324
251
Total$8,892
$8,905
$8,940
(2)(1)Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
(3)(2)Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(4)(3)Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(5)(4)Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(6)(5)Includes revenues from structured credit products.


7. INCENTIVE PLANS
 
Discretionary Annual Incentive Awards
Citigroup grants immediate cash bonus payments and various forms of immediate and deferred awards as part of its discretionary annual incentive award program involving a large segment of Citigroup’s employees worldwide. Most of the shares of common stock issued by Citigroup as part of its equity compensation programs are issued to settle the vesting of the stock components of these awards.
Discretionary annual incentive awards are generally awarded in the first quarter of the year based uponon the previous year’s performance. Awards valued at less than U.S. $100,000 (or the local currency equivalent) are generally paid entirely in the form of an immediate cash bonus. Pursuant to Citigroup policy and/or regulatory requirements, certain employees and officers are subject to mandatory deferrals of incentive pay and generally receive 25% to –60% of their awards in a combination of restricted or deferred stock, deferred cash stock units or deferred cash. Discretionary annual incentive awards to many employees in the EU are subject to deferral requirements regardless of the total award value, with at least 50% of the immediate incentive delivered in the form of a stock payment or stock unit award subject to a restriction on sale or transfer or hold back (generally, for twelve12 months).
Deferred annual incentive awards may be delivered in the form of one or more award types—types: a restricted or deferred stock award under Citi’s Capital Accumulation Program (CAP), or a deferred cash stock unit award and/or a deferred cash award under Citi’s Deferred Cash Award Plan. The applicable mix of awards may vary based on the employee’s minimum deferral requirement and the country of employment.
Subject to certain exceptions (principally, for retirement-eligible employees), continuous employment within Citigroup is required to vest in CAP, deferred cash stock unit and deferred cash awards. Post employment vesting by retirement-eligible employees and participants who meet other conditions is generally conditioned upon their refraining from competition with Citigroup during the remaining vesting period, unless the employment relationship has been terminated by Citigroup under certain conditions.
Generally, the deferred awards vest in equal annual installments over three- or four-year periods. Vested CAP awards are delivered in shares of common stock. Deferred cash awards are payable in cash and, except as prohibited by applicable regulatory guidance, earn a fixed notional rate of interest that is paid only if and when the underlying principal award amount vests. Deferred cash stock unit awards are payable in cash at the vesting value of the underlying stock. Generally, in the EU, vested CAP shares are subject to a restriction on sale or transfer after vesting, and vested deferred cash awards and deferred cash stock units are subject to hold back (generally, for twelve6 or 12 months in each case)based on the award type).
Unvested CAP, deferred cash stock units and deferred cash awards are subject to one or more clawback provisions that apply in certain circumstances, including gross misconduct. CAP and deferred cash stock unit awards, made
to certain employees, are subject to a formulaic performance-based vesting condition pursuant to which amounts otherwise
scheduled to vest will be reduced based on the amount of any pretax loss in the participant’s business in the calendar year preceding the scheduled vesting date. A minimum reduction of 20% applies for the first dollar of loss for CAP and deferred cash stock unit awards.
In addition, deferred cash awards are subject to a discretionary performance-based vesting condition under which an amount otherwise scheduled to vest may be reduced in the event of a “material adverse outcome” for which a participant has “significant responsibility.” These awards are also subject to an additional clawback provision pursuant to which unvested awards may be canceled if the employee engaged in misconduct or exercised materially imprudent judgment, or failed to supervise or escalate the behavior of other employees who did.


Sign-on and Long-Term Retention Awards
Stock awards and deferred cash awards may be made at various times during the year as sign-on awards to induce new hires to join Citi or to high-potential employees as long-term retention awards.
Vesting periods and other terms and conditions pertaining to these awards tend to vary by grant. Generally, recipients must remain employed through the vesting dates to vest in the awards, except in cases of death, disability or involuntary termination other than for gross misconduct. These awards do not usually provide for post-employmentpost employment vesting by retirement-eligible participants.


Outstanding (Unvested) Stock Awards
A summary of the status of unvested stock awards granted as discretionary annual incentive or sign-on and long-term retention awards is presented below:
Unvested stock awardsShares
Weighted-
average grant
date fair
value per share
Shares
Weighted-
average grant
date fair
value per share
Unvested at December 31, 201642,672,176
$43.24
Unvested at December 31, 201831,728,596
$57.30
Granted(1)
13,914,752
59.12
14,920,917
61.78
Canceled(1,335,297)47.29
(1,104,448)60.45
Vested(2)
(18,320,591)45.63
(15,350,350)53.58
Unvested at December 31, 201736,931,040
$47.89
Unvested at December 31, 201930,194,715
$61.30


(1)The weighted-average fair value of the shares granted during 20162018 and 20152017 was $37.35$73.87 and $50.33,$59.12, respectively.
(2)The weighted-average fair value of the shares vesting during 20172019 was approximately $57.45$63.38 per share.
Total unrecognized compensation cost related to unvested stock awards was $530$538 million at December 31, 2017.2019. The cost is expected to be recognized over a weighted-average period of 1.6 years.



Performance Share Units
Certain executive officers were awarded a target number of performance share units (PSUs) each February from 20142016 to 2017,2019, for performance in the year prior to the award date. For grants prior to 2016, PSUs will be earned only to the extent that Citigroup attains specified performance goals relating to Citigroup’s return on assets and relative total shareholder return against peers over the three-year period beginning with the year of award. The actual dollar amounts ultimately earned could vary from zero, if performance goals are not met, to as much as 150% of target, if performance goals are meaningfully exceeded.
The PSUs granted in February 2016 arewere earned over a three-year performance period based on Citigroup’s relative total shareholder return as compared to peers. The actual dollar amounts ultimately earned could vary from zero, if performance goals are not met, to as much as 150% of target, if performance goals are meaningfully exceeded.
The PSUs granted in February 2017, 2018 and 2019 are earned over a three-year performance period, based half on return on tangible common equity performance in 2019,the last year of the three-year performance period and the remaining half on cumulative earnings per share over 2017 to 2019.the three-year performance period.
For the PSUs awarded in 2016 and 2017,all award years, if the total shareholder return is negative over the three-year performance period, executives may earn no more than 100% of the target PSUs, regardless of the extent to which CitiCitigroup outperforms peer firms. The number of PSUs ultimately earned could vary from 0, if performance goals are not met, to as much as 150% of target, if performance goals are meaningfully exceeded.
For all award years, the value of each PSU is equal to the value of one1 share of Citi common stock. Dividend equivalents will be accrued and paid on the number of earned PSUs after the end of the performance period.
PSUs are subject to variable accounting, pursuant to which the associated value of the award will fluctuate with changes in Citigroup’s stock price and the attainment of the specified performance goals for each award, until the award is settled solely in cash after the end of the performance period. The value of the award, subject to the performance goals, is estimated using a simulation model that incorporates multiple valuation assumptions, including the probability of achieving the specified performance goals of each award. The risk-free rate used in the model is based on the applicable U.S. Treasury yield curve. Other significant assumptions for the awards are as follows:
Valuation assumptions201920182017
Expected volatility25.33%24.93%25.79%
Expected dividend yield2.67
1.75
1.30
Valuation Assumptions201720162015
Expected volatility25.79%24.37%27.13%
Expected dividend yield1.30%0.40%0.08%





























 
A summary of the performance share unit activity for 20172019 is presented below:
Performance Share UnitsUnits
Weighted-
average grant
date fair
value per unit
Performance share unitsUnits
Weighted-
average grant
date fair
value per unit
Outstanding, beginning of period1,844,560
$38.22
1,768,362
$51.88
Granted(1)
500,609
59.22
560,031
72.83
Canceled(277,546)48.34
(194,782)42.24
Payments(280,897)48.34
(641,611)27.03
Outstanding, end of period1,786,726
$40.94
1,492,000
$71.69


(1)
The weighted-average grant date fair value per unit awarded in 2018 and 2017 was $83.24 and $59.22, respectively.
(1)The weighted-average grant date fair value per unit awarded in 2016 and 2015 was $27.03 and $44.07, respectively.


PSUs granted in 2015 and 2017 were equitably adjusted after the enactment of Tax Reform, as required under the terms of those awards. The adjustments were intended to reproduce the expected value of the awards immediately prior to the passage of Tax Reform. The PSUs granted in 2016 were not impacted by Tax Reform.


Stock Option Programs
All outstanding stock options are fully vested, with the related expense recognized as a charge to income in prior periods. Generally, the stock options outstanding have a six-year term, with some stock options subject to various transfer restrictions. Cash received from employee stock option exercises under this program for the year ended December 31, 2017 was approximately $14 million.



InformationThe following table presents information with respect to stock option activity under Citigroup’s stock option programs is shown below:programs: 
 201920182017
 Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Outstanding, beginning of period762,225
$101.84
$—
1,138,813
$161.96
$—
1,527,396
$131.78
$—
Canceled(11,365)40.80
—
—
—
—
—
—
—
Expired(449,916)142.30
—
(376,588)283.63
—
—
—
—
Exercised(134,294)39.00
23.50
—
—
—
(388,583)43.35
15.67
Outstanding, end of period166,650
$47.42
$32.47
762,225
$101.84
$—
1,138,813
$161.96
$—
Exercisable, end of period166,650
  
762,225
 
 
1,138,813
 
 


 201720162015
 Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Outstanding, beginning of period1,527,396
$131.78
$—
6,656,588
$67.92
$—
26,514,119
$48.00
$6.11
Canceled—
—
—
(25,334)40.80
—
(7,901)40.80
—
Expired—
—
—
(2,613,909)48.80
—
(1,646,581)40.85
—
Exercised(388,583)43.35
15.67
(2,489,949)49.10
6.60
(18,203,048)41.39
13.03
Outstanding, end of period1,138,813
$161.96
$—
1,527,396
$131.78
$—
6,656,588
$67.92
$—
Exercisable, end of period1,138,813
  
1,527,396
 
 
6,656,588
 
 

The following table summarizes information about stock options outstanding under Citigroup’s stock option programs at December 31, 2017:2019:
  Options outstandingOptions exercisable
Range of exercise prices
Number
outstanding
Weighted-average
contractual life
remaining
Weighted-average
exercise price
Number
exercisable
Weighted-average
exercise price
$39.00—$99.99312,309
3.0 years$43.56
312,309
$43.56
$100.00—$199.99502,416
1.0 year147.13
502,416
147.13
$200.00—$299.99124,088
0.1 years240.28
124,088
240.28
$300.00—$399.99200,000
0.1 years335.50
200,000
335.50
Total at December 31, 20171,138,813
1.3 years$161.96
1,138,813
$161.96
  Options outstandingOptions exercisable
Range of exercise prices
Number
outstanding
Weighted-average
contractual life
remaining
Weighted-average
exercise price
Number
exercisable
Weighted-average
exercise price
$41.54–$60.00166,650
1.4 years$47.42
166,650
$47.42
Total at December 31, 2019166,650
1.4 years$47.42
166,650
$47.42


Other Variable Incentive Compensation
Citigroup has various incentive plans globally that are used to motivate and reward performance primarily in the areas of sales, operational excellence and customer satisfaction. Participation in these plans is generally limited to employees who are not eligible for discretionary annual incentive awards. Other forms of variable compensation include monthly commissions paid to Financial Advisorsfinancial advisors and Mortgage Loan Officers.mortgage loan officers.


Summary
Except for awards subject to variable accounting, the total expense recognized for stock awards represents the grant date fair value of such awards, which is generally recognized as a charge to income ratably over the vesting period, other than for awards to retirement-eligible employees and immediately vested awards. Whenever awards are made or are expected to be made to retirement-eligible employees, the charge to income is accelerated based on when the applicable conditions to retirement eligibility were or will be met. If the employee is retirement eligible on the grant date, or the award is vested at the grant date, the entire expense is recognized in the year prior to grant.
Recipients of Citigroup stock awards generally do not have any stockholder rights until shares are delivered upon vesting or exercise, or after the expiration of applicable required holding periods. Recipients of restricted or deferred stock awards and deferred cash stock unit awards, however, may, except as prohibited by applicable regulatory guidance,
be entitled to receive or accrue dividends or dividend-equivalent payments during the vesting period. Recipients of restricted stock awards generally are entitled to vote the shares in their award during the vesting period. Once a stock award
vests, the shares delivered to the participant are freely transferable, unless they are subject to a restriction on sale or transfer for a specified period.
All equity awards granted since April 19, 2005 have been made pursuant to stockholder-approved stock incentive plans that are administered by the Personnel and Compensation Committee of the Citigroup Board of Directors, which is composed entirely of independent non-employee directors.
At December 31, 2017,2019, approximately 39.229.7 million shares of Citigroup common stock were authorized and available for grant under Citigroup’s 20142019 Stock Incentive Plan, the only plan from which equity awards are currently granted.
The 20142019 Stock Incentive Plan and predecessor plans permit the use of treasury stock or newly issued shares in connection with awards granted under the plans. Newly issued shares were distributed to settle the vesting of the majority of annual deferred stock awards from 2012 to 2015. Treasury shares were used to settle vestings infrom 2016 to 2019, and 2017, andfor the first quarter of 2018,2020, except where local laws favor newly issued shares. The use of treasury stock or newly issued shares to settle stock awards does not affect the compensation expense recorded in the Consolidated Statement of Income for equity awards.



Incentive Compensation Cost
The following table shows components of compensation expense, relating to certain of the above incentive compensation programs:programs described above:
In millions of dollars201720162015201920182017
Charges for estimated awards to retirement-eligible employees$659
$555
$541
$683
$669
$659
Amortization of deferred cash awards, deferred cash stock units and performance stock units354
336
325
355
202
354
Immediately vested stock award expense(1)
70
73
61
82
75
70
Amortization of restricted and deferred stock awards(2)
474
509
461
404
435
474
Other variable incentive compensation694
710
773
666
640
694
Total$2,251
$2,183
$2,161
$2,190
$2,021
$2,251
(1)Represents expense for immediately vested stock awards that generally were stock payments in lieu of cash compensation. The expense is generally accrued as cash incentive compensation in the year prior to grant.
(2)All periods include amortization expense for all unvested awards to non-retirement-eligible employees.




Future Expenses Associated with Outstanding (Unvested) Awards
Citi expects to record compensation expense in future periods as a result of awards granted for performance in 2017 and prior years. Because the awards contain service or other conditions that will be satisfied in the future, the expense of these already-granted awards is recognized over those future periods. The portion of these awards that is subject to variable accounting will cause the expense amount to fluctuate with changes in Citigroup’s common stock price. Citi's expected future expenses, excluding the impact of forfeitures, cancelations, clawbacks and repositioning-related accelerations that have not yet occurred, are summarized in the table below:
In millions of dollars201820192020
2021 and beyond(1)
Total
Awards granted in 2017 and prior:   
Deferred stock awards$276
$146
$67
$11
$500
Deferred cash awards170
94
38
8
310
Future expense related to awards already granted$446
$240
$105
$19
$810
Future expense related to awards granted in 2018(2)
$238
$185
$148
$111
$682
Total$684
$425
$253
$130
$1,492

(1)Principally 2021.
(2)Refers to awards granted on or about February 15, 2018, as part of Citi's discretionary annual incentive awards for services performed in 2017.



8. RETIREMENT BENEFITS


Pension and Postretirement Plans
The Company has several non-contributory defined benefit pension plans covering certain U.S. employees and has various defined benefit pension and termination indemnity plans covering employees outside the U.S.
The U.S. qualified defined benefit plan was frozen effective January 1, 2008 for most employees. Accordingly, no additional compensation-based contributions have been credited to the cash balance portion of the plan for existing plan participants after 2007. However, certain employees covered under the prior final pay plan formula continue to accrue benefits. The Company also offers postretirement health care and life insurance benefits to certain eligible U.S. retired employees, as well as to certain eligible employees outside the U.S.
The Company also sponsors a number of non-contributory, nonqualified pension plans. These plans, which are unfunded, provide supplemental defined pension benefits to certain U.S.
 
employees. With the exception of certain employees covered under the prior final pay plan formula, the benefits under these plans were frozen in prior years.
The plan obligations, plan assets and periodic plan expense for the Company’s most significant pension and postretirement benefit plans (Significant Plans) are measured and disclosed quarterly, instead of annually. The Significant Plans captured approximately 90% of the Company’s global pension and postretirement plan obligations as of December 31, 2017.2019. All other plans (All Other Plans) are measured annually with a December 31 measurement date.


Net (Benefit) Expense
The following table summarizes the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans for Significant Plans and All Other Plans:


 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars201920182017201920182017201920182017201920182017
Benefits earned during the year$1
$1
$3
$146
$146
$153
$—
$—
$—
$8
$9
$9
Interest cost on benefit obligation469
514
533
287
292
295
24
26
26
104
102
101
Expected return on plan assets(821)(844)(865)(281)(291)(299)(18)(14)(6)(84)(88)(89)
Amortization of unrecognized: 
 
 
 
 
 
 
 
 
 
 
 
Prior service cost (benefit)2
2
2
(4)(4)(3)—
—
—
(10)(10)(10)
Net actuarial loss200
165
173
61
53
61
—
(1)—
23
29
35
Curtailment loss (gain)(1)
1
1
6
(6)(1)—
—
—
—
—
—
—
Settlement loss(1)
—
—
—
6
7
12
—
—
—
—
—
—
Total net (benefit) expense$(148)$(161)$(148)$209
$202
$219
$6
$11
$20
$41
$42
$46
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars201720162015201720162015201720162015201720162015
Benefits earned during the year$3
$4
$6
$153
$154
$168
$—
$—
$—
$9
$10
$12
Interest cost on benefit obligation533
548
581
295
282
317
26
25
33
101
94
108
Expected return on plan assets(865)(886)(893)(299)(287)(323)(6)(9)(3)(89)(86)(105)
Amortization of unrecognized 
 
 
 
 
 
 
 
 
 
 
 
Prior service (benefit) cost2
2
1
(3)(1)2
—
—
—
(10)(10)(11)
Net actuarial loss173
169
148
61
69
73
—
(1)—
35
30
43
Curtailment loss (gain)(1)
6
13
14
—
(2)—
—
—
—
—
—
(1)
Settlement loss (1)
—
—
—
12
6
44
—
—
—
—
—
—
Total net (benefit) expense$(148)$(150)$(143)$219
$221
$281
$20
$15
$30
$46
$38
$46

(1)LossesCurtailment and gains due to curtailment and settlement benefits relate to repositioning and divestiture actions.


The estimated net actuarial loss and prior service (benefit) cost that will be amortized from Accumulated other comprehensive income (loss) into net expense in 2018 are approximately $241 million and $(2) million, respectively, for defined benefit pension plans.
For postretirement plans, the estimated 2018 net actuarial loss and prior service (benefit) cost amortizations are approximately $28 million and $(9) million, respectively.












Contributions
The Company’s funding practice for U.S. and non-U.S. pension and postretirement plans is generally to fund to minimum funding requirements in accordance with applicable local laws and regulations. The Company may increase its contributions above the minimum required contribution, if appropriate. In addition, management has the ability to change its funding practices. For the U.S. pension plans, there were no required minimum cash contributions for 20172019 or 2016.2018.
 


The following table summarizes the actual Company contributions for the years ended December 31, 20172019 and 2016,2018, as well as estimated expected Company contributions for 2018.2020. Expected contributions are subject to change, since contribution decisions are affected by various factors, such as market performance, tax considerations and regulatory requirements.





Pension plans(1)
Postretirement benefit plans(1)
Pension plans(1)
Postretirement benefit plans(1)
U.S. plans(2)
Non-U.S. plansU.S. plansNon-U.S. plans
U.S. plans(2)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars201820172016201820172016201820172016201820172016202020192018202020192018202020192018202020192018
Contributions made by the Company$—
$50
$500
$79
$90
$82
$—
$140
$—
$4
$4
$4
$—
$425
$—
$111
$111
$140
$—
$—
$145
$4
$221
$3
Benefits paid directly by the Company60
55
56
49
45
44
6
36
6
6
5
5
58
56
55
53
39
42
6
4
5
6
4
6


(1)Amounts reported for 20182020 are expected amounts.     
(2)The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans.


Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following tables summarizetable summarizes the funded status and amounts recognized in the Consolidated Balance Sheet for the Company’s pension and postretirement plans:
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20192018201920182019201820192018
Change in projected benefit obligation 
 
 
 
 
 
 
 
Projected benefit obligation at beginning of year$12,655
$14,040
$7,149
$7,433
$662
$699
$1,159
$1,261
Benefits earned during the year1
1
146
146
—
—
8
9
Interest cost on benefit obligation469
514
287
292
24
26
104
102
Plan amendments—
—
7
7
—
—
—
—
Actuarial loss (gain)( 1)
1,263
(1,056)861
(99)46
(1)140
(123)
Benefits paid, net of participants’ contributions and government subsidy(2)
(936)(845)(304)(293)(40)(62)(72)(68)
Settlement gain(3)
—


(84)(121)—
—
—
—
Curtailment loss (gain)(3)
1
1
(4)(1)—
—
—
—
Foreign exchange impact and other—
—
47
(215)—
—
45
(22)
Projected benefit obligation at year end$13,453
$12,655
$8,105
$7,149
$692
$662
$1,384
$1,159
Change in plan assets 
 
 
 
 
 
 
 
Plan assets at fair value at beginning of year$11,490
$12,725
$6,699
$7,128
$345
$262
$1,036
$1,119
Actual return on plan assets(1)
1,682
(445)781
(11)36
(5)138
(26)
Company contributions481
55
150
182
4
150
225
9
Benefits paid, net of participants’ contributions and government subsidy(2)
(936)(845)(304)(293)(40)(62)(72)(68)
Settlement gain(3)
—
—
(84)(121)—
—
—
—
Foreign exchange impact and other—
—
314
(186)—
—
(200)2
Plan assets at fair value at year end$12,717
$11,490
$7,556
$6,699
$345
$345
$1,127
$1,036
Funded status of the plans        
Qualified plans(4)
$(23)$(483)$(549)$(450)$(347)$(317)$(257)$(123)
Nonqualified plans(5)
(713)(682)—
—
—
—
—
—
Funded status of the plans at year end$(736)$(1,165)$(549)$(450)$(347)$(317)$(257)$(123)
Net amount recognized 
 
 
 
 
 
 
 
Qualified plans        
Benefit asset$—
$—
$808
$806
$—
$—
$57
$175
Benefit liability(23)(483)(1,357)(1,256)(347)(317)(314)(298)
Qualified plans$(23)$(483)$(549)$(450)$(347)$(317)$(257)$(123)
Nonqualified plans(713)(682)—
—
—
—
—
—
Net amount recognized on the balance sheet$(736)$(1,165)$(549)$(450)$(347)$(317)$(257)$(123)
Amounts recognized in AOCI
     
 
 
 
Net transition obligation$—
$—
$—
$(1)$—
$—
$—
$—
Prior service (cost) benefit(12)(13)1
12
—
—
76
83
Net actuarial (loss) gain(7,092)(6,892)(1,735)(1,420)24
53
(416)(340)
Net amount recognized in equity (pretax)$(7,104)$(6,905)$(1,734)$(1,409)$24
$53
$(340)$(257)
Accumulated benefit obligation at year end

$13,447
$12,646
$7,618
$6,720
$692
$662
$1,384
$1,159



 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
 20172016201720162017201620172016
Change in projected benefit obligation 
 
 
 
 
 
 
 
Projected benefit obligation at beginning of year$14,000
$13,943
$6,522
$6,534
$686
$817
$1,141
$1,291
Benefits earned during the year3
4
153
154
—
—
9
10
Interest cost on benefit obligation533
548
295
282
26
25
101
94
Plan amendments—
—
4
(28)—
—
—
—
Actuarial loss (gain)536
367
127
589
43
(105)19
3
Benefits paid, net of participants’ contributions and government subsidy(769)(780)(278)(324)(56)(51)(64)(59)
Divestitures—
—
(29)(22)—
—
(4)—
Settlement gain(1)
—
—
(192)(38)—
—
—
—
Curtailment (gain) loss(1)
6
13
(3)(15)—
—
—
(4)
Foreign exchange impact and other(2)
(269)(95)834
(610)—
—
59
(194)
Projected benefit obligation at year end$14,040
$14,000
$7,433
$6,522
$699
$686
$1,261
$1,141


(1)During 2019, the actuarial loss is primarily due to the decline in global discount rates and actual return on plan assets due to favorable asset returns.
(2)U.S. postretirement benefit plans were net of Employer Group Waiver Plan subsidy of $22 million and $15 million in 2019 and 2018, respectively.
(3)Curtailment and settlement (gains) losses relate to repositioning and divestiture activities.
(2)With respect to the U.S. Plan, de-risking activities during 2017 resulted in a reduction to plan obligations and assets.

 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20172016201720162017201620172016
Change in plan assets 
 
 
 
 
 
 
 
Plan assets at fair value at beginning of year$12,363
$12,137
$6,149
$6,104
$129
$166
$1,015
$1,133
Actual return on plan assets1,295
572
462
967
13
8
113
122
Company contributions105
556
135
126
176
6
9
9
Divestitures—
—
(31)(5)—
—
—
—
Settlements—
—
(192)(38)—
—
—
—
Benefits paid, net of participants’ contributions and government subsidy(769)(779)(278)(324)(56)(51)(64)(59)
Foreign exchange impact and other(1)
(269)(123)883
(681)—
—
46
(190)
Plan assets at fair value at year end$12,725
$12,363
$7,128
$6,149
$262
$129
$1,119
$1,015
         
Funded status of the plans        
Qualified plans(2)
$(565)$(908)$(305)$(373)$(437)$(557)$(142)$(126)
Nonqualified plans(3)
(750)(729)—
—
—
—
—
—
Funded status of the plans at year end$(1,315)$(1,637)$(305)$(373)$(437)$(557)$(142)$(126)
         
Net amount recognized 
 
 
 
 
 
 
 
Qualified plans        
Benefit asset$—
$—
$900
$711
$—
$—
$181
$166
Benefit liability(565)(908)(1,205)(1,084)(437)(557)(323)(292)
Qualified plans$(565)$(908)$(305)$(373)$(437)$(557)$(142)$(126)
Nonqualified plans(750)(729)—
—
—
—
—
—
Net amount recognized on the balance sheet$(1,315)$(1,637)$(305)$(373)$(437)$(557)$(142)$(126)
         
Amounts recognized in Accumulated other comprehensive income (loss)
  
 
 
 
 
 
 
Net transition obligation$—
$—
$(1)$(1)$—
$—
$—
$—
Prior service benefit(15)(17)22
29
—
—
92
98
Net actuarial gain (loss)(6,823)(6,891)(1,318)(1,302)72
106
(382)(399)
Net amount recognized in equity (pretax)$(6,838)$(6,908)$(1,297)$(1,274)$72
$106
$(290)$(301)
         
Accumulated benefit obligation at year end

$14,034
$13,994
$7,038
$6,090
$699
$686
$1,261
$1,141
(1)With respect to the U.S. Plan, de-risking activities during 2017 resulted in a reduction to plan obligations and assets.
(2)(4)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act (ERISA) funding rules as of January 1, 20182020 and no minimum required funding is expected for 2018.2020.
(3)(5)The nonqualified plans of the Company are unfunded.





The following table shows the change in Accumulated other comprehensive income (loss) AOCI related to the Company’s pension, postretirement and post employment plans:
In millions of dollars201720162015201920182017
Beginning of year balance, net of tax(1)(2)
$(5,164)$(5,116)$(5,159)$(6,257)$(6,183)$(5,164)
Actuarial assumptions changes and plan experience(760)(854)898
(2,300)1,288
(760)
Net asset gain (loss) due to difference between actual and expected returns625
400
(1,457)1,427
(1,732)625
Net amortizations229
232
236
Net amortization274
214
229
Prior service (cost) credit(4)28
(6)(7)(7)(4)
Curtailment/settlement gain(3)
17
17
57
1
7
17
Foreign exchange impact and other(93)99
291
(66)136
(93)
Impact of Tax Reform(4)
(1,020)—
—
—
—
(1,020)
Change in deferred taxes, net(13)30
24
119
20
(13)
Change, net of tax$(1,019)$(48)$43
$(552)$(74)$(1,019)
End of year balance, net of tax(1)(2)
$(6,183)$(5,164)$(5,116)$(6,809)$(6,257)$(6,183)
(1)
See Note 19 to the Consolidated Financial Statements for further discussion of net Accumulated other comprehensive income (loss)AOCI balance.
(2)Includes net-of-tax amounts for certain profit sharingprofit-sharing plans outside the U.S.
(3)Curtailment and settlement gains broadly relate to repositioning and divestiture activities.
(4)
In the fourth quarter of 2017, Citi adopted ASU 2018-02, which transferred these amounts from AOCI to Retained earnings.earnings. See Note 1 to the Consolidated Financial Statements.


At December 31, 20172019 and 2016,2018, the aggregate projected benefit obligation (PBO), the aggregate accumulated benefit obligation (ABO) and the aggregate fair value of plan assets are presented for all defined benefit pension plans with a PBO in excess of plan assets and for all defined benefit pension plans with an ABO in excess of plan assets as follows:





PBO exceeds fair value of plan assetsABO exceeds fair value of plan assetsPBO exceeds fair value of plan assetsABO exceeds fair value of plan assets
U.S. plans(1)
Non-U.S. plans
U.S. plans(1)
Non-U.S. plans
U.S. plans(1)
Non-U.S. plans
U.S. plans(1)
Non-U.S. plans
In millions of dollars2017201620172016201720162017201620192018201920182019201820192018
Projected benefit obligation$14,040
$14,000
$2,721
$2,484
$14,040
$14,000
$2,596
$2,282
$13,453
$12,655
$4,445
$3,904
$13,453
$12,655
$2,748
$3,718
Accumulated benefit obligation14,034
13,994
2,381
2,168
14,034
13,994
2,296
2,012
13,447
12,646
4,041
3,528
13,447
12,646
2,435
3,387
Fair value of plan assets12,725
12,363
1,516
1,399
12,725
12,363
1,407
1,224
12,717
11,490
3,089
2,648
12,717
11,490
1,429
2,478
(1)At December 31, 20172019 and 2016,2018, for both the U.S. qualified plan and nonqualified plans, the aggregate PBO and the aggregate ABO exceeded plan assets.






Plan Assumptions
The Company utilizes a number of assumptions to determine plan obligations and expenses. Changes in one or a combination of these assumptions will have an impact on the Company’s pension and postretirement PBO, funded status and (benefit) expense. Changes in the plans’ funded status resulting from changes in the PBO and fair value of plan assets will have a corresponding impact on Accumulated other comprehensive income (loss).
The actuarial assumptions at the respective years ended December 31 in the table below are used to measure the year-end PBO and the net periodic (benefit) expense for the subsequent year (period). Since Citi’s Significant Plans are measured on a quarterly basis, the year-end rates for those plans are used to calculate the net periodic (benefit) expense for the subsequent year’s first quarter. 
As a result of the quarterly measurement process, the net periodic (benefit) expense for the Significant Plans is calculated at each respective quarter end based on the preceding quarter-end rates (as shown below for the U.S. and non-U.S. pension and postretirement plans). The actuarial assumptions for All Other Plans are measured annually.
Certain assumptions used in determining pension and postretirement benefit obligations and net benefit expense for the Company’s plans are shown in the following table:
At year end2017201620192018
Discount rate  
U.S. plans   
Qualified pension3.60%4.10%3.25%4.25%
Nonqualified pension3.604.003.254.25
Postretirement3.503.903.154.20
Non-U.S. pension plans  
Range0.00 to 10.200.25 to 72.50
Range(1)
-0.10 to 11.300.25 to 12.00
Weighted average4.174.403.654.47
Non-U.S. postretirement plans
  
Range1.75 to 10.101.75 to 11.050.90 to 9.101.75 to 10.75
Weighted average8.108.277.769.05
Future compensation increase rate(1)(2)
Future compensation increase rate(1)(2)
 
Future compensation increase rate(1)(2)
 
Non-U.S. pension plans  
Range1.17 to 13.671.25 to 70.001.50 to 11.501.30 to 13.67
Weighted average3.083.213.173.16
Expected return on assets  
U.S. plans

Qualified pension6.806.806.706.70
Postretirement(2)(3)
6.80/3.006.806.70/3.006.70/3.00
Non-U.S. pension plans  
Range0.00 to 11.501.00 to 11.500.00 to 11.501.00 to 11.50
Weighted average4.524.553.954.30
Non-U.S. postretirement plans  
Range8.00 to 9.808.00 to 10.306.20 to 8.008.00 to 9.20
Weighted average8.018.027.998.01


(1)Due to substantial downward movement in yields, there were negative discount rates for plans with relatively short duration in major markets, such as the Eurozone and Switzerland.
(2)Not material for U.S. plans.
(3)In 2019 and 2018, the expected rate of return for the VEBA Trust was 3.00%.

During the year201920182017
Discount rate   
U.S. plans   
Qualified pension4.25%/3.85%/ 3.45%/3.10%3.60%/3.95%/ 4.25%/4.30%4.10%/4.05%/ 3.80%/3.75%
Nonqualified pension4.25/3.90/ 3.50/3.103.60/3.95/ 4.25/4.304.00/3.95/ 3.75/3.65
Postretirement4.20/3.80/ 3.35/3.003.50/3.90/ 4.20/4.203.90/3.85/ 3.60/3.55
Non-U.S. pension plans(1)
  
Range(2)
-0.05 to 12.000.00 to 10.750.25 to 72.50
Weighted average4.474.174.40
Non-U.S. postretirement plans(1)
  
Range1.75 to 10.751.75 to 10.101.75 to 11.05
Weighted average9.058.108.27
Future compensation increase rate(3)
 
Non-U.S. pension plans(1)
  
Range1.30 to 13.671.17 to 13.671.25 to 70.00
Weighted average3.163.083.21
Expected return on assets  
U.S. plans


Qualified pension(4)
6.706.80/6.706.80
Postretirement(4)(5)
6.70/3.006.80/6.70/3.006.80
Non-U.S. pension plans(1)
  
Range1.00 to 11.500.00 to 11.601.00 to 11.50
Weighted average4.304.524.55
Non-U.S. postretirement plans(1)
  
Range8.00 to 9.208.00 to 9.808.00 to 10.30
Weighted average8.018.018.02


(1)Reflects rates utilized to determine the quarterly expense for Significant non-U.S. pension and postretirement plans.
(2)Due to substantial downward movement in yields, there were negative discount rates for plans with relatively short duration in major markets, such as the Eurozone and Switzerland.
(3)Not material for U.S. plans.
(2)(4)The expected rate of return for the U.S. pension and postretirement plans was lowered from 6.80% to 6.70% effective in the second quarter of 2018 to reflect a change in target asset allocation.
(5)In 2017, the VEBA Trust was funded with an expected rate of return ofon assets of 3.00%.


During the year201720162015
Discount rate   
U.S. plans   
Qualified pension4.10%/4.05%/ 3.80%/3.75%4.40%/3.95%/ 3.65%/3.55%4.00%/3.85%/ 4.45%/4.35%
Nonqualified pension4.00/3.95/ 3.75/3.654.35/3.90/ 3.55/3.453.90/3.70/ 4.30/4.25
Postretirement3.90/3.85/ 3.60/3.554.20/3.75/ 3.40/3.303.80/3.65/ 4.20/4.10
Non-U.S. pension plans(1)
  
Range0.25 to 72.500.25 to 42.001.00 to 32.50
Weighted average4.404.764.74
Non-U.S. postretirement plans(1)
  
Range1.75 to 11.052.00 to 13.202.25 to 12.00
Weighted average8.277.907.50
Future compensation increase rate (2)
 
Non-U.S. pension plans(1)
  
Range1.25 to 70.001.00 to 40.000.75 to 30.00
Weighted average3.213.243.27
Expected return on assets  
U.S. plans


Qualified pension6.807.007.00
Postretirement6.807.007.00
Non-U.S. pension plans(1)
  
Range1.00 to 11.501.60 to 11.501.30 to 11.50
Weighted average4.554.955.08
Non-U.S. postretirement plans(1)
  
Range8.00 to 10.308.00 to 10.708.50 to 10.40
Weighted average8.028.018.51

(1) Reflects rates utilized to determine the first quarter expense for Significant non-U.S. pension and postretirement plans.
(2)Not material for U.S. plans.

Discount Rate
The discount rates for the U.S. pension and postretirement plans were selected by reference to a Citigroup-specific analysis using each plan’s specific cash flows and compared with high-quality corporate bond indices for reasonableness. The discount rates for the non-U.S. pension and postretirement plans are selected by reference to high-quality corporate bond rates in countries that have developed corporate bond markets. However, where developed corporate bond markets do not exist, the discount rates are selected by reference to local government bond rates with a premium added to reflect the additional risk for corporate bonds in certain countries.
Effective December 31, 2017,2019, the established rounding convention wasis to the nearest 5 bps for the top five non-U.S. countries, and 25 bps for all other countries.


Expected Rate of Return
The Company determines its assumptions for the expected rate of return on plan assets for its U.S. pension and postretirement plans using a “building block” approach, which focuses on ranges of anticipated rates of return for each asset class. A weighted average range of nominal rates is then determined based on target allocations to each asset class. Market performance over a number of earlier years is evaluated covering a wide range of economic conditions to determine whether there are sound reasons for projecting any past trends.
The Company considers the expected rate of return to be a long-term assessment of return expectations and does not anticipate changing this assumption unless there are significant changes in investment strategy or economic conditions. This contrasts with the selection of the discount rate and certain other assumptions, which are reconsidered annually (or quarterly for the Significant Plans) in accordance with GAAP.
The expected rate of return for the U.S. pension and postretirement plans was 6.70% at December 31, 2019 and 2018 and 6.80% at December 31, 2017 and 2016 and 7.00% at December 31, 2015.2017. The expected return on assets reflects the expected annual appreciation of the plan assets and reduces the Company’s annual pension expense. The expected return on assets is deducted from the sum of service cost, interest cost and other components of pension expense to arrive at the net pension (benefit) expense. Net pension (benefit) expense for the U.S. pension plans for 2017, 2016 and 2015 reflects deductions of $865 million, $886 million and $893 million of expected returns, respectively.
 
The following table shows the expected rates of return used in determining the Company’s pension expense compared to the actual rate of return on plan assets during 2017, 20162019, 2018 and 20152017 for the U.S. pension and postretirement plans:
201720162015
U.S. plans201920182017
Expected rate of return(1)
6.80%/3.00%7.00%
U.S. pension and postretirement trust6.70%6.80%/6.70%6.80%
VEBA trust(1)
3.003.00
Actual rate of return(2)
10.904.90(1.70)
U.S. pension and postretirement trust15.20-3.4010.90
VEBA trust(1)
1.91 to 2.760.43 to 1.41—
(1)In December 2017, the VEBA Trust was funded for postretirement benefits with an expected rate of return ofon assets of 3.00%.
(2)Actual rates of return are presented net of fees.


For the non-U.S. pension plans, pension expense for 20172019 was reduced by the expected return of $299$281 million, compared with the actual return of $462$781 million. Pension expense for 20162018 and 20152017 was reduced by expected returns of $287$291 million and $323$299 million, respectively.


Mortality Tables
At December 31, 2017,2019, the Company maintainedadopted the Private Retirement Plan 2014 (RP-2014)Plans (PRI-2012) mortality table and adopted the Mortality Projection 2017 (MP-2017)2019 (MP-2019) projection table for the U.S. plans.
 U.S. plans
20172019(1)
20162018(2)
Mortality  
PensionRP-2014/MP-2017PRI-2012/MP-2019RP-2014/MP-2016MP-2018
PostretirementRP-2014/MP-2017PRI-2012/MP-2019RP-2014/MP-2016MP-2018


(1)The RP-2014PRI-2012 table is the white-collar RP-2014PRI-2012 table. The MP-2017MP-2019 projection scale is projected from 2006,2012, with convergence to .75%0.75% ultimate rate of annual improvement by 2033.2035.
(2)The RP-2014 table is the white-collar RP-2014 table, with a 4% increase in rates to reflect the lower life expectancy of Citi plan participants.table. The MP-2016MP-2018 projection scale is projected from 2011,2006, with convergence to 0.75% ultimate rate of annual improvement by 2032.2034.























Sensitivities of Certain Key Assumptions
The following tables summarize the effect on pension expense:
 Discount rate
 One-percentage-point increase
In millions of dollars201920182017
U.S. plans$28
$25
$29
Non-U.S. plans(19)(22)(27)
 One-percentage-point decrease
In millions of dollars201920182017
U.S. plans$(44)$(37)$(44)
Non-U.S. plans32
32
41


The U.S. Qualified Pension Plan was frozen in 2008, and as a result, most service cost has been eliminated. The pension expense of a one-percentage-point changefor the U.S. Qualified Pension Plan is driven primarily by interest cost rather than by service cost. An increase in the discount rate:rate generally increases pension expense.
 One-percentage-point increase
In millions of dollars201720162015
U.S. plans$29
$31
$26
Non-U.S. plans(27)(33)(32)
    
 One-percentage-point decrease
In millions of dollars201720162015
U.S. plans$(44)$(47)$(44)
Non-U.S. plans41
37
44

For Non-U.S. Pension Plans that are not frozen (in countries such as Mexico, the U.K. and South Korea), there is more service cost. The pension expense for the Non-U.S. Plans is driven by both service cost and interest cost. An increase in the discount rate generally decreases pension expense due to the greater impact on service cost compared to interest cost.
Since the U.S. qualified pension planQualified Pension Plan was frozen, most of the prospective service cost has been eliminated and the gain/loss amortization period was changed to the life expectancy for inactive participants. As a result, pension expense for the U.S. qualified pension planQualified Pension Plan is driven more by interest costs than service costs, and an increase in the discount rate would increase pension expense, while a decrease in the discount rate would decrease pension expense.
The following tables summarize the effect on pension expense of a one-percentage-point change in the expected rates of return:expense:
 Expected rate of return
 One-percentage-point increase
In millions of dollars201920182017
U.S. plans$(123)$(126)$(127)
Non-U.S. plans(64)(64)(64)
 One-percentage-point decrease
In millions of dollars201920182017
U.S. plans$123
$126
$127
Non-U.S. plans64
64
64
 One-percentage-point increase
In millions of dollars201720162015
U.S. plans$(127)$(127)$(128)
Non-U.S. plans(64)(61)(63)
 One-percentage-point decrease
In millions of dollars201720162015
U.S. plans$127
$127
$128
Non-U.S. plans64
61
63

 
Health Care Cost Trend Rate
Assumed health care cost trend rates were as follows:
 20192018
Health care cost increase rate for 
  U.S. plans
  
Following year6.75%7.00%
Ultimate rate to which cost increase is
  assumed to decline
5.005.00
Year in which the ultimate rate is
reached		20272027
   
Health care cost increase rate for 
  Non-U.S. plans (weighted average)
  
Following year6.85%6.90%
Ultimate rate to which cost increase is
  assumed to decline
6.856.90
Year in which the ultimate rate
  is reached
20202019


Interest Crediting Rate
The Company has cash balance plans and other plans with promised interest crediting rates. For these plans, the interest crediting rates are set in line with plan rules or country legislation and do not change with market conditions.

 Weighted average interest crediting rate
At year end201920182017
U.S. plans2.25%3.25%2.60%
Non-U.S. plans1.611.681.74


 20172016
Health care cost increase rate for 
U.S. plans
  
Following year6.50%6.50%
Ultimate rate to which cost increase is assumed to decline5.005.00
Year in which the ultimate rate is reached(1)
20232023


(1)Weighted average for plans with different following year and ultimate rates.

 20172016
Health care cost increase rate for 
Non-U.S. plans (weighted average)
  
Following year6.87%6.86%
Ultimate rate to which cost increase is assumed to decline6.876.85
Range of years in which the ultimate rate is reached2018–20192017–2029

 A one-percentage-point change in assumed health care cost trend rates would have the following effects:
 
One-
percentage-
point increase
One-
percentage-
point decrease
In millions of dollars2017201620172016
U.S. plans    
Effect on benefits earned and interest cost for postretirement plans$1
$1
$(1)$(1)
Effect on accumulated postretirement benefit obligation for postretirement plans33
30
(29)(26)
     
 
One-percentage-
point increase
One-
percentage-
point decrease
In millions of dollars2017201620172016
Non-U.S. plans

    
Effect on benefits earned and interest cost for postretirement plans$13
$12
$(10)$(10)
Effect on accumulated postretirement benefit obligation for postretirement plans150
144
(125)(118)











Plan Assets
Citigroup’s pension and postretirement plans’ asset allocations for the U.S. plans and the target allocations by asset category based on asset fair values, are as follows:
Target asset
allocation
U.S. pension assets
at December 31,
U.S. postretirement assets
at December 31,
Target asset
allocation
U.S. pension assets
at December 31,
U.S. postretirement assets
at December 31,
Asset category(1)
2018201720162017201620202019201820192018
Equity securities(2)
0-30%20%18%20%18%0–26%17%15%17%15%
Debt securities(3)
25-7248
47
48
47
35–8258
57
58
57
Real estate0-105
5
5
5
0–74
5
4
5
Private equity0-123
4
3
4
0–103
3
3
3
Other investments0-3724
26
24
26
0–3018
20
18
20
Total 100%100%100%100% 100%100%100%100%
(1)Asset allocations for the U.S. plans are set by investment strategy, not by investment product. For example, private equities with an underlying investment in real estate are classified in the real estate asset category, not private equity.
(2)Equity securities in the U.S. pension and postretirement plans do not include any Citigroup common stock at the end of 20172019 and 2016.2018.
(3)In December 2017, Citi contributed $140 million to theThe VEBA Trust for postretirement benefits which amount wasare primarily invested solely in cash equivalents and debt securities whichin 2019 and 2018, respectively, and are not reflected in the table above.


Third-party investment managers and advisersadvisors provide their services to Citigroup’s U.S. pension and postretirement plans. Assets are rebalanced as the Company’s Pension Plan Investment Committee deems appropriate. Citigroup’s investment strategy, with respect to its assets, is to maintain a globally diversified investment portfolio across several asset classes that, when combined with Citigroup’s contributions to
 

the plans, will maintain the plans’ ability to meet all required benefit obligations.
Citigroup’s pension and postretirement plans’ weighted-average asset allocations for the non-U.S. plans and the actual ranges, and the weighted-average target allocations by asset category based on asset fair values, are as follows:
Non-U.S. pension plansNon-U.S. pension plans
Target asset
allocation
Actual range
at December 31,
Weighted-average
at December 31,
Target asset
allocation
Actual range
at December 31,
Weighted-average
at December 31,
Asset category(1)
2018201720162017201620202019201820192018
Equity securities0-63%0-67%0–69%15%14%0–100%0–100%0–66%13%13%
Debt securities0-1000-990–10079
79
0–1000–1000–10080
80
Real estate0-180-180–181
1
0–150–150–121
1
Other investments0-1000-1000–1005
6
0–1000–1000–1006
6
Total


100%100%


100%100%

(1)Similar to the U.S. plans, asset allocations for certain non-U.S. plans are set by investment strategy, not by investment product.

Non-U.S. postretirement plansNon-U.S. postretirement plans
Target asset
allocation
Actual range
at December 31,
Weighted-average
at December 31,
Target asset
allocation
Actual range
at December 31,
Weighted-average
at December 31,
Asset category(1)
2018201720162017201620202019201820192018
Equity securities0-37%0-38%0–38%38%38%0–38%0–31%0–35%27%35%
Debt securities58-10058-10057–10058
58
56–10066–10062–10071
62
Other investments0-50-40–44
4
0–60–30–32
3
Total


100%100%


100%100%
(1)Similar to the U.S. plans, asset allocations for certain non-U.S. plans are set by investment strategy, not by investment product.







Fair Value Disclosure
For information on fair value measurements, including descriptions of Levels 1, 2 and 3 of the fair value hierarchy and the valuation methodology utilized by the Company, see Notes 1 and 24 to the Consolidated Financial Statements. ASU 2015-07 removed the requirement to categorize within the fair value hierarchy investments for which fair value is measured using the NAV per share practical expedient.
 
Certain investments may transfer between the fair value hierarchy classifications during the year due to changes in valuation methodology and pricing sources.
Plan assets by detailed asset categories and the fair value hierarchy are as follows:
U.S. pension and postretirement benefit plans(1)
U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2017Fair value measurement at December 31, 2019
Asset categoriesLevel 1Level 2Level 3TotalLevel 1Level 2Level 3Total
U.S. equities

$726
$—
$—
$726
$739
$—
$—
$739
Non-U.S. equities

926
—
—
926
553
—
—
553
Mutual funds

271
—
—
271
Mutual funds and other registered investment companies

280
—
—
280
Commingled funds

—
1,184
—
1,184
—
1,410
—
1,410
Debt securities

1,381
3,080
—
4,461
1,534
4,046
—
5,580
Annuity contracts—
—
1
1
—
—
1
1
Derivatives11
323
—
334
10
245
—
255
Other investments—
—
22
22
—
—
75
75
Total investments$3,315
$4,587
$23
$7,925
$3,116
$5,701
$76
$8,893
Cash and short-term investments$257
$1,004
$—
$1,261
$93
$1,080
$—
$1,173
Other investment liabilities(60)(343)—
(403)(87)(249)—
(336)
Net investments at fair value$3,512
$5,248
$23
$8,783
$3,122
$6,532
$76
$9,730
Other investment receivables redeemed at NAV $16
 $22
Securities valued at NAV 4,189
 3,310
Total net assets $12,988
 $13,062
(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2017,2019, the allocable interests of the U.S. pension and postretirement plans were 99.0%98.0% and 1.0%2.0%, respectively. In 2017,The investments of the VEBA Trust was funded for postretirement benefits.benefits are reflected in the above table.
U.S. pension and postretirement benefit plans(1)
U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2016Fair value measurement at December 31, 2018
Asset categoriesLevel 1Level 2Level 3TotalLevel 1Level 2Level 3Total
U.S. equities

$639
$—
$—
$639
$625
$—
$—
$625
Non-U.S. equities

773
—
—
773
481
—
—
481
Mutual funds

216
—
—
216
Mutual funds and other registered investment companies


215
—
—
215
Commingled funds—
866
—
866
—
1,344
—
1,344
Debt securities1,297
2,845
—
4,142
1,346
3,443
—
4,789
Annuity contracts—
—
1
1
—
—
1
1
Derivatives8
543
—
551
16
252
—
268
Other investments—
—
4
4
—
—
127
127
Total investments$2,933
$4,254
$5
$7,192
$2,683
$5,039
$128
$7,850
Cash and short-term investments$116
$1,239
$—
$1,355
$93
$897
$—
$990
Other investment liabilities(106)(553)—
(659)(100)(254)—
(354)
Net investments at fair value$2,943
$4,940
$5
$7,888
$2,676
$5,682
$128
$8,486
Other investment receivables redeemed at NAV $100
 $80
Securities valued at NAV  4,504
 3,269
Total net assets $12,492
 $11,835
(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2016,2018, the allocable interests of the U.S. pension and postretirement plans were 99.0%98.0% and 1.0%2.0%, respectively. The investments of the VEBA Trust for postretirement benefits are reflected in the above table.

Non-U.S. pension and postretirement benefit plansNon-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2017Fair value measurement at December 31, 2019
Asset categoriesLevel 1Level 2Level 3TotalLevel 1Level 2Level 3Total
U.S. equities$4
$12
$—
$16
$4
$12
$—
$16
Non-U.S. equities103
122
1
226
127
262
—
389
Mutual funds3,098
74
—
3,172
Mutual funds and other registered investment companies3,223
63
—
3,286
Commingled funds24
—
—
24
23
—
—
23
Debt securities3,999
1,555
7
5,561
4,307
1,615
10
5,932
Real estate—
3
1
4
—
3
1
4
Annuity contracts—
1
9
10
—
—
5
5
Derivatives1
3,102
—
3,103
—
1,590
—
1,590
Other investments1
—
214
215
1
—
274
275
Total investments$7,230
$4,869
$232
$12,331
$7,685
$3,545
$290
$11,520
Cash and short-term investments$119
$3
$—
$122
$86
$3
$—
$89
Other investment liabilities(2)(4,220)—
(4,222)(3)(2,938)—
(2,941)
Net investments at fair value$7,347
$652
$232
$8,231
$7,768
$610
$290
$8,668
Securities valued at NAV  $16
 $15
Total net assets $8,247
 $8,683
 
 Non-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2018
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$4
$9
$—
$13
Non-U.S. equities100
100
—
200
Mutual funds and other registered investment companies

2,887
63
—
2,950
Commingled funds21
—
—
21
Debt securities5,145
1,500
9
6,654
Real estate—
3
1
4
Annuity contracts—
1
10
11
Derivatives—
156
—
156
Other investments1
—
210
211
Total investments$8,158
$1,832
$230
$10,220
Cash and short-term investments$91
$3
$—
$94
Other investment liabilities(1)(2,589)—
(2,590)
Net investments at fair value$8,248
$(754)$230
$7,724
Securities valued at NAV    $11
Total net assets   $7,735

 Non-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2016
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$4
$11
$—
$15
Non-U.S. equities87
174
1
262
Mutual funds2,345
406
—
2,751
Commingled funds22
—
—
22
Debt securities3,406
1,206
7
4,619
Real estate—
3
1
4
Annuity contracts—
1
8
9
Derivatives—
43
—
43
Other investments1
—
187
188
Total investments$5,865
$1,844
$204
$7,913
Cash and short-term investments$116
$2
$—
$118
Other investment liabilities(1)(960)—
(961)
Net investments at fair value$5,980
$886
$204
$7,070
Securities valued at NAV    $92
Total net assets   $7,162





Level 3 Rollforward
The reconciliations of the beginning and ending balances during the year for Level 3 assets are as follows:
In millions of dollarsU.S. pension and postretirement benefit plansU.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2016
Realized gains (losses)Unrealized gains (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2017
Beginning Level 3 fair value at
Dec. 31, 2018
Realized (losses)Unrealized gainsPurchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2019
Annuity contracts$1
$—
$—
$—
$—
$1
$1
$—
$—
$—
$—
$1
Other investments4




18
—
22
127
(7)12
(57)—
75
Total investments$5
$—
$—
$18
$—
$23
$128
$(7)$12
$(57)$—
$76
 


In millions of dollarsU.S. pension and postretirement benefit plansU.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2015
Realized gains (losses)Unrealized gains (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2016
Beginning Level 3 fair value at
Dec. 31, 2017
Realized (losses)Unrealized (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2018
Annuity contracts$25
$—
$(3)$(21)$—
$1
$1
$—
$—
$—
$—
$1
Other investments149
8
(10)(143)—
4
148
(2)(18)(1)—
127
U.S. equities—
(2)2
—
—
—
Total investments$174
$6
$(11)$(164)$—
$5
$149
$(2)$(18)$(1)$—
$128


 
In millions of dollarsNon-U.S. pension and postretirement benefit plansNon-U.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at Dec. 31, 2016Unrealized gains (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2017
Beginning Level 3 fair value at
Dec. 31, 2018
Unrealized gainsPurchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2019
Non-U.S. equities$1
$—
$—
$—
$1
Debt securities7
—
—
—
7
$9
$1
$—
$—
$10
Real estate1
—
—
—
1
1
—
—
—
1
Annuity contracts8
1
—
—
9
10
—
(5)—
5
Other investments187
31
(4)—
214
210
7
57
—
274
Total investments$204
$32
$(4)$—
$232
$230
$8
$52
$—
$290




 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at
Dec. 31, 2017		Unrealized (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3
Ending Level 3 fair value at
Dec. 31, 2018
Non-U.S. equities$1
$—
$—
$(1)$—
Debt securities7
(1)3
—
9
Real estate1
—
—
—
1
Annuity contracts9
(1)1
1
10
Other investments214
(3)(1)—
210
Total investments$232
$(5)$3
$—
$230

 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2015
Unrealized gains (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2016
Non-U.S. equities$47
$(3)$(2)$(41)$1
Debt securities5
—
2
—
7
Real estate1
—
—
—
1
Annuity contracts8
—
—
—
8
Other investments196
—
(9)—
187
Total investments$257
$(3)$(9)$(41)$204









Investment Strategy
The Company’s global pension and postretirement funds’ investment strategy is to invest in a prudent manner for the exclusive purpose of providing benefits to participants. The investment strategies are targeted to produce a total return that, when combined with the Company’s contributions to the funds, will maintain the funds’ ability to meet all required benefit obligations. Risk is controlled through diversification of asset types and investments in domestic and international equities, fixed income securities and cash and short-term investments. The target asset allocation in most locations outside the U.S. is primarily in equity and debt securities. These allocations may vary by geographic region and country depending on the nature of applicable obligations and various other regional considerations. The wide variation in the actual range of plan asset allocations for the funded non-U.S. plans is a result of differing local statutory requirements and economic conditions. For example, in certain countries local law requires that all pension plan assets must be invested in fixed income investments, government funds or local-country securities.
 
Significant Concentrations of Risk in Plan Assets
The assets of the Company’s pension plans are diversified to limit the impact of any individual investment. The U.S. qualified pension plan is diversified across multiple asset classes, with publicly traded fixed income, hedge funds, publicly traded equity and private equityreal estate representing the most significant asset allocations. Investments in these four asset classes are further diversified across funds, managers, strategies, vintages, sectors and geographies, depending on the specific characteristics of each asset class. The pension assets for the Company’s non-U.S. Significant Plans are primarily invested in publicly traded fixed income and publicly traded equity securities.

 

Oversight and Risk Management Practices
The framework for the Company’s pension oversight process includes monitoring of retirement plans by plan fiduciaries and/or management at the global, regional or country level, as appropriate. Independent Risk Management contributes to the risk oversight and monitoring for the Company’s U.S. qualified pension plan and non-U.S. Significant Pension Plans. Although the specific components of the oversight process are tailored to the requirements of each region, country and plan, the following elements are common to the Company’s monitoring and risk management process:
 
periodic asset/liability management studies and strategic asset allocation reviews;
periodic monitoring of funding levels and funding ratios;
periodic monitoring of compliance with asset allocation guidelines;
periodic monitoring of asset class and/or investment manager performance against benchmarks; and
periodic risk capital analysis and stress testing.


Estimated Future Benefit Payments
The Company expects to pay the following estimated benefit payments in future years:
 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
2020$821
$476
$64
$75
2021840
434
63
80
2022851
464
61
85
2023866
480
59
91
2024873
495
57
97
2025–20294,282
2,651
244
567

 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
2018$787
$432
$61
$65
2019814
398
60
70
2020846
425
59
75
2021864
434
58
81
2022876
457
56
87
2023–20274,480
2,532
248
532

Prescription Drugs
In December 2003, the Medicare Prescription Drug Improvement and Modernization Act of 2003 (Act of 2003) was enacted. The Act of 2003 established a prescription drug benefit under Medicare known as “Medicare Part D,” and a federal subsidy to sponsors of U.S. retiree health care benefit plans that provide a benefit that is at least actuarially equivalent to Medicare Part D. The benefits provided to certain participants are at least actuarially equivalent to Medicare Part D and, accordingly, the Company is entitled to a subsidy.
The subsidy reduced the accumulated postretirement benefit obligation (APBO) by approximately $4 million and $5 million as of December 31, 2017 and 2016, respectively, and the postretirement expense by approximately $0.1 million and $0.2 million for 2017 and 2016, respectively.
Certain provisions of the Patient Protection and Affordable Care Act of 2010 improved the Medicare Part D option known as the Employer Group Waiver Plan (EGWP) with respect to the Medicare Part D subsidy. The EGWP provides prescription

drug benefits that are more cost effective for Medicare-eligible participants and large employers. Effective April 1, 2013, the Company began sponsoring and implementing an EGWP for eligible retirees. The Company subsidy received under the EGWP for 2017 and 2016 was $15.0 million and $12.9 million, respectively.
The other provisions of the Act of 2010 are not expected to have a significant impact on Citigroup’s pension and postretirement plans.

Post Employment Plans
The Company sponsors U.S. post employment plans that provide income continuation and health and welfare benefits to certain eligible U.S. employees on long-term disability.
As of December 31, 20172019 and 2016,2018, the plans’ funded status recognized in the Company’s Consolidated Balance Sheet was $(46)$(38) million and $(157)$(32) million, respectively. The pre-taxpretax amounts recognized in Accumulated other comprehensive income (loss)AOCI as of December 31, 20172019 and 20162018 were $3$(15) million and $34$(15) million, respectively. The improvement in funded status as of December 31, 2017 was primarily due to the Company’s funding of the VEBA Trust during 2017.
The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:
 Net expense
In millions of dollars201720162015
Service related expense 
 
 
Interest cost on benefit obligation$2
$3
$4
Amortization of unrecognized   
   Prior service (benefit) cost(31)(31)(31)
   Net actuarial loss2
5
12
Total service related benefit$(27)$(23)$(15)
Non-service related expense$30
$21
$3
Total net expense (benefit)$3
$(2)$(12)
 Net expense
In millions of dollars201920182017
Service-related expense 
 
 
Interest cost on benefit obligation$2
$2
$2
Expected return on plan assets(1)(1)—
Amortization of unrecognized:   
   Prior service cost—
(23)(31)
   Net actuarial loss2
2
2
Total service-related (benefit) expense$3
$(20)$(27)
Non-service-related expense (benefit)$6
$2
$30
Total net expense (benefit)$9
$(18)$3


The following table summarizes certain assumptions used in determining the post employment benefit obligations and net benefit expense for the Company’s U.S. post employment plans: 
 20192018
Discount rate2.90%3.95%
Expected return on assets3.003.00
Health care cost increase rate  
Following year6.757.00
Ultimate rate to which cost increase is assumed to decline5.005.00
Year in which the ultimate rate is reached20272027


 20172016
Discount rate3.20%3.40%
Expected return on assets(1)
3.00N/A
Health care cost increase rate  
Following year6.506.50
Ultimate rate to which cost increase is assumed to decline5.005.00
Year in which the ultimate rate is reached20232023

1)In 2017, the VEBA Trust was funded with an expected rate of return of assets of 3.00%.
N/A Not applicable

Defined Contribution Plans
The Company sponsors defined contribution plans in the U.S. and in certain non-U.S. locations, all of which are administered in accordance with local laws. The most significant defined contribution plan is the Citi Retirement Savings Plan (formerly known as the Citigroup 401(k) Plan) sponsored by the Company in the U.S.
Under the Citi Retirement Savings Plan, eligible U.S. employees received matching contributions of up to 6% of their eligible compensation for 20172019 and 2016,2018, subject to statutory limits. Additionally,In addition, for eligible employees whose eligible compensation is $100,000 or less, a fixed contribution of up to 2% of eligible compensation is provided. All Company contributions are invested according to participants’ individual elections. The following table summarizestables summarize the Company contributions for the defined contribution plans:

 U.S. plans
In millions of dollars201920182017
Company contributions$404
$396
$383
    
 Non-U.S. plans
In millions of dollars201920182017
Company contributions$281
$283
$270


 U.S. plans
In millions of dollars201720162015
Company contributions$383
$371
$380
    
 Non-U.S. plans
In millions of dollars201720162015
Company contributions$270
$268
$282



9. INCOME TAXES


Income Tax Provision
Details of the Company’s income tax provision are presented below:

Income Tax Provision
In millions of dollars201720162015201920182017
Current 
 
 
 
 
 
Federal$332
$1,016
$861
$365
$834
$332
Non-U.S.3,910
3,585
3,397
4,352
4,290
3,910
State269
384
388
323
284
269
Total current income taxes$4,511
$4,985
$4,646
$5,040
$5,408
$4,511
Deferred 
 
 
 
 
 
Federal$24,902
$1,280
$3,019
$(907)$(620)$24,902
Non-U.S.(377)53
(4)10
371
(377)
State352
126
(221)287
198
352
Total deferred income taxes$24,877
$1,459
$2,794
$(610)$(51)$24,877
Provision for income tax on continuing operations before non-controlling interests(1)
$29,388
$6,444
$7,440
Provision for income tax on continuing operations before noncontrolling interests(1)
$4,430
$5,357
$29,388
Provision (benefit) for income taxes on discontinued operations7
(22)(29)(27)(18)7
Income tax expense (benefit) reported in stockholders’ equity related to: 
 
 
  
 
FX translation188
(402)(906)(11)(263)188
Investment securities(149)59
(498)648
(346)(149)
Employee stock plans(4)13
(35)(16)(2)(4)
Cash flow hedges(12)27
176
269
(8)(12)
Benefit plans13
(30)(24)(119)(20)13
FVO DVA(250)(201)—
(337)302
(250)
Excluded fair value hedges8
(17)—
Retained earnings(2)
(295)—
—
46
(305)(295)
Income taxes before non-controlling interests$28,886
$5,888
$6,124
Income taxes before noncontrolling interests$4,891
$4,680
$28,886
(1)Includes the effect of securities transactionstax on realized investment gains and other-than-temporary-impairment losses resulting in a provision (benefit) of $373 million and $(9) million in 2019, $104 million and $(32) million in 2018 and $272 million and $(22) million in 2017, $332 million and $(217) million in 2016 and $239 million and $(93) million in 2015, respectively.
(2)
Reflects2019 reflects the tax effect of the accounting change for ASU 2017-08, “Premium Amortization2016-02. 2018 reflects the tax effect of the accounting change for ASU 2016-16 and the tax effect of the accounting change for ASU 2018-03, to report the net unrealized gains on Purchased Callable Debt Securities”.former AFS equity securities. 2017 reflects the tax effect of the accounting change for ASU 2017-08. See Note 1 to the Consolidated Financial Statements. 


 
 
Tax Rate
The reconciliation of the federal statutory income tax rate to the Company’s effective income tax rate applicable to income from continuing operations (before non-controllingnoncontrolling interests and the cumulative effect of accounting changes) for each of the periods indicated is as follows:
201720162015201920182017
Federal statutory rate35.0 %35.0 %35.0 %21.0 %21.0 %35.0 %
State income taxes, net of federal benefit1.1
1.8
1.7
1.9
1.8
1.1
Non-U.S. income tax rate differential(1.6)(3.6)(4.6)1.3
5.3
(1.6)
Audit settlements(1)
—
(0.6)(1.7)
Effect of tax law changes(2)
99.7
—
0.4
Effect of tax law changes(1)
(0.5)(0.6)99.7
Basis difference in affiliates(2.1)(0.1)—
(0.1)(2.4)(2.1)
Tax advantaged investments(2.2)(2.4)(1.8)(2.3)(2.0)(2.2)
Valuation allowance releases(2)
(3.0)—
—
Other, net(0.8)(0.1)1.0
0.2
(0.3)(0.8)
Effective income tax rate129.1 %30.0 %30.0 %18.5 %22.8 %129.1 %
(1)For 2016, primarily relates2018 includes one-time Tax Reform benefits of $94 million for amounts that were considered provisional pursuant to SAB 118. 2017 includes the conclusion of an IRS auditone-time $22,594 million charge for 2012–2013. For 2015, primarily relates to the conclusion of a New York City tax audit for 2009–2011.Tax Reform.
(2)
For 2017, includesSee the $22,594 million chargeDeferred Tax Assets section below for Tax Reform. For 2015, includesa description of the results of tax reforms enacted in New York City and several states, which resulted in a DTA charge of approximately $101 million.
components.
 
As set forth in the table above, Citi’s effective tax rate for 20172019 was 129.1% (29.8% before18.5%. The rate is lower than the effect of Tax Reform, about22.8% reported in 2018, primarily due to the same as the effective tax rate in 2016).general basket FTC valuation allowance release.




Deferred Income Taxes
Deferred income taxes at December 31 related to the following:
In millions of dollars2017201620192018
Deferred tax assets 
 
 
 
Credit loss deduction$3,423
$5,146
$3,809
$3,419
Deferred compensation and employee benefits1,585
3,798
2,224
1,975
Repositioning and settlement reserves454
1,033
345
428
U.S. tax on non-U.S. earnings2,452
10,050
1,030
2,080
Investment and loan basis differences3,384
5,594
2,727
4,891
Cash flow hedges233
327
Tax credit and net operating loss carry-forwards21,575
20,793
19,711
20,759
Fixed assets and leases1,090
1,739
2,607
1,006
Other deferred tax assets1,988
2,714
2,996
2,385
Gross deferred tax assets$36,184
$51,194
$35,449
$36,943
Valuation allowance$9,387
$—
$6,476
$9,258
Deferred tax assets after valuation allowance$26,797
$51,194
$28,973
$27,685
Deferred tax liabilities 
 
 
 
Intangibles$(1,247)$(1,711)
Intangibles and leases$(2,640)$(1,284)
Debt issuances(294)(641)(201)(530)
Non-U.S. withholding taxes(668)(739)(974)(1,040)
Interest-related items(562)(765)(587)(594)
Other deferred tax liabilities(1,545)(670)(1,477)(1,334)
Gross deferred tax liabilities$(4,316)$(4,526)$(5,879)$(4,782)
Net deferred tax assets$22,481
$46,668
$23,094
$22,903


Unrecognized Tax Benefits
The following is a rollforward of the Company’s unrecognized tax benefits:
In millions of dollars201920182017
Total unrecognized tax benefits at January 1$607
$1,013
$1,092
Net amount of increases for current year’s tax positions50
40
43
Gross amount of increases for prior years’ tax positions151
46
324
Gross amount of decreases for prior years’ tax positions(44)(174)(246)
Amounts of decreases relating to settlements(21)(283)(199)
Reductions due to lapse of statutes of limitation(23)(23)(11)
Foreign exchange, acquisitions and dispositions1
(12)10
Total unrecognized tax benefits at December 31$721
$607
$1,013

In millions of dollars201720162015
Total unrecognized tax benefits at January 1$1,092
$1,235
$1,060
Net amount of increases for current year’s tax positions43
34
32
Gross amount of increases for prior years’ tax positions324
273
311
Gross amount of decreases for prior years’ tax positions(246)(225)(61)
Amounts of decreases relating to settlements(199)(174)(45)
Reductions due to lapse of statutes of limitation(11)(21)(22)
Foreign exchange, acquisitions and dispositions10
(30)(40)
Total unrecognized tax benefits at December 31$1,013
$1,092
$1,235

The total amounts of unrecognized tax benefits at December 31, 2017, 20162019, 2018 and 20152017 that, if recognized, would affect Citi’s tax expense are $0.8$0.6 billion, $0.8$0.4 billion and $0.9$0.8 billion, respectively. The remaining uncertain tax positions have offsetting amounts in other jurisdictions or are temporary differences.
Interest and penalties (not included in “unrecognized tax benefits” above) are a component of Provision for income taxes. 

201720162015201920182017
In millions of dollarsPretaxNet of taxPretaxNet of taxPretaxNet of taxPretaxNet of taxPretaxNet of taxPretaxNet of tax
Total interest and penalties on the Consolidated Balance Sheet at January 1$260
$164
$233
$146
$269
$169
$103
$85
$121
$101
$260
$164
Total interest and penalties in the Consolidated Statement of Income5
21
105
68
(29)(18)(4)(4)6
6
5
21
Total interest and penalties on the Consolidated Balance Sheet at December 31(1)
121
101
260
164
233
146
100
82
103
85
121
101
(1)Includes $3 million, $2 million and $3 million for non-U.S. penalties in 2017, 20162019, 2018 and 2015.2017. Also includes $1 million, $1 million and $3 million for state penalties in 2017, 20162019, 2018 and 2015.2017.

As of December 31, 2017,2019, Citi iswas under audit by the Internal Revenue Service and other major taxing jurisdictions around the world. It is thus reasonably possible that significant changes in the gross balance of unrecognized tax benefits may occur within the next 12 months, although Citi does not expect such audits to result in amounts that would cause a significant change to its effective tax rate.


The following are the major tax jurisdictions in which the Company and its affiliates operate and the earliest tax year subject to examination:
JurisdictionTax year
United States20142016
Mexico20112014
New York State and City2009
United Kingdom20142015
India20142016
Singapore2011
Hong Kong20112013
Ireland20132015



Non-U.S. Earnings
Non-U.S. pretax earnings approximated $16.7 billion in 2019, $16.1 billion in 2018 and $13.7 billion in 2017 (of which a $0.1 billion loss was recorded in Discontinued operations), $11.6 billion in 2016 and $11.3 billion in 2015.2017. As a U.S. corporation, Citigroup and its U.S. subsidiaries are currently subject to U.S. taxation on all non-U.S. pretax earnings of a non-U.S. branch. Startingbranches. Beginning in 2018, there will beis a separate foreign tax credit (FTC) basket for branches. Also, starting in 2018, dividends from a non-U.S. subsidiary or affiliate are effectively exempt from U.S. taxation. The Company provides income taxes on the book over tax basis differences of non-U.S. subsidiaries except to the extent that such differences are indefinitely reinvested outside the U.S.
At December 31, 2017, $14.12019, $10.9 billion of basis differences of non-U.S. subsidiariesentities was indefinitely invested.invested compared to $15.5 billion at December 31, 2018. At the existing tax rates, additional taxes (net of U.S. FTCs) of $3.5$4.1 billion would have to be provided if such assertions were reversed. The decrease of $4.6 billion in basis differences were realized. These amounts are significantly less thanfrom the corresponding amounts at December 31, 2016prior year end was primarily due to the deemed repatriation of unremitted earnings of non-U.S. subsidiaries under the provisions of Tax Reform.a tax election to treat a contiguous country affiliate as a branch rather than a subsidiary.
Income taxes are not provided for the Company’s “savings bank base year bad debt reserves” that arose before 1988, because under current U.S. tax rules, such taxes will become payable only to the extent that such amounts are distributed in excess of limits prescribed by federal law. At December 31, 2017,2019, the amount of the base year reserves

totaled approximately $358 million (subject to a tax of $75 million).


Deferred Tax AssetsDebt Securities
As of December 31, 2017, Citi had a valuation allowance of $9.4 billion, composed of valuation allowances of $5.7 billion on its FTC carry-forwards, $2.2 billion on its U.S. residual DTA related to its non-U.S. branches, $1.4 billion on local non-U.S. DTAs and $0.1 billion on state net operating loss carry-forwards. The valuation allowance against FTCs results from the impact of the lower tax rate and the new separate FTC basket for non-U.S. branches, as well as diminished ability under Tax Reform to generate income from sources outside the U.S. to support FTC utilization. The absolute amount of Citi’s post-Tax Reform-related valuation allowances may change in future years. First, the separate FTC basket for non-U.S. branches will result in additional DTAs (for FTCs) requiring a valuation allowance, given that the local tax rate for these branches exceeds on average the U.S. tax rate of 21%. Second, in Citi’s general basket for FTCs, changes in the forecasted amount of income in U.S. locations derived from sources outside the U.S. could alter the amount of valuation allowance that is needed against such FTCs. As of December 31, 2016, Citi had no valuation allowance on its DTAs. The following table summarizes Citi’s DTAs:
In billions of dollars  
Jurisdiction/component(1)
DTAs balance December 31, 2017DTAs balance December 31, 2016
U.S. federal(2)
 
 
Net operating losses (NOLs)(3)
$2.3
$3.5
Foreign tax credits (FTCs)7.6
14.2
General business credits (GBCs)1.4
0.9
Future tax deductions and credits4.8
21.9
Total U.S. federal$16.1
$40.5
State and local 
 
New York NOLs$2.3
$2.2
Other state NOLs0.2
0.2
Future tax deductions1.3
1.7
Total state and local$3.8
$4.1
Non-U.S. 
 
NOLs$0.6
$0.6
Future tax deductions2.0
1.5
Total non-U.S.$2.6
$2.1
Total$22.5
$46.7

(1)•All amounts
Debt securities classified as “held-to-maturity” are net of valuation allowances.
(2)Includedsecurities that the Company has both the ability and the intent to hold until maturity and are carried at amortized cost. Interest income on such securities is included in the net U.S. federal DTAs of $16.1 billion as of December 31, 2017 were deferred tax liabilities of $2.4 billion that will reverse in the relevant carry-forward period and may be used to support the DTAs.
(3)Consists of non-consolidated tax return NOL carry-forwards that are eventually expected to be utilized in Citigroup’s consolidated tax return. Interest revenue.

Debt securities classified as “available-for-sale” are carried at fair value with changes in fair value reported

The following table summarizesin Accumulated other comprehensive income (loss), a component of stockholders’ equity, net of applicable income taxes and hedges. Interest income on such securities is included in Interest revenue.

Equity Securities

Marketable equity securities are measured at fair value with changes in fair value recognized in earnings.
Non-marketable equity securities are measured at fair value with changes in fair value recognized in earnings unless (i) the amountsmeasurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost. Non-marketable equity securities under the measurement alternative are carried at cost plus or minus changes resulting from observed prices for orderly transactions for the identical or a similar investment of tax carry-forwardsthe same issuer.
Certain investments that would otherwise have been accounted for using the equity method are carried at fair value with changes in fair value recognized in earnings, since the Company elected to apply fair value accounting.

For investments in debt securities classified as HTM or AFS, the accrual of interest income is suspended for investments that are in default or for which it is likely that future interest payments will not be made as scheduled.
Debt securities not measured at fair value through earnings, such as securities held in HTM or AFS, and their expiration dates: 
In billions of dollars 
Year of expirationDecember 31, 2017December 31, 2016
U.S. tax return foreign tax credit carry-forwards(1)
 
 
2018$0.4
$2.7
20191.3
1.3
20203.2
3.1
20212.0
1.9
20223.4
3.3
2023(2)
0.4
0.5
2025(2)
1.4
1.4
2027(2)
1.2
—
Total U.S. tax return foreign tax credit carry-forwards$13.3
$14.2
U.S. tax return general business credit carry-forwards 
 
2032$0.2
$—
20330.3
0.3
20340.2
0.2
20350.2
0.2
20360.2
0.2
20370.3
—
Total U.S. tax return general business credit carry-forwards$1.4
$0.9
U.S. subsidiary separate federal NOL carry-forwards 
 
2027$0.2
$0.2
20280.1
0.1
20300.3
0.3
20320.1
—
20331.6
1.7
20342.3
2.3
20353.3
3.2
20362.1
2.2
20371.0
—
Total U.S. subsidiary separate federal NOL carry-forwards(3)
$11.0
$10.0
New York State NOL carry-forwards(3)
 
 
2034$13.6
$13.0
New York City NOL carry-forwards(3)
 
 
2034$13.1
$12.2
Non-U.S. NOL carry-forwards(1)
 
 
Various$2.0
$2.1

(1)Before valuation allowance.
(2)The $3.0 billion in FTC carry-forwards that expire in 2023, 2025 and 2027 are in a non-consolidated tax return entity but are eventually expected to be utilized (net of valuation allowances) in Citigroup’s consolidated tax return.
(3)Pretax.


equity securities under the measurement alternative, are subject to evaluation for impairment as described in Note 13 to the Consolidated Financial Statements. Realized gains and losses on sales of investments are included in earnings, primarily on a specific identification basis.
The time remainingCompany uses a number of valuation techniques for utilization ofinvestments carried at fair value, which are described in Note 24 to the FTC componentConsolidated Financial Statements.

Trading Account Assets and Liabilities
Trading account assets include debt and marketable equity securities, derivatives in a receivable position, residual interests in securitizations and physical commodities inventory. In addition, as described in Note 25 to the Consolidated Financial Statements, certain assets that Citigroup has shortened, givenelected to carry at fair value under the passage of time. Although realization isfair value option, such as loans and purchased guarantees, are also included in Trading account assets.
Trading account liabilities include securities sold, not assured, Citi believesyet purchased (short positions) and derivatives in a net payable position, as well as certain liabilities that Citigroup has elected to carry at fair value (as described in Note 25 to the realization of the recognized net DTAs of $22.5 billionConsolidated Financial Statements).
Other than physical commodities inventory, all trading account assets and liabilities are carried at December 31, 2017 is more-likely-than-not based upon expectationsfair value. Revenues generated from trading assets and trading liabilities are generally reported in Principal transactions and include realized gains and losses as to future taxable income in the jurisdictions in which the DTAs arisewell as unrealized
 
gains and available tax planning strategies (as definedlosses resulting from changes in the fair value of such instruments. Interest income on trading assets is recorded in Interest revenue reduced by interest expense on trading liabilities.
Physical commodities inventory is carried at the lower of cost or market with related losses reported in Principal transactions. Realized gains and losses on sales of commodities inventory are included in Principal transactions. Investments in unallocated precious metals accounts (gold, silver, platinum and palladium) are accounted for as hybrid instruments containing a debt host contract and an embedded non-financial derivative instrument indexed to the price of the relevant precious metal. The embedded derivative instrument is separated from the debt host contract and accounted for at fair value. The debt host contract is carried at fair value under the fair value option, as described in Note 25 to the Consolidated Financial Statements.
Derivatives used for trading purposes include interest rate, currency, equity, credit and commodity swap agreements, options, caps and floors, warrants, and financial and commodity futures and forward contracts. Derivative asset and liability positions are presented net by counterparty on the Consolidated Balance Sheet when a valid master netting agreement exists and the other conditions set out in ASC 740, Income Taxes) that would be implemented, if necessary, to prevent a carry-forward from expiring.
Citi believes the U.S. federal and New York state and city NOL carry-forward period of 20 years provides enough time to fully utilize the DTAs pertainingTopic 210-20, Balance Sheet—Offsetting, are met. See Note 22 to the existing NOL carry-forwards. This is dueConsolidated Financial Statements.
The Company uses a number of techniques to Citi’s forecastdetermine the fair value of sufficient U.S. taxable incometrading assets and the fact that New York state and city continue to tax Citi’s non-U.S. income.
With respectliabilities, which are described in Note 24 to the FTCs componentConsolidated Financial Statements.

Securities Borrowed and Securities Loaned
Securities borrowing and lending transactions do not constitute a sale of the DTAs,underlying securities for accounting purposes and are treated as collateralized financing transactions. Such transactions are recorded at the carry-forward period is 10 years. Utilizationamount of FTCsproceeds advanced or received plus accrued interest. As described in any year is restricted to 21% of foreign source taxable income in that year. However, overall domestic losses that Citi has incurred of approximately $52 billion as of December 31, 2017 are allowed to be reclassified as foreign source incomeNote 25 to the extentConsolidated Financial Statements, the Company has elected to apply fair value accounting to a number of 50%–100% of domestic source income producedsecurities borrowing and lending transactions. Fees paid or received for all securities lending and borrowing transactions are recorded in subsequent years. Such resulting foreign source income would coverInterest expense or Interest revenue at the FTC carry-forwards after valuation allowance. As noted in the tables above, Citi’s FTC carry-forwards were $7.6 billion ($13.3 billion before valuation allowance) as of December 31, 2017, compared to $14.2 billion as of December 31, 2016. This decrease represented $6.6 billion of the $24.2 billion decrease in Citi’s overall DTAs during 2017. Citi believes that it will generate sufficient U.S. taxable income within the 10-year carry-forward period to be able to utilize the net FTCs after the valuation allowance, in addition to any FTCs produced in the tax return for such period, which must be used prior to any carry-forward utilization.


10.     EARNINGS PER SHAREcontractually specified rate.
The following table reconcilesCompany monitors the income and share data used in the basic and diluted earnings per share (EPS) computations:
In millions, except per-share amounts201720162015
Income (loss) from continuing operations before attribution of noncontrolling interests$(6,627)$15,033
$17,386
Less: Noncontrolling interests from continuing operations60
63
90
Net income (loss) from continuing operations (for EPS purposes)$(6,687)$14,970
$17,296
Income (loss) from discontinued operations, net of taxes(111)(58)(54)
Citigroup's net income (loss)$(6,798)$14,912
$17,242
Less: Preferred dividends(1)
1,213
1,077
769
Net income (loss) available to common shareholders$(8,011)$13,835
$16,473
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS37
195
224
Net income (loss) allocated to common shareholders for basic EPS$(8,048)$13,640
$16,249
Add: Interest expense, net of tax, and dividends on convertible securities and adjustment of undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to diluted EPS—
—
—
Net income (loss) allocated to common shareholders for diluted EPS$(8,048)$13,640
$16,249
Weighted-average common shares outstanding applicable to basic EPS2,698.5
2,888.1
3,004.0
Effect of dilutive securities(2)
 
  
Options(3)
—
0.1
3.6
Other employee plans non-dividend eligible—
0.1
0.1
Adjusted weighted-average common shares outstanding applicable to diluted EPS(4)
2,698.5
2,888.3
3,007.7
Basic earnings per share(5)
 
    
Income (loss) from continuing operations$(2.94)$4.74
$5.43
Discontinued operations(0.04)(0.02)(0.02)
Net income (loss)$(2.98)$4.72
$5.41
Diluted earnings per share(5)
     
Income (loss) from continuing operations$(2.94)$4.74
$5.42
Discontinued operations(0.04)(0.02)(0.02)
Net income (loss)$(2.98)$4.72
$5.40
(1)See Note 20 to the Consolidated Financial Statements for the potential future impactfair value of preferred stock dividends.
(2)Warrants issued to the U.S. Treasury as part of the Troubled Asset Relief Program (TARP) and the loss-sharing agreement (all of which were subsequently sold to the public in January 2011), with exercise prices of $178.50 and $104.96 per share for approximately 21.0 million and 25.5 million shares of Citigroup common stock, respectively. Both warrants were not included in the computation of earnings per share in 2017, 2016 and 2015 because they were anti-dilutive.
(3)During 2017, 2016 and 2015, weighted-average options to purchase 0.8 million, 4.2 million and 0.9 million shares of common stock, respectively, were outstanding but not included in the computation of earnings per share because the weighted-average exercise prices of $204.80, $98.01 and $199.16 per share, respectively, were anti-dilutive.
(4)Due to rounding, common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to common shares outstanding applicable to diluted EPS.
(5)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.


11. FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS
Federal funds sold and securities borrowed or purchased under agreements to resell, at their respective carrying values, consisted of the following:
 December 31December 31
In millions of dollars20172016
Federal funds sold$—
$—
Securities purchased under agreements to resell130,984
131,473
Deposits paid for securities borrowed101,494
105,340
Total(1)
$232,478
$236,813

Federal funds purchasedloaned on a daily basis and securities loanedobtains or sold under agreements to repurchase, at their respective carrying values, consisted of the following:
 December 31December 31
In millions of dollars20172016
Federal funds purchased$326
$178
Securities sold under agreements to repurchase142,646
125,685
Deposits received for securities loaned13,305
15,958
Total(1)
$156,277
$141,821
(1)
The above tables do not include securities-for-securities lending transactions of $14.0 billion and $9.3 billion at December 31, 2017 and December 31, 2016, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.

The resale and repurchase agreements represent collateralized financing transactions. Citi executes these transactions primarily through its broker-dealer subsidiaries to facilitate customer matched-book activity and to efficiently fund a portion of Citi’s trading inventory. Transactions executed by Citi’s bank subsidiaries primarily facilitate customer financing activity.
To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral, and stipulating financing tenor. Citi manages the risks in its collateralized financing transactions by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. Additionally, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress.
It is the Company’s policy to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary,
require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the company posts additional collateral in order to maintain contractual margin protection.
Collateral typically consists of government and government-agency securities, corporate and municipal bonds, equities and mortgage-backed and other asset-backed securities.
The resale and repurchase agreements are generally documented under industry standard agreements that allowAs described in Note 24 to the prompt close-out of all transactions (includingConsolidated Financial Statements, the liquidationCompany uses a discounted cash flow technique to determine the fair value of securities held)lending and the offsetting of obligationsborrowing transactions.

Repurchase and Resale Agreements
Securities sold under agreements to return cash orrepurchase (repos) and securities by the non-defaulting party, followingpurchased under agreements to resell (reverse repos) do not constitute a payment default or other type of default under the relevant master agreement. Events of default generally include (i) failure to deliver cash or securities as required under the transaction, (ii) failure to provide or return cash or securities as used for margining purposes, (iii) breach of representation, (iv) cross-default to another transaction entered into among the parties, or, in some cases, their affiliates, and (v) a repudiation of obligations under the agreement. The counterparty that receives the securities in these transactions is generally unrestricted in its usesale (or purchase) of the underlying securities with the exception of transactions executed on a tri-party basis, where the collateral is maintained by a custodianfor accounting purposes and operational limitations may restrict its use of the securities.
A substantial portion of the resale and repurchase agreements is recorded at fair value,are treated as collateralized financing transactions. As described in Notes 24 and Note

25 to the Consolidated Financial Statements. The remaining portion is carried atStatements, the amountCompany has elected to apply fair value accounting to certain of cash initially advanced or received, plus accrued interest, as specifiedsuch transactions, with changes in the respective agreements.
The securities borrowing and lending agreements also represent collateralized financingfair value reported in earnings. Any transactions similar to the resale and repurchase agreements. Collateral typically consists of government and government-agency securities and corporate debt and equity securities.
Similar to the resale and repurchase agreements, securities borrowing and lending agreementsfor which fair value accounting has not been elected are generally documented under industry standard agreements that allow the prompt close-out of all transactions (including the liquidation of securities held) and the offsetting of obligations to return cash or securities by the non-defaulting party, following a payment default or other default by the other party under the relevant master agreement. Events of default and rights to use securities under the securities borrowing and lending agreements are similar to the resale and repurchase agreements referenced above.
A substantial portion of securities borrowing and lending agreements is recorded at the amount of cash advanced or received. The remaining portionreceived plus accrued interest. Irrespective of whether the Company has elected fair value accounting, interest paid or received on all repo and reverse repo transactions is recorded in Interest expense or Interest revenueat fair value as the Company electedcontractually specified rate.
Where the fair value option for certain securities borrowedconditions of ASC 210-20-45-11, Balance Sheet—Offsetting: Repurchase and loaned portfolios, as described in Note 25 toReverse Repurchase Agreements, are met, repos and reverse repos are presented net on the Consolidated Financial Statements. With respectBalance Sheet.
The Company’s policy is to take possession of securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned.purchased under reverse repurchase agreements. The Company monitors the marketfair value of securities borrowed and securities loanedsubject to repurchase or resale on a daily basis and obtains or

posts additional collateral in order to maintain contractual margin protection.
The enforceabilityAs described in Note 24 to the Consolidated Financial Statements, the Company uses a discounted cash flow technique to determine the fair value of offsetting rights incorporatedrepo and reverse repo transactions.

Loans
Loans are reported at their outstanding principal balances net of any unearned income and unamortized deferred fees and costs, except for credit card receivable balances, which include accrued interest and fees. Loan origination fees and certain direct origination costs are generally deferred and recognized as adjustments to income over the lives of the related loans.
As described in Note 25 to the Consolidated Financial Statements, Citi has elected fair value accounting for certain loans. Such loans are carried at fair value with changes in fair value reported in earnings. Interest income on such loans is recorded in Interest revenue at the contractually specified rate.
Loans that are held-for-investment are classified as Loans, net of unearned income on the Consolidated Balance Sheet, and the related cash flows are included within the cash flows from investing activities category in the master netting agreementsConsolidated Statement of Cash Flows on the line Change in loans. However, when the initial intent for resaleholding a loan has changed from held-for-investment to held-for-sale (HFS), the loan is reclassified to HFS, but the related cash flows continue to be reported in cash flows from investing activities in the Consolidated Statement of Cash Flows on the line Proceeds from sales and repurchase agreementssecuritizations of loans.

Consumer Loans
Consumer loans represent loans and securities borrowingleases managed primarily by the Global Consumer Banking (GCB) businesses and lending agreementsCorporate/Other.

Consumer Non-accrual and Re-aging Policies
As a general rule, interest accrual ceases for installment and real estate (both open- and closed-end) loans when payments
are 90 days contractually past due. For credit cards and other unsecured revolving loans, however, Citi generally accrues interest until payments are 180 days past due. As a result of OCC guidance, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is evidenced90 days or more past due. Also as a result of OCC guidance, mortgage loans in regulated bank entities are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy, other than Federal Housing Administration (FHA)-insured loans.
Loans that have been modified to grant a concession to a borrower in financial difficulty may not be accruing interest at the time of the modification. The policy for returning such modified loans to accrual status varies by product and/or region. In most cases, a minimum number of payments (ranging from 1 to 6) is required, while in other cases the loan is never returned to accrual status. For regulated bank entities, such modified loans are returned to accrual status if a credit evaluation at the time of, or subsequent to, the modification indicates the borrower is able to meet the restructured terms, and the borrower is current and has demonstrated a reasonable period of sustained payment performance (minimum six months of consecutive payments).
For U.S. consumer loans, generally one of the conditions to qualify for modification is that a minimum number of payments (typically ranging from 1 to 3) must be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open-ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for the loan to be re-aged to current status is that at least 3 consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, FHA and Department of Veterans Affairs (VA) loans may only be modified under those respective agencies’ guidelines, and payments are not always required in order to re-age a modified loan to current.

Consumer Charge-Off Policies
Citi’s charge-off policies follow the general guidelines below:

Unsecured installment loans are charged off at 120 days contractually past due.
Unsecured revolving loans and credit card loans are charged off at 180 days contractually past due.
Loans secured with non-real estate collateral are written down to the estimated value of the collateral, less costs to sell, at 120 days contractually past due.
Real estate-secured loans are written down to the estimated value of the property, less costs to sell, at 180 days contractually past due.

•
Real estate-secured loans arecharged off no later than 180 days contractually past due if a decision has been made not to foreclose on the loans.
Unsecured loans in bankruptcy are charged off within 60 days of notification of filing by the bankruptcy court or in accordance with Citi’s charge-off policy, whichever occurs earlier.
Real estate-secured loans in bankruptcy, other than FHA-insured loans, are written down to the estimated value of the property, less costs to sell, within 60 days of notification that the borrower has filed for bankruptcy or in accordance with Citi’s charge-off policy, whichever is earlier.
Commercial banking loans are written down to the extent that principal is judged to be uncollectable.

Corporate Loans
Corporate loans represent loans and leases managed by Institutional Clients Group (ICG). Corporate loans are identified as impaired and placed on a supportive legal opinioncash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired corporate loans and leases is reversed at 90 days past due and charged against current earnings, and interest is thereafter included in earnings only to the extent actually received in cash. When there is doubt regarding the ultimate collectability of principal, all cash receipts are thereafter applied to reduce the recorded investment in the loan.
Impaired corporate loans and leases are written down to the extent that principal is deemed to be uncollectable. Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral and there are no other available and reliable sources of repayment, are written down to the lower of carrying value or collateral value. Cash-basis loans are returned to accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance in accordance with the contractual terms.

Loans Held-for-Sale
Corporate and consumer loans that have been identified for sale are classified as loans HFS and included in Other assets. The practice of Citi’s U.S. prime mortgage business has been obtainedto sell substantially all of its conforming loans. As such, U.S. prime mortgage conforming loans are classified as HFS and the fair value option is elected at origination, with changes in fair value recorded in Other revenue. With the exception of those loans for which the fair value option has been elected, HFS loans are accounted for at the lower of cost or market value, with any write-downs or subsequent recoveries charged to Other revenue. The related cash flows are classified in the Consolidated Statement of Cash Flows in the cash flows from counseloperating activities category on the line Change in loans held-for-sale.
Allowance for Loan Losses
Allowance for loan losses represents management’s best estimate of recognized standingprobable losses inherent in the portfolio, including probable losses related to large individually evaluated impaired loans and troubled debt restructurings. Attribution of the allowance is made for analytical purposes only, and the entire allowance is available to absorb probable loan losses inherent in the overall portfolio. Additions to the allowance are made through the Provision for loan losses. Loan losses are deducted from the allowance and subsequent recoveries are added. Assets received in exchange for loan claims in a restructuring are initially recorded at fair value, with any gain or loss reflected as a recovery or charge-off in the provision.

Consumer Loans
For consumer loans, each portfolio of non-modified smaller-balance homogeneous loans is independently evaluated for impairment by product type (e.g., residential mortgage, credit card, etc.) in accordance with ASC 450, Contingencies. The allowance for loan losses attributed to these loans is established via a process that providesestimates the requisite levelprobable losses inherent in the specific portfolio. This process includes migration analysis, in which historical delinquency and credit loss experience is applied to the current aging of certainty regarding the enforceabilityportfolio, together with analyses that reflect current and anticipated economic conditions, including changes in housing prices and unemployment trends. Citi’s allowance for loan losses under ASC 450 only considers contractual principal amounts due, except for credit card loans, where estimated loss amounts related to accrued interest receivable are also included.
Management also considers overall portfolio indicators, including historical credit losses; delinquent, non-performing and classified loans; trends in volumes and terms of these agreements. Also,loans; an evaluation of overall credit quality; the exercisecredit process, including lending policies and procedures; and economic, geographical, product and other environmental factors.
Separate valuation allowances are determined for impaired smaller-balance homogeneous loans whose terms have been modified in a troubled debt restructuring (TDR). Long-term modification programs, and short-term (less than 12 months) modifications that provide concessions (such as interest rate reductions) to borrowers in financial difficulty, are reported as TDRs. In addition, loan modifications that involve a trial period are reported as TDRs at the start of rights by the non-defaulting party to terminatetrial period. The allowance for loan losses for TDRs is determined in accordance with ASC 310-10-35, Receivables—Subsequent Measurement, considering all available evidence, including, as appropriate, the present value of the expected future cash flows discounted at the loan’s original contractual effective rate, the secondary market value of the loan and closeout transactionsthe fair value of collateral less disposal costs. These expected cash flows incorporate modification program default rate assumptions. The original contractual effective rate for credit card loans is the pre-modification rate, which may include interest rate increases under the original contractual agreement with the borrower.


Corporate Loans
In the corporate portfolios, the Allowance for loan losses includes an asset-specific component and a statistically based component. The asset-specific component is calculated under ASC 310-10-35 for larger-balance, non-homogeneous loans that are considered impaired. An asset-specific allowance is established when the discounted cash flows, collateral value (less disposal costs) or observable market price of the impaired loan are lower than its carrying value. This allowance considers the borrower’s overall financial condition, resources and payment record, the prospects for support from any financially responsible guarantors (discussed further below) and, if appropriate, the realizable value of any collateral. The asset-specific component of the allowance for smaller-balance impaired loans is calculated on a netpool basis considering historical loss experience.
The allowance for the remainder of the loan portfolio is determined under these agreements will not be stayed or avoided under applicable law upon anASC 450 using a statistical methodology, supplemented by management judgment. The statistical analysis considers the portfolio’s size, remaining tenor and credit quality as measured by internal risk ratings assigned to individual credit facilities, which reflect probability of default and loss given default. The statistical analysis considers historical default rates and historical loss severity in the event of default, including bankruptcy, insolvencyhistorical average levels and historical variability. The result is an estimated range for inherent losses. The best estimate within the range is then determined by management’s quantitative and qualitative assessment of current conditions, including general economic conditions, specific industry and geographic trends and internal factors including portfolio concentrations, trends in internal credit quality indicators and current and past underwriting standards.
For both the asset-specific and the statistically based components of the Allowance for loan losses, management may incorporate guarantor support. The financial wherewithal of the guarantor is evaluated, as applicable, based on net worth, cash flow statements and personal or similar proceeding.
company financial statements, which are updated and reviewed at least annually. Citi seeks performance on guarantee arrangements in the normal course of business. Seeking performance entails obtaining satisfactory cooperation from the guarantor or borrower in the specific situation. This regular cooperation is indicative of pursuit and successful enforcement of the guarantee; the exposure is reduced without the expense and burden of pursuing a legal remedy. A guarantor’s reputation and willingness to work with Citigroup are evaluated based on the historical experience with the guarantor and knowledge of the marketplace. In the rare event that the guarantor is unwilling or unable to perform or facilitate borrower cooperation, Citi pursues a legal opinion mayremedy; however, enforcing a guarantee via legal action against the guarantor is not have been soughtthe primary means of resolving a troubled loan situation and rarely occurs. If Citi does not pursue a legal remedy, it is because Citi does not believe that the guarantor has the financial wherewithal to perform regardless of legal action or obtained for certain jurisdictions where local law is silent or sufficiently ambiguous to determine the enforceability of offsetting rights or where adverse case law or conflicting regulation may castbecause there are legal limitations on simultaneously pursuing guarantors and
 
doubtforeclosure. A guarantor’s reputation does not impact Citi’s decision or ability to seek performance under the guarantee.
In cases where a guarantee is a factor in the assessment of loan losses, it is included via adjustment to the loan’s internal risk rating, which in turn is the basis for the adjustment to the statistically based component of the Allowance for loan losses. To date, it is only in rare circumstances that an impaired commercial loan or commercial real estate loan is carried at a value in excess of the appraised value due to a guarantee.
When Citi’s monitoring of the loan indicates that the guarantor’s wherewithal to pay is uncertain or has deteriorated, there is either no change in the risk rating, because the guarantor’s credit support was never initially factored in, or the risk rating is adjusted to reflect that uncertainty or deterioration. Accordingly, a guarantor’s ultimate failure to perform or a lack of legal enforcement of the guarantee does not materially impact the allowance for loan losses, as there is typically no further significant adjustment of the loan’s risk rating at that time. Where Citi is not seeking performance under the guarantee contract, it provides for loan losses as if the loans were non-performing and not guaranteed.

Reserve Estimates and Policies
Management provides reserves for an estimate of probable losses inherent in the funded loan portfolio on the enforceabilityConsolidated Balance Sheet in the form of an allowance for loan losses. These reserves are established in accordance with Citigroup’s credit reserve policies, as approved by the Audit Committee of the Citigroup Board of Directors. Citi’s Chief Risk Officer and Chief Financial Officer review the adequacy of the credit loss reserves each quarter with representatives from the risk management and finance staffs for each applicable business area. Applicable business areas include those having classifiably managed portfolios, where internal credit-risk ratings are assigned (primarily ICG and GCB) or modified consumer loans, where concessions were granted due to the borrowers’ financial difficulties.
The aforementioned representatives for these business areas present recommended reserve balances for their funded and unfunded lending portfolios along with supporting quantitative and qualitative data discussed below:

Estimated probable losses for non-performing, non-homogeneous exposures within a business line’s classifiably managed portfolio and impaired smaller-balance homogeneous loans whose terms have been modified due to the borrowers’ financial difficulties, where it was determined that a concession was granted to the borrower. Consideration may be given to the following, as appropriate, when determining this estimate: (i) the present value of expected future cash flows discounted at the loan’s original effective rate, (ii) the borrower’s overall financial condition, resources and payment record and (iii) the prospects for support from financially responsible guarantors or the realizable value of any collateral. In the determination of the allowance for loan losses for TDRs, management considers a combination of historical re-default rates, the current

economic environment and the nature of the modification program when forecasting expected cash flows. When impairment is measured based on the present value of expected future cash flows, the entire change in present value is recorded in Provision for loan losses.

Statistically calculated losses inherent in the classifiably managed portfolio for performing and de minimis non-performing exposures. The calculation is based on (i) Citi’s internal system of credit-risk ratings, which are analogous to the risk ratings of the major rating agencies, and (ii) historical default and loss data, including rating agency information regarding default rates from 1983 to 2017 and internal data dating to the early 1970s on severity of losses in the event of default. Adjustments may be made to this data. Such adjustments include (i) statistically calculated estimates to cover the historical fluctuation of the default rates over the credit cycle, the historical variability of loss severity among defaulted loans and the degree to which there are large obligor concentrations in the global portfolio and (ii) adjustments made for specific known items, such as current environmental factors and credit trends.
In addition, representatives from each of the risk management and finance staffs who cover business areas with delinquency-managed portfolios containing smaller-balance homogeneous loans present their recommended reserve balances based on leading credit indicators, including loan delinquencies and changes in portfolio size as well as economic trends, including current and future housing prices, unemployment, length of time in foreclosure, costs to sell and GDP. This methodology is applied separately for each individual product within each geographic region in which these portfolios exist.
This evaluation process is subject to numerous estimates and judgments. The frequency of default, risk ratings, loss recovery rates, the size and diversity of individual large credits and the ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account during this review. Changes in these estimates could have a direct impact on the credit costs in any period and could result in a change in the allowance.

Allowance for Unfunded Lending Commitments
A similar approach to the allowance for loan losses is used for calculating a reserve for the expected losses related to unfunded lending commitments and standby letters of credit. This reserve is classified on the Consolidated Balance Sheet in Other liabilities. Changes to the allowance for unfunded lending commitments are recorded in Provision for unfunded lending commitments.

Mortgage Servicing Rights (MSRs)
Mortgage servicing rights (MSRs) are recognized as intangible assets when purchased or when the Company sells or securitizes loans acquired through purchase or origination and retains the right to service the loans. Mortgage servicing rights are accounted for at fair value, with changes in value recorded in Other revenue in the Company’s Consolidated Statement of Income.
For additional information on the Company’s MSRs, see Notes 16 and 21 to the Consolidated Financial Statements.

Goodwill
Goodwill represents the excess of acquisition cost over the fair value of net tangible and intangible assets acquired in a business combination. Goodwill is subject to annual impairment testing and interim assessments between annual tests if an event occurs or circumstances change that would more-likely-than-not reduce the fair value of a reporting unit below its carrying amount.
Under ASC Topic 350, Intangibles—Goodwill and Other,the Company has an option to assess qualitative factors to determine if it is necessary to perform the goodwill impairment test. If, after assessing the totality of events or circumstances, the Company determines that it is not more-likely-than-not that the fair value of a reporting unit is less than its carrying amount, no further testing is necessary. If, however, the Company determines that it is more-likely-than-not that the fair value of a reporting unit is less than its carrying amount, then the Company must perform the first step of the two-step goodwill impairment test.
The Company has an unconditional option to bypass the qualitative assessment for any reporting unit in any reporting period and proceed directly to the first step of the goodwill impairment test.
The first step requires a comparison of the fair value of the individual reporting unit to its carrying value, including goodwill. If the fair value of the reporting unit is in excess of the carrying value, the related goodwill is considered not impaired and no further analysis is necessary. If the carrying value of the reporting unit exceeds the fair value, this is an indication of potential impairment and the second step of testing is performed to measure the amount of impairment, if any, for that reporting unit.
If required, the second step involves calculating the implied fair value of goodwill for each of the affected reporting units. The implied fair value of goodwill is determined in the same manner as the amount of goodwill recognized in a business combination, which is the excess of the fair value of the reporting unit determined in step one over the fair value of the net assets and identifiable intangibles as if the reporting unit were being acquired. If the amount of the goodwill allocated to the reporting unit exceeds the implied fair value of the goodwill in the pro forma purchase price allocation, an impairment charge is recorded for the excess. A recognized impairment charge cannot exceed the amount of goodwill allocated to a reporting unit and cannot subsequently be reversed even if the fair value of the reporting unit recovers.

Upon any business disposition, goodwill is allocated to, and derecognized with, the disposed business based on the ratio of the fair value of the disposed business to the fair value of the reporting unit.
Additional information on Citi’s goodwill impairment testing can be found in Note 16 to the Consolidated Financial Statements.

Intangible Assets
Intangible assets—including core deposit intangibles, present value of future profits, purchased credit card relationships, credit card contract related intangibles, other customer relationships and other intangible assets, but excluding MSRs—are amortized over their estimated useful lives. Intangible assets that are deemed to have indefinite useful lives, primarily trade names, are not amortized and are subject to annual impairment tests. An impairment exists if the carrying value of the indefinite-lived intangible asset exceeds its fair value. For other intangible assets subject to amortization, an impairment is recognized if the carrying amount is not recoverable and exceeds the fair value of the intangible asset.

Other Assets and Other Liabilities
Other assets include, among other items, loans HFS, deferred tax assets, equity method investments, interest and fees receivable, lease right-of-use assets, premises and equipment (including purchased and developed software), repossessed assets and other receivables. Other liabilities include, among other items, accrued expenses and other payables, lease liabilities, deferred tax liabilities and reserves for legal claims, taxes, unfunded lending commitments, repositioning reserves and other matters.

Other Real Estate Owned and Repossessed Assets
Real estate or other assets received through foreclosure or repossession are generally reported in Other assets, net of a valuation allowance for selling costs and subsequent declines in fair value.

Securitizations
There are two key accounting determinations that must be made relating to securitizations. Citi first makes a determination as to whether the securitization entity must be consolidated. Second, it determines whether the transfer of financial assets to the entity is considered a sale under GAAP. If the securitization entity is a VIE, the Company consolidates the VIE if it is the primary beneficiary (as discussed in “Variable Interest Entities” above). For all other securitization entities determined not to be VIEs in which Citigroup participates, consolidation is based on which party has voting control of the entity, giving consideration to removal and liquidation rights in certain partnership structures. Only securitization entities controlled by Citigroup are consolidated.
Interests in the securitized and sold assets may be retained in the form of subordinated or senior interest-only strips, subordinated tranches, spread accounts and servicing rights. In some jurisdictions and for some counterparty types,credit card securitizations, the insolvency law forCompany retains a particular counterparty type may be nonexistent or unclear as overlapping regimes may exist. For example, this may be
seller’s interest in the credit card receivables transferred to the trusts, which is not in securitized form. In the case for certain sovereigns, municipalities, central banks and U.S. pension plans.
The following tables presentof consolidated securitization entities, including the gross and net resale and repurchase agreements and securities borrowing and lending
agreements and the related offsetting amount permitted under ASC 210-20-45. The tables also include amounts related to financial instruments thatcredit card trusts, these retained interests are not permittedreported on Citi’s Consolidated Balance Sheet. The securitized loans remain on
the balance sheet. Substantially all of the consumer loans sold or securitized through non-consolidated trusts by Citigroup are U.S. prime residential mortgage loans. Retained interests in non-consolidated mortgage securitization trusts are classified as Trading account assets, except for MSRs, which are included in Intangible assets on Citigroup’s Consolidated Balance Sheet.

Debt
Short-term borrowings and Long-term debt are accounted for at amortized cost, except where the Company has elected to report the debt instruments, including certain structured notes at fair value, or the debt is in a fair value hedging relationship.

Transfers of Financial Assets
For a transfer of financial assets to be offset under ASC 210-20-45 but wouldconsidered a sale: (i) the assets must be eligible for offsettinglegally isolated from the Company, even in bankruptcy or other receivership, (ii) the purchaser must have the right to pledge or sell the extentassets transferred (or, if the purchaser is an entity whose sole purpose is to engage in securitization and asset-backed financing activities through the issuance of beneficial interests and that an event of default occurredentity is constrained from pledging the assets it receives, each beneficial interest holder must have the right to sell or pledge their beneficial interests) and a legal opinion supporting enforceability of the offsetting rights has been obtained. Remaining exposures continue to be secured by financial collateral, but(iii) the Company may not have soughtan option or been ableobligation to obtainreacquire the assets.
If these sale requirements are met, the assets are removed from the Company’s Consolidated Balance Sheet. If the conditions for sale are not met, the transfer is considered to be a secured borrowing, the assets remain on the Consolidated Balance Sheet and the sale proceeds are recognized as the Company’s liability. A legal opinion evidencing enforceabilityon a sale generally is obtained for complex transactions or where the Company has continuing involvement with assets transferred or with the securitization entity. For a transfer to be eligible for sale accounting, that opinion must state that the asset transfer would be considered a sale and that the assets transferred would not be consolidated with the Company’s other assets in the event of the offsetting right.Company’s insolvency.
For a transfer of a portion of a financial asset to be considered a sale, the portion transferred must meet the definition of a participating interest. A participating interest must represent a pro rata ownership in an entire financial asset; all cash flows must be divided proportionately, with the same priority of payment; no participating interest in the transferred asset may be subordinated to the interest of another participating interest holder; and no party may have the right to pledge or exchange the entire financial asset unless all participating interest holders agree. Otherwise, the transfer is accounted for as a secured borrowing.
See Note 21 to the Consolidated Financial Statements for further discussion.

Risk Management Activities—Derivatives Used for Hedging Purposes
The Company manages its exposures to market movements outside of its trading activities by modifying the asset and liability mix, either directly or through the use of derivative financial products, including interest rate swaps, futures, forwards and purchased options, as well as foreign-exchange contracts. These end-user derivatives are carried at fair value in Trading account assets and Trading account liabilities.
See Note 22 to the Consolidated Financial Statements for a further discussion of the Company’s hedging and derivative activities.

Instrument-specific Credit Risk
Citi presents separately in AOCI the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk, when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. Accordingly, the change in fair value of liabilities for which the fair value option was elected, related to changes in Citigroup’s own credit spreads, is presented in AOCI.

Employee Benefits Expense
Employee benefits expense includes current service costs of pension and other postretirement benefit plans (which are accrued on a current basis), contributions and unrestricted awards under other employee plans, the amortization of restricted stock awards and costs of other employee benefits.
For its most significant pension and postretirement benefit plans (Significant Plans), Citigroup measures and discloses plan obligations, plan assets and periodic plan expense quarterly, instead of annually. The effect of remeasuring the Significant Plan obligations and assets by updating plan actuarial assumptions on a quarterly basis is reflected in Accumulated other comprehensive income (loss) and periodic plan expense. All other plans (All Other Plans) are remeasured annually. See Note 8 to the Consolidated Financial Statements.

Stock-Based Compensation
The Company recognizes compensation expense related to stock and option awards over the requisite service period, generally based on the instruments’ grant-date fair value, reduced by actual forfeitures as they occur. Compensation cost related to awards granted to employees who meet certain age plus years-of-service requirements (retirement-eligible employees) is accrued in the year prior to the grant date, in the same manner as the accrual for cash incentive compensation. Certain stock awards with performance conditions or certain clawback provisions are subject to variable accounting, pursuant to which the associated compensation expense fluctuates with changes in Citigroup’s common stock price. See Note 7 to the Consolidated Financial Statements.

Income Taxes
The Company is subject to the income tax laws of the U.S. and its states and municipalities, as well as the non-U.S. jurisdictions in which it operates. These tax laws are complex and may be subject to different interpretations by the taxpayer and the relevant governmental taxing authorities. In establishing a provision for income tax expense, the Company must make judgments and interpretations about these tax laws. The Company must also make estimates about when in the future certain items will affect taxable income in the various tax jurisdictions, both domestic and foreign.
Disputes over interpretations of the tax laws may be subject to review and adjudication by the court systems of the various tax jurisdictions, or may be settled with the taxing authority upon examination or audit. The Company treats interest and penalties on income taxes as a component of Income tax expense.
Deferred taxes are recorded for the future consequences of events that have been recognized in financial statements or tax returns, based upon enacted tax laws and rates. Deferred tax assets are recognized subject to management’s judgment about whether realization is more-likely-than-not. ASC 740, Income Taxes, sets out a consistent framework to determine the appropriate level of tax reserves to maintain for uncertain tax positions. This interpretation uses a two-step approach wherein a tax benefit is recognized if a position is more-likely-than-not to be sustained. The amount of the benefit is then measured to be the highest tax benefit that is more than 50% likely to be realized. ASC 740 also sets out disclosure requirements to enhance transparency of an entity’s tax reserves.
See Note 9 to the Consolidated Financial Statements for a further description of the Company’s tax provision and related income tax assets and liabilities.

Commissions, Underwriting and Principal Transactions
Commissions and fees revenues are recognized in income when earned. Underwriting revenues are recognized in income typically at the closing of the transaction. Principal transactions revenues are recognized in income on a trade-date basis. See Note 5 to the Consolidated Financial Statements for a description of the Company’s revenue recognition policies for Commissions and fees, and Note 6 to the Consolidated Financial Statements for details of Principal transactions revenue.

Earnings per Share
Earnings per share (EPS) is computed after deducting preferred stock dividends. The Company has granted restricted and deferred share awards with dividend rights that are considered to be participating securities, which are akin to a second class of common stock. Accordingly, a portion of Citigroup’s earnings is allocated to those participating securities in the EPS calculation.
Basic earnings per share is computed by dividing income available to common stockholders after the allocation of dividends and undistributed earnings to the participating securities by the weighted average number of

common shares outstanding for the period. Diluted earnings per share reflects the potential dilution that could occur if securities or other contracts to issue common stock were exercised. It is computed after giving consideration to the weighted average dilutive effect of the Company’s stock options and warrants and convertible securities and after the allocation of earnings to the participating securities. Anti-dilutive options and warrants are disregarded in the EPS calculations.

Use of Estimates
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related Notes to the Consolidated Financial Statements. Such estimates are used in connection with certain fair value measurements. See Note 24 to the Consolidated Financial Statements for further discussions on estimates used in the determination of fair value. Moreover, estimates are significant in determining the amounts of other-than-temporary impairments, impairments of goodwill and other intangible assets, provisions for probable losses that may arise from credit-related exposures and probable and estimable losses related to litigation and regulatory proceedings, and income taxes. While management makes its best judgment, actual amounts or results could differ from those estimates.

Cash Flows
Cash equivalents are defined as those amounts included in Cash and due from banks and predominately all of Deposits with banks. Cash flows from risk management activities are classified in the same category as the related assets and liabilities.

Related Party Transactions
The Company has related party transactions with certain of its subsidiaries and affiliates. These transactions, which are primarily short-term in nature, include cash accounts, collateralized financing transactions, margin accounts, derivative transactions, charges for operational support and the borrowing and lending of funds, and are entered into in the ordinary course of business.

ACCOUNTING CHANGES

Lease Accounting
In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842), which increases the transparency and comparability of accounting for lease transactions. The ASU requires lessees to recognize liabilities for operating leases and corresponding right-of-use (ROU) assets on the balance sheet. The ASU also requires quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessee accounting for finance leases, as well as lessor accounting, are largely unchanged.
Effective January 1, 2019, the Company prospectively adopted the provisions of the ASU. At adoption, Citi recognized a lease liability and a corresponding ROU asset of approximately $4.4 billion on the Consolidated Balance
Sheet related to its future lease payments as a lessee under operating leases. In addition, the Company recorded a $151 million increase in Retained earnings for the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions. Adoption of the ASU did not have a material impact on the Consolidated Statement of Income. See Notes 14 and 26 for additional details.
The Company has elected not to separate lease and non-lease components in its lease contracts and accounts for them as a single lease component. Citi has also elected not to record an ROU asset for short-term leases that have a term of 12 months or less and do not contain purchase options that Citi is reasonably certain to exercise. The cost of short-term leases is recognized in the Consolidated Statement of Income on a straight-line basis over the lease term. In addition, Citi applies the portfolio approach to account for certain equipment leases with nearly identical contractual terms.

Lessee accounting
Operating lease ROU assets and lease liabilities are included in Other assets and Other liabilities, respectively, on the Consolidated Balance Sheet. Finance lease assets and liabilities are included in Other assets and Long-term debt, respectively, on the Consolidated Balance Sheet. The Company uses its incremental borrowing rate, factoring in the lease term, to determine the lease liability, which is measured at the present value of future lease payments. The ROU asset is initially measured at the amount of the lease liability plus any prepaid rent and remaining initial direct costs, less any remaining lease incentives and accrued rent. The ROU asset is subject to impairment, during the lease term, in a manner consistent with the impairment of long-lived assets. The lease terms include periods covered by options to extend or terminate the lease depending on whether Citi is reasonably certain to exercise such options.

Lessor accounting
Lessor accounting is largely unchanged under the ASU. Citi acts as a lessor for power, railcar, shipping and aircraft assets, where the Company has executed operating, direct financing and leveraged leasing arrangements. In a direct financing or a leveraged lease, Citi derecognizes the leased asset and records a lease financing receivable at lease commencement in Loans. Upon lease termination, Citi may obtain control of the asset, which is then recorded in Other assets on the Consolidated Balance Sheet and any remaining receivable for the asset’s residual value is derecognized. Under the ASU, leveraged lease accounting is grandfathered and may continue to be applied until the leveraged lease is terminated or modified. Upon modification, the lease must be classified as an operating, direct finance or sales-type lease in accordance with the ASU.
Separately, as part of managing its real estate footprint, Citi subleases excess real estate space via operating lease arrangements.


SEC Staff Accounting Bulletin 118
On December 22, 2017, the SEC issued Staff Accounting Bulletin (SAB) 118, which set forth the accounting for the changes in tax law caused by the enactment of the Tax Cuts and Jobs Act (Tax Reform). SAB 118 provided guidance where the accounting under ASC 740 was incomplete for certain income tax effects of Tax Reform, at the time of the issuance of an entity’s financial statements for the period in which Tax Reform was enacted (provisional items). Citi disclosed several provisional items recorded as part of its $22.6 billion fourth quarter 2017 charge related to Tax Reform.
Citi completed its accounting for Tax Reform under SAB 118 during the fourth quarter of 2018 and recorded a one-time, non-cash tax benefit of $94 million in Corporate/Other related to amounts that were considered provisional pursuant to SAB 118. The adjustments for the provisional amounts consisted of a $1.2 billion benefit relating to a reduction of the valuation allowance against Citi’s FTC carry-forwards and its U.S. residual DTAs related to its non-U.S. branches, offset by additional charges of $0.2 billion related to the impact of a change to a “quasi-territorial tax system” and $0.9 billion related to the impact of deemed repatriation of undistributed earnings of non-U.S. subsidiaries.
Also, Citi has made a policy election to account for taxes on Global Intangible Low Taxed Income (GILTI) as incurred.

Revenue Recognition
In May 2014, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers (Revenue Recognition), which outlines a single comprehensive model for entities to use in accounting for revenue arising from contracts with customers. The core principle of the revenue model is that an entity recognizes revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled, in exchange for those goods or services. The ASU defines the promised good or service as the performance obligation under the contract.
While the guidance replaces most existing revenue recognition guidance in GAAP, the ASU is not applicable to financial instruments and, therefore, does not impact a majority of the Company’s revenues, including net interest income, loan fees, gains on sales and mark-to-market accounting.
In accordance with the new revenue recognition standard, Citi has identified the specific performance obligation (promised services) associated with the contract with the customer and has determined when that specific performance obligation has been satisfied, which may be at a point in time or over time depending on how the performance obligation is defined. The contracts with customers also contain the transaction price, which consists of fixed consideration and/or consideration that may vary (variable consideration), and is defined as the amount of consideration an entity expects to be entitled to when or as the performance obligation is satisfied, excluding amounts
collected on behalf of third parties (including transaction taxes). The amounts recognized at the point in time the performance obligation is satisfied may differ from the ultimate transaction price associated with that performance obligation when a portion of it is based on variable consideration. For example, some consideration is based on the client’s month-end balance or market values, which are unknown at the time the contract is executed. The remaining transaction price amount, if any, will be recognized as the variable consideration becomes determinable. In certain transactions, the performance obligation is considered satisfied at a point in time in the future. In this instance, Citi defers revenue on the balance sheet that will only be recognized upon completion of the performance obligation.
The new revenue recognition standard further clarified the guidance related to reporting revenue gross as principal versus net as an agent. In many cases, Citi outsources a component of its performance obligations to third parties. The Company has determined that it acts as principal in the majority of these transactions and therefore presents the amounts paid to these third parties gross within operating expenses.
The Company has retrospectively adopted this standard as of January 1, 2018 and as a result was required to report amounts paid to third parties where Citi is principal to the contract within Operating expenses. The adoption resulted in an increase in both revenue and expenses of approximately $1 billion for each of the years ended December 31, 2019 and 2018 with similar amounts for prior years. Prior to adoption, these expense amounts were reported as contra revenue primarily within Commissions and fees and Administration and other fiduciary fees revenues. Accordingly, prior periods have been reclassified to conform to the new presentation.
See Note 5 to the Consolidated Financial Statements for a description of the Company’s revenue recognition policies for Commissions and fees and Administration and other fiduciary fees.

Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory, which requires an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. The ASU was effective January 1, 2018 and was adopted as of that date. The impact of this standard was an increase of DTAs by approximately $300 million, a decrease of Retained earnings by approximately $80 million and a decrease of prepaid tax assets by approximately $380 million. 

Clarifying the Definition of a Business
In January 2017, the FASB issued ASU No. 2017-01, Business Combinations (Topic 805): Clarifying the Definition of a Business. The definition of a business directly and indirectly affects many areas of accounting (e.g., acquisitions, disposals, goodwill and consolidation). The ASU narrows the definition of a business by introducing a quantitative screen as the first step, such that if substantially

all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets, then the set of transferred assets and activities is not a business. If the set is not clarified from the quantitative screen, the entity then evaluates whether the set meets the requirement that a business include, at a minimum, an input and a substantive process that together significantly contribute to the ability to create outputs.
Citi adopted the ASU upon its effective date on January 1, 2018, prospectively. The ongoing impact of the ASU will depend upon the acquisition and disposal activities of Citi. If fewer transactions qualify as a business, there could be less initial recognition of Goodwill, but also less goodwill allocated to disposals. There was no impact during 2018 from the adoption of this ASU.

Changes in Accounting for Pension and Postretirement (Benefit) Expense
In March 2017, the FASB issued ASU No. 2017-07, Compensation—Retirement Benefits (Topic 715): Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost,which changes the income statement presentation of net benefit expense and requires restating the Company’s financial statements for each of the earlier periods presented in Citi’s annual and interim financial statements. The change in presentation was effective for annual and interim periods starting January 1, 2018. The ASU requires that only the service cost component of net benefit expense be included in Compensation and benefits on the income statement. The other components of net benefit expense are required to be presented outside of Compensation and benefits and are presented in Other operating expenses. Since both of these income statement line items are part of Operating expenses, total Operating expenses and Net income will not change. This change in presentation did not have a material effect on Compensation and benefits and Other operating expenses and was applied prospectively. The components of the net benefit expense are disclosed in Note 8 to the Consolidated Financial Statements.
 The standard also changes the components of net benefit expense that are eligible for capitalization when employee costs are capitalized in connection with various activities, such as internally developed software, construction-in-progress and loan origination costs. Prospectively from January 1, 2018, only the service cost component of net benefit expense may be capitalized.  Existing capitalized balances are not affected. This change in amounts eligible for capitalization does not have a material effect on the Company’s Consolidated Financial Statements and related disclosures.

Hedging
In August 2017, the FASB issued ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities, which better aligns an entity’s risk management activities and financial reporting for hedging relationships through changes to the designation and measurement guidance for qualifying hedging relationships and the presentation of
hedge results. The ASU requires the change in the fair value of the hedging instrument to be presented in the same income statement line as the hedged item and also requires expanded disclosures. Citi adopted this standard on January 1, 2018 and transferred approximately $4 billion of pre-payable mortgage-backed securities and municipal bonds from held-to-maturity (HTM) into available-for-sale (AFS) securities classification as permitted as a one-time transfer upon adoption of the standard, as these assets were deemed to be eligible to be hedged under the last-of-layer hedge strategy. The impact to opening Retained earnings was immaterial. See Note 19 to the Consolidated Financial Statements for more information.

Statement of Cash Flows
In November 2016, the FASB issued ASU No. 2016-18, Restricted Cash,which requires that companies present cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents (restricted cash) when reconciling beginning-of-period and end-of-period totals on the Consolidated Statement of Cash Flows. In connection with the adoption of the ASU, Citigroup also changed its definition of cash and cash equivalents to include all of Cash and due from banks and predominately all of Deposits with banks. The Company has retrospectively adopted this ASU as of January 1, 2018 and as a result Net cash provided by investing activities of continuing operations on the Consolidated Statement of Cash Flows for the year ended December 31, 2017 increased by $19.3 billion.

Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income
On February 14, 2018, the FASB issued ASU No. 2018-02, Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income. The ASU allows a reclassification from AOCI to Retained earnings for the deferred taxes previously recorded in AOCI that exceed the current federal tax rate of 21%, resulting from the newly enacted corporate tax rate in Tax Reform, and other stranded tax amounts related to the application of Tax Reform that Citi elects to reclassify. The ASU allows adjustments to reclassification amounts in subsequent periods as a result of changes to the amounts recorded under SAB 118. Citi elected to early adopt the ASU effective December 31, 2017, which applied only to the period in which the effects related to the one-time Tax Reform charge were recognized. In addition to the reclassification of deferred taxes recorded in AOCI that exceed the current federal tax rate, Citi also reclassified amounts recorded in AOCI related to the effects of the shift to a territorial system related to the application of Tax Reform using the portfolio method.
The effect of adopting the ASU resulted in an increase of $3.3 billion to Retained earnings at December 31, 2017 due to the reclassification of AOCI to Retained earnings.

Premium Amortization on Purchased Callable
Debt Securities
In March 2017, the FASB issued ASU No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which amends the amortization period for certain purchased callable debt securities held at a premium. The ASU requires entities to amortize premiums on debt securities by the first call date when the securities have fixed and determinable call dates and prices. The scope of the ASU includes all accounting premiums, such as purchase premiums and cumulative fair value hedge adjustments. The ASU does not change the accounting for discounts, which continue to be recognized over the contractual life of a security.
Citi early adopted the ASU in the second quarter of 2017, with an effective date of January 1, 2017. Adoption of the ASU is on a modified retrospective basis through a cumulative effect adjustment to Retained earnings as of the beginning of the year of adoption. Adoption of the ASU primarily affected Citi’s AFS and HTM portfolios of callable state and municipal debt securities. The ASU adoption resulted in a net reduction to total stockholders’ equity of $156 million (after-tax), effective as of January 1, 2017. This amount is composed of a reduction of approximately $660 million to Retained earnings for the incremental amortization of purchase premiums and cumulative hedge adjustments generated under fair value hedges of these callable debt securities, offset by an increase to AOCI of $504 million related to the cumulative fair value hedge adjustments reclassified to Retained earnings for AFS debt securities.

Fair Value Measurement
In August 2018, the FASB issued ASU No. 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. The amendments modify certain disclosure requirements for fair value measurements and were effective January 1, 2020, with early adoption permitted. The Company early adopted this ASU as of December 31, 2019 in its entirety, with no material impact on the Company.

FUTURE ACCOUNTING CHANGES

Accounting for Financial Instruments—Credit Losses

Overview
In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introduces a new credit loss methodology, the Current Expected Credit Losses (CECL) methodology, which requires earlier recognition of credit losses while also providing additional transparency about credit risk. Citi adopted the ASU as of January 1, 2020, which, as discussed below, resulted in an increase in Citi’s Allowance for credit losses and a decrease to opening Retained earnings, net of deferred income taxes, at January 1, 2020.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. The allowance for credit losses is adjusted each period for changes in expected lifetime credit losses. The CECL methodology represents a significant change from prior U.S. GAAP and replaced the prior multiple existing impairment methods, which generally required that a loss be incurred before it was recognized. Within the life cycle of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related allowance for credit losses than prior U.S. GAAP. For available-for-sale debt securities where fair value is less than cost, that Citi intends to hold or more-likely-than-not will not be required to sell, credit-related impairment, if any, is recognized through an allowance for credit losses and adjusted each period for changes in credit risk.

January 1, 2020 CECL Transition (Day 1) Impact
The CECL methodology’s impact on expected credit losses, among other things, reflects Citi’s view of the current state of the economy, forecasted macroeconomic conditions and Citi’s portfolios. At the January 1, 2020 date of adoption, based on forecasts of macroeconomic conditions and exposures at that time, the aggregate impact to Citi was an approximate $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the Allowance for credit losses for Citi’s consumer exposures, primarily driven by the impact on credit card receivables of longer estimated tenors under the CECL lifetime expected credit loss methodology (loss coverage of approximately 23 months) compared to shorter estimated tenors under the probable loss methodology under prior U.S. GAAP (loss coverage of approximately 14 months), net of recoveries; and (ii) a release of $0.8 billion of reserves primarily related to Citi’s corporate net loan loss exposures, largely due to more precise contractual maturities that result in shorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies.
Under the CECL methodology, the Allowance for credit losses consists of quantitative and qualitative components. Citi’s quantitative component of the Allowance for credit losses is model based and utilizes a single forward-looking macroeconomic forecast, complemented by the qualitative component described below, in estimating expected credit losses and discounts inputs for the corporate classifiably managed portfolios. Reasonable and supportable forecast periods vary by product. For example, Citi’s consumer cards models use a 13-quarter reasonable and supportable period and revert to historical loss experience thereafter, while its corporate loan models use a nine-quarter reasonable and supportable period followed by a three-quarter graduated transition to historical loss experience.

Citi’s qualitative component of the Allowance for credit losses considers (i) the uncertainty of forward-looking scenarios based on the likelihood and severity of a possible recession as another possible scenario; (ii) certain portfolio characteristics, such as portfolio concentration and collateral coverage; and (iii) model limitations as well as idiosyncratic events.

Subsequent Measurement of Goodwill
In January 2017, the FASB issued ASU No. 2017-04, Intangibles—Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment. The ASU simplifies the subsequent measurement of goodwill impairment by eliminating the requirement to calculate the implied fair value of goodwill (i.e., the current step 2 of the goodwill impairment test) to measure a goodwill impairment charge. Under the ASU, the impairment test is the comparison of the fair value of a reporting unit with its carrying amount (the current step 1), with the impairment charge being the deficit in fair value but not exceeding the total amount of goodwill allocated to that reporting unit. The simplified one-step impairment test applies to all reporting units (including those with zero or negative carrying amounts).
The ASU was adopted by Citi as of January 1, 2020 with prospective application. The impact of the ASU will depend upon the performance of Citi’s reporting units and the market conditions impacting the fair value of each reporting unit going forward.


2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

Summary of Discontinued Operations
The Company’s Discontinued operations consisted of residual activities related to the sales of the Brazil Credit Card business in 2013, the Egg Banking plc Credit Card business in 2011, and the German Retail Banking business in 2008. All Discontinued operations results are recorded within Corporate/Other.
The following summarizes financial information for all Discontinued operations:
In millions of dollars201920182017
Total revenues, net of interest expense$—
$—
$—
Loss from discontinued operations$(31)$(26)$(104)
Provision (benefit) for income taxes(27)(18)7
Loss from discontinued operations, net of taxes$(4)$(8)$(111)


Cash flows from Discontinued operations were not material for all periods presented.

Significant Disposals
There were no significant disposals during 2019. The transactions described below were identified as significant disposals during 2018 and 2017.

Sale of Mexico Asset Management Business
On September 21, 2018, Citi completed the sale of its Mexico asset management business, which was part of Latin America GCB. As part of the sale, Citi derecognized total assets of $137 million and total liabilities of $41 million. The transaction resulted in a pretax gain on sale of approximately $250 million (approximately $150 million after-tax) recorded in Other revenue in 2018. Further, Citi and the buyer entered into a 10-year services framework agreement, with Citi acting as the distributor in exchange for an ongoing fee.
Income before taxes for the divested business, excluding the pretax gain on sale, was as follows:
In millions of dollars201920182017
Income before taxes$—
$123
$164


Sale of Fixed Income Analytics and Index Business
On August 31, 2017, Citi completed the sale of a fixed income analytics business and a fixed income index business that were part of Markets and securities services within Institutional Clients Group (ICG). As part of the sale, Citi derecognized Total assets of $112 million, including goodwill of $72 million, while the derecognized liabilities were $18 million. The transaction resulted in a pretax gain on sale of approximately $580 million ($355 million after-tax) recorded in Other revenue in ICG during 2017.
Income before taxes for the divested businesses, excluding the pretax gain on sale, was immaterial.


Exit of U.S. Mortgage Service Operations
Citigroup executed agreements during the first quarter of 2017 to effectively exit its direct U.S. mortgage servicing operations, which included the sale of mortgage servicing rights and execution of a subservicing agreement for the remaining Citi-owned loans and certain other mortgage servicing rights. As part of this transaction, Citi also transferred certain employees.
This transaction, which was part of Corporate/Other, resulted in a pretax loss of $331 million ($207 million after-tax) recorded in Other revenue during 2017. The loss on sale did not include certain other costs and charges related to the disposed operation recorded primarily in Operating expenses during 2017, resulting in a total pretax loss of $382 million. As part of the sale, Citi derecognized a total of $1,162 million of servicing-related assets, including $1,046 million of Mortgage servicing rights, related to approximately 750,000 Fannie Mae and Freddie Mac held loans with outstanding balances of approximately $93 billion.
Excluding the loss on sale and the additional charges, income before taxes for the disposed operation was immaterial.

Sale of CitiFinancial Canada Consumer Finance Business
On March 31, 2017, Citi completed the sale of CitiFinancial Canada (CitiFinancial), which was part of Corporate/Other and included 220 retail branches and approximately 1,400 employees. As part of the sale, Citi derecognized Total assets of approximately $1.9 billion, including $1.7 billion consumer loans (net of allowance), and Total liabilities of approximately $1.5 billion related to intercompany borrowings, which were settled at closing of the transaction. The sale of CitiFinancial generated a pretax gain on sale of approximately $350 million recorded in Other revenue ($178 million after-tax) during 2017.
Income before taxes for the divested business, excluding the pretax gain on sale, was as follows:
In millions of dollars201920182017
Income before taxes$—
$—
$41




3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the following business segments: Global Consumer Banking (GCB) and Institutional Clients Group (ICG). In addition, Corporate/Other includes activities not assigned to a specific business segment, as well as certain North America loan portfolios, discontinued operations and other legacy assets.
The business segments are determined based on products and services provided or type of customers served, of which those identified as non-core are recorded in Corporate/Other and are reflective of how management currently evaluates financial information to make business decisions.
GCB includes a global, full-service consumer franchise delivering a wide array of banking, credit card lending and investment services through a network of local branches, offices and electronic delivery systems and consists of three GCB businesses: North America, Latin America and Asia (including consumer banking activities in certain EMEA countries).
ICG consists of Banking and Markets and securities services and provides corporate, institutional, public sector and high-net-worth clients in 98 countries and jurisdictions with a broad range of banking and financial products and services.
Corporate/Other includes certain unallocated costs of global functions, other corporate expenses and net treasury results, unallocated corporate expenses, offsets to certain line-item reclassifications and eliminations, the results of certain
North America legacy loan portfolios, discontinued operations and unallocated taxes.
The accounting policies of these reportable segments are the same as those disclosed in Note 1 to the Consolidated Financial Statements.
The prior-period balances reflect reclassifications to conform the presentation for all periods to the current period’s presentation. During 2019, financial data was reclassified to reflect:

•
Citi’s commercial banking businesses previously reported as part of GCB in North America, Latin America and Asia, including approximately $28 billion in end-of-period loans and approximately $37 billion in end-of-period deposits, are reported in ICG for all periods presented;
•
the re-attribution of certain costs between Corporate/Other and GCB and ICG; and
certain other immaterial reclassifications.

Citi’s consolidated Net income (loss) reported in its 2018 Annual Report on Form 10-K remains unchanged for all periods presented as a result of the changes and reclassifications discussed above.
The following table presents certain information regarding the Company’s continuing operations by segment:
 As of December 31, 2017
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities purchased under agreements to resell$204,460
$73,476
$130,984
$103,022
$27,962
Deposits paid for securities borrowed101,494
—
101,494
22,271
79,223
Total$305,954
$73,476
$232,478
$125,293
$107,185
 
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes(2)
Income (loss) from
continuing operations(2)(3)
Identifiable assets
In millions of dollars, except identifiable assets in billions20192018201720192018201720192018201720192018
Global Consumer Banking$32,971
$32,339
$31,445
$1,746
$1,689
$3,067
$5,702
$5,309
$3,542
$407
$388
Institutional Clients Group39,301
38,325
37,822
3,570
3,756
7,241
12,944
12,574
9,375
1,447
1,438
Corporate/Other2,014
2,190
3,177
(886)(88)19,080
825
205
(19,544)97
91
Total$74,286
$72,854
$72,444
$4,430
$5,357
$29,388
$19,471
$18,088
$(6,627)$1,951
$1,917
(1)
Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $33.9 billion, $33.4 billion and $34.1 billion; in EMEA of $12.0 billion, $11.8 billion and $10.9 billion; in Latin America of $10.4 billion, $10.3 billion and $9.6 billion; and in Asia of $16.0 billion, $15.3 billion and $14.6 billion in 2019, 2018 and 2017, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Corporate/Other, GCB and ICG 2017 results include the one-time impact of Tax Reform.
(3)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $7.9 billion, $7.6 billion and $7.6 billion; in the ICG results of $563 million, $215 million and $19 million; and in the Corporate/Other results of $(75) million, $(202) million and $(175) million in 2019, 2018 and 2017, respectively.


4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities sold under agreements to repurchase$216,122
$73,476
$142,646
$73,716
$68,930
Deposits received for securities loaned13,305
—
13,305
4,079
9,226
Total$229,427
$73,476
$155,951
$77,795
$78,156
In millions of dollars201920182017
Interest revenue   
Loan interest, including fees$47,751
$45,682
$41,736
Deposits with banks2,682
2,203
1,635
Securities borrowed and purchased under agreements to resell6,872
5,492
3,249
Investments, including dividends9,860
9,494
8,295
Trading account assets(1)
7,672
6,284
5,501
Other interest1,673
1,673
1,163
Total interest revenue$76,510
$70,828
$61,579
Interest expense   
Deposits(2)
$12,633
$9,616
$6,587
Securities loaned and sold under agreements to repurchase6,263
4,889
2,661
Trading account liabilities(1)
1,308
1,001
638
Short-term borrowings2,465
2,209
1,059
Long-term debt6,494
6,551
5,573
Total interest expense$29,163
$24,266
$16,518
Net interest revenue$47,347
$46,562
$45,061
Provision for loan losses8,218
7,354
7,503
Net interest revenue after provision for loan losses$39,129
$39,208
$37,558
(1)
Interest expense on Trading account liabilities is reported as a reduction of interest revenue from Trading account assets.
(2)Includes deposit insurance fees and charges of $781 million, $1,182 million and $1,249 million for 2019, 2018 and 2017, respectively.




5.   COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES
Commissions and Fees
The primary components of Commissions and fees revenue are investment banking fees, brokerage commissions, credit card and bank card income and deposit-related fees.
Investment banking fees are substantially composed of underwriting and advisory revenues. Such fees are recognized at the point in time when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the closing of a transaction. Reimbursed expenses related to these transactions are recorded as revenue and are included within investment banking fees. In certain instances for advisory contracts, Citi will receive amounts in advance of the deal’s closing. In these instances, the amounts received will be recognized as a liability and not recognized in revenue until the transaction closes. For the periods presented, the contract liability amount was negligible.
Out-of-pocket expenses associated with underwriting activity are deferred and recognized at the time the related revenue is recognized, while out-of-pocket expenses associated with advisory arrangements are expensed as incurred. In general, expenses incurred related to investment banking transactions, whether consummated or not, are recorded in Other operating expenses. The Company has determined that it acts as principal in the majority of these transactions and therefore presents expenses gross within Other operating expenses.
Brokerage commissions primarily include commissions and fees from the following: executing transactions for clients on exchanges and over-the-counter markets; sales of mutual funds and other annuity products; and assisting clients in clearing transactions, providing brokerage services and other such activities. Brokerage commissions are recognized in Commissions and fees at the point in time the associated service is fulfilled, generally on the trade execution date. Gains or losses, if any, on these transactions are included in Principal transactions (see Note 6 to the Consolidated Financial Statements). Sales of certain investment products include a portion of variable consideration associated with the underlying product. In these instances, a portion of the revenue associated with the sale of the product is not recognized until the variable consideration becomes fixed. The Company recognized $485 million, $521 million and $416 million of revenue related to such variable consideration for the years ended December 31, 2019, 2018 and 2017, respectively. These amounts primarily relate to performance obligations satisfied in prior periods.










Credit card and bank card income is primarily composed of interchange fees, which are earned by card issuers based on
purchase sales, and certain card fees, including annual fees.
Costs related to customer reward programs and certain
payments to partners (primarily based on program sales,
profitability and customer acquisitions) are recorded as a
reduction of credit card and bank card income. Interchange
revenues are recognized as earned on a daily basis when Citi's
performance obligation to transmit funds to the payment
networks has been satisfied. Annual card fees, net of
origination costs, are deferred and amortized on a straight-line
basis over a 12-month period. Costs related to card reward
programs are recognized when the rewards are earned by the
cardholders. Payments to partners are recognized when
incurred.
Deposit-related fees consist of service charges on deposit
accounts and fees earned from performing cash management
activities and other deposit account services. Such fees are
recognized in the period in which the related service is
provided.
Transactional service fees primarily consist of fees
charged for processing services such as cash management,
global payments, clearing, international funds transfer and
other trade services. Such fees are recognized as/when the
associated service is satisfied, which normally occurs at the
point in time the service is requested by the customer and
provided by Citi.
Insurance distribution revenue consists of commissions
earned from third-party insurance companies for marketing
and selling insurance policies on behalf of such entities. Such
commissions are recognized in Commissions and fees at the
point in time the associated service is fulfilled, generally when
the insurance policy is sold to the policyholder. Sales of
certain insurance products include a portion of variable
consideration associated with the underlying product. In these
instances, a portion of the revenue associated with the sale of
the policy is not recognized until the variable consideration
becomes determinable. The Company recognized $322 million, $386 million and $440 million of revenue related to such variable consideration for the years ended December 31, 2019, 2018 and 2017, respectively. These amounts primarily relate to performance obligations satisfied in prior periods.
Insurance premiums consist of premium income from
insurance policies that Citi has underwritten and sold to
policyholders.




The following table presents Commissions and fees revenue:
 As of December 31, 2016
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities purchased under agreements to resell$176,284
$44,811
$131,473
$102,874
$28,599
Deposits paid for securities borrowed105,340
—
105,340
16,200
89,140
Total$281,624
$44,811
$236,813
$119,074
$117,739
 201920182017
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Investment banking$3,767
$—
$—
$3,767
$3,568
$—
$—
$3,568
$3,817
$—
$—
$3,817
Brokerage commissions1,771
841
—
2,612
1,977
815
—
2,792
1,889
826
3
2,718
Credit card and bank card
  income
   

   

   

     Interchange fees1,222
8,621
—
9,843
1,077
8,112
11
9,200
953
7,523
99
8,575
     Card-related loan fees60
718
—
778
63
627
12
702
53
693
48
794
     Card rewards and partner
       payments
(691)(8,883)—
(9,574)(504)(8,253)(12)(8,769)(426)(7,242)(57)(7,725)
Deposit-related fees(1)
1,048
470
—
1,518
1,031
572
1
1,604
1,031
642
14
1,687
Transactional service fees824
123
—
947
733
83
4
820
751
78
49
878
Corporate finance(2)
616
—
—
616
734
—
—
734
766
—
—
766
Insurance distribution
  revenue
12
524
—
536
14
565
11
590
12
562
68
642
Insurance premiums—
186
—
186
—
119
—
119
—
122
—
122
Loan servicing78
55
21
154
100
91
37
228
117
71
95
283
Other99
261
3
363
116
139
14
269
30
90
30
150
Total commissions and
  fees(3)
$8,806
$2,916
$24
$11,746
$8,909
$2,870
$78
$11,857
$8,993
$3,365
$349
$12,707

In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities sold under agreements to repurchase$170,496
$44,811
$125,685
$63,517
$62,168
Deposits received for securities loaned15,958
—
15,958
3,529
12,429
Total$186,454
$44,811
$141,643
$67,046
$74,597

(1)Includes financial instruments subject to enforceable master netting agreementsoverdraft fees of $127 million, $128 million and $135 million for the years ended December 31, 2019, 2018 and 2017, respectively. Overdraft fees are accounted for under ASC 310.
(2)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(3)
Commissions and fees includes $(7,695) million, $(6,853) million and $(5,627) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the years ended December 31, 2019, 2018 and 2017, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.


Administration and Other Fiduciary Fees
Administration and other fiduciary fees revenue is primarily composed of custody fees and fiduciary fees.
The custody product is composed of numerous services related to the administration, safekeeping and reporting for both U.S. and non-U.S. denominated securities. The services offered to clients include trade settlement, safekeeping, income collection, corporate action notification, record-keeping and reporting, tax reporting and cash management. These services are provided for a wide range of securities, including but not limited to equities, municipal and corporate bonds, mortgage- and asset-backed securities, money market instruments, U.S. Treasuries and agencies, derivative instruments, mutual funds, alternative investments and precious metals. Custody fees are recognized as or when the associated promised service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi.
Fiduciary fees consist of trust services and investment management services. As an escrow agent, Citi receives, safe-
keeps, services and manages clients’ escrowed assets, such as cash, securities, property (including intellectual property), contracts or other collateral. Citi performs its escrow agent duties by safekeeping the funds during the specified time period agreed upon by all parties and therefore earns its revenue evenly during the contract duration.
Investment management services consist of managing assets on behalf of Citi’s retail and institutional clients. Revenue from these services primarily consists of asset-based fees for advisory accounts, which are based on the market value of the client’s assets and recognized monthly, when the market value is fixed. In some instances, the Company contracts with third-party advisors and with third-party custodians. The Company has determined that it acts as principal in the majority of these transactions and therefore presents the amounts paid to third parties gross within Other operating expenses.
The following table presents Administration and other fiduciary fees revenue:

 201920182017
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Custody fees$1,453
$16
$73
$1,542
$1,497
$133
$65
$1,695
$1,508
$164
$56
$1,728
Fiduciary fees647
621
28
1,296
645
597
43
1,285
593
575
91
1,259
Guarantee fees558
8
7
573
584
9
7
600
584
5
8
597
Total administration
  and other fiduciary fees(1)
$2,658
$645
$108
$3,411
$2,726
$739
$115
$3,580
$2,685
$744
$155
$3,584
(1)
Administration and other fiduciary fees includes $573 million, $600 million and $597 million for the years ended December 31, 2019, 2018 and 2017, respectively, that are permitted to be offsetnot accounted for under ASC 210-20-45.606, Revenue from Contracts with Customers. These amounts include guarantee fees.


6. PRINCIPAL TRANSACTIONS
Citi’s Principal transactions revenue consists of realized and unrealized gains and losses from trading activities. Trading activities include revenues from fixed income, equities, credit and commodities products and foreign exchange transactions that are managed on a portfolio basis characterized by primary risk. Not included in the table below is the impact of net interest revenue related to trading activities, which is an integral part of trading activities’ profitability. See Note 4 to the Consolidated Financial Statements for information about
net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments) and FVA (funding valuation adjustments) on over-the-counter derivatives, and gains (losses) on certain economic hedges on loans in ICG. These adjustments are discussed further in Note 24 to the Consolidated Financial Statements.
In certain transactions, Citi incurs fees and presents these fees paid to third parties in operating expenses. The following table presents Principaltransactions revenue:
In millions of dollars201920182017
Interest rate risks(1)
$5,990
$5,178
$5,304
Foreign exchange risks(2)
1,650
1,398
2,435
Equity risks(3)
872
1,336
525
Commodity and other risks(4)
516
669
425
Credit products and risks(5)
(136)324
251
Total$8,892
$8,905
$8,940
(1)Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
(2)Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(3)Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(4)Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(5)Includes revenues from structured credit products.

7. INCENTIVE PLANS
Discretionary Annual Incentive Awards
Citigroup grants immediate cash bonus payments and various forms of immediate and deferred awards as part of its discretionary annual incentive award program involving a large segment of Citigroup’s employees worldwide. Most of the shares of common stock issued by Citigroup as part of its equity compensation programs are issued to settle the vesting of the stock components of these awards.
Discretionary annual incentive awards are generally awarded in the first quarter of the year based on the previous year’s performance. Awards valued at less than U.S. $100,000 (or the local currency equivalent) are generally paid entirely in the form of an immediate cash bonus. Pursuant to Citigroup policy and/or regulatory requirements, certain employees and officers are subject to mandatory deferrals of incentive pay and generally receive 25%–60% of their awards in a combination of restricted or deferred stock, deferred cash stock units or deferred cash. Discretionary annual incentive awards to many employees in the EU are subject to deferral requirements regardless of the total award value, with at least 50% of the immediate incentive delivered in the form of a stock payment award subject to a restriction on sale or transfer (generally, for 12 months).
Deferred annual incentive awards may be delivered in the form of one or more award types: a restricted or deferred stock award under Citi’s Capital Accumulation Program (CAP), or a deferred cash stock unit award and/or a deferred cash award under Citi’s Deferred Cash Award Plan. The applicable mix of awards may vary based on the employee’s minimum deferral requirement and the country of employment.
Subject to certain exceptions (principally, for retirement-eligible employees), continuous employment within Citigroup is required to vest in CAP, deferred cash stock unit and deferred cash awards. Post employment vesting by retirement-eligible employees and participants who meet other conditions is generally conditioned upon their refraining from competition with Citigroup during the remaining vesting period, unless the employment relationship has been terminated by Citigroup under certain conditions.
Generally, the deferred awards vest in equal annual installments over three- or four-year periods. Vested CAP awards are delivered in shares of common stock. Deferred cash awards are payable in cash and, except as prohibited by applicable regulatory guidance, earn a fixed notional rate of interest that is paid only if and when the underlying principal award amount vests. Deferred cash stock unit awards are payable in cash at the vesting value of the underlying stock. Generally, in the EU, vested CAP shares are subject to a restriction on sale or transfer after vesting, and vested deferred cash awards and deferred cash stock units are subject to hold back (generally, for 6 or 12 months based on the award type).
Unvested CAP, deferred cash stock units and deferred cash awards are subject to one or more clawback provisions that apply in certain circumstances, including gross misconduct. CAP and deferred cash stock unit awards, made to certain employees, are subject to a formulaic performance-based vesting condition pursuant to which amounts otherwise
scheduled to vest will be reduced based on the amount of any pretax loss in the participant’s business in the calendar year preceding the scheduled vesting date. A minimum reduction of 20% applies for the first dollar of loss for CAP and deferred cash stock unit awards.
In addition, deferred cash awards are subject to a discretionary performance-based vesting condition under which an amount otherwise scheduled to vest may be reduced in the event of a “material adverse outcome” for which a participant has “significant responsibility.” These awards are also subject to an additional clawback provision pursuant to which unvested awards may be canceled if the employee engaged in misconduct or exercised materially imprudent judgment, or failed to supervise or escalate the behavior of other employees who did.

Sign-on and Long-Term Retention Awards
Stock awards and deferred cash awards may be made at various times during the year as sign-on awards to induce new hires to join Citi or to high-potential employees as long-term retention awards.
Vesting periods and other terms and conditions pertaining to these awards tend to vary by grant. Generally, recipients must remain employed through the vesting dates to vest in the awards, except in cases of death, disability or involuntary termination other than for gross misconduct. These awards do not usually provide for post employment vesting by retirement-eligible participants.

Outstanding (Unvested) Stock Awards
A summary of the status of unvested stock awards granted as discretionary annual incentive or sign-on and long-term retention awards is presented below:
Unvested stock awardsShares
Weighted-
average grant
date fair
value per share
Unvested at December 31, 201831,728,596
$57.30
Granted(1)
14,920,917
61.78
Canceled(1,104,448)60.45
Vested(2)
(15,350,350)53.58
Unvested at December 31, 201930,194,715
$61.30

(1)The weighted-average fair value of the shares granted during 2018 and 2017 was $73.87 and $59.12, respectively.
(2)The totalweighted-average fair value of this columnthe shares vesting during 2019 was approximately $63.38 per share.
Total unrecognized compensation cost related to unvested stock awards was $538 million at December 31, 2019. The cost is expected to be recognized over a weighted-average period of 1.6 years.



Performance Share Units
Certain executive officers were awarded a target number of performance share units (PSUs) each February from 2016 to 2019, for performance in the year prior to the award date.
The PSUs granted in February 2016 were earned over a three-year performance period based on Citigroup’s relative total shareholder return as compared to peers.
The PSUs granted in February 2017, 2018 and 2019 are earned over a three-year performance period, based half on return on tangible common equity performance in the last year of the three-year performance period and the remaining half on cumulative earnings per share over the three-year performance period.
For all award years, if the total shareholder return is negative over the three-year performance period, executives may earn no more than 100% of the target PSUs, regardless of the extent to which Citigroup outperforms peer firms. The number of PSUs ultimately earned could vary from 0, if performance goals are not met, to as much as 150% of target, if performance goals are meaningfully exceeded.
For all award years, the value of each PSU is equal to the value of 1 share of Citi common stock. Dividend equivalents will be accrued and paid on the number of earned PSUs after the end of the performance period.
PSUs are subject to variable accounting, pursuant to which the associated value of the award will fluctuate with changes in Citigroup’s stock price and the attainment of the specified performance goals for each award, until the award is settled solely in cash after the end of the performance period. The value of the award, subject to the performance goals, is estimated using a simulation model that incorporates multiple valuation assumptions, including the probability of achieving the specified performance goals of each award. The risk-free rate used in the model is based on the applicable U.S. Treasury yield curve. Other significant assumptions for the awards are as follows:
Valuation assumptions201920182017
Expected volatility25.33%24.93%25.79%
Expected dividend yield2.67
1.75
1.30


















A summary of the performance share unit activity for 2019 is presented below:
Performance share unitsUnits
Weighted-
average grant
date fair
value per unit
Outstanding, beginning of
  period
1,768,362
$51.88
Granted(1)
560,031
72.83
Canceled(194,782)42.24
Payments(641,611)27.03
Outstanding, end of period1,492,000
$71.69

(1)
The weighted-average grant date fair value per unit awarded in 2018 and 2017 was $83.24 and $59.22, respectively.

PSUs granted in 2017 were equitably adjusted after the enactment of Tax Reform, as required under the terms of those awards. The adjustments were intended to reproduce the expected value of the awards immediately prior to the passage of Tax Reform. The PSUs granted in 2016 were not impacted by Tax Reform.

Stock Option Programs
All outstanding stock options are fully vested, with the related expense recognized as a charge to income in prior periods.


The following table presents information with respect to stock option activity under Citigroup’s stock option programs: 
 201920182017
 Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Outstanding, beginning of period762,225
$101.84
$—
1,138,813
$161.96
$—
1,527,396
$131.78
$—
Canceled(11,365)40.80
—
—
—
—
—
—
—
Expired(449,916)142.30
—
(376,588)283.63
—
—
—
—
Exercised(134,294)39.00
23.50
—
—
—
(388,583)43.35
15.67
Outstanding, end of period166,650
$47.42
$32.47
762,225
$101.84
$—
1,138,813
$161.96
$—
Exercisable, end of period166,650
  
762,225
 
 
1,138,813
 
 


The following table summarizes information about stock options outstanding under Citigroup’s stock option programs at December 31, 2019:
  Options outstandingOptions exercisable
Range of exercise prices
Number
outstanding
Weighted-average
contractual life
remaining
Weighted-average
exercise price
Number
exercisable
Weighted-average
exercise price
$41.54–$60.00166,650
1.4 years$47.42
166,650
$47.42
Total at December 31, 2019166,650
1.4 years$47.42
166,650
$47.42

Other Variable Incentive Compensation
Citigroup has various incentive plans globally that are used to motivate and reward performance primarily in the areas of sales, operational excellence and customer satisfaction. Participation in these plans is generally limited to employees who are not eligible for discretionary annual incentive awards. Other forms of variable compensation include monthly commissions paid to financial advisors and mortgage loan officers.

Summary
Except for awards subject to variable accounting, the total expense recognized for stock awards represents the grant date fair value of such awards, which is generally recognized as a charge to income ratably over the vesting period, other than for awards to retirement-eligible employees and immediately vested awards. Whenever awards are made or are expected to be made to retirement-eligible employees, the charge to income is accelerated based on when the applicable conditions to retirement eligibility were or will be met. If the employee is retirement eligible on the grant date, or the award is vested at the grant date, the entire expense is recognized in the year prior to grant.
Recipients of Citigroup stock awards generally do not have any stockholder rights until shares are delivered upon vesting or exercise, or after the expiration of applicable required holding periods. Recipients of restricted or deferred stock awards and deferred cash stock unit awards, however, may, except as prohibited by applicable regulatory guidance, be entitled to receive or accrue dividends or dividend-equivalent payments during the vesting period. Recipients of restricted stock awards generally are entitled to vote the shares in their award during the vesting period. Once a stock award
vests, the shares delivered to the participant are freely transferable, unless they are subject to a restriction on sale or transfer for a specified period.
All equity awards granted since April 19, 2005 have been made pursuant to stockholder-approved stock incentive plans that are administered by the Personnel and Compensation Committee of the Citigroup Board of Directors, which is composed entirely of independent non-employee directors.
At December 31, 2019, approximately 29.7 million shares of Citigroup common stock were authorized and available for grant under Citigroup’s 2019 Stock Incentive Plan, the only plan from which equity awards are currently granted.
The 2019 Stock Incentive Plan and predecessor plans permit the use of treasury stock or newly issued shares in connection with awards granted under the plans. Treasury shares were used to settle vestings from 2016 to 2019, and for the first quarter of 2020, except where local laws favor newly issued shares. The use of treasury stock or newly issued shares to settle stock awards does not affect the compensation expense recorded in the Consolidated Statement of Income for equity awards.


Incentive Compensation Cost
The following table shows components of compensation expense, relating to certain of the incentive compensation programs described above:
In millions of dollars201920182017
Charges for estimated awards to retirement-eligible employees$683
$669
$659
Amortization of deferred cash awards, deferred cash stock units and performance stock units355
202
354
Immediately vested stock award expense(1)
82
75
70
Amortization of restricted and deferred stock awards(2)
404
435
474
Other variable incentive compensation666
640
694
Total$2,190
$2,021
$2,251
(1)Represents expense for each period excludes federal funds sold/purchased. See tables above.immediately vested stock awards that generally were stock payments in lieu of cash compensation. The expense is generally accrued as cash incentive compensation in the year prior to grant.
(2)All periods include amortization expense for all unvested awards to non-retirement-eligible employees.




8. RETIREMENT BENEFITS

Pension and Postretirement Plans
The Company has several non-contributory defined benefit pension plans covering certain U.S. employees and has various defined benefit pension and termination indemnity plans covering employees outside the U.S.
The U.S. qualified defined benefit plan was frozen effective January 1, 2008 for most employees. Accordingly, no additional compensation-based contributions have been credited to the cash balance portion of the plan for existing plan participants after 2007. However, certain employees covered under the prior final pay plan formula continue to accrue benefits. The Company also offers postretirement health care and life insurance benefits to certain eligible U.S. retired employees, as well as to certain eligible employees outside the U.S.
The Company also sponsors a number of non-contributory, nonqualified pension plans. These plans, which are unfunded, provide supplemental defined pension benefits to certain U.S.
employees. With the exception of certain employees covered under the prior final pay plan formula, the benefits under these plans were frozen in prior years.
The plan obligations, plan assets and periodic plan expense for the Company’s most significant pension and postretirement benefit plans (Significant Plans) are measured and disclosed quarterly, instead of annually. The Significant Plans captured approximately 90% of the Company’s global pension and postretirement plan obligations as of December 31, 2019. All other plans (All Other Plans) are measured annually with a December 31 measurement date.

Net (Benefit) Expense
The following table summarizes the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans for Significant Plans and All Other Plans:

 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars201920182017201920182017201920182017201920182017
Benefits earned during the year$1
$1
$3
$146
$146
$153
$—
$—
$—
$8
$9
$9
Interest cost on benefit obligation469
514
533
287
292
295
24
26
26
104
102
101
Expected return on plan assets(821)(844)(865)(281)(291)(299)(18)(14)(6)(84)(88)(89)
Amortization of unrecognized: 
 
 
 
 
 
 
 
 
 
 
 
Prior service cost (benefit)2
2
2
(4)(4)(3)—
—
—
(10)(10)(10)
Net actuarial loss200
165
173
61
53
61
—
(1)—
23
29
35
Curtailment loss (gain)(1)
1
1
6
(6)(1)—
—
—
—
—
—
—
Settlement loss(1)
—
—
—
6
7
12
—
—
—
—
—
—
Total net (benefit) expense$(148)$(161)$(148)$209
$202
$219
$6
$11
$20
$41
$42
$46

(1)Curtailment and settlement relate to repositioning and divestiture actions.

Contributions
The Company’s funding practice for U.S. and non-U.S. pension and postretirement plans is generally to fund to minimum funding requirements in accordance with applicable local laws and regulations. The Company may increase its contributions above the minimum required contribution, if appropriate. In addition, management has the ability to change its funding practices. For the U.S. pension plans, there were no required minimum cash contributions for 2019 or 2018.

The following table summarizes the actual Company contributions for the years ended December 31, 2019 and 2018, as well as estimated expected Company contributions for 2020. Expected contributions are subject to change, since contribution decisions are affected by various factors, such as market performance, tax considerations and regulatory requirements.


 
Pension plans(1)
Postretirement benefit plans(1)
 
U.S. plans(2)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars202020192018202020192018202020192018202020192018
Contributions made by the Company$—
$425
$—
$111
$111
$140
$—
$—
$145
$4
$221
$3
Benefits paid directly by the Company58
56
55
53
39
42
6
4
5
6
4
6

(1)Amounts reported for 2020 are expected amounts.     
(2)The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans.


Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following table summarizes the funded status and amounts recognized in the Consolidated Balance Sheet for the Company’s pension and postretirement plans:
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20192018201920182019201820192018
Change in projected benefit obligation 
 
 
 
 
 
 
 
Projected benefit obligation at beginning of year$12,655
$14,040
$7,149
$7,433
$662
$699
$1,159
$1,261
Benefits earned during the year1
1
146
146
—
—
8
9
Interest cost on benefit obligation469
514
287
292
24
26
104
102
Plan amendments—
—
7
7
—
—
—
—
Actuarial loss (gain)( 1)
1,263
(1,056)861
(99)46
(1)140
(123)
Benefits paid, net of participants’ contributions and government subsidy(2)
(936)(845)(304)(293)(40)(62)(72)(68)
Settlement gain(3)
—


(84)(121)—
—
—
—
Curtailment loss (gain)(3)
1
1
(4)(1)—
—
—
—
Foreign exchange impact and other—
—
47
(215)—
—
45
(22)
Projected benefit obligation at year end$13,453
$12,655
$8,105
$7,149
$692
$662
$1,384
$1,159
Change in plan assets 
 
 
 
 
 
 
 
Plan assets at fair value at beginning of year$11,490
$12,725
$6,699
$7,128
$345
$262
$1,036
$1,119
Actual return on plan assets(1)
1,682
(445)781
(11)36
(5)138
(26)
Company contributions481
55
150
182
4
150
225
9
Benefits paid, net of participants’ contributions and government subsidy(2)
(936)(845)(304)(293)(40)(62)(72)(68)
Settlement gain(3)
—
—
(84)(121)—
—
—
—
Foreign exchange impact and other—
—
314
(186)—
—
(200)2
Plan assets at fair value at year end$12,717
$11,490
$7,556
$6,699
$345
$345
$1,127
$1,036
Funded status of the plans        
Qualified plans(4)
$(23)$(483)$(549)$(450)$(347)$(317)$(257)$(123)
Nonqualified plans(5)
(713)(682)—
—
—
—
—
—
Funded status of the plans at year end$(736)$(1,165)$(549)$(450)$(347)$(317)$(257)$(123)
Net amount recognized 
 
 
 
 
 
 
 
Qualified plans        
Benefit asset$—
$—
$808
$806
$—
$—
$57
$175
Benefit liability(23)(483)(1,357)(1,256)(347)(317)(314)(298)
Qualified plans$(23)$(483)$(549)$(450)$(347)$(317)$(257)$(123)
Nonqualified plans(713)(682)—
—
—
—
—
—
Net amount recognized on the balance sheet$(736)$(1,165)$(549)$(450)$(347)$(317)$(257)$(123)
Amounts recognized in AOCI
     
 
 
 
Net transition obligation$—
$—
$—
$(1)$—
$—
$—
$—
Prior service (cost) benefit(12)(13)1
12
—
—
76
83
Net actuarial (loss) gain(7,092)(6,892)(1,735)(1,420)24
53
(416)(340)
Net amount recognized in equity (pretax)$(7,104)$(6,905)$(1,734)$(1,409)$24
$53
$(340)$(257)
Accumulated benefit obligation at year end

$13,447
$12,646
$7,618
$6,720
$692
$662
$1,384
$1,159


(1)During 2019, the actuarial loss is primarily due to the decline in global discount rates and actual return on plan assets due to favorable asset returns.
(2)U.S. postretirement benefit plans were net of Employer Group Waiver Plan subsidy of $22 million and $15 million in 2019 and 2018, respectively.
(3)Includes financial instruments subjectCurtailment and settlement (gains) losses relate to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45 but would be eligible for offsetting to the extent that an event of default has occurredrepositioning and a legal opinion supporting enforceability of the offsetting right has been obtained.divestiture activities.
(4)Remaining exposures continue to be secured by financial collateral, but Citi may not have sought or been able to obtain a legal opinion evidencing enforceabilityThe U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act (ERISA) funding rules as of the offsetting right.

The following tables present the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by remaining contractual maturity:

 As of December 31, 2017
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$82,073
$68,372
$33,846
$31,831
$216,122
Deposits received for securities loaned9,946
266
1,912
1,181
13,305
Total$92,019
$68,638
$35,758
$33,012
$229,427

 As of December 31, 2016
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$79,740
$50,399
$19,396
$20,961
$170,496
Deposits received for securities loaned10,813
2,169
2,044
932
15,958
Total$90,553
$52,568
$21,440
$21,893
$186,454

The following tables present the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by class of underlying collateral:

 As of December 31, 2017
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$58,774
$—
$58,774
State and municipal securities1,605
—
1,605
Foreign government securities89,576
105
89,681
Corporate bonds20,194
657
20,851
Equity securities20,724
11,907
32,631
Mortgage-backed securities17,791
—
17,791
Asset-backed securities5,479
—
5,479
Other1,979
636
2,615
Total$216,122
$13,305
$229,427


 As of December 31, 2016
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$66,263
$—
$66,263
State and municipal securities334
—
334
Foreign government securities52,988
1,390
54,378
Corporate bonds17,164
630
17,794
Equity securities12,206
13,913
26,119
Mortgage-backed securities11,421
—
11,421
Asset-backed securities5,428
—
5,428
Other4,692
25
4,717
Total$170,496
$15,958
$186,454


12. BROKERAGE RECEIVABLES AND BROKERAGE
PAYABLES

Citi has receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the ordinary course of business. Citi is exposed to risk of loss from the inability of brokers, dealers or customers to pay for purchases or to deliver the financial instruments sold, in which case Citi would have to sell or purchase the financial instruments at prevailing market prices. Credit risk is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transaction and replaces the broker, dealer or customer in question.
Citi seeks to protect itself from the risks associated with customer activities by requiring customers to maintain margin collateral in compliance with regulatory and internal guidelines. Margin levels are monitored daily, and customers deposit additional collateral as required. Where customers cannot meet collateral requirements, Citi may liquidate sufficient underlying financial instruments to bring the customer into compliance with the required margin level.
Exposure to credit risk is impacted by market volatility, which may impair the ability of clients to satisfy their obligations to Citi. Credit limits are established and closely monitored for customers and for brokers and dealers engaged in forwards, futures and other transactions deemed to be credit sensitive.
Brokerage receivables and Brokerage payables consisted of the following:
 December 31,
In millions of dollars20172016
Receivables from customers$19,215
$10,374
Receivables from brokers, dealers and clearing organizations19,169
18,513
Total brokerage receivables(1)
$38,384
$28,887
Payables to customers$38,741
$37,237
Payables to brokers, dealers and clearing organizations22,601
19,915
Total brokerage payables(1)
$61,342
$57,152

(1)Includes brokerage receivablesJanuary 1, 2020 and payables recorded by Citi broker-dealer entities that are accountedno minimum required funding is expected for in accordance with the AICPA Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320.

13.   INVESTMENTS

Overview
The following table presents Citi’s investments by category:
 December 31,
In millions of dollars20172016
Securities available-for-sale (AFS)$290,914
$299,424
Debt securities held-to-maturity (HTM)(1)
53,320
45,667
Non-marketable equity securities carried at fair value(2)
1,206
1,774
Non-marketable equity securities carried at cost(3)
6,850
6,439
Total investments$352,290
$353,304
(1)Carried at adjusted amortized cost basis, net of any credit-related impairment.2020.
(2)(5)Unrealized gains and losses for non-marketable equity securities carried at fair valueThe nonqualified plans of the Company are recognized in earnings.
(3)Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks, and various clearing houses of which Citigroup is a member.unfunded.

The following table presents interest and dividend income on investments:
In millions of dollars201720162015
Taxable interest$7,538
$6,858
$6,433
Interest exempt from U.S. federal income tax535
549
196
Dividend income222
175
388
Total interest and dividend income$8,295
$7,582
$7,017


The following table presents realized gains and losses on the sale of investments, which excludes losses from other-than-temporary impairment (OTTI):
In millions of dollars201720162015
Gross realized investment gains$1,039
$1,460
$1,124
Gross realized investment losses(261)(512)(442)
Net realized gains on sale of investments$778
$948
$682

The Company has sold certain debt securities that were classified as HTM. These sales were in response to significant deterioration in the creditworthiness of the issuers or securities or because the Company has collected a substantial portion (at least 85%) of the principal outstanding at acquisition of the security. In addition, certain other securities were reclassified to AFS investments in response to

significant credit deterioration. Because the Company generally intends to sell these reclassified securities, Citi recorded OTTI on the securities. The following table sets forth, for the periods indicated, the carrying value of HTM securities sold and reclassified to AFS, as well as the related gain (loss) or the OTTI losses recorded on these securities.
In millions of dollars201720162015
Carrying value of HTM securities sold$81
$49
$392
Net realized gain (loss) on sale of HTM securities13
14
10
Carrying value of securities reclassified to AFS74
150
243
OTTI losses on securities reclassified to AFS—
(6)(15)

Securities Available-for-Sale
The amortized cost and fair value of AFS securities were as follows:
 20172016
In millions of dollars
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Debt securities AFS        
Mortgage-backed securities(1)
        
U.S. government-sponsored agency guaranteed$42,116
$125
$500
$41,741
$38,663
$248
$506
$38,405
Prime11
6
—
17
2
—
—
2
Alt-A26
90
—
116
43
7
—
50
Non-U.S. residential2,744
13
6
2,751
3,852
13
7
3,858
Commercial334
—
2
332
357
2
1
358
Total mortgage-backed securities$45,231
$234
$508
$44,957
$42,917
$270
$514
$42,673
U.S. Treasury and federal agency securities        
U.S. Treasury$108,344
$77
$971
$107,450
$113,606
$629
$452
$113,783
Agency obligations10,813
7
124
10,696
9,952
21
85
9,888
Total U.S. Treasury and federal agency securities$119,157
$84
$1,095
$118,146
$123,558
$650
$537
$123,671
State and municipal(2)
$8,870
$140
$245
$8,765
$10,797
$80
$757
$10,120
Foreign government100,615
508
590
100,533
98,112
590
554
98,148
Corporate14,144
51
86
14,109
17,195
105
176
17,124
Asset-backed securities(1)
3,906
14
2
3,918
6,810
6
22
6,794
Other debt securities297
—
—
297
503
—
—
503
Total debt securities AFS$292,220
$1,031
$2,526
$290,725
$299,892
$1,701
$2,560
$299,033
Marketable equity securities AFS$186
$4
$1
$189
$377
$20
$6
$391
Total securities AFS$292,406
$1,035
$2,527
$290,914
$300,269
$1,721
$2,566
$299,424
(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 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 21 to the Consolidated Financial Statements.
(2)
In the second quarter of 2017, Citi early adopted ASU 2017-08. Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of purchase premiums and cumulative fair value hedge adjustments on callable state and municipal debt securities. See Note 1 to the Consolidated Financial Statements.

At December 31, 2017, the amortized cost of approximately 4,600 investments in equity and fixed income securities exceeded their fair value by $2,527 million. Of the $2,527 million, the gross unrealized losses on equity securities were $1 million. Of the remainder, $1,854 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, 99% were rated investment grade; and $672 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, 94% were rated investment grade. Of the $672 million mentioned above, $234 million represent state and municipal securities.

The following table shows the fair value of AFS securities that have beenchange in an unrealized loss position:
AOCI related to the Company’s pension, postretirement and post employment plans:
 Less than 12 months12 months or longerTotal
In millions of dollars
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
December 31, 2017      
Securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$30,994
$438
$2,206
$62
$33,200
$500
Prime—
—
—
—
—
—
Non-U.S. residential753
6
—
—
753
6
Commercial150
1
57
1
207
2
Total mortgage-backed securities$31,897
$445
$2,263
$63
$34,160
$508
U.S. Treasury and federal agency securities      
U.S. Treasury$79,050
$856
$7,404
$115
$86,454
$971
Agency obligations8,857
110
1,163
14
10,020
124
Total U.S. Treasury and federal agency securities$87,907
$966
$8,567
$129
$96,474
$1,095
State and municipal$1,009
$11
$1,155
$234
$2,164
$245
Foreign government53,206
356
9,051
234
62,257
590
Corporate6,737
74
859
12
7,596
86
Asset-backed securities449
1
25
1
474
2
Other debt securities—
—
—
—
—
—
Marketable equity securities AFS11
1
—
—
11
1
Total securities AFS$181,216
$1,854
$21,920
$673
$203,136
$2,527
December 31, 2016 
 
 
 
 
 
Securities AFS 
 
 
 
 
 
Mortgage-backed securities 
 
 
 
 
 
U.S. government-sponsored agency guaranteed$23,534
$436
$2,236
$70
$25,770
$506
Prime1
—
—
—
1
—
Non-U.S. residential486
—
1,276
7
1,762
7
Commercial75
1
58
—
133
1
Total mortgage-backed securities$24,096
$437
$3,570
$77
$27,666
$514
U.S. Treasury and federal agency securities 
 
 
 
 
 
U.S. Treasury$44,342
$445
$1,335
$7
$45,677
$452
Agency obligations6,552
83
250
2
6,802
85
Total U.S. Treasury and federal agency securities$50,894
$528
$1,585
$9
$52,479
$537
State and municipal$1,616
$55
$3,116
$702
$4,732
$757
Foreign government38,226
243
8,973
311
47,199
554
Corporate7,011
129
1,877
47
8,888
176
Asset-backed securities411
—
3,213
22
3,624
22
Other debt securities5
—
—
—
5
—
Marketable equity securities AFS19
2
24
4
43
6
Total securities AFS$122,278
$1,394
$22,358
$1,172
$144,636
$2,566

The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
 December 31,
 20172016
In millions of dollars
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Mortgage-backed securities(1)
    
Due within 1 year$45
$45
$132
$132
After 1 but within 5 years1,306
1,304
736
738
After 5 but within 10 years1,376
1,369
2,279
2,265
After 10 years(2)
42,504
42,239
39,770
39,538
Total$45,231
$44,957
$42,917
$42,673
U.S. Treasury and federal agency securities    
Due within 1 year$4,913
$4,907
$4,945
$4,945
After 1 but within 5 years111,236
110,238
101,369
101,323
After 5 but within 10 years3,008
3,001
17,153
17,314
After 10 years(2)
—
—
91
89
Total$119,157
$118,146
$123,558
$123,671
State and municipal    
Due within 1 year$1,792
$1,792
$2,093
$2,092
After 1 but within 5 years2,579
2,576
2,668
2,662
After 5 but within 10 years514
528
335
334
After 10 years(2)
3,985
3,869
5,701
5,032
Total$8,870
$8,765
$10,797
$10,120
Foreign government    
Due within 1 year$32,130
$32,100
$32,540
$32,547
After 1 but within 5 years53,034
53,165
51,008
50,881
After 5 but within 10 years12,949
12,680
12,388
12,440
After 10 years(2)
2,502
2,588
2,176
2,280
Total$100,615
$100,533
$98,112
$98,148
All other(3)
    
Due within 1 year$3,998
$3,991
$2,629
$2,628
After 1 but within 5 years9,047
9,027
12,339
12,334
After 5 but within 10 years3,415
3,431
6,566
6,528
After 10 years(2)
1,887
1,875
2,974
2,931
Total$18,347
$18,324
$24,508
$24,421
Total debt securities AFS$292,220
$290,725
$299,892
$299,033
(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.


Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as follows:
In millions of dollars
Adjusted amortized
cost basis(1)
Net unrealized gains
(losses)
recognized in
AOCI
Carrying
value(2)
Gross
unrealized
gains
Gross
unrealized
(losses)
Fair
value
December 31, 2017     
Debt securities held-to-maturity      
Mortgage-backed securities(3)
      
U.S. government agency guaranteed$23,854
$26
$23,880
$40
$(157)$23,763
Prime—
—
—
—
—
—
Alt-A206
(65)141
57
—
198
Non-U.S. residential1,887
(46)1,841
65
—
1,906
Commercial237
—
237
—
—
237
Total mortgage-backed securities$26,184
$(85)$26,099
$162
$(157)$26,104
State and municipal (4)
$8,925
$(28)$8,897
$378
$(73)$9,202
Foreign government740
—
740
—
(18)722
Asset-backed securities(3)
17,588
(4)17,584
162
(22)17,724
Total debt securities held-to-maturity$53,437
$(117)$53,320
$702
$(270)$53,752
December 31, 2016  
 
 
 
 
Debt securities held-to-maturity 
 
 
 
 
 
Mortgage-backed securities(3)
 
 
 
 
 
 
U.S. government agency guaranteed$22,462
$33
$22,495
$47
$(186)$22,356
Prime31
(7)24
10
(1)33
Alt-A314
(27)287
69
(1)355
Non-U.S. residential1,871
(47)1,824
49
—
1,873
Commercial14
—
14
—
—
14
Total mortgage-backed securities$24,692
$(48)$24,644
$175
$(188)$24,631
State and municipal$9,025
$(442)$8,583
$129
$(238)$8,474
Foreign government1,339
—
1,339
—
(26)1,313
Asset-backed securities(3)
11,107
(6)11,101
41
(5)11,137
Total debt securities held-to-maturity(5)
$46,163
$(496)$45,667
$345
$(457)$45,555
In millions of dollars201920182017
Beginning of year balance, net of tax(1)(2)
$(6,257)$(6,183)$(5,164)
Actuarial assumptions changes and plan experience(2,300)1,288
(760)
Net asset gain (loss) due to difference between actual and expected returns1,427
(1,732)625
Net amortization274
214
229
Prior service (cost) credit(7)(7)(4)
Curtailment/settlement gain(3)
1
7
17
Foreign exchange impact and other(66)136
(93)
Impact of Tax Reform(4)
—
—
(1,020)
Change in deferred taxes, net119
20
(13)
Change, net of tax$(552)$(74)$(1,019)
End of year balance, net of tax(1)(2)
$(6,809)$(6,257)$(6,183)
(1)
For securities transferredSee Note 19 to HTM from Trading account assets, adjusted amortized cost basis is defined as the fair valueConsolidated Financial Statements for further discussion 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, adjusted amortized cost basis 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.AOCI balance.
(2)HTM securities are carried onIncludes net-of-tax amounts for certain profit-sharing plans outside the U.S.
(3)Curtailment and settlement relate to repositioning and divestiture activities.
(4)
In the fourth quarter of 2017, Citi adopted ASU 2018-02, which transferred these amounts from AOCI to Retained earnings. See Note 1 to the Consolidated Balance Sheet at adjusted amortized cost basis, plus or minus any unamortized unrealized gainsFinancial Statements.

At December 31, 2019 and 2018, the aggregate projected benefit obligation (PBO), the aggregate accumulated benefit obligation (ABO) and the aggregate fair value of plan assets are presented for all defined benefit pension plans with a PBO in excess of plan assets and for all defined benefit pension plans with an ABO in excess of plan assets as follows:
 PBO exceeds fair value of plan assetsABO exceeds fair value of plan assets
 
U.S. plans(1)
Non-U.S. plans
U.S. plans(1)
Non-U.S. plans
In millions of dollars20192018201920182019201820192018
Projected benefit obligation$13,453
$12,655
$4,445
$3,904
$13,453
$12,655
$2,748
$3,718
Accumulated benefit obligation13,447
12,646
4,041
3,528
13,447
12,646
2,435
3,387
Fair value of plan assets12,717
11,490
3,089
2,648
12,717
11,490
1,429
2,478
(1)At December 31, 2019 and losses2018, for both the U.S. qualified plan and fair value hedge adjustments recognizednonqualified plans, the aggregate PBO and the aggregate ABO exceeded plan assets.


Plan Assumptions
The Company utilizes a number of assumptions to determine plan obligations and expenses. Changes in one or a combination of these assumptions will have an impact on the Company’s pension and postretirement PBO, funded status and (benefit) expense. Changes in the plans’ funded status resulting from changes in the PBO and fair value of plan assets will have a corresponding impact on Accumulated other comprehensive income (loss).
The actuarial assumptions at the respective years ended December 31 in the table below are used to measure the year-end PBO and the net periodic (benefit) expense for the subsequent year (period). Since Citi’s Significant Plans are measured on a quarterly basis, the year-end rates for those plans are used to calculate the net periodic (benefit) expense for the subsequent year’s first quarter. 
As a result of the quarterly measurement process, the net periodic (benefit) expense for the Significant Plans is calculated at each respective quarter end based on the preceding quarter-end rates (as shown below for the U.S. and non-U.S. pension and postretirement plans). The actuarial assumptions for All Other Plans are measured annually.
Certain assumptions used in determining pension and postretirement benefit obligations and net benefit expense for the Company’s plans are shown in the following table:
At year end20192018
Discount rate  
U.S. plans  
Qualified pension3.25%4.25%
Nonqualified pension3.254.25
Postretirement3.154.20
Non-U.S. pension plans  
Range(1)
-0.10 to 11.300.25 to 12.00
Weighted average3.654.47
Non-U.S. postretirement plans
 
  
Range0.90 to 9.101.75 to 10.75
Weighted average7.769.05
Future compensation increase rate(2)
 
Non-U.S. pension plans  
Range1.50 to 11.501.30 to 13.67
Weighted average3.173.16
Expected return on assets  
U.S. plans

Qualified pension6.706.70
Postretirement(3)
6.70/3.006.70/3.00
Non-U.S. pension plans  
Range0.00 to 11.501.00 to 11.50
Weighted average3.954.30
Non-U.S. postretirement plans  
Range6.20 to 8.008.00 to 9.20
Weighted average7.998.01

(1)Due to substantial downward movement in AOCI prioryields, there were negative discount rates for plans with relatively short duration in major markets, such as the Eurozone and Switzerland.
(2)Not material for U.S. plans.
(3)In 2019 and 2018, the expected rate of return for the VEBA Trust was 3.00%.

During the year201920182017
Discount rate   
U.S. plans   
Qualified pension4.25%/3.85%/ 3.45%/3.10%3.60%/3.95%/ 4.25%/4.30%4.10%/4.05%/ 3.80%/3.75%
Nonqualified pension4.25/3.90/ 3.50/3.103.60/3.95/ 4.25/4.304.00/3.95/ 3.75/3.65
Postretirement4.20/3.80/ 3.35/3.003.50/3.90/ 4.20/4.203.90/3.85/ 3.60/3.55
Non-U.S. pension plans(1)
  
Range(2)
-0.05 to 12.000.00 to 10.750.25 to 72.50
Weighted average4.474.174.40
Non-U.S. postretirement plans(1)
  
Range1.75 to 10.751.75 to 10.101.75 to 11.05
Weighted average9.058.108.27
Future compensation increase rate(3)
 
Non-U.S. pension plans(1)
  
Range1.30 to 13.671.17 to 13.671.25 to 70.00
Weighted average3.163.083.21
Expected return on assets  
U.S. plans


Qualified pension(4)
6.706.80/6.706.80
Postretirement(4)(5)
6.70/3.006.80/6.70/3.006.80
Non-U.S. pension plans(1)
  
Range1.00 to 11.500.00 to 11.601.00 to 11.50
Weighted average4.304.524.55
Non-U.S. postretirement plans(1)
  
Range8.00 to 9.208.00 to 9.808.00 to 10.30
Weighted average8.018.018.02


(1)Reflects rates utilized to reclassifyingdetermine the securitiesquarterly expense for Significant non-U.S. pension and postretirement plans.
(2)Due to substantial downward movement in yields, there were negative discount rates for plans with relatively short duration in major markets, such as the Eurozone and Switzerland.
(3)Not material for U.S. plans.
(4)The expected rate of return for the U.S. pension and postretirement plans was lowered from AFS6.80% to HTM. Changes6.70% effective in the valuessecond quarter of these securities2018 to reflect a change in target asset allocation.
(5)In 2017, the VEBA Trust was funded with an expected rate of return on assets of 3.00%.


Discount Rate
The discount rates for the U.S. pension and postretirement plans were selected by reference to a Citigroup-specific analysis using each plan’s specific cash flows and compared with high-quality corporate bond indices for reasonableness. The discount rates for the non-U.S. pension and postretirement plans are selected by reference to high-quality corporate bond rates in countries that have developed corporate bond markets. However, where developed corporate bond markets do not exist, the discount rates are selected by reference to local government bond rates with a premium added to reflect the additional risk for corporate bonds in certain countries.
Effective December 31, 2019, the established rounding convention is to the nearest 5 bps for all countries.

Expected Rate of Return
The Company determines its assumptions for the expected rate of return on plan assets for its U.S. pension and postretirement plans using a “building block” approach, which focuses on ranges of anticipated rates of return for each asset class. A weighted average range of nominal rates is then determined based on target allocations to each asset class. Market performance over a number of earlier years is evaluated covering a wide range of economic conditions to determine whether there are sound reasons for projecting any past trends.
The Company considers the expected rate of return to be a long-term assessment of return expectations and does not anticipate changing this assumption unless there are significant changes in investment strategy or economic conditions. This contrasts with the selection of the discount rate and certain other assumptions, which are reconsidered annually (or quarterly for the Significant Plans) in accordance with GAAP.
The expected rate of return for the U.S. pension and postretirement plans was 6.70% at December 31, 2019 and 2018 and 6.80% at December 31, 2017. The expected return on assets reflects the expected annual appreciation of the plan assets and reduces the Company’s annual pension expense. The expected return on assets is deducted from the sum of service cost, interest cost and other components of pension expense to arrive at the net pension (benefit) expense.
The following table shows the expected rates of return used in determining the Company’s pension expense compared to the actual rate of return on plan assets during 2019, 2018 and 2017 for the U.S. pension and postretirement plans:
 U.S. plans201920182017
Expected rate of return


U.S. pension and postretirement trust6.70%6.80%/6.70%6.80%
VEBA trust(1)
3.003.003.00
Actual rate of return(2)



U.S. pension and postretirement trust15.20-3.4010.90
VEBA trust(1)
1.91 to 2.760.43 to 1.41—
(1)In December 2017, the VEBA Trust was funded for postretirement benefits with an expected rate of return on assets of 3.00%.
(2)Actual rates of return are presented net of fees.

For the non-U.S. pension plans, pension expense for 2019 was reduced by the expected return of $281 million, compared with the actual return of $781 million. Pension expense for 2018 and 2017 was reduced by expected returns of $291 million and $299 million, respectively.

Mortality Tables
At December 31, 2019, the Company adopted the Private Retirement Plans (PRI-2012) mortality table and the Mortality Projection 2019 (MP-2019) projection table for the U.S. plans.
 U.S. plans
2019(1)
2018(2)
Mortality
PensionPRI-2012/MP-2019RP-2014/MP-2018
PostretirementPRI-2012/MP-2019RP-2014/MP-2018

(1)The PRI-2012 table is the white-collar PRI-2012 table. The MP-2019 projection scale is projected from 2012, with convergence to 0.75% ultimate rate of annual improvement by 2035.
(2)The RP-2014 table is the white-collar RP-2014 table. The MP-2018 projection scale is projected from 2006, with convergence to 0.75% ultimate rate of annual improvement by 2034.


Sensitivities of Certain Key Assumptions
The following tables summarize the effect on pension expense:
 Discount rate
 One-percentage-point increase
In millions of dollars201920182017
U.S. plans$28
$25
$29
Non-U.S. plans(19)(22)(27)
 One-percentage-point decrease
In millions of dollars201920182017
U.S. plans$(44)$(37)$(44)
Non-U.S. plans32
32
41


The U.S. Qualified Pension Plan was frozen in 2008, and as a result, most service cost has been eliminated. The pension expense for the U.S. Qualified Pension Plan is driven primarily by interest cost rather than by service cost. An increase in the discount rate generally increases pension expense.
For Non-U.S. Pension Plans that are not frozen (in countries such as Mexico, the U.K. and South Korea), there is more service cost. The pension expense for the Non-U.S. Plans is driven by both service cost and interest cost. An increase in the discount rate generally decreases pension expense due to the greater impact on service cost compared to interest cost.
Since the U.S. Qualified Pension Plan was frozen, most of the prospective service cost has been eliminated and the gain/loss amortization period was changed to the life expectancy for inactive participants. As a result, pension expense for the U.S. Qualified Pension Plan is driven more by interest costs than service costs, and an increase in the discount rate would increase pension expense, while a decrease in the discount rate would decrease pension expense.
The following tables summarize the effect on pension expense:
 Expected rate of return
 One-percentage-point increase
In millions of dollars201920182017
U.S. plans$(123)$(126)$(127)
Non-U.S. plans(64)(64)(64)
 One-percentage-point decrease
In millions of dollars201920182017
U.S. plans$123
$126
$127
Non-U.S. plans64
64
64

Health Care Cost Trend Rate
Assumed health care cost trend rates were as follows:
 20192018
Health care cost increase rate for 
  U.S. plans
  
Following year6.75%7.00%
Ultimate rate to which cost increase is
  assumed to decline
5.005.00
Year in which the ultimate rate is
reached		20272027
   
Health care cost increase rate for 
  Non-U.S. plans (weighted average)
  
Following year6.85%6.90%
Ultimate rate to which cost increase is
  assumed to decline
6.856.90
Year in which the ultimate rate
  is reached
20202019


Interest Crediting Rate
The Company has cash balance plans and other plans with promised interest crediting rates. For these plans, the interest crediting rates are set in line with plan rules or country legislation and do not change with market conditions.

 Weighted average interest crediting rate
At year end201920182017
U.S. plans2.25%3.25%2.60%
Non-U.S. plans1.611.681.74




Plan Assets
Citigroup’s pension and postretirement plans’ asset allocations for the U.S. plans and the target allocations by asset category based on asset fair values, are as follows:
 
Target asset
allocation
U.S. pension assets
at December 31,
U.S. postretirement assets
at December 31,
Asset category(1)
20202019201820192018
Equity securities(2)
0–26%17%15%17%15%
Debt securities(3)
35–8258
57
58
57
Real estate0–74
5
4
5
Private equity0–103
3
3
3
Other investments0–3018
20
18
20
Total 100%100%100%100%
(1)Asset allocations for the U.S. plans are set by investment strategy, not reportedby investment product. For example, private equities with an underlying investment in real estate are classified in the financial statements, except forreal estate asset category, not private equity.
(2)Equity securities in the amortization ofU.S. pension and postretirement plans do not include any difference between the carrying valueCitigroup common stock at the transfer dateend of 2019 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.2018.
(3)The Company investsVEBA Trust for postretirement benefits are primarily invested in mortgage-backedcash equivalents and asset-backed securities. These securitizationsdebt securities in 2019 and 2018, respectively, and are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which isnot reflected in the table above. For mortgage-backed and asset-backed securitizations in which

Third-party investment managers and advisors provide their services to Citigroup’s U.S. pension and postretirement plans. Assets are rebalanced as the Company’s Pension Plan Investment Committee deems appropriate. Citigroup’s investment strategy, with respect to its assets, is to maintain a globally diversified investment portfolio across several asset classes that, when combined with Citigroup’s contributions to

the plans, will maintain the plans’ ability to meet all required benefit obligations.
Citigroup’s pension and postretirement plans’ weighted-average asset allocations for the non-U.S. plans and the actual ranges, and the weighted-average target allocations by asset category based on asset fair values, are as follows:
 Non-U.S. pension plans
 
Target asset
allocation
Actual range
at December 31,
Weighted-average
at December 31,
Asset category(1)
20202019201820192018
Equity securities0–100%0–100%0–66%13%13%
Debt securities0–1000–1000–10080
80
Real estate0–150–150–121
1
Other investments0–1000–1000–1006
6
Total


100%100%

(1)Similar to the Company has other involvement, see Note 21U.S. plans, asset allocations for certain non-U.S. plans are set by investment strategy, not by investment product.

 Non-U.S. postretirement plans
 
Target asset
allocation
Actual range
at December 31,
Weighted-average
at December 31,
Asset category(1)
20202019201820192018
Equity securities0–38%0–31%0–35%27%35%
Debt securities56–10066–10062–10071
62
Other investments0–60–30–32
3
Total


100%100%
(1)Similar to the U.S. plans, asset allocations for certain non-U.S. plans are set by investment strategy, not by investment product.




Fair Value Disclosure
For information on fair value measurements, including descriptions of Levels 1, 2 and 3 of the fair value hierarchy and the valuation methodology utilized by the Company, see Notes 1 and 24 to the Consolidated Financial Statements. ASU 2015-07 removed the requirement to categorize within the fair value hierarchy investments for which fair value is measured using the NAV per share practical expedient.
Certain investments may transfer between the fair value hierarchy classifications during the year due to changes in valuation methodology and pricing sources.
Plan assets by detailed asset categories and the fair value hierarchy are as follows:
 
U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2019
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities

$739
$—
$—
$739
Non-U.S. equities

553
—
—
553
Mutual funds and other registered investment companies

280
—
—
280
Commingled funds

—
1,410
—
1,410
Debt securities

1,534
4,046
—
5,580
Annuity contracts—
—
1
1
Derivatives10
245
—
255
Other investments—
—
75
75
Total investments$3,116
$5,701
$76
$8,893
Cash and short-term investments$93
$1,080
$—
$1,173
Other investment liabilities(87)(249)—
(336)
Net investments at fair value$3,122
$6,532
$76
$9,730
Other investment receivables redeemed at NAV   $22
Securities valued at NAV   3,310
Total net assets   $13,062
(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2019, the allocable interests of the U.S. pension and postretirement plans were 98.0% and 2.0%, respectively. The investments of the VEBA Trust for postretirement benefits are reflected in the above table.
 
U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2018
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities

$625
$—
$—
$625
Non-U.S. equities

481
—
—
481
Mutual funds and other registered investment companies


215
—
—
215
Commingled funds—
1,344
—
1,344
Debt securities1,346
3,443
—
4,789
Annuity contracts—
—
1
1
Derivatives16
252
—
268
Other investments—
—
127
127
Total investments$2,683
$5,039
$128
$7,850
Cash and short-term investments$93
$897
$—
$990
Other investment liabilities(100)(254)—
(354)
Net investments at fair value$2,676
$5,682
$128
$8,486
Other investment receivables redeemed at NAV   $80
Securities valued at NAV    3,269
Total net assets   $11,835
(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2018, the allocable interests of the U.S. pension and postretirement plans were 98.0% and 2.0%, respectively. The investments of the VEBA Trust for postretirement benefits are reflected in the above table.

 Non-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2019
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$4
$12
$—
$16
Non-U.S. equities127
262
—
389
Mutual funds and other registered investment companies3,223
63
—
3,286
Commingled funds23
—
—
23
Debt securities4,307
1,615
10
5,932
Real estate—
3
1
4
Annuity contracts—
—
5
5
Derivatives—
1,590
—
1,590
Other investments1
—
274
275
Total investments$7,685
$3,545
$290
$11,520
Cash and short-term investments$86
$3
$—
$89
Other investment liabilities(3)(2,938)—
(2,941)
Net investments at fair value$7,768
$610
$290
$8,668
Securities valued at NAV    $15
Total net assets   $8,683
 Non-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2018
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$4
$9
$—
$13
Non-U.S. equities100
100
—
200
Mutual funds and other registered investment companies

2,887
63
—
2,950
Commingled funds21
—
—
21
Debt securities5,145
1,500
9
6,654
Real estate—
3
1
4
Annuity contracts—
1
10
11
Derivatives—
156
—
156
Other investments1
—
210
211
Total investments$8,158
$1,832
$230
$10,220
Cash and short-term investments$91
$3
$—
$94
Other investment liabilities(1)(2,589)—
(2,590)
Net investments at fair value$8,248
$(754)$230
$7,724
Securities valued at NAV    $11
Total net assets   $7,735




Level 3 Rollforward
The reconciliations of the beginning and ending balances during the year for Level 3 assets are as follows:
In millions of dollarsU.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2018
Realized (losses)Unrealized gainsPurchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2019
Annuity contracts$1
$—
$—
$—
$—
$1
Other investments127
(7)12
(57)—
75
Total investments$128
$(7)$12
$(57)$—
$76

In millions of dollarsU.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2017
Realized (losses)Unrealized (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2018
Annuity contracts$1
$—
$—
$—
$—
$1
Other investments148
(2)(18)(1)—
127
Total investments$149
$(2)$(18)$(1)$—
$128

 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2018
Unrealized gainsPurchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2019
Debt securities$9
$1
$—
$—
$10
Real estate1
—
—
—
1
Annuity contracts10
—
(5)—
5
Other investments210
7
57
—
274
Total investments$230
$8
$52
$—
$290


 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at
Dec. 31, 2017		Unrealized (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3
Ending Level 3 fair value at
Dec. 31, 2018
Non-U.S. equities$1
$—
$—
$(1)$—
Debt securities7
(1)3
—
9
Real estate1
—
—
—
1
Annuity contracts9
(1)1
1
10
Other investments214
(3)(1)—
210
Total investments$232
$(5)$3
$—
$230





Investment Strategy
The Company’s global pension and postretirement funds’ investment strategy is to invest in a prudent manner for the exclusive purpose of providing benefits to participants. The investment strategies are targeted to produce a total return that, when combined with the Company’s contributions to the funds, will maintain the funds’ ability to meet all required benefit obligations. Risk is controlled through diversification of asset types and investments in domestic and international equities, fixed income securities and cash and short-term investments. The target asset allocation in most locations outside the U.S. is primarily in equity and debt securities. These allocations may vary by geographic region and country depending on the nature of applicable obligations and various other regional considerations. The wide variation in the actual range of plan asset allocations for the funded non-U.S. plans is a result of differing local statutory requirements and economic conditions. For example, in certain countries local law requires that all pension plan assets must be invested in fixed income investments, government funds or local-country securities.
Significant Concentrations of Risk in Plan Assets
The assets of the Company’s pension plans are diversified to limit the impact of any individual investment. The U.S. qualified pension plan is diversified across multiple asset classes, with publicly traded fixed income, hedge funds, publicly traded equity and real estate representing the most significant asset allocations. Investments in these four asset classes are further diversified across funds, managers, strategies, vintages, sectors and geographies, depending on the specific characteristics of each asset class. The pension assets for the Company’s non-U.S. Significant Plans are primarily invested in publicly traded fixed income and publicly traded equity securities.

Oversight and Risk Management Practices
The framework for the Company’s pension oversight process includes monitoring of retirement plans by plan fiduciaries and/or management at the global, regional or country level, as appropriate. Independent Risk Management contributes to the risk oversight and monitoring for the Company’s U.S. qualified pension plan and non-U.S. Significant Pension Plans. Although the specific components of the oversight process are tailored to the requirements of each region, country and plan, the following elements are common to the Company’s monitoring and risk management process:
periodic asset/liability management studies and strategic asset allocation reviews;
periodic monitoring of funding levels and funding ratios;
periodic monitoring of compliance with asset allocation guidelines;
periodic monitoring of asset class and/or investment manager performance against benchmarks; and
periodic risk capital analysis and stress testing.

Estimated Future Benefit Payments
The Company expects to pay the following estimated benefit payments in future years:
 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
2020$821
$476
$64
$75
2021840
434
63
80
2022851
464
61
85
2023866
480
59
91
2024873
495
57
97
2025–20294,282
2,651
244
567



Post Employment Plans
The Company sponsors U.S. post employment plans that provide income continuation and health and welfare benefits to certain eligible U.S. employees on long-term disability.
As of December 31, 2019 and 2018, the plans’ funded status recognized in the Company’s Consolidated Balance Sheet was $(38) million and $(32) million, respectively. The pretax amounts recognized in AOCI as of December 31, 2019 and 2018 were $(15) million and $(15) million, respectively.
The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:
 Net expense
In millions of dollars201920182017
Service-related expense 
 
 
Interest cost on benefit obligation$2
$2
$2
Expected return on plan assets(1)(1)—
Amortization of unrecognized:   
   Prior service cost—
(23)(31)
   Net actuarial loss2
2
2
Total service-related (benefit) expense$3
$(20)$(27)
Non-service-related expense (benefit)$6
$2
$30
Total net expense (benefit)$9
$(18)$3


The following table summarizes certain assumptions used in determining the post employment benefit obligations and net benefit expense for the Company’s U.S. post employment plans: 
 20192018
Discount rate2.90%3.95%
Expected return on assets3.003.00
Health care cost increase rate  
Following year6.757.00
Ultimate rate to which cost increase is assumed to decline5.005.00
Year in which the ultimate rate is reached20272027


Defined Contribution Plans
The Company sponsors defined contribution plans in the U.S. and in certain non-U.S. locations, all of which are administered in accordance with local laws. The most significant defined contribution plan is the Citi Retirement Savings Plan (formerly known as the Citigroup 401(k) Plan) sponsored by the Company in the U.S.
Under the Citi Retirement Savings Plan, eligible U.S. employees received matching contributions of up to 6% of their eligible compensation for 2019 and 2018, subject to statutory limits. In addition, for eligible employees whose eligible compensation is $100,000 or less, a fixed contribution of up to 2% of eligible compensation is provided. All Company contributions are invested according to participants’ individual elections. The following tables summarize the Company contributions for the defined contribution plans:
 U.S. plans
In millions of dollars201920182017
Company contributions$404
$396
$383
    
 Non-U.S. plans
In millions of dollars201920182017
Company contributions$281
$283
$270



9. INCOME TAXES

Income Tax Provision
Details of the Company’s income tax provision are presented below:
In millions of dollars201920182017
Current 
 
 
Federal$365
$834
$332
Non-U.S.4,352
4,290
3,910
State323
284
269
Total current income taxes$5,040
$5,408
$4,511
Deferred 
 
 
Federal$(907)$(620)$24,902
Non-U.S.10
371
(377)
State287
198
352
Total deferred income taxes$(610)$(51)$24,877
Provision for income tax on continuing operations before noncontrolling interests(1)
$4,430
$5,357
$29,388
Provision (benefit) for income taxes on discontinued operations(27)(18)7
Income tax expense (benefit) reported in stockholders’ equity related to:  
 
FX translation(11)(263)188
Investment securities648
(346)(149)
Employee stock plans(16)(2)(4)
Cash flow hedges269
(8)(12)
Benefit plans(119)(20)13
FVO DVA(337)302
(250)
Excluded fair value hedges8
(17)—
Retained earnings(2)
46
(305)(295)
Income taxes before noncontrolling interests$4,891
$4,680
$28,886
(1)Includes the tax on realized investment gains and other-than-temporary-impairment losses resulting in a provision (benefit) of $373 million and $(9) million in 2019, $104 million and $(32) million in 2018 and $272 million and $(22) million in 2017, respectively.
(4)(2)
In2019 reflects the second quartertax effect of the accounting change for ASU 2016-02. 2018 reflects the tax effect of the accounting change for ASU 2016-16 and the tax effect of the accounting change for ASU 2018-03, to report the net unrealized gains on former AFS equity securities. 2017 Citi early adoptedreflects the tax effect of the accounting change for ASU 2017-08.Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of purchase premiums and cumulative fair value hedge adjustments that would have been recorded under the ASU on callable state and municipal debt securities. See Note 1 to the Consolidated Financial Statements.
(5)During the fourth quarter of 2016, securities with a total fair value of approximately $5.8 billion were transferred from AFS to HTM, composed of $5 billion of U.S. government agency mortgage-backed securities and $830 million of municipal securities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call, in part, 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. 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 as an adjustment of yield in a manner consistent with the amortization of any premium or discount.


The Company has the positive intent and ability to hold these securities to maturity or, where applicable, the exercise of any issuer call options, absent any unforeseen significant changes in circumstances, including deterioration in credit or changes in regulatory capital requirements.
The net unrealized losses classified in AOCI for HTM securities primarily relate to debt securities previously classified as AFS that were transferred to HTM, and include any cumulative fair

 

Tax Rate
value hedge adjustments. The net unrealized loss amount also includes any non-credit-related changes in fair value of HTM securities that have suffered credit impairment recorded in earnings. The AOCI balance related to HTM securities is amortized as an adjustment of yield, in a manner consistent with the accretion of any difference between the carrying value at the transfer date and par valuereconciliation of the same debt securities.
The table below showsfederal statutory income tax rate to the fair valueCompany’s effective income tax rate applicable to income from continuing operations (before noncontrolling interests and the cumulative effect of debt securities HTM that have been in an unrecognized loss position:accounting changes) for each of the periods indicated is as follows:
 Less than 12 months12 months or longerTotal
In millions of dollarsFair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses
December 31, 2017      
Debt securities held-to-maturity      
Mortgage-backed securities$46
$—
$15,096
$157
$15,142
$157
State and municipal353
5
835
68
1,188
73
Foreign government723
18
—
—
723
18
Asset-backed securities71
3
134
19
205
22
Total debt securities held-to-maturity$1,193
$26
$16,065
$244
$17,258
$270
December 31, 2016      
Debt securities held-to-maturity      
Mortgage-backed securities$17
$—
$17,176
$188
$17,193
$188
State and municipal2,200
58
1,210
180
3,410
238
Foreign government1,313
26
—
—
1,313
26
Asset-backed securities2
—
2,503
5
2,505
5
Total debt securities held-to-maturity$3,532
$84
$20,889
$373
$24,421
$457
Note: Excluded from the gross unrecognized losses presented in the above table are $(117) million and $(496) million of net unrealized losses recorded in AOCI as of December 31, 2017 and December 31, 2016, respectively, primarily related to the difference between the amortized cost and carrying value of HTM securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at December 31, 2017 and December 31, 2016.

The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
 December 31,
 20172016
In millions of dollarsCarrying valueFair valueCarrying valueFair value
Mortgage-backed securities    
Due within 1 year$—
$—
$—
$—
After 1 but within 5 years720
720
760
766
After 5 but within 10 years148
149
54
55
After 10 years(1)
25,231
25,235
23,830
23,810
Total$26,099
$26,104
$24,644
$24,631
State and municipal    
Due within 1 year$407
$425
$406
$406
After 1 but within 5 years259
270
112
110
After 5 but within 10 years512
524
363
367
After 10 years(1)
7,719
7,983
7,702
7,591
Total$8,897
$9,202
$8,583
$8,474
Foreign government    
Due within 1 year$381
$381
$824
$818
After 1 but within 5 years359
341
515
495
After 5 but within 10 years—
—
—
—
After 10 years(1)
—
—
—
—
Total$740
$722
$1,339
$1,313
All other(2)
    
Due within 1 year$—
$—
$—
$—
After 1 but within 5 years—
—
—
—
After 5 but within 10 years1,669
1,680
513
514
After 10 years(1)
15,915
16,044
10,588
10,623
Total$17,584
$17,724
$11,101
$11,137
Total debt securities held-to-maturity$53,320
$53,752
$45,667
$45,555
 201920182017
Federal statutory rate21.0 %21.0 %35.0 %
State income taxes, net of federal benefit1.9
1.8
1.1
Non-U.S. income tax rate differential1.3
5.3
(1.6)
Effect of tax law changes(1)
(0.5)(0.6)99.7
Basis difference in affiliates(0.1)(2.4)(2.1)
Tax advantaged investments(2.3)(2.0)(2.2)
Valuation allowance releases(2)
(3.0)—
—
Other, net0.2
(0.3)(0.8)
Effective income tax rate18.5 %22.8 %129.1 %
(1)Investments with no stated maturities are included as contractual maturities2018 includes one-time Tax Reform benefits of greater than 10 years. Actual maturities may differ due$94 million for amounts that were considered provisional pursuant to call or prepayment rights.SAB 118. 2017 includes the one-time $22,594 million charge for Tax Reform.
(2)Includes corporate and asset-backed securities.See the Deferred Tax Assets section below for a description of the components.
As set forth in the table above, Citi’s effective tax rate for 2019 was 18.5%. The rate is lower than the 22.8% reported in 2018, primarily due to the general basket FTC valuation allowance release.

Deferred Income Taxes
Deferred income taxes at December 31 related to the following:

In millions of dollars20192018
Deferred tax assets 
 
Credit loss deduction$3,809
$3,419
Deferred compensation and employee benefits2,224
1,975
Repositioning and settlement reserves345
428
U.S. tax on non-U.S. earnings1,030
2,080
Investment and loan basis differences2,727
4,891
Tax credit and net operating loss carry-forwards19,711
20,759
Fixed assets and leases2,607
1,006
Other deferred tax assets2,996
2,385
Gross deferred tax assets$35,449
$36,943
Valuation allowance$6,476
$9,258
Deferred tax assets after valuation allowance$28,973
$27,685
Deferred tax liabilities 
 
Intangibles and leases$(2,640)$(1,284)
Debt issuances(201)(530)
Non-U.S. withholding taxes(974)(1,040)
Interest-related items(587)(594)
Other deferred tax liabilities(1,477)(1,334)
Gross deferred tax liabilities$(5,879)$(4,782)
Net deferred tax assets$23,094
$22,903


Evaluating Investments for Other-Than-Temporary Impairment (OTTI)

OverviewUnrecognized Tax Benefits
The Company conducts periodic reviews of all securities with unrealized losses to evaluate whether the impairmentfollowing is other-than-temporary.
An unrealized loss exists when the current fair value of an individual security is less than its adjusted amortized cost basis. Unrealized losses that are determined to be temporary in nature are recorded, net of tax, in AOCI for AFS securities. Losses related to HTM securities generally are not recorded, as these investments are carried at adjusted amortized cost basis. However, for HTM securities with credit-related losses, the credit loss is recognized in earnings as OTTI and any difference between the cost basis adjusted for the OTTI and fair value is recognized in AOCI and amortized as an adjustment of yield over the remaining contractual lifea rollforward of the security.Company’s unrecognized tax benefits:
Regardless of the classification of the securities as AFS or HTM, the Company assesses each position with an unrealized loss for OTTI. Factors considered in determining whether a loss is temporary include:
In millions of dollars201920182017
Total unrecognized tax benefits at January 1$607
$1,013
$1,092
Net amount of increases for current year’s tax positions50
40
43
Gross amount of increases for prior years’ tax positions151
46
324
Gross amount of decreases for prior years’ tax positions(44)(174)(246)
Amounts of decreases relating to settlements(21)(283)(199)
Reductions due to lapse of statutes of limitation(23)(23)(11)
Foreign exchange, acquisitions and dispositions1
(12)10
Total unrecognized tax benefits at December 31$721
$607
$1,013

the length of time and the extent to which fair value has been below cost;
the severity of the impairment;
the cause of the impairment and the financial condition and near-term prospects of the issuer;
activity in the market of the issuer that may indicate adverse credit conditions; and
the Company’s ability and intent to hold the investment for a period of time sufficient to allow for recovery of the amortized cost basis.

The Company’s review for impairment generally entails:

identification and evaluation of impaired investments;
analysis of individual investments that have fair values less than the amortized cost, including consideration of the length of time the investment has been in an unrealized loss position and the expected recovery period;
consideration of evidential matter, including an evaluation of factors or triggers that could cause individual investments to qualify as having other-than-temporary impairment and those that would not support other-than-temporary impairment; and
documentation of the results of these analyses, as required under business policies.


 
The total amounts of unrecognized tax benefits at December 31, 2019, 2018 and 2017 that, if recognized, would affect Citi’s tax expense are $0.6 billion, $0.4 billion and $0.8 billion, respectively. The remaining uncertain tax positions have offsetting amounts in other jurisdictions or are temporary differences.
Interest and penalties (not included in “unrecognized tax benefits” above) are a component of Provision for income taxes. 

 201920182017
In millions of dollarsPretaxNet of taxPretaxNet of taxPretaxNet of tax
Total interest and penalties on the Consolidated Balance Sheet at January 1$103
$85
$121
$101
$260
$164
Total interest and penalties in the Consolidated Statement of Income(4)(4)6
6
5
21
Total interest and penalties on the Consolidated Balance Sheet at December 31(1)
100
82
103
85
121
101
(1)Includes $3 million, $2 million and $3 million for non-U.S. penalties in 2019, 2018 and 2017. Also includes $1 million, $1 million and $3 million for state penalties in 2019, 2018 and 2017.

As of December 31, 2019, Citi was under audit by the Internal Revenue Service and other major taxing jurisdictions around the world. It is thus reasonably possible that significant changes in the gross balance of unrecognized tax benefits may occur within the next 12 months, although Citi does not expect such audits to result in amounts that would cause a significant change to its effective tax rate.
The following are the major tax jurisdictions in which the Company and its affiliates operate and the earliest tax year subject to examination:
JurisdictionTax year
United States2016
Mexico2014
New York State and City2009
United Kingdom2015
India2016
Singapore2011
Hong Kong2013
Ireland2015


Non-U.S. Earnings
Non-U.S. pretax earnings approximated $16.7 billion in 2019, $16.1 billion in 2018 and $13.7 billion in 2017. As a U.S. corporation, Citigroup and its U.S. subsidiaries are currently subject to U.S. taxation on all non-U.S. pretax earnings of non-U.S. branches. Beginning in 2018, there is a separate foreign tax credit (FTC) basket for branches. Also, dividends from a non-U.S. subsidiary or affiliate are effectively exempt from U.S. taxation. The Company provides income taxes on the book over tax basis differences of non-U.S. subsidiaries except to the extent that such differences are indefinitely reinvested outside the U.S.
At December 31, 2019, $10.9 billion of basis differences of non-U.S. entities was indefinitely invested compared to $15.5 billion at December 31, 2018. At the existing tax rates, additional taxes (net of U.S. FTCs) of $4.1 billion would have to be provided if such assertions were reversed. The decrease of $4.6 billion in basis differences from the prior year end was primarily due to a tax election to treat a contiguous country affiliate as a branch rather than a subsidiary.
Income taxes are not provided for the Company’s “savings bank base year bad debt reserves” that arose before 1988, because under current U.S. tax rules, such taxes will become payable only to the extent that such amounts are distributed in excess of limits prescribed by federal law. At December 31, 2019, the amount of the base year reserves

totaled approximately $358 million (subject to a tax of $75 million).

Debt Securities

•
Debt securities classified as “held-to-maturity” are securities that the Company has both the ability and the intent to hold until maturity and are carried at amortized cost. Interest income on such securities is included in Interest revenue.
Debt securities classified as “available-for-sale” are carried at fair value with changes in fair value reported

in Accumulated other comprehensive income (loss), a component of stockholders’ equity, net of applicable income taxes and hedges. Interest income on such securities is included in Interest revenue.

Equity Securities

Marketable equity securities are measured at fair value with changes in fair value recognized in earnings.
Non-marketable equity securities are measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost. Non-marketable equity securities under the measurement alternative are carried at cost plus or minus changes resulting from observed prices for orderly transactions for the identical or a similar investment of the same issuer.
Certain investments that would otherwise have been accounted for using the equity method are carried at fair value with changes in fair value recognized in earnings, since the Company elected to apply fair value accounting.

For investments in debt securities classified as HTM or AFS, the accrual of interest income is suspended for investments that are in default or for which it is likely that future interest payments will not be made as scheduled.
Debt securities not measured at fair value through earnings, such as securities held in HTM or AFS, and equity securities under the measurement alternative, are subject to evaluation for impairment as described in Note 13 to the Consolidated Financial Statements. Realized gains and losses on sales of investments are included in earnings, primarily on a specific identification basis.
The Company uses a number of valuation techniques for investments carried at fair value, which are described in Note 24 to the Consolidated Financial Statements.

Trading Account Assets and Liabilities
Trading account assets include debt and marketable equity securities, derivatives in a receivable position, residual interests in securitizations and physical commodities inventory. In addition, as described in Note 25 to the Consolidated Financial Statements, certain assets that Citigroup has elected to carry at fair value under the fair value option, such as loans and purchased guarantees, are also included in Trading account assets.
Trading account liabilities include securities sold, not yet purchased (short positions) and derivatives in a net payable position, as well as certain liabilities that Citigroup has elected to carry at fair value (as described in Note 25 to the Consolidated Financial Statements).
Other than physical commodities inventory, all trading account assets and liabilities are carried at fair value. Revenues generated from trading assets and trading liabilities are generally reported in Principal transactions and include realized gains and losses as well as unrealized
gains and losses resulting from changes in the fair value of such instruments. Interest income on trading assets is recorded in Interest revenue reduced by interest expense on trading liabilities.
Physical commodities inventory is carried at the lower of cost or market with related losses reported in Principal transactions. Realized gains and losses on sales of commodities inventory are included in Principal transactions. Investments in unallocated precious metals accounts (gold, silver, platinum and palladium) are accounted for as hybrid instruments containing a debt host contract and an embedded non-financial derivative instrument indexed to the price of the relevant precious metal. The embedded derivative instrument is separated from the debt host contract and accounted for at fair value. The debt host contract is carried at fair value under the fair value option, as described in Note 25 to the Consolidated Financial Statements.
Derivatives used for trading purposes include interest rate, currency, equity, credit and commodity swap agreements, options, caps and floors, warrants, and financial and commodity futures and forward contracts. Derivative asset and liability positions are presented net by counterparty on the Consolidated Balance Sheet when a valid master netting agreement exists and the other conditions set out in ASC Topic 210-20, Balance Sheet—Offsetting, are met. See Note 22 to the Consolidated Financial Statements.
The Company uses a number of techniques to determine the fair value of trading assets and liabilities, which are described in Note 24 to the Consolidated Financial Statements.

Securities Borrowed and Securities Loaned
Securities borrowing and lending transactions do not constitute a sale of the underlying securities for accounting purposes and are treated as collateralized financing transactions. Such transactions are recorded at the amount of proceeds advanced or received plus accrued interest. As described in Note 25 to the Consolidated Financial Statements, the Company has elected to apply fair value accounting to a number of securities borrowing and lending transactions. Fees paid or received for all securities lending and borrowing transactions are recorded in Interest expense or Interest revenue at the contractually specified rate.
The Company monitors the fair value of securities borrowed or loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
As described in Note 24 to the Consolidated Financial Statements, the Company uses a discounted cash flow technique to determine the fair value of securities lending and borrowing transactions.

Repurchase and Resale Agreements
Securities sold under agreements to repurchase (repos) and securities purchased under agreements to resell (reverse repos) do not constitute a sale (or purchase) of the underlying securities for accounting purposes and are treated as collateralized financing transactions. As described in Note

25 to the Consolidated Financial Statements, the Company has elected to apply fair value accounting to certain of such transactions, with changes in fair value reported in earnings. Any transactions for which fair value accounting has not been elected are recorded at the amount of cash advanced or received plus accrued interest. Irrespective of whether the Company has elected fair value accounting, interest paid or received on all repo and reverse repo transactions is recorded in Interest expense or Interest revenue at the contractually specified rate.
Where the conditions of ASC 210-20-45-11, Balance Sheet—Offsetting: Repurchase and Reverse Repurchase Agreements, are met, repos and reverse repos are presented net on the Consolidated Balance Sheet.
The Company’s policy is to take possession of securities purchased under reverse repurchase agreements. The Company monitors the fair value of securities subject to repurchase or resale on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
As described in Note 24 to the Consolidated Financial Statements, the Company uses a discounted cash flow technique to determine the fair value of repo and reverse repo transactions.

Loans
Loans are reported at their outstanding principal balances net of any unearned income and unamortized deferred fees and costs, except for credit card receivable balances, which include accrued interest and fees. Loan origination fees and certain direct origination costs are generally deferred and recognized as adjustments to income over the lives of the related loans.
As described in Note 25 to the Consolidated Financial Statements, Citi has elected fair value accounting for certain loans. Such loans are carried at fair value with changes in fair value reported in earnings. Interest income on such loans is recorded in Interest revenue at the contractually specified rate.
Loans that are held-for-investment are classified as Loans, net of unearned income on the Consolidated Balance Sheet, and the related cash flows are included within the cash flows from investing activities category in the Consolidated Statement of Cash Flows on the line Change in loans. However, when the initial intent for holding a loan has changed from held-for-investment to held-for-sale (HFS), the loan is reclassified to HFS, but the related cash flows continue to be reported in cash flows from investing activities in the Consolidated Statement of Cash Flows on the line Proceeds from sales and securitizations of loans.

Consumer Loans
Consumer loans represent loans and leases managed primarily by the Global Consumer Banking (GCB) businesses and Corporate/Other.

Consumer Non-accrual and Re-aging Policies
As a general rule, interest accrual ceases for installment and real estate (both open- and closed-end) loans when payments
are 90 days contractually past due. For credit cards and other unsecured revolving loans, however, Citi generally accrues interest until payments are 180 days past due. As a result of OCC guidance, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is 90 days or more past due. Also as a result of OCC guidance, mortgage loans in regulated bank entities are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy, other than Federal Housing Administration (FHA)-insured loans.
Loans that have been modified to grant a concession to a borrower in financial difficulty may not be accruing interest at the time of the modification. The policy for returning such modified loans to accrual status varies by product and/or region. In most cases, a minimum number of payments (ranging from 1 to 6) is required, while in other cases the loan is never returned to accrual status. For regulated bank entities, such modified loans are returned to accrual status if a credit evaluation at the time of, or subsequent to, the modification indicates the borrower is able to meet the restructured terms, and the borrower is current and has demonstrated a reasonable period of sustained payment performance (minimum six months of consecutive payments).
For U.S. consumer loans, generally one of the conditions to qualify for modification is that a minimum number of payments (typically ranging from 1 to 3) must be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open-ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for the loan to be re-aged to current status is that at least 3 consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, FHA and Department of Veterans Affairs (VA) loans may only be modified under those respective agencies’ guidelines, and payments are not always required in order to re-age a modified loan to current.

Consumer Charge-Off Policies
Citi’s charge-off policies follow the general guidelines below:

Unsecured installment loans are charged off at 120 days contractually past due.
Unsecured revolving loans and credit card loans are charged off at 180 days contractually past due.
Loans secured with non-real estate collateral are written down to the estimated value of the collateral, less costs to sell, at 120 days contractually past due.
Real estate-secured loans are written down to the estimated value of the property, less costs to sell, at 180 days contractually past due.

•
Real estate-secured loans arecharged off no later than 180 days contractually past due if a decision has been made not to foreclose on the loans.
Unsecured loans in bankruptcy are charged off within 60 days of notification of filing by the bankruptcy court or in accordance with Citi’s charge-off policy, whichever occurs earlier.
Real estate-secured loans in bankruptcy, other than FHA-insured loans, are written down to the estimated value of the property, less costs to sell, within 60 days of notification that the borrower has filed for bankruptcy or in accordance with Citi’s charge-off policy, whichever is earlier.
Commercial banking loans are written down to the extent that principal is judged to be uncollectable.

Corporate Loans
Corporate loans represent loans and leases managed by Institutional Clients Group (ICG). Corporate loans are identified as impaired and placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired corporate loans and leases is reversed at 90 days past due and charged against current earnings, and interest is thereafter included in earnings only to the extent actually received in cash. When there is doubt regarding the ultimate collectability of principal, all cash receipts are thereafter applied to reduce the recorded investment in the loan.
Impaired corporate loans and leases are written down to the extent that principal is deemed to be uncollectable. Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral and there are no other available and reliable sources of repayment, are written down to the lower of carrying value or collateral value. Cash-basis loans are returned to accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance in accordance with the contractual terms.

Loans Held-for-Sale
Corporate and consumer loans that have been identified for sale are classified as loans HFS and included in Other assets. The practice of Citi’s U.S. prime mortgage business has been to sell substantially all of its conforming loans. As such, U.S. prime mortgage conforming loans are classified as HFS and the fair value option is elected at origination, with changes in fair value recorded in Other revenue. With the exception of those loans for which the fair value option has been elected, HFS loans are accounted for at the lower of cost or market value, with any write-downs or subsequent recoveries charged to Other revenue. The related cash flows are classified in the Consolidated Statement of Cash Flows in the cash flows from operating activities category on the line Change in loans held-for-sale.
Allowance for Loan Losses
Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, including probable losses related to large individually evaluated impaired loans and troubled debt restructurings. Attribution of the allowance is made for analytical purposes only, and the entire allowance is available to absorb probable loan losses inherent in the overall portfolio. Additions to the allowance are made through the Provision for loan losses. Loan losses are deducted from the allowance and subsequent recoveries are added. Assets received in exchange for loan claims in a restructuring are initially recorded at fair value, with any gain or loss reflected as a recovery or charge-off in the provision.

Consumer Loans
For consumer loans, each portfolio of non-modified smaller-balance homogeneous loans is independently evaluated for impairment by product type (e.g., residential mortgage, credit card, etc.) in accordance with ASC 450, Contingencies. The allowance for loan losses attributed to these loans is established via a process that estimates the probable losses inherent in the specific portfolio. This process includes migration analysis, in which historical delinquency and credit loss experience is applied to the current aging of the portfolio, together with analyses that reflect current and anticipated economic conditions, including changes in housing prices and unemployment trends. Citi’s allowance for loan losses under ASC 450 only considers contractual principal amounts due, except for credit card loans, where estimated loss amounts related to accrued interest receivable are also included.
Management also considers overall portfolio indicators, including historical credit losses; delinquent, non-performing and classified loans; trends in volumes and terms of loans; an evaluation of overall credit quality; the credit process, including lending policies and procedures; and economic, geographical, product and other environmental factors.
Separate valuation allowances are determined for impaired smaller-balance homogeneous loans whose terms have been modified in a troubled debt restructuring (TDR). Long-term modification programs, and short-term (less than 12 months) modifications that provide concessions (such as interest rate reductions) to borrowers in financial difficulty, are reported as TDRs. In addition, loan modifications that involve a trial period are reported as TDRs at the start of the trial period. The allowance for loan losses for TDRs is determined in accordance with ASC 310-10-35, Receivables—Subsequent Measurement, considering all available evidence, including, as appropriate, the present value of the expected future cash flows discounted at the loan’s original contractual effective rate, the secondary market value of the loan and the fair value of collateral less disposal costs. These expected cash flows incorporate modification program default rate assumptions. The original contractual effective rate for credit card loans is the pre-modification rate, which may include interest rate increases under the original contractual agreement with the borrower.


Corporate Loans
In the corporate portfolios, the Allowance for loan losses includes an asset-specific component and a statistically based component. The asset-specific component is calculated under ASC 310-10-35 for larger-balance, non-homogeneous loans that are considered impaired. An asset-specific allowance is established when the discounted cash flows, collateral value (less disposal costs) or observable market price of the impaired loan are lower than its carrying value. This allowance considers the borrower’s overall financial condition, resources and payment record, the prospects for support from any financially responsible guarantors (discussed further below) and, if appropriate, the realizable value of any collateral. The asset-specific component of the allowance for smaller-balance impaired loans is calculated on a pool basis considering historical loss experience.
The allowance for the remainder of the loan portfolio is determined under ASC 450 using a statistical methodology, supplemented by management judgment. The statistical analysis considers the portfolio’s size, remaining tenor and credit quality as measured by internal risk ratings assigned to individual credit facilities, which reflect probability of default and loss given default. The statistical analysis considers historical default rates and historical loss severity in the event of default, including historical average levels and historical variability. The result is an estimated range for inherent losses. The best estimate within the range is then determined by management’s quantitative and qualitative assessment of current conditions, including general economic conditions, specific industry and geographic trends and internal factors including portfolio concentrations, trends in internal credit quality indicators and current and past underwriting standards.
For both the asset-specific and the statistically based components of the Allowance for loan losses, management may incorporate guarantor support. The financial wherewithal of the guarantor is evaluated, as applicable, based on net worth, cash flow statements and personal or company financial statements, which are updated and reviewed at least annually. Citi seeks performance on guarantee arrangements in the normal course of business. Seeking performance entails obtaining satisfactory cooperation from the guarantor or borrower in the specific situation. This regular cooperation is indicative of pursuit and successful enforcement of the guarantee; the exposure is reduced without the expense and burden of pursuing a legal remedy. A guarantor’s reputation and willingness to work with Citigroup are evaluated based on the historical experience with the guarantor and knowledge of the marketplace. In the rare event that the guarantor is unwilling or unable to perform or facilitate borrower cooperation, Citi pursues a legal remedy; however, enforcing a guarantee via legal action against the guarantor is not the primary means of resolving a troubled loan situation and rarely occurs. If Citi does not pursue a legal remedy, it is because Citi does not believe that the guarantor has the financial wherewithal to perform regardless of legal action or because there are legal limitations on simultaneously pursuing guarantors and
foreclosure. A guarantor’s reputation does not impact Citi’s decision or ability to seek performance under the guarantee.
In cases where a guarantee is a factor in the assessment of loan losses, it is included via adjustment to the loan’s internal risk rating, which in turn is the basis for the adjustment to the statistically based component of the Allowance for loan losses. To date, it is only in rare circumstances that an impaired commercial loan or commercial real estate loan is carried at a value in excess of the appraised value due to a guarantee.
When Citi’s monitoring of the loan indicates that the guarantor’s wherewithal to pay is uncertain or has deteriorated, there is either no change in the risk rating, because the guarantor’s credit support was never initially factored in, or the risk rating is adjusted to reflect that uncertainty or deterioration. Accordingly, a guarantor’s ultimate failure to perform or a lack of legal enforcement of the guarantee does not materially impact the allowance for loan losses, as there is typically no further significant adjustment of the loan’s risk rating at that time. Where Citi is not seeking performance under the guarantee contract, it provides for loan losses as if the loans were non-performing and not guaranteed.

Reserve Estimates and Policies
Management provides reserves for an estimate of probable losses inherent in the funded loan portfolio on the Consolidated Balance Sheet in the form of an allowance for loan losses. These reserves are established in accordance with Citigroup’s credit reserve policies, as approved by the Audit Committee of the Citigroup Board of Directors. Citi’s Chief Risk Officer and Chief Financial Officer review the adequacy of the credit loss reserves each quarter with representatives from the risk management and finance staffs for each applicable business area. Applicable business areas include those having classifiably managed portfolios, where internal credit-risk ratings are assigned (primarily ICG and GCB) or modified consumer loans, where concessions were granted due to the borrowers’ financial difficulties.
The aforementioned representatives for these business areas present recommended reserve balances for their funded and unfunded lending portfolios along with supporting quantitative and qualitative data discussed below:

Estimated probable losses for non-performing, non-homogeneous exposures within a business line’s classifiably managed portfolio and impaired smaller-balance homogeneous loans whose terms have been modified due to the borrowers’ financial difficulties, where it was determined that a concession was granted to the borrower. Consideration may be given to the following, as appropriate, when determining this estimate: (i) the present value of expected future cash flows discounted at the loan’s original effective rate, (ii) the borrower’s overall financial condition, resources and payment record and (iii) the prospects for support from financially responsible guarantors or the realizable value of any collateral. In the determination of the allowance for loan losses for TDRs, management considers a combination of historical re-default rates, the current

economic environment and the nature of the modification program when forecasting expected cash flows. When impairment is measured based on the present value of expected future cash flows, the entire change in present value is recorded in Provision for loan losses.

Statistically calculated losses inherent in the classifiably managed portfolio for performing and de minimis non-performing exposures. The calculation is based on (i) Citi’s internal system of credit-risk ratings, which are analogous to the risk ratings of the major rating agencies, and (ii) historical default and loss data, including rating agency information regarding default rates from 1983 to 2017 and internal data dating to the early 1970s on severity of losses in the event of default. Adjustments may be made to this data. Such adjustments include (i) statistically calculated estimates to cover the historical fluctuation of the default rates over the credit cycle, the historical variability of loss severity among defaulted loans and the degree to which there are large obligor concentrations in the global portfolio and (ii) adjustments made for specific known items, such as current environmental factors and credit trends.
In addition, representatives from each of the risk management and finance staffs who cover business areas with delinquency-managed portfolios containing smaller-balance homogeneous loans present their recommended reserve balances based on leading credit indicators, including loan delinquencies and changes in portfolio size as well as economic trends, including current and future housing prices, unemployment, length of time in foreclosure, costs to sell and GDP. This methodology is applied separately for each individual product within each geographic region in which these portfolios exist.
This evaluation process is subject to numerous estimates and judgments. The frequency of default, risk ratings, loss recovery rates, the size and diversity of individual large credits and the ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account during this review. Changes in these estimates could have a direct impact on the credit costs in any period and could result in a change in the allowance.

Allowance for Unfunded Lending Commitments
A similar approach to the allowance for loan losses is used for calculating a reserve for the expected losses related to unfunded lending commitments and standby letters of credit. This reserve is classified on the Consolidated Balance Sheet in Other liabilities. Changes to the allowance for unfunded lending commitments are recorded in Provision for unfunded lending commitments.

Mortgage Servicing Rights (MSRs)
Mortgage servicing rights (MSRs) are recognized as intangible assets when purchased or when the Company sells or securitizes loans acquired through purchase or origination and retains the right to service the loans. Mortgage servicing rights are accounted for at fair value, with changes in value recorded in Other revenue in the Company’s Consolidated Statement of Income.
For additional information on the Company’s MSRs, see Notes 16 and 21 to the Consolidated Financial Statements.

Goodwill
Goodwill represents the excess of acquisition cost over the fair value of net tangible and intangible assets acquired in a business combination. Goodwill is subject to annual impairment testing and interim assessments between annual tests if an event occurs or circumstances change that would more-likely-than-not reduce the fair value of a reporting unit below its carrying amount.
Under ASC Topic 350, Intangibles—Goodwill and Other,the Company has an option to assess qualitative factors to determine if it is necessary to perform the goodwill impairment test. If, after assessing the totality of events or circumstances, the Company determines that it is not more-likely-than-not that the fair value of a reporting unit is less than its carrying amount, no further testing is necessary. If, however, the Company determines that it is more-likely-than-not that the fair value of a reporting unit is less than its carrying amount, then the Company must perform the first step of the two-step goodwill impairment test.
The Company has an unconditional option to bypass the qualitative assessment for any reporting unit in any reporting period and proceed directly to the first step of the goodwill impairment test.
The first step requires a comparison of the fair value of the individual reporting unit to its carrying value, including goodwill. If the fair value of the reporting unit is in excess of the carrying value, the related goodwill is considered not impaired and no further analysis is necessary. If the carrying value of the reporting unit exceeds the fair value, this is an indication of potential impairment and the second step of testing is performed to measure the amount of impairment, if any, for that reporting unit.
If required, the second step involves calculating the implied fair value of goodwill for each of the affected reporting units. The implied fair value of goodwill is determined in the same manner as the amount of goodwill recognized in a business combination, which is the excess of the fair value of the reporting unit determined in step one over the fair value of the net assets and identifiable intangibles as if the reporting unit were being acquired. If the amount of the goodwill allocated to the reporting unit exceeds the implied fair value of the goodwill in the pro forma purchase price allocation, an impairment charge is recorded for the excess. A recognized impairment charge cannot exceed the amount of goodwill allocated to a reporting unit and cannot subsequently be reversed even if the fair value of the reporting unit recovers.

Upon any business disposition, goodwill is allocated to, and derecognized with, the disposed business based on the ratio of the fair value of the disposed business to the fair value of the reporting unit.
Additional information on Citi’s goodwill impairment testing can be found in Note 16 to the Consolidated Financial Statements.

Intangible Assets
Intangible assets—including core deposit intangibles, present value of future profits, purchased credit card relationships, credit card contract related intangibles, other customer relationships and other intangible assets, but excluding MSRs—are amortized over their estimated useful lives. Intangible assets that are deemed to have indefinite useful lives, primarily trade names, are not amortized and are subject to annual impairment tests. An impairment exists if the carrying value of the indefinite-lived intangible asset exceeds its fair value. For other intangible assets subject to amortization, an impairment is recognized if the carrying amount is not recoverable and exceeds the fair value of the intangible asset.

Other Assets and Other Liabilities
Other assets include, among other items, loans HFS, deferred tax assets, equity method investments, interest and fees receivable, lease right-of-use assets, premises and equipment (including purchased and developed software), repossessed assets and other receivables. Other liabilities include, among other items, accrued expenses and other payables, lease liabilities, deferred tax liabilities and reserves for legal claims, taxes, unfunded lending commitments, repositioning reserves and other matters.

Other Real Estate Owned and Repossessed Assets
Real estate or other assets received through foreclosure or repossession are generally reported in Other assets, net of a valuation allowance for selling costs and subsequent declines in fair value.

Securitizations
There are two key accounting determinations that must be made relating to securitizations. Citi first makes a determination as to whether the securitization entity must be consolidated. Second, it determines whether the transfer of financial assets to the entity is considered a sale under GAAP. If the securitization entity is a VIE, the Company consolidates the VIE if it is the primary beneficiary (as discussed in “Variable Interest Entities” above). For all other securitization entities determined not to be VIEs in which Citigroup participates, consolidation is based on which party has voting control of the entity, giving consideration to removal and liquidation rights in certain partnership structures. Only securitization entities controlled by Citigroup are consolidated.
Interests in the securitized and sold assets may be retained in the form of subordinated or senior interest-only strips, subordinated tranches, spread accounts and servicing rights. In credit card securitizations, the Company retains a
seller’s interest in the credit card receivables transferred to the trusts, which is not in securitized form. In the case of consolidated securitization entities, including the credit card trusts, these retained interests are not reported on Citi’s Consolidated Balance Sheet. The securitized loans remain on
the balance sheet. Substantially all of the consumer loans sold or securitized through non-consolidated trusts by Citigroup are U.S. prime residential mortgage loans. Retained interests in non-consolidated mortgage securitization trusts are classified as Trading account assets, except for MSRs, which are included in Intangible assets on Citigroup’s Consolidated Balance Sheet.

Debt
Short-term borrowings and Long-term debt are accounted for at amortized cost, except where the Company has elected to report the debt instruments, including certain structured notes at fair value, or the debt is in a fair value hedging relationship.

Transfers of Financial Assets
For a transfer of financial assets to be considered a sale: (i) the assets must be legally isolated from the Company, even in bankruptcy or other receivership, (ii) the purchaser must have the right to pledge or sell the assets transferred (or, if the purchaser is an entity whose sole purpose is to engage in securitization and asset-backed financing activities through the issuance of beneficial interests and that entity is constrained from pledging the assets it receives, each beneficial interest holder must have the right to sell or pledge their beneficial interests) and (iii) the Company may not have an option or obligation to reacquire the assets.
If these sale requirements are met, the assets are removed from the Company’s Consolidated Balance Sheet. If the conditions for sale are not met, the transfer is considered to be a secured borrowing, the assets remain on the Consolidated Balance Sheet and the sale proceeds are recognized as the Company’s liability. A legal opinion on a sale generally is obtained for complex transactions or where the Company has continuing involvement with assets transferred or with the securitization entity. For a transfer to be eligible for sale accounting, that opinion must state that the asset transfer would be considered a sale and that the assets transferred would not be consolidated with the Company’s other assets in the event of the Company’s insolvency.
For a transfer of a portion of a financial asset to be considered a sale, the portion transferred must meet the definition of a participating interest. A participating interest must represent a pro rata ownership in an entire financial asset; all cash flows must be divided proportionately, with the same priority of payment; no participating interest in the transferred asset may be subordinated to the interest of another participating interest holder; and no party may have the right to pledge or exchange the entire financial asset unless all participating interest holders agree. Otherwise, the transfer is accounted for as a secured borrowing.
See Note 21 to the Consolidated Financial Statements for further discussion.

Risk Management Activities—Derivatives Used for Hedging Purposes
The Company manages its exposures to market movements outside of its trading activities by modifying the asset and liability mix, either directly or through the use of derivative financial products, including interest rate swaps, futures, forwards and purchased options, as well as foreign-exchange contracts. These end-user derivatives are carried at fair value in Trading account assets and Trading account liabilities.
See Note 22 to the Consolidated Financial Statements for a further discussion of the Company’s hedging and derivative activities.

Instrument-specific Credit Risk
Citi presents separately in AOCI the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk, when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. Accordingly, the change in fair value of liabilities for which the fair value option was elected, related to changes in Citigroup’s own credit spreads, is presented in AOCI.

Employee Benefits Expense
Employee benefits expense includes current service costs of pension and other postretirement benefit plans (which are accrued on a current basis), contributions and unrestricted awards under other employee plans, the amortization of restricted stock awards and costs of other employee benefits.
For its most significant pension and postretirement benefit plans (Significant Plans), Citigroup measures and discloses plan obligations, plan assets and periodic plan expense quarterly, instead of annually. The effect of remeasuring the Significant Plan obligations and assets by updating plan actuarial assumptions on a quarterly basis is reflected in Accumulated other comprehensive income (loss) and periodic plan expense. All other plans (All Other Plans) are remeasured annually. See Note 8 to the Consolidated Financial Statements.

Stock-Based Compensation
The Company recognizes compensation expense related to stock and option awards over the requisite service period, generally based on the instruments’ grant-date fair value, reduced by actual forfeitures as they occur. Compensation cost related to awards granted to employees who meet certain age plus years-of-service requirements (retirement-eligible employees) is accrued in the year prior to the grant date, in the same manner as the accrual for cash incentive compensation. Certain stock awards with performance conditions or certain clawback provisions are subject to variable accounting, pursuant to which the associated compensation expense fluctuates with changes in Citigroup’s common stock price. See Note 7 to the Consolidated Financial Statements.

Income Taxes
The Company is subject to the income tax laws of the U.S. and its states and municipalities, as well as the non-U.S. jurisdictions in which it operates. These tax laws are complex and may be subject to different interpretations by the taxpayer and the relevant governmental taxing authorities. In establishing a provision for income tax expense, the Company must make judgments and interpretations about these tax laws. The Company must also make estimates about when in the future certain items will affect taxable income in the various tax jurisdictions, both domestic and foreign.
Disputes over interpretations of the tax laws may be subject to review and adjudication by the court systems of the various tax jurisdictions, or may be settled with the taxing authority upon examination or audit. The Company treats interest and penalties on income taxes as a component of Income tax expense.
Deferred taxes are recorded for the future consequences of events that have been recognized in financial statements or tax returns, based upon enacted tax laws and rates. Deferred tax assets are recognized subject to management’s judgment about whether realization is more-likely-than-not. ASC 740, Income Taxes, sets out a consistent framework to determine the appropriate level of tax reserves to maintain for uncertain tax positions. This interpretation uses a two-step approach wherein a tax benefit is recognized if a position is more-likely-than-not to be sustained. The amount of the benefit is then measured to be the highest tax benefit that is more than 50% likely to be realized. ASC 740 also sets out disclosure requirements to enhance transparency of an entity’s tax reserves.
See Note 9 to the Consolidated Financial Statements for a further description of the Company’s tax provision and related income tax assets and liabilities.

Commissions, Underwriting and Principal Transactions
Commissions and fees revenues are recognized in income when earned. Underwriting revenues are recognized in income typically at the closing of the transaction. Principal transactions revenues are recognized in income on a trade-date basis. See Note 5 to the Consolidated Financial Statements for a description of the Company’s revenue recognition policies for Commissions and fees, and Note 6 to the Consolidated Financial Statements for details of Principal transactions revenue.

Earnings per Share
Earnings per share (EPS) is computed after deducting preferred stock dividends. The Company has granted restricted and deferred share awards with dividend rights that are considered to be participating securities, which are akin to a second class of common stock. Accordingly, a portion of Citigroup’s earnings is allocated to those participating securities in the EPS calculation.
Basic earnings per share is computed by dividing income available to common stockholders after the allocation of dividends and undistributed earnings to the participating securities by the weighted average number of

common shares outstanding for the period. Diluted earnings per share reflects the potential dilution that could occur if securities or other contracts to issue common stock were exercised. It is computed after giving consideration to the weighted average dilutive effect of the Company’s stock options and warrants and convertible securities and after the allocation of earnings to the participating securities. Anti-dilutive options and warrants are disregarded in the EPS calculations.

Use of Estimates
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related Notes to the Consolidated Financial Statements. Such estimates are used in connection with certain fair value measurements. See Note 24 to the Consolidated Financial Statements for further discussions on estimates used in the determination of fair value. Moreover, estimates are significant in determining the amounts of other-than-temporary impairments, impairments of goodwill and other intangible assets, provisions for probable losses that may arise from credit-related exposures and probable and estimable losses related to litigation and regulatory proceedings, and income taxes. While management makes its best judgment, actual amounts or results could differ from those estimates.

Cash Flows
Cash equivalents are defined as those amounts included in Cash and due from banks and predominately all of Deposits with banks. Cash flows from risk management activities are classified in the same category as the related assets and liabilities.

Related Party Transactions
The Company has related party transactions with certain of its subsidiaries and affiliates. These transactions, which are primarily short-term in nature, include cash accounts, collateralized financing transactions, margin accounts, derivative transactions, charges for operational support and the borrowing and lending of funds, and are entered into in the ordinary course of business.

ACCOUNTING CHANGES

Lease Accounting
In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842), which increases the transparency and comparability of accounting for lease transactions. The ASU requires lessees to recognize liabilities for operating leases and corresponding right-of-use (ROU) assets on the balance sheet. The ASU also requires quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessee accounting for finance leases, as well as lessor accounting, are largely unchanged.
Effective January 1, 2019, the Company prospectively adopted the provisions of the ASU. At adoption, Citi recognized a lease liability and a corresponding ROU asset of approximately $4.4 billion on the Consolidated Balance
Sheet related to its future lease payments as a lessee under operating leases. In addition, the Company recorded a $151 million increase in Retained earnings for the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions. Adoption of the ASU did not have a material impact on the Consolidated Statement of Income. See Notes 14 and 26 for additional details.
The Company has elected not to separate lease and non-lease components in its lease contracts and accounts for them as a single lease component. Citi has also elected not to record an ROU asset for short-term leases that have a term of 12 months or less and do not contain purchase options that Citi is reasonably certain to exercise. The cost of short-term leases is recognized in the Consolidated Statement of Income on a straight-line basis over the lease term. In addition, Citi applies the portfolio approach to account for certain equipment leases with nearly identical contractual terms.

Lessee accounting
Operating lease ROU assets and lease liabilities are included in Other assets and Other liabilities, respectively, on the Consolidated Balance Sheet. Finance lease assets and liabilities are included in Other assets and Long-term debt, respectively, on the Consolidated Balance Sheet. The Company uses its incremental borrowing rate, factoring in the lease term, to determine the lease liability, which is measured at the present value of future lease payments. The ROU asset is initially measured at the amount of the lease liability plus any prepaid rent and remaining initial direct costs, less any remaining lease incentives and accrued rent. The ROU asset is subject to impairment, during the lease term, in a manner consistent with the impairment of long-lived assets. The lease terms include periods covered by options to extend or terminate the lease depending on whether Citi is reasonably certain to exercise such options.

Lessor accounting
Lessor accounting is largely unchanged under the ASU. Citi acts as a lessor for power, railcar, shipping and aircraft assets, where the Company has executed operating, direct financing and leveraged leasing arrangements. In a direct financing or a leveraged lease, Citi derecognizes the leased asset and records a lease financing receivable at lease commencement in Loans. Upon lease termination, Citi may obtain control of the asset, which is then recorded in Other assets on the Consolidated Balance Sheet and any remaining receivable for the asset’s residual value is derecognized. Under the ASU, leveraged lease accounting is grandfathered and may continue to be applied until the leveraged lease is terminated or modified. Upon modification, the lease must be classified as an operating, direct finance or sales-type lease in accordance with the ASU.
Separately, as part of managing its real estate footprint, Citi subleases excess real estate space via operating lease arrangements.


SEC Staff Accounting Bulletin 118
On December 22, 2017, the SEC issued Staff Accounting Bulletin (SAB) 118, which set forth the accounting for the changes in tax law caused by the enactment of the Tax Cuts and Jobs Act (Tax Reform). SAB 118 provided guidance where the accounting under ASC 740 was incomplete for certain income tax effects of Tax Reform, at the time of the issuance of an entity’s financial statements for the period in which Tax Reform was enacted (provisional items). Citi disclosed several provisional items recorded as part of its $22.6 billion fourth quarter 2017 charge related to Tax Reform.
Citi completed its accounting for Tax Reform under SAB 118 during the fourth quarter of 2018 and recorded a one-time, non-cash tax benefit of $94 million in Corporate/Other related to amounts that were considered provisional pursuant to SAB 118. The adjustments for the provisional amounts consisted of a $1.2 billion benefit relating to a reduction of the valuation allowance against Citi’s FTC carry-forwards and its U.S. residual DTAs related to its non-U.S. branches, offset by additional charges of $0.2 billion related to the impact of a change to a “quasi-territorial tax system” and $0.9 billion related to the impact of deemed repatriation of undistributed earnings of non-U.S. subsidiaries.
Also, Citi has made a policy election to account for taxes on Global Intangible Low Taxed Income (GILTI) as incurred.

Revenue Recognition
In May 2014, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers (Revenue Recognition), which outlines a single comprehensive model for entities to use in accounting for revenue arising from contracts with customers. The core principle of the revenue model is that an entity recognizes revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled, in exchange for those goods or services. The ASU defines the promised good or service as the performance obligation under the contract.
While the guidance replaces most existing revenue recognition guidance in GAAP, the ASU is not applicable to financial instruments and, therefore, does not impact a majority of the Company’s revenues, including net interest income, loan fees, gains on sales and mark-to-market accounting.
In accordance with the new revenue recognition standard, Citi has identified the specific performance obligation (promised services) associated with the contract with the customer and has determined when that specific performance obligation has been satisfied, which may be at a point in time or over time depending on how the performance obligation is defined. The contracts with customers also contain the transaction price, which consists of fixed consideration and/or consideration that may vary (variable consideration), and is defined as the amount of consideration an entity expects to be entitled to when or as the performance obligation is satisfied, excluding amounts
collected on behalf of third parties (including transaction taxes). The amounts recognized at the point in time the performance obligation is satisfied may differ from the ultimate transaction price associated with that performance obligation when a portion of it is based on variable consideration. For example, some consideration is based on the client’s month-end balance or market values, which are unknown at the time the contract is executed. The remaining transaction price amount, if any, will be recognized as the variable consideration becomes determinable. In certain transactions, the performance obligation is considered satisfied at a point in time in the future. In this instance, Citi defers revenue on the balance sheet that will only be recognized upon completion of the performance obligation.
The new revenue recognition standard further clarified the guidance related to reporting revenue gross as principal versus net as an agent. In many cases, Citi outsources a component of its performance obligations to third parties. The Company has determined that it acts as principal in the majority of these transactions and therefore presents the amounts paid to these third parties gross within operating expenses.
The Company has retrospectively adopted this standard as of January 1, 2018 and as a result was required to report amounts paid to third parties where Citi is principal to the contract within Operating expenses. The adoption resulted in an increase in both revenue and expenses of approximately $1 billion for each of the years ended December 31, 2019 and 2018 with similar amounts for prior years. Prior to adoption, these expense amounts were reported as contra revenue primarily within Commissions and fees and Administration and other fiduciary fees revenues. Accordingly, prior periods have been reclassified to conform to the new presentation.
See Note 5 to the Consolidated Financial Statements for a description of the Company’s revenue recognition policies for Commissions and fees and Administration and other fiduciary fees.

Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory, which requires an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. The ASU was effective January 1, 2018 and was adopted as of that date. The impact of this standard was an increase of DTAs by approximately $300 million, a decrease of Retained earnings by approximately $80 million and a decrease of prepaid tax assets by approximately $380 million. 

Clarifying the Definition of a Business
In January 2017, the FASB issued ASU No. 2017-01, Business Combinations (Topic 805): Clarifying the Definition of a Business. The definition of a business directly and indirectly affects many areas of accounting (e.g., acquisitions, disposals, goodwill and consolidation). The ASU narrows the definition of a business by introducing a quantitative screen as the first step, such that if substantially

all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets, then the set of transferred assets and activities is not a business. If the set is not clarified from the quantitative screen, the entity then evaluates whether the set meets the requirement that a business include, at a minimum, an input and a substantive process that together significantly contribute to the ability to create outputs.
Citi adopted the ASU upon its effective date on January 1, 2018, prospectively. The ongoing impact of the ASU will depend upon the acquisition and disposal activities of Citi. If fewer transactions qualify as a business, there could be less initial recognition of Goodwill, but also less goodwill allocated to disposals. There was no impact during 2018 from the adoption of this ASU.

Changes in Accounting for Pension and Postretirement (Benefit) Expense
In March 2017, the FASB issued ASU No. 2017-07, Compensation—Retirement Benefits (Topic 715): Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost,which changes the income statement presentation of net benefit expense and requires restating the Company’s financial statements for each of the earlier periods presented in Citi’s annual and interim financial statements. The change in presentation was effective for annual and interim periods starting January 1, 2018. The ASU requires that only the service cost component of net benefit expense be included in Compensation and benefits on the income statement. The other components of net benefit expense are required to be presented outside of Compensation and benefits and are presented in Other operating expenses. Since both of these income statement line items are part of Operating expenses, total Operating expenses and Net income will not change. This change in presentation did not have a material effect on Compensation and benefits and Other operating expenses and was applied prospectively. The components of the net benefit expense are disclosed in Note 8 to the Consolidated Financial Statements.
 The standard also changes the components of net benefit expense that are eligible for capitalization when employee costs are capitalized in connection with various activities, such as internally developed software, construction-in-progress and loan origination costs. Prospectively from January 1, 2018, only the service cost component of net benefit expense may be capitalized.  Existing capitalized balances are not affected. This change in amounts eligible for capitalization does not have a material effect on the Company’s Consolidated Financial Statements and related disclosures.

Hedging
In August 2017, the FASB issued ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities, which better aligns an entity’s risk management activities and financial reporting for hedging relationships through changes to the designation and measurement guidance for qualifying hedging relationships and the presentation of
hedge results. The ASU requires the change in the fair value of the hedging instrument to be presented in the same income statement line as the hedged item and also requires expanded disclosures. Citi adopted this standard on January 1, 2018 and transferred approximately $4 billion of pre-payable mortgage-backed securities and municipal bonds from held-to-maturity (HTM) into available-for-sale (AFS) securities classification as permitted as a one-time transfer upon adoption of the standard, as these assets were deemed to be eligible to be hedged under the last-of-layer hedge strategy. The impact to opening Retained earnings was immaterial. See Note 19 to the Consolidated Financial Statements for more information.

Statement of Cash Flows
In November 2016, the FASB issued ASU No. 2016-18, Restricted Cash,which requires that companies present cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents (restricted cash) when reconciling beginning-of-period and end-of-period totals on the Consolidated Statement of Cash Flows. In connection with the adoption of the ASU, Citigroup also changed its definition of cash and cash equivalents to include all of Cash and due from banks and predominately all of Deposits with banks. The Company has retrospectively adopted this ASU as of January 1, 2018 and as a result Net cash provided by investing activities of continuing operations on the Consolidated Statement of Cash Flows for the year ended December 31, 2017 increased by $19.3 billion.

Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income
On February 14, 2018, the FASB issued ASU No. 2018-02, Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income. The ASU allows a reclassification from AOCI to Retained earnings for the deferred taxes previously recorded in AOCI that exceed the current federal tax rate of 21%, resulting from the newly enacted corporate tax rate in Tax Reform, and other stranded tax amounts related to the application of Tax Reform that Citi elects to reclassify. The ASU allows adjustments to reclassification amounts in subsequent periods as a result of changes to the amounts recorded under SAB 118. Citi elected to early adopt the ASU effective December 31, 2017, which applied only to the period in which the effects related to the one-time Tax Reform charge were recognized. In addition to the reclassification of deferred taxes recorded in AOCI that exceed the current federal tax rate, Citi also reclassified amounts recorded in AOCI related to the effects of the shift to a territorial system related to the application of Tax Reform using the portfolio method.
The effect of adopting the ASU resulted in an increase of $3.3 billion to Retained earnings at December 31, 2017 due to the reclassification of AOCI to Retained earnings.

Premium Amortization on Purchased Callable
Debt Securities
In March 2017, the FASB issued ASU No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which amends the amortization period for certain purchased callable debt securities held at a premium. The ASU requires entities to amortize premiums on debt securities by the first call date when the securities have fixed and determinable call dates and prices. The scope of the ASU includes all accounting premiums, such as purchase premiums and cumulative fair value hedge adjustments. The ASU does not change the accounting for discounts, which continue to be recognized over the contractual life of a security.
Citi early adopted the ASU in the second quarter of 2017, with an effective date of January 1, 2017. Adoption of the ASU is on a modified retrospective basis through a cumulative effect adjustment to Retained earnings as of the beginning of the year of adoption. Adoption of the ASU primarily affected Citi’s AFS and HTM portfolios of callable state and municipal debt securities. The ASU adoption resulted in a net reduction to total stockholders’ equity of $156 million (after-tax), effective as of January 1, 2017. This amount is composed of a reduction of approximately $660 million to Retained earnings for the incremental amortization of purchase premiums and cumulative hedge adjustments generated under fair value hedges of these callable debt securities, offset by an increase to AOCI of $504 million related to the cumulative fair value hedge adjustments reclassified to Retained earnings for AFS debt securities.

Fair Value Measurement
In August 2018, the FASB issued ASU No. 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. The amendments modify certain disclosure requirements for fair value measurements and were effective January 1, 2020, with early adoption permitted. The Company early adopted this ASU as of December 31, 2019 in its entirety, with no material impact on the Company.

FUTURE ACCOUNTING CHANGES

Accounting for Financial Instruments—Credit Losses

Overview
In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introduces a new credit loss methodology, the Current Expected Credit Losses (CECL) methodology, which requires earlier recognition of credit losses while also providing additional transparency about credit risk. Citi adopted the ASU as of January 1, 2020, which, as discussed below, resulted in an increase in Citi’s Allowance for credit losses and a decrease to opening Retained earnings, net of deferred income taxes, at January 1, 2020.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. The allowance for credit losses is adjusted each period for changes in expected lifetime credit losses. The CECL methodology represents a significant change from prior U.S. GAAP and replaced the prior multiple existing impairment methods, which generally required that a loss be incurred before it was recognized. Within the life cycle of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related allowance for credit losses than prior U.S. GAAP. For available-for-sale debt securities where fair value is less than cost, that Citi intends to hold or more-likely-than-not will not be required to sell, credit-related impairment, if any, is recognized through an allowance for credit losses and adjusted each period for changes in credit risk.

January 1, 2020 CECL Transition (Day 1) Impact
The CECL methodology’s impact on expected credit losses, among other things, reflects Citi’s view of the current state of the economy, forecasted macroeconomic conditions and Citi’s portfolios. At the January 1, 2020 date of adoption, based on forecasts of macroeconomic conditions and exposures at that time, the aggregate impact to Citi was an approximate $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the Allowance for credit losses for Citi’s consumer exposures, primarily driven by the impact on credit card receivables of longer estimated tenors under the CECL lifetime expected credit loss methodology (loss coverage of approximately 23 months) compared to shorter estimated tenors under the probable loss methodology under prior U.S. GAAP (loss coverage of approximately 14 months), net of recoveries; and (ii) a release of $0.8 billion of reserves primarily related to Citi’s corporate net loan loss exposures, largely due to more precise contractual maturities that result in shorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies.
Under the CECL methodology, the Allowance for credit losses consists of quantitative and qualitative components. Citi’s quantitative component of the Allowance for credit losses is model based and utilizes a single forward-looking macroeconomic forecast, complemented by the qualitative component described below, in estimating expected credit losses and discounts inputs for the corporate classifiably managed portfolios. Reasonable and supportable forecast periods vary by product. For example, Citi’s consumer cards models use a 13-quarter reasonable and supportable period and revert to historical loss experience thereafter, while its corporate loan models use a nine-quarter reasonable and supportable period followed by a three-quarter graduated transition to historical loss experience.

Citi’s qualitative component of the Allowance for credit losses considers (i) the uncertainty of forward-looking scenarios based on the likelihood and severity of a possible recession as another possible scenario; (ii) certain portfolio characteristics, such as portfolio concentration and collateral coverage; and (iii) model limitations as well as idiosyncratic events.

Subsequent Measurement of Goodwill
In January 2017, the FASB issued ASU No. 2017-04, Intangibles—Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment. The ASU simplifies the subsequent measurement of goodwill impairment by eliminating the requirement to calculate the implied fair value of goodwill (i.e., the current step 2 of the goodwill impairment test) to measure a goodwill impairment charge. Under the ASU, the impairment test is the comparison of the fair value of a reporting unit with its carrying amount (the current step 1), with the impairment charge being the deficit in fair value but not exceeding the total amount of goodwill allocated to that reporting unit. The simplified one-step impairment test applies to all reporting units (including those with zero or negative carrying amounts).
The ASU was adopted by Citi as of January 1, 2020 with prospective application. The impact of the ASU will depend upon the performance of Citi’s reporting units and the market conditions impacting the fair value of each reporting unit going forward.


2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

Summary of Discontinued Operations
The Company’s Discontinued operations consisted of residual activities related to the sales of the Brazil Credit Card business in 2013, the Egg Banking plc Credit Card business in 2011, and the German Retail Banking business in 2008. All Discontinued operations results are recorded within Corporate/Other.
The following summarizes financial information for all Discontinued operations:
In millions of dollars201920182017
Total revenues, net of interest expense$—
$—
$—
Loss from discontinued operations$(31)$(26)$(104)
Provision (benefit) for income taxes(27)(18)7
Loss from discontinued operations, net of taxes$(4)$(8)$(111)


Cash flows from Discontinued operations were not material for all periods presented.

Significant Disposals
There were no significant disposals during 2019. The transactions described below were identified as significant disposals during 2018 and 2017.

Sale of Mexico Asset Management Business
On September 21, 2018, Citi completed the sale of its Mexico asset management business, which was part of Latin America GCB. As part of the sale, Citi derecognized total assets of $137 million and total liabilities of $41 million. The transaction resulted in a pretax gain on sale of approximately $250 million (approximately $150 million after-tax) recorded in Other revenue in 2018. Further, Citi and the buyer entered into a 10-year services framework agreement, with Citi acting as the distributor in exchange for an ongoing fee.
Income before taxes for the divested business, excluding the pretax gain on sale, was as follows:
In millions of dollars201920182017
Income before taxes$—
$123
$164


Sale of Fixed Income Analytics and Index Business
On August 31, 2017, Citi completed the sale of a fixed income analytics business and a fixed income index business that were part of Markets and securities services within Institutional Clients Group (ICG). As part of the sale, Citi derecognized Total assets of $112 million, including goodwill of $72 million, while the derecognized liabilities were $18 million. The transaction resulted in a pretax gain on sale of approximately $580 million ($355 million after-tax) recorded in Other revenue in ICG during 2017.
Income before taxes for the divested businesses, excluding the pretax gain on sale, was immaterial.


Exit of U.S. Mortgage Service Operations
Citigroup executed agreements during the first quarter of 2017 to effectively exit its direct U.S. mortgage servicing operations, which included the sale of mortgage servicing rights and execution of a subservicing agreement for the remaining Citi-owned loans and certain other mortgage servicing rights. As part of this transaction, Citi also transferred certain employees.
This transaction, which was part of Corporate/Other, resulted in a pretax loss of $331 million ($207 million after-tax) recorded in Other revenue during 2017. The loss on sale did not include certain other costs and charges related to the disposed operation recorded primarily in Operating expenses during 2017, resulting in a total pretax loss of $382 million. As part of the sale, Citi derecognized a total of $1,162 million of servicing-related assets, including $1,046 million of Mortgage servicing rights, related to approximately 750,000 Fannie Mae and Freddie Mac held loans with outstanding balances of approximately $93 billion.
Excluding the loss on sale and the additional charges, income before taxes for the disposed operation was immaterial.

Sale of CitiFinancial Canada Consumer Finance Business
On March 31, 2017, Citi completed the sale of CitiFinancial Canada (CitiFinancial), which was part of Corporate/Other and included 220 retail branches and approximately 1,400 employees. As part of the sale, Citi derecognized Total assets of approximately $1.9 billion, including $1.7 billion consumer loans (net of allowance), and Total liabilities of approximately $1.5 billion related to intercompany borrowings, which were settled at closing of the transaction. The sale of CitiFinancial generated a pretax gain on sale of approximately $350 million recorded in Other revenue ($178 million after-tax) during 2017.
Income before taxes for the divested business, excluding the pretax gain on sale, was as follows:
In millions of dollars201920182017
Income before taxes$—
$—
$41




3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the following business segments: Global Consumer Banking (GCB) and Institutional Clients Group (ICG). In addition, Corporate/Other includes activities not assigned to a specific business segment, as well as certain North America loan portfolios, discontinued operations and other legacy assets.
The business segments are determined based on products and services provided or type of customers served, of which those identified as non-core are recorded in Corporate/Other and are reflective of how management currently evaluates financial information to make business decisions.
GCB includes a global, full-service consumer franchise delivering a wide array of banking, credit card lending and investment services through a network of local branches, offices and electronic delivery systems and consists of three GCB businesses: North America, Latin America and Asia (including consumer banking activities in certain EMEA countries).
ICG consists of Banking and Markets and securities services and provides corporate, institutional, public sector and high-net-worth clients in 98 countries and jurisdictions with a broad range of banking and financial products and services.
Corporate/Other includes certain unallocated costs of global functions, other corporate expenses and net treasury results, unallocated corporate expenses, offsets to certain line-item reclassifications and eliminations, the results of certain
North America legacy loan portfolios, discontinued operations and unallocated taxes.
The accounting policies of these reportable segments are the same as those disclosed in Note 1 to the Consolidated Financial Statements.
The prior-period balances reflect reclassifications to conform the presentation for all periods to the current period’s presentation. During 2019, financial data was reclassified to reflect:

•
Citi’s commercial banking businesses previously reported as part of GCB in North America, Latin America and Asia, including approximately $28 billion in end-of-period loans and approximately $37 billion in end-of-period deposits, are reported in ICG for all periods presented;
•
the re-attribution of certain costs between Corporate/Other and GCB and ICG; and
certain other immaterial reclassifications.

Citi’s consolidated Net income (loss) reported in its 2018 Annual Report on Form 10-K remains unchanged for all periods presented as a result of the changes and reclassifications discussed above.
The following table presents certain information regarding the Company’s continuing operations by segment:
 
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes(2)
Income (loss) from
continuing operations(2)(3)
Identifiable assets
In millions of dollars, except identifiable assets in billions20192018201720192018201720192018201720192018
Global Consumer Banking$32,971
$32,339
$31,445
$1,746
$1,689
$3,067
$5,702
$5,309
$3,542
$407
$388
Institutional Clients Group39,301
38,325
37,822
3,570
3,756
7,241
12,944
12,574
9,375
1,447
1,438
Corporate/Other2,014
2,190
3,177
(886)(88)19,080
825
205
(19,544)97
91
Total$74,286
$72,854
$72,444
$4,430
$5,357
$29,388
$19,471
$18,088
$(6,627)$1,951
$1,917
(1)
Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $33.9 billion, $33.4 billion and $34.1 billion; in EMEA of $12.0 billion, $11.8 billion and $10.9 billion; in Latin America of $10.4 billion, $10.3 billion and $9.6 billion; and in Asia of $16.0 billion, $15.3 billion and $14.6 billion in 2019, 2018 and 2017, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Corporate/Other, GCB and ICG 2017 results include the one-time impact of Tax Reform.
(3)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $7.9 billion, $7.6 billion and $7.6 billion; in the ICG results of $563 million, $215 million and $19 million; and in the Corporate/Other results of $(75) million, $(202) million and $(175) million in 2019, 2018 and 2017, respectively.

4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
In millions of dollars201920182017
Interest revenue   
Loan interest, including fees$47,751
$45,682
$41,736
Deposits with banks2,682
2,203
1,635
Securities borrowed and purchased under agreements to resell6,872
5,492
3,249
Investments, including dividends9,860
9,494
8,295
Trading account assets(1)
7,672
6,284
5,501
Other interest1,673
1,673
1,163
Total interest revenue$76,510
$70,828
$61,579
Interest expense   
Deposits(2)
$12,633
$9,616
$6,587
Securities loaned and sold under agreements to repurchase6,263
4,889
2,661
Trading account liabilities(1)
1,308
1,001
638
Short-term borrowings2,465
2,209
1,059
Long-term debt6,494
6,551
5,573
Total interest expense$29,163
$24,266
$16,518
Net interest revenue$47,347
$46,562
$45,061
Provision for loan losses8,218
7,354
7,503
Net interest revenue after provision for loan losses$39,129
$39,208
$37,558
(1)
Interest expense on Trading account liabilities is reported as a reduction of interest revenue from Trading account assets.
(2)Includes deposit insurance fees and charges of $781 million, $1,182 million and $1,249 million for 2019, 2018 and 2017, respectively.




5.   COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES
Commissions and Fees
The primary components of Commissions and fees revenue are investment banking fees, brokerage commissions, credit card and bank card income and deposit-related fees.
Investment banking fees are substantially composed of underwriting and advisory revenues. Such fees are recognized at the point in time when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the closing of a transaction. Reimbursed expenses related to these transactions are recorded as revenue and are included within investment banking fees. In certain instances for advisory contracts, Citi will receive amounts in advance of the deal’s closing. In these instances, the amounts received will be recognized as a liability and not recognized in revenue until the transaction closes. For the periods presented, the contract liability amount was negligible.
Out-of-pocket expenses associated with underwriting activity are deferred and recognized at the time the related revenue is recognized, while out-of-pocket expenses associated with advisory arrangements are expensed as incurred. In general, expenses incurred related to investment banking transactions, whether consummated or not, are recorded in Other operating expenses. The Company has determined that it acts as principal in the majority of these transactions and therefore presents expenses gross within Other operating expenses.
Brokerage commissions primarily include commissions and fees from the following: executing transactions for clients on exchanges and over-the-counter markets; sales of mutual funds and other annuity products; and assisting clients in clearing transactions, providing brokerage services and other such activities. Brokerage commissions are recognized in Commissions and fees at the point in time the associated service is fulfilled, generally on the trade execution date. Gains or losses, if any, on these transactions are included in Principal transactions (see Note 6 to the Consolidated Financial Statements). Sales of certain investment products include a portion of variable consideration associated with the underlying product. In these instances, a portion of the revenue associated with the sale of the product is not recognized until the variable consideration becomes fixed. The Company recognized $485 million, $521 million and $416 million of revenue related to such variable consideration for the years ended December 31, 2019, 2018 and 2017, respectively. These amounts primarily relate to performance obligations satisfied in prior periods.










Credit card and bank card income is primarily composed of interchange fees, which are earned by card issuers based on
purchase sales, and certain card fees, including annual fees.
Costs related to customer reward programs and certain
payments to partners (primarily based on program sales,
profitability and customer acquisitions) are recorded as a
reduction of credit card and bank card income. Interchange
revenues are recognized as earned on a daily basis when Citi's
performance obligation to transmit funds to the payment
networks has been satisfied. Annual card fees, net of
origination costs, are deferred and amortized on a straight-line
basis over a 12-month period. Costs related to card reward
programs are recognized when the rewards are earned by the
cardholders. Payments to partners are recognized when
incurred.
Deposit-related fees consist of service charges on deposit
accounts and fees earned from performing cash management
activities and other deposit account services. Such fees are
recognized in the period in which the related service is
provided.
Transactional service fees primarily consist of fees
charged for processing services such as cash management,
global payments, clearing, international funds transfer and
other trade services. Such fees are recognized as/when the
associated service is satisfied, which normally occurs at the
point in time the service is requested by the customer and
provided by Citi.
Insurance distribution revenue consists of commissions
earned from third-party insurance companies for marketing
and selling insurance policies on behalf of such entities. Such
commissions are recognized in Commissions and fees at the
point in time the associated service is fulfilled, generally when
the insurance policy is sold to the policyholder. Sales of
certain insurance products include a portion of variable
consideration associated with the underlying product. In these
instances, a portion of the revenue associated with the sale of
the policy is not recognized until the variable consideration
becomes determinable. The Company recognized $322 million, $386 million and $440 million of revenue related to such variable consideration for the years ended December 31, 2019, 2018 and 2017, respectively. These amounts primarily relate to performance obligations satisfied in prior periods.
Insurance premiums consist of premium income from
insurance policies that Citi has underwritten and sold to
policyholders.




The following table presents Commissions and fees revenue:
 201920182017
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Investment banking$3,767
$—
$—
$3,767
$3,568
$—
$—
$3,568
$3,817
$—
$—
$3,817
Brokerage commissions1,771
841
—
2,612
1,977
815
—
2,792
1,889
826
3
2,718
Credit card and bank card
  income
   

   

   

     Interchange fees1,222
8,621
—
9,843
1,077
8,112
11
9,200
953
7,523
99
8,575
     Card-related loan fees60
718
—
778
63
627
12
702
53
693
48
794
     Card rewards and partner
       payments
(691)(8,883)—
(9,574)(504)(8,253)(12)(8,769)(426)(7,242)(57)(7,725)
Deposit-related fees(1)
1,048
470
—
1,518
1,031
572
1
1,604
1,031
642
14
1,687
Transactional service fees824
123
—
947
733
83
4
820
751
78
49
878
Corporate finance(2)
616
—
—
616
734
—
—
734
766
—
—
766
Insurance distribution
  revenue
12
524
—
536
14
565
11
590
12
562
68
642
Insurance premiums—
186
—
186
—
119
—
119
—
122
—
122
Loan servicing78
55
21
154
100
91
37
228
117
71
95
283
Other99
261
3
363
116
139
14
269
30
90
30
150
Total commissions and
  fees(3)
$8,806
$2,916
$24
$11,746
$8,909
$2,870
$78
$11,857
$8,993
$3,365
$349
$12,707

(1)Includes overdraft fees of $127 million, $128 million and $135 million for the years ended December 31, 2019, 2018 and 2017, respectively. Overdraft fees are accounted for under ASC 310.
(2)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(3)
Commissions and fees includes $(7,695) million, $(6,853) million and $(5,627) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the years ended December 31, 2019, 2018 and 2017, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.


Administration and Other Fiduciary Fees
Administration and other fiduciary fees revenue is primarily composed of custody fees and fiduciary fees.
The custody product is composed of numerous services related to the administration, safekeeping and reporting for both U.S. and non-U.S. denominated securities. The services offered to clients include trade settlement, safekeeping, income collection, corporate action notification, record-keeping and reporting, tax reporting and cash management. These services are provided for a wide range of securities, including but not limited to equities, municipal and corporate bonds, mortgage- and asset-backed securities, money market instruments, U.S. Treasuries and agencies, derivative instruments, mutual funds, alternative investments and precious metals. Custody fees are recognized as or when the associated promised service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi.
Fiduciary fees consist of trust services and investment management services. As an escrow agent, Citi receives, safe-
keeps, services and manages clients’ escrowed assets, such as cash, securities, property (including intellectual property), contracts or other collateral. Citi performs its escrow agent duties by safekeeping the funds during the specified time period agreed upon by all parties and therefore earns its revenue evenly during the contract duration.
Investment management services consist of managing assets on behalf of Citi’s retail and institutional clients. Revenue from these services primarily consists of asset-based fees for advisory accounts, which are based on the market value of the client’s assets and recognized monthly, when the market value is fixed. In some instances, the Company contracts with third-party advisors and with third-party custodians. The Company has determined that it acts as principal in the majority of these transactions and therefore presents the amounts paid to third parties gross within Other operating expenses.
The following table presents Administration and other fiduciary fees revenue:

 201920182017
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Custody fees$1,453
$16
$73
$1,542
$1,497
$133
$65
$1,695
$1,508
$164
$56
$1,728
Fiduciary fees647
621
28
1,296
645
597
43
1,285
593
575
91
1,259
Guarantee fees558
8
7
573
584
9
7
600
584
5
8
597
Total administration
  and other fiduciary fees(1)
$2,658
$645
$108
$3,411
$2,726
$739
$115
$3,580
$2,685
$744
$155
$3,584
(1)
Administration and other fiduciary fees includes $573 million, $600 million and $597 million for the years ended December 31, 2019, 2018 and 2017, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.


6. PRINCIPAL TRANSACTIONS
Citi’s Principal transactions revenue consists of realized and unrealized gains and losses from trading activities. Trading activities include revenues from fixed income, equities, credit and commodities products and foreign exchange transactions that are managed on a portfolio basis characterized by primary risk. Not included in the table below is the impact of net interest revenue related to trading activities, which is an integral part of trading activities’ profitability. See Note 4 to the Consolidated Financial Statements for information about
net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments) and FVA (funding valuation adjustments) on over-the-counter derivatives, and gains (losses) on certain economic hedges on loans in ICG. These adjustments are discussed further in Note 24 to the Consolidated Financial Statements.
In certain transactions, Citi incurs fees and presents these fees paid to third parties in operating expenses. The following table presents Principaltransactions revenue:
In millions of dollars201920182017
Interest rate risks(1)
$5,990
$5,178
$5,304
Foreign exchange risks(2)
1,650
1,398
2,435
Equity risks(3)
872
1,336
525
Commodity and other risks(4)
516
669
425
Credit products and risks(5)
(136)324
251
Total$8,892
$8,905
$8,940
(1)Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
(2)Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(3)Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(4)Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(5)Includes revenues from structured credit products.

7. INCENTIVE PLANS
Discretionary Annual Incentive Awards
Citigroup grants immediate cash bonus payments and various forms of immediate and deferred awards as part of its discretionary annual incentive award program involving a large segment of Citigroup’s employees worldwide. Most of the shares of common stock issued by Citigroup as part of its equity compensation programs are issued to settle the vesting of the stock components of these awards.
Discretionary annual incentive awards are generally awarded in the first quarter of the year based on the previous year’s performance. Awards valued at less than U.S. $100,000 (or the local currency equivalent) are generally paid entirely in the form of an immediate cash bonus. Pursuant to Citigroup policy and/or regulatory requirements, certain employees and officers are subject to mandatory deferrals of incentive pay and generally receive 25%–60% of their awards in a combination of restricted or deferred stock, deferred cash stock units or deferred cash. Discretionary annual incentive awards to many employees in the EU are subject to deferral requirements regardless of the total award value, with at least 50% of the immediate incentive delivered in the form of a stock payment award subject to a restriction on sale or transfer (generally, for 12 months).
Deferred annual incentive awards may be delivered in the form of one or more award types: a restricted or deferred stock award under Citi’s Capital Accumulation Program (CAP), or a deferred cash stock unit award and/or a deferred cash award under Citi’s Deferred Cash Award Plan. The applicable mix of awards may vary based on the employee’s minimum deferral requirement and the country of employment.
Subject to certain exceptions (principally, for retirement-eligible employees), continuous employment within Citigroup is required to vest in CAP, deferred cash stock unit and deferred cash awards. Post employment vesting by retirement-eligible employees and participants who meet other conditions is generally conditioned upon their refraining from competition with Citigroup during the remaining vesting period, unless the employment relationship has been terminated by Citigroup under certain conditions.
Generally, the deferred awards vest in equal annual installments over three- or four-year periods. Vested CAP awards are delivered in shares of common stock. Deferred cash awards are payable in cash and, except as prohibited by applicable regulatory guidance, earn a fixed notional rate of interest that is paid only if and when the underlying principal award amount vests. Deferred cash stock unit awards are payable in cash at the vesting value of the underlying stock. Generally, in the EU, vested CAP shares are subject to a restriction on sale or transfer after vesting, and vested deferred cash awards and deferred cash stock units are subject to hold back (generally, for 6 or 12 months based on the award type).
Unvested CAP, deferred cash stock units and deferred cash awards are subject to one or more clawback provisions that apply in certain circumstances, including gross misconduct. CAP and deferred cash stock unit awards, made to certain employees, are subject to a formulaic performance-based vesting condition pursuant to which amounts otherwise
scheduled to vest will be reduced based on the amount of any pretax loss in the participant’s business in the calendar year preceding the scheduled vesting date. A minimum reduction of 20% applies for the first dollar of loss for CAP and deferred cash stock unit awards.
In addition, deferred cash awards are subject to a discretionary performance-based vesting condition under which an amount otherwise scheduled to vest may be reduced in the event of a “material adverse outcome” for which a participant has “significant responsibility.” These awards are also subject to an additional clawback provision pursuant to which unvested awards may be canceled if the employee engaged in misconduct or exercised materially imprudent judgment, or failed to supervise or escalate the behavior of other employees who did.

Sign-on and Long-Term Retention Awards
Stock awards and deferred cash awards may be made at various times during the year as sign-on awards to induce new hires to join Citi or to high-potential employees as long-term retention awards.
Vesting periods and other terms and conditions pertaining to these awards tend to vary by grant. Generally, recipients must remain employed through the vesting dates to vest in the awards, except in cases of death, disability or involuntary termination other than for gross misconduct. These awards do not usually provide for post employment vesting by retirement-eligible participants.

Outstanding (Unvested) Stock Awards
A summary of the status of unvested stock awards granted as discretionary annual incentive or sign-on and long-term retention awards is presented below:
Unvested stock awardsShares
Weighted-
average grant
date fair
value per share
Unvested at December 31, 201831,728,596
$57.30
Granted(1)
14,920,917
61.78
Canceled(1,104,448)60.45
Vested(2)
(15,350,350)53.58
Unvested at December 31, 201930,194,715
$61.30

(1)The weighted-average fair value of the shares granted during 2018 and 2017 was $73.87 and $59.12, respectively.
(2)The weighted-average fair value of the shares vesting during 2019 was approximately $63.38 per share.
Total unrecognized compensation cost related to unvested stock awards was $538 million at December 31, 2019. The cost is expected to be recognized over a weighted-average period of 1.6 years.



Performance Share Units
Certain executive officers were awarded a target number of performance share units (PSUs) each February from 2016 to 2019, for performance in the year prior to the award date.
The PSUs granted in February 2016 were earned over a three-year performance period based on Citigroup’s relative total shareholder return as compared to peers.
The PSUs granted in February 2017, 2018 and 2019 are earned over a three-year performance period, based half on return on tangible common equity performance in the last year of the three-year performance period and the remaining half on cumulative earnings per share over the three-year performance period.
For all award years, if the total shareholder return is negative over the three-year performance period, executives may earn no more than 100% of the target PSUs, regardless of the extent to which Citigroup outperforms peer firms. The number of PSUs ultimately earned could vary from 0, if performance goals are not met, to as much as 150% of target, if performance goals are meaningfully exceeded.
For all award years, the value of each PSU is equal to the value of 1 share of Citi common stock. Dividend equivalents will be accrued and paid on the number of earned PSUs after the end of the performance period.
PSUs are subject to variable accounting, pursuant to which the associated value of the award will fluctuate with changes in Citigroup’s stock price and the attainment of the specified performance goals for each award, until the award is settled solely in cash after the end of the performance period. The value of the award, subject to the performance goals, is estimated using a simulation model that incorporates multiple valuation assumptions, including the probability of achieving the specified performance goals of each award. The risk-free rate used in the model is based on the applicable U.S. Treasury yield curve. Other significant assumptions for the awards are as follows:
Valuation assumptions201920182017
Expected volatility25.33%24.93%25.79%
Expected dividend yield2.67
1.75
1.30


















A summary of the performance share unit activity for 2019 is presented below:
Performance share unitsUnits
Weighted-
average grant
date fair
value per unit
Outstanding, beginning of
  period
1,768,362
$51.88
Granted(1)
560,031
72.83
Canceled(194,782)42.24
Payments(641,611)27.03
Outstanding, end of period1,492,000
$71.69

(1)
The weighted-average grant date fair value per unit awarded in 2018 and 2017 was $83.24 and $59.22, respectively.

PSUs granted in 2017 were equitably adjusted after the enactment of Tax Reform, as required under the terms of those awards. The adjustments were intended to reproduce the expected value of the awards immediately prior to the passage of Tax Reform. The PSUs granted in 2016 were not impacted by Tax Reform.

Stock Option Programs
All outstanding stock options are fully vested, with the related expense recognized as a charge to income in prior periods.


The following table presents information with respect to stock option activity under Citigroup’s stock option programs: 
 201920182017
 Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Outstanding, beginning of period762,225
$101.84
$—
1,138,813
$161.96
$—
1,527,396
$131.78
$—
Canceled(11,365)40.80
—
—
—
—
—
—
—
Expired(449,916)142.30
—
(376,588)283.63
—
—
—
—
Exercised(134,294)39.00
23.50
—
—
—
(388,583)43.35
15.67
Outstanding, end of period166,650
$47.42
$32.47
762,225
$101.84
$—
1,138,813
$161.96
$—
Exercisable, end of period166,650
  
762,225
 
 
1,138,813
 
 


The following table summarizes information about stock options outstanding under Citigroup’s stock option programs at December 31, 2019:
  Options outstandingOptions exercisable
Range of exercise prices
Number
outstanding
Weighted-average
contractual life
remaining
Weighted-average
exercise price
Number
exercisable
Weighted-average
exercise price
$41.54–$60.00166,650
1.4 years$47.42
166,650
$47.42
Total at December 31, 2019166,650
1.4 years$47.42
166,650
$47.42

Other Variable Incentive Compensation
Citigroup has various incentive plans globally that are used to motivate and reward performance primarily in the areas of sales, operational excellence and customer satisfaction. Participation in these plans is generally limited to employees who are not eligible for discretionary annual incentive awards. Other forms of variable compensation include monthly commissions paid to financial advisors and mortgage loan officers.

Summary
Except for awards subject to variable accounting, the total expense recognized for stock awards represents the grant date fair value of such awards, which is generally recognized as a charge to income ratably over the vesting period, other than for awards to retirement-eligible employees and immediately vested awards. Whenever awards are made or are expected to be made to retirement-eligible employees, the charge to income is accelerated based on when the applicable conditions to retirement eligibility were or will be met. If the employee is retirement eligible on the grant date, or the award is vested at the grant date, the entire expense is recognized in the year prior to grant.
Recipients of Citigroup stock awards generally do not have any stockholder rights until shares are delivered upon vesting or exercise, or after the expiration of applicable required holding periods. Recipients of restricted or deferred stock awards and deferred cash stock unit awards, however, may, except as prohibited by applicable regulatory guidance, be entitled to receive or accrue dividends or dividend-equivalent payments during the vesting period. Recipients of restricted stock awards generally are entitled to vote the shares in their award during the vesting period. Once a stock award
vests, the shares delivered to the participant are freely transferable, unless they are subject to a restriction on sale or transfer for a specified period.
All equity awards granted since April 19, 2005 have been made pursuant to stockholder-approved stock incentive plans that are administered by the Personnel and Compensation Committee of the Citigroup Board of Directors, which is composed entirely of independent non-employee directors.
At December 31, 2019, approximately 29.7 million shares of Citigroup common stock were authorized and available for grant under Citigroup’s 2019 Stock Incentive Plan, the only plan from which equity awards are currently granted.
The 2019 Stock Incentive Plan and predecessor plans permit the use of treasury stock or newly issued shares in connection with awards granted under the plans. Treasury shares were used to settle vestings from 2016 to 2019, and for the first quarter of 2020, except where local laws favor newly issued shares. The use of treasury stock or newly issued shares to settle stock awards does not affect the compensation expense recorded in the Consolidated Statement of Income for equity awards.


Incentive Compensation Cost
The following table shows components of compensation expense, relating to certain of the incentive compensation programs described above:
In millions of dollars201920182017
Charges for estimated awards to retirement-eligible employees$683
$669
$659
Amortization of deferred cash awards, deferred cash stock units and performance stock units355
202
354
Immediately vested stock award expense(1)
82
75
70
Amortization of restricted and deferred stock awards(2)
404
435
474
Other variable incentive compensation666
640
694
Total$2,190
$2,021
$2,251
(1)Represents expense for immediately vested stock awards that generally were stock payments in lieu of cash compensation. The expense is generally accrued as cash incentive compensation in the year prior to grant.
(2)All periods include amortization expense for all unvested awards to non-retirement-eligible employees.




8. RETIREMENT BENEFITS

Pension and Postretirement Plans
The Company has several non-contributory defined benefit pension plans covering certain U.S. employees and has various defined benefit pension and termination indemnity plans covering employees outside the U.S.
The U.S. qualified defined benefit plan was frozen effective January 1, 2008 for most employees. Accordingly, no additional compensation-based contributions have been credited to the cash balance portion of the plan for existing plan participants after 2007. However, certain employees covered under the prior final pay plan formula continue to accrue benefits. The Company also offers postretirement health care and life insurance benefits to certain eligible U.S. retired employees, as well as to certain eligible employees outside the U.S.
The Company also sponsors a number of non-contributory, nonqualified pension plans. These plans, which are unfunded, provide supplemental defined pension benefits to certain U.S.
employees. With the exception of certain employees covered under the prior final pay plan formula, the benefits under these plans were frozen in prior years.
The plan obligations, plan assets and periodic plan expense for the Company’s most significant pension and postretirement benefit plans (Significant Plans) are measured and disclosed quarterly, instead of annually. The Significant Plans captured approximately 90% of the Company’s global pension and postretirement plan obligations as of December 31, 2019. All other plans (All Other Plans) are measured annually with a December 31 measurement date.

Net (Benefit) Expense
The following table summarizes the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans for Significant Plans and All Other Plans:

 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars201920182017201920182017201920182017201920182017
Benefits earned during the year$1
$1
$3
$146
$146
$153
$—
$—
$—
$8
$9
$9
Interest cost on benefit obligation469
514
533
287
292
295
24
26
26
104
102
101
Expected return on plan assets(821)(844)(865)(281)(291)(299)(18)(14)(6)(84)(88)(89)
Amortization of unrecognized: 
 
 
 
 
 
 
 
 
 
 
 
Prior service cost (benefit)2
2
2
(4)(4)(3)—
—
—
(10)(10)(10)
Net actuarial loss200
165
173
61
53
61
—
(1)—
23
29
35
Curtailment loss (gain)(1)
1
1
6
(6)(1)—
—
—
—
—
—
—
Settlement loss(1)
—
—
—
6
7
12
—
—
—
—
—
—
Total net (benefit) expense$(148)$(161)$(148)$209
$202
$219
$6
$11
$20
$41
$42
$46

(1)Curtailment and settlement relate to repositioning and divestiture actions.

Contributions
The Company’s funding practice for U.S. and non-U.S. pension and postretirement plans is generally to fund to minimum funding requirements in accordance with applicable local laws and regulations. The Company may increase its contributions above the minimum required contribution, if appropriate. In addition, management has the ability to change its funding practices. For the U.S. pension plans, there were no required minimum cash contributions for 2019 or 2018.

The following table summarizes the actual Company contributions for the years ended December 31, 2019 and 2018, as well as estimated expected Company contributions for 2020. Expected contributions are subject to change, since contribution decisions are affected by various factors, such as market performance, tax considerations and regulatory requirements.


 
Pension plans(1)
Postretirement benefit plans(1)
 
U.S. plans(2)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars202020192018202020192018202020192018202020192018
Contributions made by the Company$—
$425
$—
$111
$111
$140
$—
$—
$145
$4
$221
$3
Benefits paid directly by the Company58
56
55
53
39
42
6
4
5
6
4
6

(1)Amounts reported for 2020 are expected amounts.     
(2)The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans.


Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following table summarizes the funded status and amounts recognized in the Consolidated Balance Sheet for the Company’s pension and postretirement plans:
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20192018201920182019201820192018
Change in projected benefit obligation 
 
 
 
 
 
 
 
Projected benefit obligation at beginning of year$12,655
$14,040
$7,149
$7,433
$662
$699
$1,159
$1,261
Benefits earned during the year1
1
146
146
—
—
8
9
Interest cost on benefit obligation469
514
287
292
24
26
104
102
Plan amendments—
—
7
7
—
—
—
—
Actuarial loss (gain)( 1)
1,263
(1,056)861
(99)46
(1)140
(123)
Benefits paid, net of participants’ contributions and government subsidy(2)
(936)(845)(304)(293)(40)(62)(72)(68)
Settlement gain(3)
—


(84)(121)—
—
—
—
Curtailment loss (gain)(3)
1
1
(4)(1)—
—
—
—
Foreign exchange impact and other—
—
47
(215)—
—
45
(22)
Projected benefit obligation at year end$13,453
$12,655
$8,105
$7,149
$692
$662
$1,384
$1,159
Change in plan assets 
 
 
 
 
 
 
 
Plan assets at fair value at beginning of year$11,490
$12,725
$6,699
$7,128
$345
$262
$1,036
$1,119
Actual return on plan assets(1)
1,682
(445)781
(11)36
(5)138
(26)
Company contributions481
55
150
182
4
150
225
9
Benefits paid, net of participants’ contributions and government subsidy(2)
(936)(845)(304)(293)(40)(62)(72)(68)
Settlement gain(3)
—
—
(84)(121)—
—
—
—
Foreign exchange impact and other—
—
314
(186)—
—
(200)2
Plan assets at fair value at year end$12,717
$11,490
$7,556
$6,699
$345
$345
$1,127
$1,036
Funded status of the plans        
Qualified plans(4)
$(23)$(483)$(549)$(450)$(347)$(317)$(257)$(123)
Nonqualified plans(5)
(713)(682)—
—
—
—
—
—
Funded status of the plans at year end$(736)$(1,165)$(549)$(450)$(347)$(317)$(257)$(123)
Net amount recognized 
 
 
 
 
 
 
 
Qualified plans        
Benefit asset$—
$—
$808
$806
$—
$—
$57
$175
Benefit liability(23)(483)(1,357)(1,256)(347)(317)(314)(298)
Qualified plans$(23)$(483)$(549)$(450)$(347)$(317)$(257)$(123)
Nonqualified plans(713)(682)—
—
—
—
—
—
Net amount recognized on the balance sheet$(736)$(1,165)$(549)$(450)$(347)$(317)$(257)$(123)
Amounts recognized in AOCI
     
 
 
 
Net transition obligation$—
$—
$—
$(1)$—
$—
$—
$—
Prior service (cost) benefit(12)(13)1
12
—
—
76
83
Net actuarial (loss) gain(7,092)(6,892)(1,735)(1,420)24
53
(416)(340)
Net amount recognized in equity (pretax)$(7,104)$(6,905)$(1,734)$(1,409)$24
$53
$(340)$(257)
Accumulated benefit obligation at year end

$13,447
$12,646
$7,618
$6,720
$692
$662
$1,384
$1,159


(1)During 2019, the actuarial loss is primarily due to the decline in global discount rates and actual return on plan assets due to favorable asset returns.
(2)U.S. postretirement benefit plans were net of Employer Group Waiver Plan subsidy of $22 million and $15 million in 2019 and 2018, respectively.
(3)Curtailment and settlement (gains) losses relate to repositioning and divestiture activities.
(4)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act (ERISA) funding rules as of January 1, 2020 and no minimum required funding is expected for 2020.
(5)The nonqualified plans of the Company are unfunded.


The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans:
In millions of dollars201920182017
Beginning of year balance, net of tax(1)(2)
$(6,257)$(6,183)$(5,164)
Actuarial assumptions changes and plan experience(2,300)1,288
(760)
Net asset gain (loss) due to difference between actual and expected returns1,427
(1,732)625
Net amortization274
214
229
Prior service (cost) credit(7)(7)(4)
Curtailment/settlement gain(3)
1
7
17
Foreign exchange impact and other(66)136
(93)
Impact of Tax Reform(4)
—
—
(1,020)
Change in deferred taxes, net119
20
(13)
Change, net of tax$(552)$(74)$(1,019)
End of year balance, net of tax(1)(2)
$(6,809)$(6,257)$(6,183)
(1)
See Note 19 to the Consolidated Financial Statements for further discussion of net AOCI balance.
(2)Includes net-of-tax amounts for certain profit-sharing plans outside the U.S.
(3)Curtailment and settlement relate to repositioning and divestiture activities.
(4)
In the fourth quarter of 2017, Citi adopted ASU 2018-02, which transferred these amounts from AOCI to Retained earnings. See Note 1 to the Consolidated Financial Statements.

At December 31, 2019 and 2018, the aggregate projected benefit obligation (PBO), the aggregate accumulated benefit obligation (ABO) and the aggregate fair value of plan assets are presented for all defined benefit pension plans with a PBO in excess of plan assets and for all defined benefit pension plans with an ABO in excess of plan assets as follows:
 PBO exceeds fair value of plan assetsABO exceeds fair value of plan assets
 
U.S. plans(1)
Non-U.S. plans
U.S. plans(1)
Non-U.S. plans
In millions of dollars20192018201920182019201820192018
Projected benefit obligation$13,453
$12,655
$4,445
$3,904
$13,453
$12,655
$2,748
$3,718
Accumulated benefit obligation13,447
12,646
4,041
3,528
13,447
12,646
2,435
3,387
Fair value of plan assets12,717
11,490
3,089
2,648
12,717
11,490
1,429
2,478
(1)At December 31, 2019 and 2018, for both the U.S. qualified plan and nonqualified plans, the aggregate PBO and the aggregate ABO exceeded plan assets.


Plan Assumptions
The Company utilizes a number of assumptions to determine plan obligations and expenses. Changes in one or a combination of these assumptions will have an impact on the Company’s pension and postretirement PBO, funded status and (benefit) expense. Changes in the plans’ funded status resulting from changes in the PBO and fair value of plan assets will have a corresponding impact on Accumulated other comprehensive income (loss).
The actuarial assumptions at the respective years ended December 31 in the table below are used to measure the year-end PBO and the net periodic (benefit) expense for the subsequent year (period). Since Citi’s Significant Plans are measured on a quarterly basis, the year-end rates for those plans are used to calculate the net periodic (benefit) expense for the subsequent year’s first quarter. 
As a result of the quarterly measurement process, the net periodic (benefit) expense for the Significant Plans is calculated at each respective quarter end based on the preceding quarter-end rates (as shown below for the U.S. and non-U.S. pension and postretirement plans). The actuarial assumptions for All Other Plans are measured annually.
Certain assumptions used in determining pension and postretirement benefit obligations and net benefit expense for the Company’s plans are shown in the following table:
At year end20192018
Discount rate  
U.S. plans  
Qualified pension3.25%4.25%
Nonqualified pension3.254.25
Postretirement3.154.20
Non-U.S. pension plans  
Range(1)
-0.10 to 11.300.25 to 12.00
Weighted average3.654.47
Non-U.S. postretirement plans
 
  
Range0.90 to 9.101.75 to 10.75
Weighted average7.769.05
Future compensation increase rate(2)
 
Non-U.S. pension plans  
Range1.50 to 11.501.30 to 13.67
Weighted average3.173.16
Expected return on assets  
U.S. plans

Qualified pension6.706.70
Postretirement(3)
6.70/3.006.70/3.00
Non-U.S. pension plans  
Range0.00 to 11.501.00 to 11.50
Weighted average3.954.30
Non-U.S. postretirement plans  
Range6.20 to 8.008.00 to 9.20
Weighted average7.998.01

(1)Due to substantial downward movement in yields, there were negative discount rates for plans with relatively short duration in major markets, such as the Eurozone and Switzerland.
(2)Not material for U.S. plans.
(3)In 2019 and 2018, the expected rate of return for the VEBA Trust was 3.00%.

During the year201920182017
Discount rate   
U.S. plans   
Qualified pension4.25%/3.85%/ 3.45%/3.10%3.60%/3.95%/ 4.25%/4.30%4.10%/4.05%/ 3.80%/3.75%
Nonqualified pension4.25/3.90/ 3.50/3.103.60/3.95/ 4.25/4.304.00/3.95/ 3.75/3.65
Postretirement4.20/3.80/ 3.35/3.003.50/3.90/ 4.20/4.203.90/3.85/ 3.60/3.55
Non-U.S. pension plans(1)
  
Range(2)
-0.05 to 12.000.00 to 10.750.25 to 72.50
Weighted average4.474.174.40
Non-U.S. postretirement plans(1)
  
Range1.75 to 10.751.75 to 10.101.75 to 11.05
Weighted average9.058.108.27
Future compensation increase rate(3)
 
Non-U.S. pension plans(1)
  
Range1.30 to 13.671.17 to 13.671.25 to 70.00
Weighted average3.163.083.21
Expected return on assets  
U.S. plans


Qualified pension(4)
6.706.80/6.706.80
Postretirement(4)(5)
6.70/3.006.80/6.70/3.006.80
Non-U.S. pension plans(1)
  
Range1.00 to 11.500.00 to 11.601.00 to 11.50
Weighted average4.304.524.55
Non-U.S. postretirement plans(1)
  
Range8.00 to 9.208.00 to 9.808.00 to 10.30
Weighted average8.018.018.02


(1)Reflects rates utilized to determine the quarterly expense for Significant non-U.S. pension and postretirement plans.
(2)Due to substantial downward movement in yields, there were negative discount rates for plans with relatively short duration in major markets, such as the Eurozone and Switzerland.
(3)Not material for U.S. plans.
(4)The expected rate of return for the U.S. pension and postretirement plans was lowered from 6.80% to 6.70% effective in the second quarter of 2018 to reflect a change in target asset allocation.
(5)In 2017, the VEBA Trust was funded with an expected rate of return on assets of 3.00%.


Discount Rate
The discount rates for the U.S. pension and postretirement plans were selected by reference to a Citigroup-specific analysis using each plan’s specific cash flows and compared with high-quality corporate bond indices for reasonableness. The discount rates for the non-U.S. pension and postretirement plans are selected by reference to high-quality corporate bond rates in countries that have developed corporate bond markets. However, where developed corporate bond markets do not exist, the discount rates are selected by reference to local government bond rates with a premium added to reflect the additional risk for corporate bonds in certain countries.
Effective December 31, 2019, the established rounding convention is to the nearest 5 bps for all countries.

Expected Rate of Return
The Company determines its assumptions for the expected rate of return on plan assets for its U.S. pension and postretirement plans using a “building block” approach, which focuses on ranges of anticipated rates of return for each asset class. A weighted average range of nominal rates is then determined based on target allocations to each asset class. Market performance over a number of earlier years is evaluated covering a wide range of economic conditions to determine whether there are sound reasons for projecting any past trends.
The Company considers the expected rate of return to be a long-term assessment of return expectations and does not anticipate changing this assumption unless there are significant changes in investment strategy or economic conditions. This contrasts with the selection of the discount rate and certain other assumptions, which are reconsidered annually (or quarterly for the Significant Plans) in accordance with GAAP.
The expected rate of return for the U.S. pension and postretirement plans was 6.70% at December 31, 2019 and 2018 and 6.80% at December 31, 2017. The expected return on assets reflects the expected annual appreciation of the plan assets and reduces the Company’s annual pension expense. The expected return on assets is deducted from the sum of service cost, interest cost and other components of pension expense to arrive at the net pension (benefit) expense.
The following table shows the expected rates of return used in determining the Company’s pension expense compared to the actual rate of return on plan assets during 2019, 2018 and 2017 for the U.S. pension and postretirement plans:
 U.S. plans201920182017
Expected rate of return


U.S. pension and postretirement trust6.70%6.80%/6.70%6.80%
VEBA trust(1)
3.003.003.00
Actual rate of return(2)



U.S. pension and postretirement trust15.20-3.4010.90
VEBA trust(1)
1.91 to 2.760.43 to 1.41—
(1)In December 2017, the VEBA Trust was funded for postretirement benefits with an expected rate of return on assets of 3.00%.
(2)Actual rates of return are presented net of fees.

For the non-U.S. pension plans, pension expense for 2019 was reduced by the expected return of $281 million, compared with the actual return of $781 million. Pension expense for 2018 and 2017 was reduced by expected returns of $291 million and $299 million, respectively.

Mortality Tables
At December 31, 2019, the Company adopted the Private Retirement Plans (PRI-2012) mortality table and the Mortality Projection 2019 (MP-2019) projection table for the U.S. plans.
 U.S. plans
2019(1)
2018(2)
Mortality
PensionPRI-2012/MP-2019RP-2014/MP-2018
PostretirementPRI-2012/MP-2019RP-2014/MP-2018

(1)The PRI-2012 table is the white-collar PRI-2012 table. The MP-2019 projection scale is projected from 2012, with convergence to 0.75% ultimate rate of annual improvement by 2035.
(2)The RP-2014 table is the white-collar RP-2014 table. The MP-2018 projection scale is projected from 2006, with convergence to 0.75% ultimate rate of annual improvement by 2034.


Sensitivities of Certain Key Assumptions
The following tables summarize the effect on pension expense:
 Discount rate
 One-percentage-point increase
In millions of dollars201920182017
U.S. plans$28
$25
$29
Non-U.S. plans(19)(22)(27)
 One-percentage-point decrease
In millions of dollars201920182017
U.S. plans$(44)$(37)$(44)
Non-U.S. plans32
32
41


The U.S. Qualified Pension Plan was frozen in 2008, and as a result, most service cost has been eliminated. The pension expense for the U.S. Qualified Pension Plan is driven primarily by interest cost rather than by service cost. An increase in the discount rate generally increases pension expense.
For Non-U.S. Pension Plans that are not frozen (in countries such as Mexico, the U.K. and South Korea), there is more service cost. The pension expense for the Non-U.S. Plans is driven by both service cost and interest cost. An increase in the discount rate generally decreases pension expense due to the greater impact on service cost compared to interest cost.
Since the U.S. Qualified Pension Plan was frozen, most of the prospective service cost has been eliminated and the gain/loss amortization period was changed to the life expectancy for inactive participants. As a result, pension expense for the U.S. Qualified Pension Plan is driven more by interest costs than service costs, and an increase in the discount rate would increase pension expense, while a decrease in the discount rate would decrease pension expense.
The following tables summarize the effect on pension expense:
 Expected rate of return
 One-percentage-point increase
In millions of dollars201920182017
U.S. plans$(123)$(126)$(127)
Non-U.S. plans(64)(64)(64)
 One-percentage-point decrease
In millions of dollars201920182017
U.S. plans$123
$126
$127
Non-U.S. plans64
64
64

Health Care Cost Trend Rate
Assumed health care cost trend rates were as follows:
 20192018
Health care cost increase rate for 
  U.S. plans
  
Following year6.75%7.00%
Ultimate rate to which cost increase is
  assumed to decline
5.005.00
Year in which the ultimate rate is
reached		20272027
   
Health care cost increase rate for 
  Non-U.S. plans (weighted average)
  
Following year6.85%6.90%
Ultimate rate to which cost increase is
  assumed to decline
6.856.90
Year in which the ultimate rate
  is reached
20202019


Interest Crediting Rate
The Company has cash balance plans and other plans with promised interest crediting rates. For these plans, the interest crediting rates are set in line with plan rules or country legislation and do not change with market conditions.

 Weighted average interest crediting rate
At year end201920182017
U.S. plans2.25%3.25%2.60%
Non-U.S. plans1.611.681.74




Plan Assets
Citigroup’s pension and postretirement plans’ asset allocations for the U.S. plans and the target allocations by asset category based on asset fair values, are as follows:
 
Target asset
allocation
U.S. pension assets
at December 31,
U.S. postretirement assets
at December 31,
Asset category(1)
20202019201820192018
Equity securities(2)
0–26%17%15%17%15%
Debt securities(3)
35–8258
57
58
57
Real estate0–74
5
4
5
Private equity0–103
3
3
3
Other investments0–3018
20
18
20
Total 100%100%100%100%
(1)Asset allocations for the U.S. plans are set by investment strategy, not by investment product. For example, private equities with an underlying investment in real estate are classified in the real estate asset category, not private equity.
(2)Equity securities in the U.S. pension and postretirement plans do not include any Citigroup common stock at the end of 2019 and 2018.
(3)The VEBA Trust for postretirement benefits are primarily invested in cash equivalents and debt securities in 2019 and 2018, respectively, and are not reflected in the table above.

Third-party investment managers and advisors provide their services to Citigroup’s U.S. pension and postretirement plans. Assets are rebalanced as the Company’s Pension Plan Investment Committee deems appropriate. Citigroup’s investment strategy, with respect to its assets, is to maintain a globally diversified investment portfolio across several asset classes that, when combined with Citigroup’s contributions to

the plans, will maintain the plans’ ability to meet all required benefit obligations.
Citigroup’s pension and postretirement plans’ weighted-average asset allocations for the non-U.S. plans and the actual ranges, and the weighted-average target allocations by asset category based on asset fair values, are as follows:
 Non-U.S. pension plans
 
Target asset
allocation
Actual range
at December 31,
Weighted-average
at December 31,
Asset category(1)
20202019201820192018
Equity securities0–100%0–100%0–66%13%13%
Debt securities0–1000–1000–10080
80
Real estate0–150–150–121
1
Other investments0–1000–1000–1006
6
Total


100%100%

(1)Similar to the U.S. plans, asset allocations for certain non-U.S. plans are set by investment strategy, not by investment product.

 Non-U.S. postretirement plans
 
Target asset
allocation
Actual range
at December 31,
Weighted-average
at December 31,
Asset category(1)
20202019201820192018
Equity securities0–38%0–31%0–35%27%35%
Debt securities56–10066–10062–10071
62
Other investments0–60–30–32
3
Total


100%100%
(1)Similar to the U.S. plans, asset allocations for certain non-U.S. plans are set by investment strategy, not by investment product.




Fair Value Disclosure
For information on fair value measurements, including descriptions of Levels 1, 2 and 3 of the fair value hierarchy and the valuation methodology utilized by the Company, see Notes 1 and 24 to the Consolidated Financial Statements. ASU 2015-07 removed the requirement to categorize within the fair value hierarchy investments for which fair value is measured using the NAV per share practical expedient.
Certain investments may transfer between the fair value hierarchy classifications during the year due to changes in valuation methodology and pricing sources.
Plan assets by detailed asset categories and the fair value hierarchy are as follows:
 
U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2019
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities

$739
$—
$—
$739
Non-U.S. equities

553
—
—
553
Mutual funds and other registered investment companies

280
—
—
280
Commingled funds

—
1,410
—
1,410
Debt securities

1,534
4,046
—
5,580
Annuity contracts—
—
1
1
Derivatives10
245
—
255
Other investments—
—
75
75
Total investments$3,116
$5,701
$76
$8,893
Cash and short-term investments$93
$1,080
$—
$1,173
Other investment liabilities(87)(249)—
(336)
Net investments at fair value$3,122
$6,532
$76
$9,730
Other investment receivables redeemed at NAV   $22
Securities valued at NAV   3,310
Total net assets   $13,062
(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2019, the allocable interests of the U.S. pension and postretirement plans were 98.0% and 2.0%, respectively. The investments of the VEBA Trust for postretirement benefits are reflected in the above table.
 
U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2018
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities

$625
$—
$—
$625
Non-U.S. equities

481
—
—
481
Mutual funds and other registered investment companies


215
—
—
215
Commingled funds—
1,344
—
1,344
Debt securities1,346
3,443
—
4,789
Annuity contracts—
—
1
1
Derivatives16
252
—
268
Other investments—
—
127
127
Total investments$2,683
$5,039
$128
$7,850
Cash and short-term investments$93
$897
$—
$990
Other investment liabilities(100)(254)—
(354)
Net investments at fair value$2,676
$5,682
$128
$8,486
Other investment receivables redeemed at NAV   $80
Securities valued at NAV    3,269
Total net assets   $11,835
(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2018, the allocable interests of the U.S. pension and postretirement plans were 98.0% and 2.0%, respectively. The investments of the VEBA Trust for postretirement benefits are reflected in the above table.

 Non-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2019
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$4
$12
$—
$16
Non-U.S. equities127
262
—
389
Mutual funds and other registered investment companies3,223
63
—
3,286
Commingled funds23
—
—
23
Debt securities4,307
1,615
10
5,932
Real estate—
3
1
4
Annuity contracts—
—
5
5
Derivatives—
1,590
—
1,590
Other investments1
—
274
275
Total investments$7,685
$3,545
$290
$11,520
Cash and short-term investments$86
$3
$—
$89
Other investment liabilities(3)(2,938)—
(2,941)
Net investments at fair value$7,768
$610
$290
$8,668
Securities valued at NAV    $15
Total net assets   $8,683
 Non-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2018
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$4
$9
$—
$13
Non-U.S. equities100
100
—
200
Mutual funds and other registered investment companies

2,887
63
—
2,950
Commingled funds21
—
—
21
Debt securities5,145
1,500
9
6,654
Real estate—
3
1
4
Annuity contracts—
1
10
11
Derivatives—
156
—
156
Other investments1
—
210
211
Total investments$8,158
$1,832
$230
$10,220
Cash and short-term investments$91
$3
$—
$94
Other investment liabilities(1)(2,589)—
(2,590)
Net investments at fair value$8,248
$(754)$230
$7,724
Securities valued at NAV    $11
Total net assets   $7,735




Level 3 Rollforward
The reconciliations of the beginning and ending balances during the year for Level 3 assets are as follows:
In millions of dollarsU.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2018
Realized (losses)Unrealized gainsPurchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2019
Annuity contracts$1
$—
$—
$—
$—
$1
Other investments127
(7)12
(57)—
75
Total investments$128
$(7)$12
$(57)$—
$76

In millions of dollarsU.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2017
Realized (losses)Unrealized (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2018
Annuity contracts$1
$—
$—
$—
$—
$1
Other investments148
(2)(18)(1)—
127
Total investments$149
$(2)$(18)$(1)$—
$128

 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2018
Unrealized gainsPurchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2019
Debt securities$9
$1
$—
$—
$10
Real estate1
—
—
—
1
Annuity contracts10
—
(5)—
5
Other investments210
7
57
—
274
Total investments$230
$8
$52
$—
$290


 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at
Dec. 31, 2017		Unrealized (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3
Ending Level 3 fair value at
Dec. 31, 2018
Non-U.S. equities$1
$—
$—
$(1)$—
Debt securities7
(1)3
—
9
Real estate1
—
—
—
1
Annuity contracts9
(1)1
1
10
Other investments214
(3)(1)—
210
Total investments$232
$(5)$3
$—
$230





Investment Strategy
The Company’s global pension and postretirement funds’ investment strategy is to invest in a prudent manner for the exclusive purpose of providing benefits to participants. The investment strategies are targeted to produce a total return that, when combined with the Company’s contributions to the funds, will maintain the funds’ ability to meet all required benefit obligations. Risk is controlled through diversification of asset types and investments in domestic and international equities, fixed income securities and cash and short-term investments. The target asset allocation in most locations outside the U.S. is primarily in equity and debt securities. These allocations may vary by geographic region and country depending on the nature of applicable obligations and various other regional considerations. The wide variation in the actual range of plan asset allocations for the funded non-U.S. plans is a result of differing local statutory requirements and economic conditions. For example, in certain countries local law requires that all pension plan assets must be invested in fixed income investments, government funds or local-country securities.
Significant Concentrations of Risk in Plan Assets
The assets of the Company’s pension plans are diversified to limit the impact of any individual investment. The U.S. qualified pension plan is diversified across multiple asset classes, with publicly traded fixed income, hedge funds, publicly traded equity and real estate representing the most significant asset allocations. Investments in these four asset classes are further diversified across funds, managers, strategies, vintages, sectors and geographies, depending on the specific characteristics of each asset class. The pension assets for the Company’s non-U.S. Significant Plans are primarily invested in publicly traded fixed income and publicly traded equity securities.

Oversight and Risk Management Practices
The framework for the Company’s pension oversight process includes monitoring of retirement plans by plan fiduciaries and/or management at the global, regional or country level, as appropriate. Independent Risk Management contributes to the risk oversight and monitoring for the Company’s U.S. qualified pension plan and non-U.S. Significant Pension Plans. Although the specific components of the oversight process are tailored to the requirements of each region, country and plan, the following elements are common to the Company’s monitoring and risk management process:
periodic asset/liability management studies and strategic asset allocation reviews;
periodic monitoring of funding levels and funding ratios;
periodic monitoring of compliance with asset allocation guidelines;
periodic monitoring of asset class and/or investment manager performance against benchmarks; and
periodic risk capital analysis and stress testing.

Estimated Future Benefit Payments
The Company expects to pay the following estimated benefit payments in future years:
 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
2020$821
$476
$64
$75
2021840
434
63
80
2022851
464
61
85
2023866
480
59
91
2024873
495
57
97
2025–20294,282
2,651
244
567



Post Employment Plans
The Company sponsors U.S. post employment plans that provide income continuation and health and welfare benefits to certain eligible U.S. employees on long-term disability.
As of December 31, 2019 and 2018, the plans’ funded status recognized in the Company’s Consolidated Balance Sheet was $(38) million and $(32) million, respectively. The pretax amounts recognized in AOCI as of December 31, 2019 and 2018 were $(15) million and $(15) million, respectively.
The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:
 Net expense
In millions of dollars201920182017
Service-related expense 
 
 
Interest cost on benefit obligation$2
$2
$2
Expected return on plan assets(1)(1)—
Amortization of unrecognized:   
   Prior service cost—
(23)(31)
   Net actuarial loss2
2
2
Total service-related (benefit) expense$3
$(20)$(27)
Non-service-related expense (benefit)$6
$2
$30
Total net expense (benefit)$9
$(18)$3


The following table summarizes certain assumptions used in determining the post employment benefit obligations and net benefit expense for the Company’s U.S. post employment plans: 
 20192018
Discount rate2.90%3.95%
Expected return on assets3.003.00
Health care cost increase rate  
Following year6.757.00
Ultimate rate to which cost increase is assumed to decline5.005.00
Year in which the ultimate rate is reached20272027


Defined Contribution Plans
The Company sponsors defined contribution plans in the U.S. and in certain non-U.S. locations, all of which are administered in accordance with local laws. The most significant defined contribution plan is the Citi Retirement Savings Plan (formerly known as the Citigroup 401(k) Plan) sponsored by the Company in the U.S.
Under the Citi Retirement Savings Plan, eligible U.S. employees received matching contributions of up to 6% of their eligible compensation for 2019 and 2018, subject to statutory limits. In addition, for eligible employees whose eligible compensation is $100,000 or less, a fixed contribution of up to 2% of eligible compensation is provided. All Company contributions are invested according to participants’ individual elections. The following tables summarize the Company contributions for the defined contribution plans:
 U.S. plans
In millions of dollars201920182017
Company contributions$404
$396
$383
    
 Non-U.S. plans
In millions of dollars201920182017
Company contributions$281
$283
$270



9. INCOME TAXES

Income Tax Provision
Details of the Company’s income tax provision are presented below:
In millions of dollars201920182017
Current 
 
 
Federal$365
$834
$332
Non-U.S.4,352
4,290
3,910
State323
284
269
Total current income taxes$5,040
$5,408
$4,511
Deferred 
 
 
Federal$(907)$(620)$24,902
Non-U.S.10
371
(377)
State287
198
352
Total deferred income taxes$(610)$(51)$24,877
Provision for income tax on continuing operations before noncontrolling interests(1)
$4,430
$5,357
$29,388
Provision (benefit) for income taxes on discontinued operations(27)(18)7
Income tax expense (benefit) reported in stockholders’ equity related to:  
 
FX translation(11)(263)188
Investment securities648
(346)(149)
Employee stock plans(16)(2)(4)
Cash flow hedges269
(8)(12)
Benefit plans(119)(20)13
FVO DVA(337)302
(250)
Excluded fair value hedges8
(17)—
Retained earnings(2)
46
(305)(295)
Income taxes before noncontrolling interests$4,891
$4,680
$28,886
(1)Includes the tax on realized investment gains and other-than-temporary-impairment losses resulting in a provision (benefit) of $373 million and $(9) million in 2019, $104 million and $(32) million in 2018 and $272 million and $(22) million in 2017, respectively.
(2)2019 reflects the tax effect of the accounting change for ASU 2016-02. 2018 reflects the tax effect of the accounting change for ASU 2016-16 and the tax effect of the accounting change for ASU 2018-03, to report the net unrealized gains on former AFS equity securities. 2017 reflects the tax effect of the accounting change for ASU 2017-08. See Note 1 to the Consolidated Financial Statements. 

Tax Rate
The reconciliation of the federal statutory income tax rate to the Company’s effective income tax rate applicable to income from continuing operations (before noncontrolling interests and the cumulative effect of accounting changes) for each of the periods indicated is as follows:
 201920182017
Federal statutory rate21.0 %21.0 %35.0 %
State income taxes, net of federal benefit1.9
1.8
1.1
Non-U.S. income tax rate differential1.3
5.3
(1.6)
Effect of tax law changes(1)
(0.5)(0.6)99.7
Basis difference in affiliates(0.1)(2.4)(2.1)
Tax advantaged investments(2.3)(2.0)(2.2)
Valuation allowance releases(2)
(3.0)—
—
Other, net0.2
(0.3)(0.8)
Effective income tax rate18.5 %22.8 %129.1 %
(1)2018 includes one-time Tax Reform benefits of $94 million for amounts that were considered provisional pursuant to SAB 118. 2017 includes the one-time $22,594 million charge for Tax Reform.
(2)See the Deferred Tax Assets section below for a description of the components.
As set forth in the table above, Citi’s effective tax rate for 2019 was 18.5%. The rate is lower than the 22.8% reported in 2018, primarily due to the general basket FTC valuation allowance release.

Deferred Income Taxes
Deferred income taxes at December 31 related to the following:
In millions of dollars20192018
Deferred tax assets 
 
Credit loss deduction$3,809
$3,419
Deferred compensation and employee benefits2,224
1,975
Repositioning and settlement reserves345
428
U.S. tax on non-U.S. earnings1,030
2,080
Investment and loan basis differences2,727
4,891
Tax credit and net operating loss carry-forwards19,711
20,759
Fixed assets and leases2,607
1,006
Other deferred tax assets2,996
2,385
Gross deferred tax assets$35,449
$36,943
Valuation allowance$6,476
$9,258
Deferred tax assets after valuation allowance$28,973
$27,685
Deferred tax liabilities 
 
Intangibles and leases$(2,640)$(1,284)
Debt issuances(201)(530)
Non-U.S. withholding taxes(974)(1,040)
Interest-related items(587)(594)
Other deferred tax liabilities(1,477)(1,334)
Gross deferred tax liabilities$(5,879)$(4,782)
Net deferred tax assets$23,094
$22,903


Unrecognized Tax Benefits
The following is a rollforward of the Company’s unrecognized tax benefits:
In millions of dollars201920182017
Total unrecognized tax benefits at January 1$607
$1,013
$1,092
Net amount of increases for current year’s tax positions50
40
43
Gross amount of increases for prior years’ tax positions151
46
324
Gross amount of decreases for prior years’ tax positions(44)(174)(246)
Amounts of decreases relating to settlements(21)(283)(199)
Reductions due to lapse of statutes of limitation(23)(23)(11)
Foreign exchange, acquisitions and dispositions1
(12)10
Total unrecognized tax benefits at December 31$721
$607
$1,013

The total amounts of unrecognized tax benefits at December 31, 2019, 2018 and 2017 that, if recognized, would affect Citi’s tax expense are $0.6 billion, $0.4 billion and $0.8 billion, respectively. The remaining uncertain tax positions have offsetting amounts in other jurisdictions or are temporary differences.
Interest and penalties (not included in “unrecognized tax benefits” above) are a component of Provision for income taxes. 

 201920182017
In millions of dollarsPretaxNet of taxPretaxNet of taxPretaxNet of tax
Total interest and penalties on the Consolidated Balance Sheet at January 1$103
$85
$121
$101
$260
$164
Total interest and penalties in the Consolidated Statement of Income(4)(4)6
6
5
21
Total interest and penalties on the Consolidated Balance Sheet at December 31(1)
100
82
103
85
121
101
(1)Includes $3 million, $2 million and $3 million for non-U.S. penalties in 2019, 2018 and 2017. Also includes $1 million, $1 million and $3 million for state penalties in 2019, 2018 and 2017.

As of December 31, 2019, Citi was under audit by the Internal Revenue Service and other major taxing jurisdictions around the world. It is thus reasonably possible that significant changes in the gross balance of unrecognized tax benefits may occur within the next 12 months, although Citi does not expect such audits to result in amounts that would cause a significant change to its effective tax rate.
The following are the major tax jurisdictions in which the Company and its affiliates operate and the earliest tax year subject to examination:
JurisdictionTax year
United States2016
Mexico2014
New York State and City2009
United Kingdom2015
India2016
Singapore2011
Hong Kong2013
Ireland2015


Non-U.S. Earnings
Non-U.S. pretax earnings approximated $16.7 billion in 2019, $16.1 billion in 2018 and $13.7 billion in 2017. As a U.S. corporation, Citigroup and its U.S. subsidiaries are currently subject to U.S. taxation on all non-U.S. pretax earnings of non-U.S. branches. Beginning in 2018, there is a separate foreign tax credit (FTC) basket for branches. Also, dividends from a non-U.S. subsidiary or affiliate are effectively exempt from U.S. taxation. The Company provides income taxes on the book over tax basis differences of non-U.S. subsidiaries except to the extent that such differences are indefinitely reinvested outside the U.S.
At December 31, 2019, $10.9 billion of basis differences of non-U.S. entities was indefinitely invested compared to $15.5 billion at December 31, 2018. At the existing tax rates, additional taxes (net of U.S. FTCs) of $4.1 billion would have to be provided if such assertions were reversed. The decrease of $4.6 billion in basis differences from the prior year end was primarily due to a tax election to treat a contiguous country affiliate as a branch rather than a subsidiary.
Income taxes are not provided for the Company’s “savings bank base year bad debt reserves” that arose before 1988, because under current U.S. tax rules, such taxes will become payable only to the extent that such amounts are distributed in excess of limits prescribed by federal law. At December 31, 2019, the amount of the base year reserves

totaled approximately $358 million (subject to a tax of $75 million).

Deferred Tax Assets
As of December 31, 2019, Citi had a valuation allowance of $6.5 billion, composed of valuation allowances of $4.6 billion on its FTC carry-forwards, $0.8 billion on its U.S. residual DTA related to its non-U.S. branches, $1.0 billion on local non-U.S. DTAs and $0.1 billion on state net operating loss carry-forwards. The valuation allowance against FTCs results from the impact of the lower tax rate and the new separate FTC basket for non-U.S. branches. The absolute amount of Citi’s post-Tax Reform-related valuation allowances may change in future years. First, the separate FTC basket for non-U.S. branches may result in additional DTAs (for FTCs) requiring a valuation allowance, given that the local tax rate for these branches exceeds on average the U.S. tax rate of 21%, offset by expirations of carry-forwards. The valuation allowance for the branch basket FTCs was reduced from $4.4 billion to $3.5 billion, primarily as a result of the expiration of the 2009 FTC carry-forward.
Second, in Citi’s general basket for FTCs, changes in the forecasted amount of income in U.S. locations derived from sources outside the U.S., as well as actions that Citi may be able to take to enhance such income, in addition to tax examination changes from prior years, could alter the amount of valuation allowance that is needed against such FTCs. The valuation allowance for the general basket decreased from $1.6 billion to $1.1 billion. The decrease consists of the following items. Citi committed to a plan to move a financing business involving non-U.S. clients and its associated funding to the U.S. The incremental foreign source income generated by this action over time will more-likely-than-not enable usage of FTC carry-forwards of $0.2 billion. In addition, Citi committed to a plan as part of the Company’s liquidity management program, to increase its ownership of certain types of non-U.S. securities and to hold such securities in its U.S. operations. The incremental foreign source income generated by this action will more-likely-than-not enable the usage of FTC carry-forwards of another $0.2 billion. The remainder of the decrease in the valuation allowance in the general basket was the result of other increases in foreign source income of $0.3 billion (of which $0.2 billion is considered discrete and $0.1 billion is related to changes in 2019 foreign source income), partially offset by an increase of $0.2 billion relating to prior years’ tax return adjustments that increased FTCs and the corresponding valuation allowance. The valuation allowance for U.S. residual DTA related to its non-U.S. branches decreased from $1.7 billion to $0.8 billion primarily due to a tax election to convert a contiguous country subsidiary into a branch, which resulted in $0.9 billion of U.S. DTLs offsetting non-U.S local DTAs. In addition, the non-U.S. local valuation allowance was reduced from $1.5 billion to $1.0 billion, primarily due to an expiration of NOL carry-forwards in a non-U.S. jurisdiction. The following table summarizes Citi’s DTAs:

In billions of dollars  
Jurisdiction/component(1)
DTAs balance December 31, 2019DTAs balance December 31, 2018
U.S. federal(2)
 
 
Net operating losses (NOLs)(3)
$2.8
$2.6
Foreign tax credits (FTCs)6.3
6.8
General business credits (GBCs)2.5
1.0
Future tax deductions and credits6.2
6.7
Total U.S. federal$17.8
$17.1
State and local 
 
New York NOLs$1.7
$2.0
Other state NOLs0.2
0.2
Future tax deductions1.3
1.4
Total state and local$3.2
$3.6
Non-U.S. 
 
NOLs$0.5
$0.6
Future tax deductions1.6
1.6
Total non-U.S.$2.1
$2.2
Total$23.1
$22.9
(1)All amounts are net of valuation allowances.
(2)Included in the net U.S. federal DTAs of $17.8 billion as of December 31, 2019 were deferred tax liabilities of $3.4 billion that will reverse in the relevant carry-forward period and may be used to support the DTAs.
(3)Consists of non-consolidated tax return NOL carry-forwards that are eventually expected to be utilized in Citigroup’s consolidated tax return. 


The following table summarizes the amounts of tax carry-forwards and their expiration dates: 
In billions of dollars 
Year of expirationDecember 31, 2019December 31, 2018
U.S. tax return general basket foreign tax credit carry-forwards(1)
 
 
2020$0.9
$2.0
20211.1
1.1
20222.4
2.4
20230.4
0.4
20251.4
1.4
20271.2
1.1
Total U.S. tax return general basket foreign tax credit carry-forwards$7.4
$8.4
U.S. tax return branch basket foreign tax credit carry-forwards(1)
 
 
2019$—
$0.9
20200.7
0.6
20210.6
0.7
20221.0
0.9
20280.9
1.3
20290.3
—
Total U.S. tax return branch basket foreign tax credit carry-forwards$3.5
$4.4
U.S. tax return general business credit carry-forwards  
2033$0.3
$—
20340.2
—
20350.2
—
20360.1
0.1
20370.5
0.4
20380.5
0.5
20390.7
—
Total U.S. tax return general business credit carry-forwards$2.5
$1.0
U.S. subsidiary separate federal NOL carry-forwards 
 
2027$0.1
$0.2
20280.1
0.1
20300.3
0.3
2032—
0.1
20331.6
1.6
20342.0
2.1
20353.3
3.3
20362.1
2.1
20371.0
1.0
Unlimited carry-forward period3.0
1.7
Total U.S. subsidiary separate federal NOL carry-forwards(2)
$13.5
$12.5
New York State NOL carry-forwards(2)
 
 
2034$9.9
$11.7
New York City NOL carry-forwards(2)
 
 
2034$10.0
$11.5
Non-U.S. NOL carry-forwards(1)
 
 
Various$1.5
$2.0

(1)Before valuation allowance.
(2)Pretax.

The time remaining for utilization of the FTC component has shortened, given the passage of time. Although realization is not assured, Citi believes that the realization of the recognized net DTAs of $23.1 billion at December 31, 2019 is more-likely-than-not, based upon expectations as to future taxable income in the jurisdictions in which the DTAs arise and consideration of available tax planning strategies (as defined in ASC 740, Income Taxes).
Citi believes the U.S. federal and New York State and City NOL carry-forward period of 20 years provides enough time to fully utilize the DTAs pertaining to the existing NOL carry-forwards. This is due to Citi’s forecast of sufficient U.S. taxable income and the fact that New York State and City continue to tax Citi’s non-U.S. income.
With respect to the FTCs component of the DTAs, the carry-forward period is 10 years. Utilization of FTCs in any year is generally limited to 21% of foreign source taxable income in that year. However, overall domestic losses that Citi has incurred of approximately $39 billion as of December 31, 2019 are allowed to be reclassified as foreign source income to the extent of 50%–100% (at taxpayer’s election) of domestic source income produced in subsequent years. Such resulting foreign source income would substantially cover the FTC carry-forwards after valuation allowance. As noted in the tables above, Citi’s FTC carry-forwards were $6.3 billion ($10.9 billion before valuation allowance) as of December 31, 2019, compared to $6.8 billion as of December 31, 2018. Citi believes that it will generate sufficient U.S. taxable income within the 10-year carry-forward period to be able to utilize the net FTCs after the valuation allowance, after considering any FTCs produced in the tax return for such period, which must be used prior to any carry-forward utilization.


10.     EARNINGS PER SHARE
The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations:
In millions of dollars, except per share amounts201920182017
Earnings per common share   
Income from continuing operations before attribution of noncontrolling interests$19,471
$18,088
$(6,627)
Less: Noncontrolling interests from continuing operations66
35
60
Net income from continuing operations (for EPS purposes)$19,405
$18,053
$(6,687)
Loss from discontinued operations, net of taxes(4)(8)(111)
Citigroup's net income$19,401
$18,045
$(6,798)
Less: Preferred dividends(1)
1,109
1,174
1,213
Net income available to common shareholders$18,292
$16,871
$(8,011)
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares
with rights to dividends, applicable to basic EPS		121
200
37
Net income allocated to common shareholders for basic EPS$18,171
$16,671
$(8,048)
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,249.2
2,493.3
2,698.5
Basic earnings per share(2)
 
  
Income from continuing operations$8.08
$6.69
$(2.94)
Discontinued operations—
—
(0.04)
Net income per share—basic$8.08
$6.69
$(2.98)
Diluted earnings per share 
   
Net income allocated to common shareholders for basic EPS$18,171
$16,671
$(8,048)
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends
that are forfeitable		33
—
—
Net income allocated to common shareholders for diluted EPS$18,204
$16,671
$(8,048)
Weighted-average common shares outstanding applicable to basic EPS (in millions)
$2,249.2
$2,493.3
$2,698.5
Effect of dilutive securities   
   Options(3)
0.1
0.1
—
   Other employee plans16.0
1.4
—
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4)
2,265.3
2,494.8
2,698.5
Diluted earnings per share(2)
   
Income from continuing operations$8.04
$6.69
$(2.94)
Discontinued operations—
—
(0.04)
Net income per share—diluted$8.04
$6.68
$(2.98)
(1)See Note 20 to the Consolidated Financial Statements for the potential future impact of preferred stock dividends.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(3)During 2019, no significant options to purchase shares of common stock were outstanding. During 2018 and 2017, weighted-average options to purchase 0.5 million and 0.8 million shares of common stock, respectively, were outstanding but not included in the computation of earnings per share because the weighted-average exercise prices of $145.69 and $204.80 per share, respectively, were anti-dilutive.
(4)Due to rounding, common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to common shares outstanding applicable to diluted EPS.



11. SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS
Securities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following:
 December 31,December 31,
In millions of dollars20192018
Securities purchased under agreements to resell$169,874
$159,364
Deposits paid for securities borrowed81,448
111,320
Total(1)
$251,322
$270,684

Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:
 December 31,December 31,
In millions of dollars20192018
Securities sold under agreements to repurchase$155,164
$166,090
Deposits received for securities loaned11,175
11,678
Total(1)
$166,339
$177,768

(1)
The above tables do not include securities-for-securities lending transactions of $6.3 billion and $15.9 billion at December 31, 2019 and 2018, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.

The resale and repurchase agreements represent collateralized financing transactions. Citi executes these transactions primarily through its broker-dealer subsidiaries to facilitate customer matched-book activity and to efficiently fund a portion of Citi’s trading inventory. Transactions executed by Citi’s bank subsidiaries primarily facilitate customer financing activity.
To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral and stipulating financing tenor. Citi manages the risks in its collateralized financing transactions by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. In addition, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress.
It is the Company’s policy to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary, require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the Company posts additional collateral in order to maintain contractual margin protection.
Collateral typically consists of government and government-agency securities, corporate and municipal bonds, equities and mortgage- and other asset-backed securities.
The resale and repurchase agreements are generally documented under industry standard agreements that allow the prompt close-out of all transactions (including the liquidation of securities held) and the offsetting of obligations to return cash or securities by the non-defaulting party, following a payment default or other type of default under the relevant master agreement. Events of default generally include (i) failure to deliver cash or securities as required under the transaction, (ii) failure to provide or return cash or securities as used for margining purposes, (iii) breach of representation, (iv) cross-default to another transaction entered into among the parties, or, in some cases, their affiliates and (v) a repudiation of obligations under the agreement. The counterparty that receives the securities in these transactions is generally unrestricted in its use of the securities, with the exception of transactions executed on a tri-party basis, where the collateral is maintained by a custodian and operational limitations may restrict its use of the securities.
A substantial portion of the resale and repurchase agreements is recorded at fair value, as described in Notes 24 and 25 to the Consolidated Financial Statements. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements.
The securities borrowing and lending agreements also represent collateralized financing transactions similar to the resale and repurchase agreements. Collateral typically consists of government and government-agency securities and corporate debt and equity securities.
Similar to the resale and repurchase agreements, securities borrowing and lending agreements are generally documented under industry standard agreements that allow the prompt close-out of all transactions (including the liquidation of securities held) and the offsetting of obligations to return cash or securities by the non-defaulting party, following a payment default or other default by the other party under the relevant master agreement. Events of default and rights to use securities under the securities borrowing and lending agreements are similar to the resale and repurchase agreements referenced above.
A substantial portion of securities borrowing and lending agreements is recorded at the amount of cash advanced or received. The remaining portion is recorded at fair value as the Company elected the fair value option for certain securities borrowed and loaned portfolios, as described in Note 25 to the Consolidated Financial Statements. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
The enforceability of offsetting rights incorporated in the master netting agreements for resale and repurchase agreements, and securities borrowing and lending agreements, is evidenced to the extent that (i) a supportive legal opinion

has been obtained from counsel of recognized standing that provides the requisite level of certainty regarding the enforceability of these agreements and (ii) the exercise of rights by the non-defaulting party to terminate and close out transactions on a net basis under these agreements will not be stayed or avoided under applicable law upon an event of default including bankruptcy, insolvency or similar proceeding.
A legal opinion may not have been sought or obtained for certain jurisdictions where local law is silent or sufficiently ambiguous to determine the enforceability of offsetting rights or where adverse case law or conflicting regulation may cast doubt on the enforceability of such rights. In some jurisdictions and for some counterparty types, the insolvency law for a particular counterparty type may be nonexistent or
unclear as overlapping regimes may exist. For example, this may be the case for certain sovereigns, municipalities, central banks and U.S. pension plans.
The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending
agreements and the related offsetting amounts permitted under ASC 210-20-45. The tables also include amounts related to financial instruments that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting rights has been obtained. Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.
 As of December 31, 2019
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities purchased under agreements to resell$281,274
$111,400
$169,874
$134,150
$35,724
Deposits paid for securities borrowed90,047
8,599
81,448
27,067
54,381
Total$371,321
$119,999
$251,322
$161,217
$90,105

In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$266,564
$111,400
$155,164
$91,034
$64,130
Deposits received for securities loaned19,774
8,599
11,175
3,138
8,037
Total$286,338
$119,999
$166,339
$94,172
$72,167


 As of December 31, 2018
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities purchased under agreements to resell$246,788
$87,424
$159,364
$124,557
$34,807
Deposits paid for securities borrowed111,320
—
111,320
35,766
75,554
Total$358,108
$87,424
$270,684
$160,323
$110,361
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$253,514
$87,424
$166,090
$82,823
$83,267
Deposits received for securities loaned11,678
—
11,678
3,415
8,263
Total$265,192
$87,424
$177,768
$86,238
$91,530

(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(3)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by remaining contractual maturity:

 As of December 31, 2019
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$108,534
$82,749
$35,108
$40,173
$266,564
Deposits received for securities loaned15,758
208
1,789
2,019
19,774
Total$124,292
$82,957
$36,897
$42,192
$286,338

 As of December 31, 2018
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$108,405
$70,850
$29,898
$44,361
$253,514
Deposits received for securities loaned6,296
774
2,626
1,982
11,678
Total$114,701
$71,624
$32,524
$46,343
$265,192

The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by class of underlying collateral:
 As of December 31, 2019
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$100,781
$27
$100,808
State and municipal securities1,938
5
1,943
Foreign government securities95,880
272
96,152
Corporate bonds18,761
249
19,010
Equity securities12,010
19,069
31,079
Mortgage-backed securities28,458
—
28,458
Asset-backed securities4,873
—
4,873
Other3,863
152
4,015
Total$266,564
$19,774
$286,338


 As of December 31, 2018
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$86,785
$41
$86,826
State and municipal securities2,605
—
2,605
Foreign government securities99,131
179
99,310
Corporate bonds21,719
749
22,468
Equity securities12,920
10,664
23,584
Mortgage-backed securities19,421
—
19,421
Asset-backed securities6,207
—
6,207
Other4,726
45
4,771
Total$253,514
$11,678
$265,192



12. BROKERAGE RECEIVABLES AND BROKERAGE
PAYABLES

The Company has receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the ordinary course of business. Citi is exposed to risk of loss from the inability of brokers, dealers or customers to pay for purchases or to deliver the financial instruments sold, in which case Citi would have to sell or purchase the financial instruments at prevailing market prices. Credit risk is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transaction and replaces the broker, dealer or customer in question.
Citi seeks to protect itself from the risks associated with customer activities by requiring customers to maintain margin collateral in compliance with regulatory and internal guidelines. Margin levels are monitored daily, and customers deposit additional collateral as required. Where customers cannot meet collateral requirements, Citi may liquidate sufficient underlying financial instruments to bring the customer into compliance with the required margin level.
Exposure to credit risk is impacted by market volatility, which may impair the ability of clients to satisfy their obligations to Citi. Credit limits are established and closely monitored for customers and for brokers and dealers engaged in forwards, futures and other transactions deemed to be credit sensitive.
Brokerage receivables and Brokerage payables consisted of the following:
 December 31,
In millions of dollars20192018
Receivables from customers$15,912
$14,415
Receivables from brokers, dealers and clearing organizations23,945
21,035
Total brokerage receivables(1)
$39,857
$35,450
Payables to customers$37,613
$40,273
Payables to brokers, dealers and clearing organizations10,988
24,298
Total brokerage payables(1)
$48,601
$64,571

(1)Includes brokerage receivables and payables recorded by Citi broker-dealer entities that are accounted for in accordance with the AICPA Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320.

13.   INVESTMENTS

The following table presents Citi’s investments by category:
 December 31,
In millions of dollars20192018
Debt securities AFS$280,265
$288,038
Debt securities HTM(1)
80,775
63,357
Marketable equity securities carried at fair value(2)
458
220
Non-marketable equity securities carried at fair value(2)
704
889
Non-marketable equity securities measured using the measurement alternative(3)
700
538
Non-marketable equity securities carried at cost(4)
5,661
5,565
Total investments$368,563
$358,607

(1)Carried at adjusted amortized cost basis, net of any credit-related impairment.
(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.
(4)Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.

The following table presents interest and dividend income on investments:
In millions of dollars201920182017
Taxable interest$9,269
$8,704
$7,538
Interest exempt from U.S. federal income tax404
521
535
Dividend income187
269
222
Total interest and dividend income$9,860
$9,494
$8,295


The following table presents realized gains and losses on the sales of investments, which exclude OTTI losses:
In millions of dollars201920182017
Gross realized investment gains$1,599
$682
$1,039
Gross realized investment losses(125)(261)(261)
Net realized gains on sale of investments$1,474
$421
$778



The Company from time to time may sell certain debt securities that were classified as HTM. These sales were in response to significant deterioration in the creditworthiness of the issuers or securities or because the Company has collected a substantial portion (at least 85%) of the principal outstanding at acquisition of the security. In addition, certain other debt securities were reclassified to AFS investments in
response to significant credit deterioration. Because the Company generally intends to sell these reclassified debt securities, Citi recorded OTTI on the securities. The following table presents, for the periods indicated, the carrying value of HTM debt securities sold and reclassified to AFS, as well as the related gain (loss) or the OTTI losses recorded on these securities:
In millions of dollars201920182017
Carrying value of HTM debt securities sold$—
$61
$81
Net realized gain (loss) on sale of HTM debt securities—
—
13
Carrying value of debt securities reclassified to AFS—
8
74
OTTI losses on debt securities reclassified to AFS—
—
—


Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
 20192018
In millions of dollars
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Debt securities AFS        
Mortgage-backed securities(1)
        
U.S. government agency guaranteed$34,963
$547
$280
$35,230
$43,504
$241
$725
$43,020
Non-U.S. residential789
3
—
792
1,310
4
2
1,312
Commercial75
—
—
75
174
1
2
173
Total mortgage-backed securities$35,827
$550
$280
$36,097
$44,988
$246
$729
$44,505
U.S. Treasury and federal agency securities        
U.S. Treasury$106,429
$50
$380
$106,099
$109,376
$33
$1,339
$108,070
Agency obligations5,336
3
20
5,319
9,283
1
132
9,152
Total U.S. Treasury and federal agency securities$111,765
$53
$400
$111,418
$118,659
$34
$1,471
$117,222
State and municipal$5,024
$43
$89
$4,978
$9,372
$96
$262
$9,206
Foreign government110,958
586
241
111,303
100,872
415
596
100,691
Corporate11,266
52
101
11,217
11,714
42
157
11,599
Asset-backed securities(1)
524
—
2
522
845
2
4
843
Other debt securities4,729
1
—
4,730
3,973
—
1
3,972
Total debt securities AFS$280,093
$1,285
$1,113
$280,265
$290,423
$835
$3,220
$288,038
(1)The Company invests in mortgage- and asset-backed securities. These securitization entities 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- and asset-backed securitizations in which the Company has other involvement, see Note 21 to the Consolidated Financial Statements.

At December 31, 2019, the amortized cost of fixed income securities exceeded their fair value by $1,113 million. Of the $1,113 million, $802 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, 93% were rated investment grade; and $311 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, 92% were rated investment grade. Of the $311 million mentioned above, $132 million represents U.S. Treasury securities.

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 dollars
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
December 31, 2019      
Debt securities AFS      
Mortgage-backed securities      
U.S. government agency guaranteed$9,780
$242
$1,877
$38
$11,657
$280
Non-U.S. residential208
—
1
—
209
—
Commercial16
—
27
—
43
—
Total mortgage-backed securities$10,004
$242
$1,905
$38
$11,909
$280
U.S. Treasury and federal agency securities      
U.S. Treasury$45,484
$248
$26,907
$132
$72,391
$380
Agency obligations781
2
3,897
18
4,678
20
Total U.S. Treasury and federal agency securities$46,265
$250
$30,804
$150
$77,069
$400
State and municipal$362
$62
$266
$27
$628
$89
Foreign government35,485
149
8,170
92
43,655
241
Corporate2,916
98
123
3
3,039
101
Asset-backed securities112
1
166
1
278
2
Other debt securities1,307
—
—
—
1,307
—
Total debt securities AFS$96,451
$802
$41,434
$311
$137,885
$1,113
December 31, 2018 
 
 
 
 
 
Debt securities AFS

 
 
 
 
 
 
Mortgage-backed securities 
 
 
 
 
 
U.S. government agency guaranteed$11,160
$286
$13,143
$439
$24,303
$725
Non-U.S. residential284
2
2
—
286
2
Commercial79
1
82
1
161
2
Total mortgage-backed securities$11,523
$289
$13,227
$440
$24,750
$729
U.S. Treasury and federal agency securities 
 
 
 
 
 
U.S. Treasury$8,389
$42
$77,883
$1,297
$86,272
$1,339
Agency obligations277
2
8,660
130
8,937
132
Total U.S. Treasury and federal agency securities$8,666
$44
$86,543
$1,427
$95,209
$1,471
State and municipal$1,614
$34
$1,303
$228
$2,917
$262
Foreign government40,655
265
15,053
331
55,708
596
Corporate4,547
115
2,077
42
6,624
157
Asset-backed securities441
4
55
—
496
4
Other debt securities1,790
1
—
—
1,790
1
Total debt securities AFS$69,236
$752
$118,258
$2,468
$187,494
$3,220



The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
 December 31,
 20192018
In millions of dollars
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Mortgage-backed securities(1)
    
Due within 1 year$20
$20
$14
$14
After 1 but within 5 years573
574
662
661
After 5 but within 10 years594
626
2,779
2,828
After 10 years(2)
34,640
34,877
41,533
41,002
Total$35,827
$36,097
$44,988
$44,505
U.S. Treasury and federal agency securities    
Due within 1 year$40,757
$40,688
$41,941
$41,867
After 1 but within 5 years70,128
69,850
76,139
74,800
After 5 but within 10 years854
851
489
462
After 10 years(2)
26
29
90
93
Total$111,765
$111,418
$118,659
$117,222
State and municipal    
Due within 1 year$932
$932
$2,586
$2,586
After 1 but within 5 years714
723
1,676
1,675
After 5 but within 10 years195
215
585
602
After 10 years(2)
3,183
3,108
4,525
4,343
Total$5,024
$4,978
$9,372
$9,206
Foreign government    
Due within 1 year$42,611
$42,666
$39,078
$39,028
After 1 but within 5 years58,820
59,071
50,125
49,962
After 5 but within 10 years8,192
8,198
10,153
10,149
After 10 years(2)
1,335
1,368
1,516
1,552
Total$110,958
$111,303
$100,872
$100,691
All other(3)
    
Due within 1 year$7,306
$7,311
$6,166
$6,166
After 1 but within 5 years8,279
8,275
8,459
8,416
After 5 but within 10 years818
797
1,474
1,427
After 10 years(2)
116
86
433
405
Total$16,519
$16,469
$16,532
$16,414
Total debt securities AFS$280,093
$280,265
$290,423
$288,038
(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.


Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as follows:
In millions of dollars
Carrying
value
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
December 31, 2019    
Debt securities HTM    
Mortgage-backed securities(1)(2)
    
U.S. government agency guaranteed$46,637
$1,047
$21
$47,663
Non-U.S. residential1,039
5
—
1,044
Commercial582
1
—
583
Total mortgage-backed securities$48,258
$1,053
$21
$49,290
State and municipal(3)
$9,104
$455
$28
$9,531
Foreign government1,934
37
1
1,970
Asset-backed securities(1)
21,479
12
59
21,432
Total debt securities HTM$80,775
$1,557
$109
$82,223
December 31, 2018 
 
 
 
Debt securities HTM 
 
 
 
Mortgage-backed securities(1)(4)
 
 
 
 
U.S. government agency guaranteed$34,239
$199
$578
$33,860
Non-U.S. residential1,339
12
1
1,350
Commercial368
—
—
368
Total mortgage-backed securities$35,946
$211
$579
$35,578
State and municipal$7,628
$167
$138
$7,657
Foreign government1,027
—
24
1,003
Asset-backed securities(1)
18,756
8
112
18,652
Total debt securities HTM$63,357
$386
$853
$62,890
(1)The Company invests in mortgage- and asset-backed securities. These securitization entities 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- and asset-backed securitizations in which the Company has other involvement, see Note 21 to the Consolidated Financial Statements.
(2)
In March 2019, Citibank transferred $5 billion of agency residential mortgage-backed securities (RMBS) from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized loss position of $56 million. The loss amounts will remain in AOCI and be amortized over the remaining life of the securities.
(3)
In December 2019, Citibank transferred $173 million of state and municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the bonds were in an unrealized gain position of $5 million. The gain amounts will remain in AOCI and be amortized over the remaining life of the securities.
(4)
In November 2018, Citibank transferred $10 billion of agency residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS) from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized loss position of $598 million. This amount will remain in AOCI and be amortized over the remaining life of the securities.



The Company has the positive intent and ability to hold these securities to maturity or, where applicable, to exercise any issuer call options, absent any unforeseen significant changes in circumstances, including deterioration in credit or changes in regulatory capital requirements.
The net unrealized losses classified in AOCI for HTM securities primarily relate to debt securities previously classified as AFS that were transferred to HTM, and include any cumulative fair value hedge adjustments. The net unrealized loss amount also includes any non-credit-related changes in fair value of HTM debt securities that have suffered credit impairment recorded in earnings. The AOCI balance related to HTM debt securities is amortized as an adjustment of yield, in a manner consistent with the accretion of any difference between the carrying value at the transfer date and par value of the same debt securities.

The table below shows the fair value of debt securities HTM that have been in an unrecognized loss position:
 Less than 12 months12 months or longerTotal
In millions of dollarsFair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses
December 31, 2019      
Debt securities HTM      
Mortgage-backed securities$3,590
$10
$1,116
$11
$4,706
$21
State and municipal34
1
1,125
27
1,159
28
Foreign government1,970
1
—
—
1,970
1
Asset-backed securities7,972
11
765
48
8,737
59
Total debt securities HTM$13,566
$23
$3,006
$86
$16,572
$109
December 31, 2018      
Debt securities HTM      
Mortgage-backed securities$2,822
$20
$18,086
$559
$20,908
$579
State and municipal981
34
1,242
104
2,223
138
Foreign government1,003
24
—
—
1,003
24
Asset-backed securities13,008
112
—
—
13,008
112
Total debt securities HTM$17,814
$190
$19,328
$663
$37,142
$853

Note: Excluded from the gross unrecognized losses presented in the above table are $(582) million and $(653) million of net unrealized losses recorded in AOCI as of December 31, 2019 and 2018, respectively, primarily related to the difference between the amortized cost and carrying value of HTM debt securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at December 31, 2019 and 2018.

The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
 December 31,
 20192018
In millions of dollarsCarrying valueFair valueCarrying valueFair value
Mortgage-backed securities    
Due within 1 year$17
$17
$3
$3
After 1 but within 5 years458
463
539
540
After 5 but within 10 years1,662
1,729
997
1,011
After 10 years(1)
46,121
47,081
34,407
34,024
Total$48,258
$49,290
$35,946
$35,578
State and municipal    
Due within 1 year$2
$26
$37
$37
After 1 but within 5 years123
160
168
174
After 5 but within 10 years597
590
540
544
After 10 years(1)
8,382
8,755
6,883
6,902
Total$9,104
$9,531
$7,628
$7,657
Foreign government    
Due within 1 year$650
$652
$60
$36
After 1 but within 5 years1,284
1,318
967
967
After 5 but within 10 years—
—
—
—
After 10 years(1)
—
—
—
—
Total$1,934
$1,970
$1,027
$1,003
All other(2)
    
Due within 1 year$—
$—
$—
$—
After 1 but within 5 years—
—
—
—
After 5 but within 10 years8,545
8,543
2,535
2,539
After 10 years(1)
12,934
12,889
16,221
16,113
Total$21,479
$21,432
$18,756
$18,652
Total debt securities HTM$80,775
$82,223
$63,357
$62,890
(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.


Evaluating Investments for Other-Than-Temporary Impairment (OTTI)

Debt Securities
Overview
The Company conducts periodic reviews of all debt securities with unrealized losses to evaluate whether the impairment is other-than-temporary. This review applies to all debt securities that are not measured at fair value through earnings. Effective January 1, 2018, the AFS category was eliminated for equity securities and, therefore, other-than-temporary impairment (OTTI) review is not required for those securities.
An unrealized loss exists when the current fair value of an individual debt security is lower than its adjusted amortized cost basis. Unrealized losses that are determined to be temporary in nature are recorded, net of tax, in AOCI for AFS debt securities. Temporary losses related to HTM debt securities generally are not recorded, as these investments are carried at adjusted amortized cost basis. However, for HTM debt securities with credit-related impairment, the credit loss is recognized in earnings as OTTI, and any difference between the cost basis adjusted for the OTTI and fair value is recognized in AOCI and amortized as an adjustment of yield over the remaining contractual life of the security. For debt securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer. For debt 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 impairment recognized in earnings.
Regardless of the classification of debt securities as AFS or HTM, the Company assesses each position with an unrealized loss for OTTI. Factors considered in determining whether a loss is temporary include:

the length of time and the extent to which fair value has been below cost;
the severity of the impairment;
the cause of the impairment and the financial condition and near-term prospects of the issuer;
activity in the market of the issuer that may indicate adverse credit conditions; and
the Company’s ability and intent to hold the investment for a period of time sufficient to allow for any anticipated recovery.

The Company’s review for impairment generally entails:

identification and evaluation of impaired investments;
analysis of individual positions that have fair values lower than amortized cost, including consideration of the length of time the position has been in an unrealized loss position and the expected recovery period;
consideration of evidential matter, including an evaluation of factors or triggers that could cause individual positions to qualify as having other-than-
temporary impairment and those that would not support other-than-temporary impairment; and
documentation of the results of these analyses, as required under business policies.

The entire difference between the adjusted amortized cost basis and fair value is recognized in earnings as OTTI for impaired debt securities that the Company has an intent to sell or for which the Company believes it will more-likely-than-not be required to sell prior to recovery of the adjusted amortized cost basis. However, for those debt securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings and any non-credit-related impairment is recorded in AOCI.AOCI.
For debt securities, credit impairment exists where the present value ofmanagement does not expect to receive contractual principal and interest cash flows management expects to receive is not sufficient to recover the entire amortized cost basis of a security.

Equity Securities
For equity securities, management considers the various factors described above, including its intent and ability to hold the equity security for a period of time sufficient for recovery or whether it is more-likely-than-not that the Company will be required to sell the security prior to recovery of its cost basis. Where management lacks that intent or ability, the security’s decline in fair value is deemed to be other-than-temporary and is recorded in earnings. AFS equity securities deemed to be other-than-temporarily impaired are written down to fair value, with the full difference between fair value and cost recognized in earnings.
Management also assesses equity method investments that have fair values that are less than their respective carrying values for OTTI. Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 24 to the Consolidated Financial Statements).
For impaired equity method investments that Citi plans to sell prior to recovery of value or would likely be required to sell with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized in earnings as OTTI regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.
For impaired equity method investments that management does not plan to sell and is not likely to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators, regardless of the time and extent of impairment:

the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;

the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and
the length of time and extent to which fair value has been less than the carrying value.

The sections below describe the Company’s process for identifying credit-related impairments for debt security types that have the most significant unrealized losses as of December 31, 2017.2019.


Mortgage-Backed Securities
For U.S. mortgage-backed securities, credit impairment is assessed using a cash flow model that estimates the principal and interest cash flows on the underlying mortgages using the security-specific collateral and transaction structure. The model distributes the estimated cash flows to the various tranches of securities, considering the transaction structure and any subordination and credit enhancements that exist in that structure. The cash flow model incorporates actual cash flows on the mortgage-backed securities through the current period and then estimates the remaining cash flows using a number of assumptions, including default rates, prepayment rates, recovery rates (on foreclosed properties) and loss severity rates (on non-agency mortgage-backed securities).
Management develops specific assumptions using market data, internal estimates and estimates published by rating agencies and other third-party sources. Default rates are projected by considering current underlying mortgage loan performance, generally assuming the default of (i) 10% of current loans, (ii) 25% of 30–59 day delinquent loans, (iii) 70% of 60–90 day delinquent loans and (iv) 100% of 91+ day delinquent loans. These estimates are extrapolated along a default timing curve to estimate the total lifetime pool default
rate. Other assumptions contemplate the actual collateral attributes, including geographic concentrations, rating actions and current market prices.
Cash flow projections are developed using different stress test scenarios. Management evaluates the results of those stress tests (including the severity of any cash shortfall indicated and the likelihood of the stress scenarios actually occurring based on the underlying pool’s characteristics and performance) to assess whether management expects to recover the amortized cost basis of the security. If cash flow projections indicate that the Company does not expect to recover its amortized cost basis, the Company recognizes the estimated credit loss in earnings.

State and Municipal Securities
The process for identifying credit impairments in Citigroup’s AFS and HTM state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings.  Citigroup monitors the bond issuers and any insurers providing default protection in the form of financial guarantee insurance. The average external credit rating, ignoring any insurance, is Aa3/AA-.  In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.
For state and municipal bonds with unrealized losses that Citigroup plans to sell, or would be more-likely-than-not required to sell, (for AFS only)the full impairment is recognized in earnings.

Equity Method Investments
Management assesses equity method investments that have fair values that are lower than their respective carrying values for OTTI. Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 24 to the Consolidated Financial Statements).
For impaired equity method investments that Citi plans to sell prior to recovery of value or would more-likely-than-not be required to sell, with no expectation that the fair value will be subject to an issuer call deemed probable of exerciserecover prior to the expected recovery of its amortized cost basis (for AFS and HTM),sale date, the full impairment is recognized in earnings as OTTI.OTTI regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.
For impaired equity method investments that management does not plan to sell and is not more-likely-than-not to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators:

the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;
the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and
the length of time and extent to which fair value has been less than the carrying value.



Recognition and Measurement of OTTI
The following tables present total OTTI on Investmentsrecognized in earnings:

Year ended 
  December 31, 2019
In millions of dollarsAFSHTM
Other
assets
Total
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:    
Total OTTI losses recognized during the period$1
$—
$1
$2
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$1
$—
$1
$2
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise20
—
1
21
Total OTTI losses recognized in earnings$21
$—
$2
$23





Year ended 
  December 31, 2018
In millions of dollars
AFS(1)
HTMOther
assets		Total
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:    
Total OTTI 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 be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise125
—
—
125
Total OTTI losses recognized in earnings$125
$—
$—
$125


(1)For the year ended December 31, 2018, amounts represent AFS debt securities.


OTTI on Investments and Other AssetsYear ended 
  December 31, 2017
Year ended
December 31, 2017
In millions of dollars
AFS(1)
HTM
Other
assets
Total
AFS(1)
HTMOther
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$2
$—
$—
$2
$2
$—
$—
$2
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$2
$—
$—
$2
$2
$—
$—
$2
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise59
2
—
61
59
2
—
61
Total impairment losses recognized in earnings$61
$2
$—
$63
Total OTTI losses recognized in earnings$61
$2
$—
$63

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







OTTI on Investments and Other AssetsYear ended 
  December 31, 2016
In millions of dollars
AFS(1)(2)
HTM
Other
assets (3)
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$3
$1
$—
$4
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$3
$1
$—
$4
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise246
38
332
616
Total impairment losses recognized in earnings$249
$39
$332
$620


(1)Includes OTTI on non-marketable equity securities.
(2)Includes a $160 million impairment related to AFS securities affected by changes in the Venezuela exchange rate during the year ended December 31, 2016.
(3)The impairment charge is related to the carrying value of an equity investment, which was sold in 2016.
OTTI on Investments and Other Assets
Year ended
December 31, 2015
In millions of dollars
AFS(1)
HTMOther
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$33
$1
$—
$34
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$33
$1
$—
$34
Impairment losses recognized in earnings for securities that the Company intends to sell or more-likely-than-not will be required to sell before recovery182
43
6
231
Total impairment losses recognized in earnings$215
$44
$6
$265

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








The following are 12-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities held that the Company does not intend to sell nor likely will be required to sell:


 Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsDec. 31, 2018 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired
Credit
impairments
recognized in
earnings on
securities 
that have been previously
impaired
Changes due to
credit-impaired
securities sold,
transferred or
matured(1)
Dec. 31, 2019 balance
AFS debt securities     
Mortgage-backed securities(1)
$1
$—
$—
$—
$1
State and municipal—
—
4
—
4
Corporate4
—
—
—
4
All other debt securities—
1
—
—
1
Total OTTI credit losses recognized for AFS debt securities$5
$1
$4
$—
$10
HTM debt securities     
State and municipal3
—
—
—
3
Total OTTI credit losses recognized for HTM debt securities$3
$—
$—
$—
$3
 Cumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsDec. 31, 2016 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(1)

Dec. 31, 2017 balance
AFS debt securities     
Mortgage-backed securities(1)(2)
$—
$—
$—
$38
$38
State and municipal4
—
—
—
4
Foreign government securities—
—
—
—
—
Corporate5
—
—
(1)4
All other debt securities22
—
2
(22)2
Total OTTI credit losses recognized for AFS debt securities$31
$—
$2
$15
$48
HTM debt securities     
Mortgage-backed securities(1)(3)
$101
$—
$—
$(47)$54
State and municipal3
—
—
—
3
Total OTTI credit losses recognized for HTM debt securities$104
$—
$—
$(47)$57
(1) Includes $38 million in cumulative OTTI reclassified from HTM to AFS due to the transfer of the related securities from HTM to AFS.
(2) Primarily consists of Prime securities.
(3) Primarily consists of Alt-A securities.



 Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsDec. 31, 2017 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired
Credit
impairments
recognized in
earnings on
securities 
that have
been previously
impaired
Changes due to
credit-impaired
securities sold,
transferred or
matured(3)
Dec. 31, 2018 balance
AFS debt securities     
Mortgage-backed securities(1)
$38
$—
$—
$(37)$1
State and municipal4
—
—
(4)—
Corporate4
—
—
—
4
All other debt securities2
—
—
(2)—
Total OTTI credit losses recognized for AFS debt securities$48
$—
$—
$(43)$5
HTM debt securities     
Mortgage-backed securities(2)
$54
$—
$—
$(54)$—
State and municipal

3
—
—
—
3
Total OTTI credit losses recognized for HTM debt securities$57
$—
$—
$(54)$3
 Cumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsDec. 31, 2015 balance
Credit
impairments
recognized in
earnings on
securities not
previously
impaired
Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired
Reductions due to
credit-impaired
securities sold,
transferred or
matured
Dec. 31, 2016 balance
AFS debt securities     
Mortgage-backed securities$—
$1
$—
$(1)$—
State and municipal12
—
—
(8)4
Foreign government securities5
—
—
(5)—
Corporate9
1
1
(6)5
All other debt securities47
—
—
(25)22
Total OTTI credit losses recognized for AFS debt securities$73
$2
$1
$(45)$31
HTM debt securities     
Mortgage-backed securities(1)
$132
$—
$—
$(31)$101
State and municipal

4
1
—
(2)3
Total OTTI credit losses recognized for HTM debt securities$136
$1
$—
$(33)$104

(1)Primarily consists of Prime securities.
(2)Primarily consists of Alt-A securities.
(3)
Includes $18 million in cumulative OTTI reclassified from HTM to AFS due to the transfer of the related debt securities from HTM to AFS. Citi adopted ASU 2017-12, Targeted Improvements to Accounting for Hedging Activities, on January 1, 2018 and transferred approximately $4 billion of HTM debt securities into AFS classification as permitted as a one-time transfer under the standard.


Non-Marketable Equity Securities Not Carried at
Fair Value
Non-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost. See Note 1 to the Consolidated Financial Statements for additional details.
The election to measure a non-marketable equity security using the measurement alternative is made on an instrument-by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. The carrying value of the equity security is adjusted to fair value on the date of an observed transaction. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.
Equity securities under the measurement alternative are also assessed for impairment. On a quarterly basis, management qualitatively assesses whether each equity security under the measurement alternative is impaired. Impairment indicators that are considered include, but are not limited to, the following:

a significant deterioration in the earnings performance, credit rating, asset quality or business prospects of the investee;
a significant adverse change in the regulatory, economic or technological environment of the investee;
a significant adverse change in the general market condition of either the geographical area or the industry in which the investee operates;
a bona fide offer to purchase, an offer by the investee to sell or a completed auction process for the same or similar investment for an amount less than the carrying amount of that investment; and
factors that raise significant concerns about the investee’s ability to continue as a going concern, such as negative cash flows from operations, working capital deficiencies or noncompliance with statutory capital requirements or debt covenants.
When the qualitative assessment indicates that impairment exists, the investment is written down to fair value, with the full difference between the fair value of the investment and its carrying amount recognized in earnings.
Below is the carrying value of non-marketable equity securities measured using the measurement alternative at December 31, 2019 and 2018:
In millions of dollarsDecember 31, 2019December 31, 2018
Measurement alternative:  
Carrying value$700
$538

Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:
 Years Ended December 31,
In millions of dollars20192018
Measurement alternative:



Impairment losses(1)
$9
$7
Downward changes for observable prices(1)
16
18
Upward changes for observable prices(1)
123
219

(1)See Note 24 to the Consolidated Financial Statements for additional information on these nonrecurring fair value measurements.

 Life-to-date amounts on securities still held
In millions of dollarsDecember 31, 2019
Measurement alternative: 
Impairment losses$16
Downward changes for observable prices34
Upward changes for observable prices342


A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the years ended December 31, 2019 and 2018, there was 0 impairment loss recognized in earnings for non-marketable equity securities carried at cost.

Investments in Alternative Investment Funds That Calculate Net Asset Value
The Company holds investments in certain alternative investment funds that calculate net asset value (NAV), or its equivalent, including hedge funds, private equity funds, funds of funds and real estate funds, as provided by third-party asset managers. Investments in such funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV of the Company’s ownership interest in the funds. Some of these investments are in “covered funds” for purposes of the


 
Volcker Rule, which prohibits certain proprietary investment activities and limits the ownership of, and relationships with, covered funds. On April 21, 2017, Citi’s request for extension of the permitted holding period under the Volcker Rule for certain of its investments in illiquid funds was approved. This allowsapproved, allowing the Company to hold such investments until the earlier of 5five years from the July 21, 2017 (expirationexpiration date of the general conformance period),period, or the date such investments mature or are otherwise conformed with the Volcker Rule.


Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
In millions of dollarsDecember 31, 2017December 31, 2016December 31, 2017December 31, 2016 December 31, 2019December 31, 2018December 31, 2019December 31, 2018 
Hedge funds$1
$4
$—
$—
Generally quarterly10–95 days
Private equity funds(1)(2)
372
348
62
82
—$134
$168
$62
$62
—
Real estate funds(2)(3)
31
56
20
20
—10
14
18
19
—
Mutual/collective
investment funds
26
25
—
—
 
Total$404
$408
$82
$102
—$170
$207
$80
$81
—
(1)Private equity funds include funds that invest in infrastructure, 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.




14.   LOANS
Citigroup loans are reported in two categories—2 categories: consumer and corporate. These categories are classified primarily according to the segment and subsegment that manage the loans.
Consumer Loans
Consumer loans represent loans and leases managed primarily by GCB and Corporate/Other. The following table provides Citi’s consumer loans by loan type:
 December 31,
In millions of dollars20172016
In U.S. offices  
Mortgage and real estate(1)
$65,467
$72,957
Installment, revolving credit and other3,398
3,395
Cards139,006
132,654
Commercial and industrial7,840
7,159
 $215,711
$216,165
In offices outside the U.S.  
Mortgage and real estate(1)
$44,081
$42,803
Installment, revolving credit and other26,556
24,887
Cards26,257
23,783
Commercial and industrial20,238
16,568
Lease financing76
81
 $117,208
$108,122
Total consumer loans$332,919
$324,287
Net unearned income$737
$776
Consumer loans, net of unearned income$333,656
$325,063
(1)
Loans secured primarily by real estate.

Citigroup has established a risk management process to monitor, evaluate and manage the principal risks associated with its consumer loan portfolio. Credit quality indicators that are actively monitored include delinquency status, consumer credit scores under Fair Isaac Corporation (FICO) and loan to value (LTV) ratios, each as discussed in more detail below.
Included in the loan table above are lending products whose terms may give rise to greater credit issues. Credit cards with below-market introductory interest rates and interest-only loans are examples of such products. These products are closely managed using credit techniques that are intended to mitigate their higher inherent risk.
During the years ended December 31, 2017 and 2016, the Company sold and/or reclassified to held-for-sale, $4.9 billion and $9.7 billion, respectively, of consumer loans.

Delinquency Status
Delinquency status is monitored and considered a key indicator of credit quality of consumer loans. Principally, the U.S. residential first mortgage loans use the Mortgage Bankers Association (MBA) method of reporting delinquencies, which considers a loan delinquent if a monthly payment has not been received by the end of the day immediately preceding the loan’s next due date. All other loans use a method of reporting delinquencies that considers a loan delinquent if a monthly payment has not been received by the close of business on the loan’s next due date.
As a general policy, residential first mortgages, home equity loans and installment loans are classified as non-accrual when loan payments are 90 days contractually past due. Credit cards and unsecured revolving loans generally accrue interest until payments are 180 days past due. Home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is 90 days or more past due. Mortgage loans, other than Federal Housing Administration (FHA)-insured loans, are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy. Commercial market loans are placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due.
The policy for re-aging modified U.S. consumer loans to current status varies by product. Generally, one of the conditions to qualify for these modifications is that a minimum number of payments (typically ranging from one1 to three)3) be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open-ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for a loan to be re-aged to current status is that at least three3 consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, FHA and Department of Veterans Affairs (VA)
loans are modified under those respective agencies’ guidelines and payments are not always required in order to re-age a modified loan to current.







The following table provides Citi’s consumer loans by type:
Consumer Loan DelinquencyDelinquencies and Non-Accrual Details at December 31, 20172019
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices(5)
       
Residential first mortgages(6)
$45,942
$411
$221
$434
$47,008
$479
$288
Home equity loans(7)(8)
8,860
174
189
—
9,223
405
—
Credit cards145,477
1,759
1,927
—
149,163
—
1,927
Personal, small business and other3,641
44
14
—
3,699
21
—
Total$203,920
$2,388
$2,351
$434
$209,093
$905
$2,215
In offices outside North America(5)
       
Residential first mortgages(6)
$37,316
$210
$160
$—
$37,686
$421
$—
Credit cards25,111
426
372
—
25,909
310
242
Personal, small business and other

36,456
272
132
—
36,860
180
—
Total$98,883
$908
$664
$—
$100,455
$911
$242
Total Citigroup(9)
$302,803
$3,296
$3,015
$434
$309,548
$1,816
$2,457


Consumer Loan Delinquencies and Non-Accrual Details at December 31, 2018
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices       
Residential first mortgages(5)
$47,366
$505
$280
$1,225
$49,376
$665
$941
Home equity loans(6)(7)
14,268
207
352
—
14,827
750
—
Credit cards136,588
1,528
1,613
—
139,729
—
1,596
Installment and other3,395
45
16
—
3,456
22
1
Commercial market loans9,395
51
65
—
9,511
213
15
Total$211,012
$2,336
$2,326
$1,225
$216,899
$1,650
$2,553
In offices outside North America       
Residential first mortgages(5)
$37,062
$209
$148
$—
$37,419
$400
$—
Credit cards24,934
427
366
—
25,727
323
259
Installment and other25,634
275
123
—
26,032
157
—
Commercial market loans27,449
57
72
—
27,578
160
—
Total$115,079
$968
$709
$—
$116,756
$1,040
$259
Total GCB and Corporate/Other—consumer
$326,091
$3,304
$3,035
$1,225
$333,655
$2,690
$2,812
Other(8)
1
—
—
—
1
—
—
Total Citigroup$326,092
$3,304
$3,035
$1,225
$333,656
$2,690
$2,812
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices(5)
       
Residential first mortgages(6)
$45,953
$420
$253
$786
$47,412
$583
$549
Home equity loans(7)(8)
11,135
161
247
—
11,543
527
—
Credit cards141,091
1,687
1,764
—
144,542
—
1,764
Personal, small business and other3,983
46
17
—
4,046
28
—
Total$202,162
$2,314
$2,281
$786
$207,543
$1,138
$2,313
In offices outside North America(5)
       
Residential first mortgages(6)
$35,624
$203
$145
$—
$35,972
$383
$—
Credit cards24,156
425
370
—
24,951
312
235
Personal, small business and other33,474
284
136
—
33,894
193
—
Total$93,254
$912
$651
$—
$94,817
$888
$235
Total Citigroup (9)
$295,416
$3,226
$2,932
$786
$302,360
$2,026
$2,548
(1)Loans less than 30 days past due are presented as current.
(2)Includes $25$18 million and $20 million at December 31, 2019 and 2018, respectively, of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored entities.agencies.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entitiesagencies that are 30–89 days past due of $0.1 billion and $0.2 billion and 90 days or more past due of $1.0 billion.$0.3 billion and $0.6 billion at December 31, 2019 and 2018, respectively.
(5)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(6)Includes approximately $0.1 billion and $0.1 billion at December 31, 2019 and 2018, respectively, of residential first mortgage loans in process of foreclosure.
(6)(7)Includes approximately $0.1 billion and $0.1 billion at December 31, 2019 and 2018, respectively, of home equity loans in process of foreclosure.
(7)(8)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(8)(9)
RepresentsConsumer loans classified asare net of unearned income of $783 million and $742 million at December 31, 2019 and 2018, respectively. Unearned income on consumer loans on the Consolidated Balance Sheet that are not included in GCB or Corporate/Other consumer credit metrics.
primarily represents unamortized origination fees and costs, premiums and discounts.


Consumer Loan Delinquency and Non-Accrual Details at

During the years ended December 31, 20162019 and 2018, the Company sold and/or reclassified to HFS $2.9 billion and $3.2 billion, respectively, of consumer loans.

In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices       
Residential first mortgages(5)
$50,766
$522
$371
$1,474
$53,133
$848
$1,227
Home equity loans(6)(7)
18,767
249
438
—
19,454
914
—
Credit cards130,327
1,465
1,509
—
133,301
—
1,509
Installment and other4,486
106
38
—
4,630
70
2
Commercial market loans8,876
23
74
—
8,973
328
14
Total$213,222
$2,365
$2,430
$1,474
$219,491
$2,160
$2,752
In offices outside North America       
Residential first mortgages(5)
$35,862
$206
$135
$—
$36,203
$360
$—
Credit cards22,363
368
324
—
23,055
258
239
Installment and other22,683
264
126
—
23,073
163
—
Commercial market loans23,054
72
112
—
23,238
217
—
Total$103,962
$910
$697
$—
$105,569
$998
$239
Total GCB and Corporate/Other—consumer
$317,184
$3,275
$3,127
$1,474
$325,060
$3,158
$2,991
Other(9)
3
—
—
—
3
—
—
Total Citigroup$317,187
$3,275
$3,127
$1,474
$325,063
$3,158
$2,991
(1)Loans less than 30 days past due are presented as current.
(2)Includes $29 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored entities.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.2 billion and 90 days or more past due of $1.3 billion.
(5)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(6)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(7)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(8)
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Corporate/Other consumer credit metrics.

Consumer Credit Scores (FICO)
In the U.S., independent credit agencies rate an individual’s risk for assuming debt based on the individual’s credit history and assign every consumer a “FICO” (Fair Isaac Corporation)FICO credit score. These scores are continually updated by the agencies based upon an individual’s credit actions (e.g., taking out a loan or missed or late payments).
The following tables provide details on the FICO scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables (commercial market loans are excluded from the table since they are business based and FICO scores are not a primary driver in their credit evaluation).receivables. FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio.

FICO score distribution in U.S. portfolio(1)(2)(3)
December 31, 2019
In millions of dollars
Less than
680
680 to 760Greater
than 760
Residential first mortgages$3,602
$13,178
$28,235
Home equity loans1,881
3,475
3,630
Credit cards33,290
59,536
52,935
Personal, small business and other

564
907
1,473
Total$39,337
$77,096
$86,273
FICO score distribution in U.S. portfolio(1)(2)
December 31, 2017
In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$2,100
$1,932
$42,265
Home equity loans1,379
1,081
11,976
Credit cards9,079
11,651
115,577
Installment and other276
250
2,485
Total$12,834
$14,914
$172,303

FICO score distribution in U.S. portfolio(1)(2)(3)
December 31, 2018

In millions of dollars
Less than
680
680 to 760Greater
than 760
Residential first mortgages$4,530
$13,848
$26,546
Home equity loans2,438
4,296
4,471
Credit cards32,686
58,722
51,299
Personal, small business and other

625
1,097
1,121
Total$40,279
$77,963
$83,437

FICO score distribution in U.S. portfolio(1)(2)
December 31, 2016

In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$2,744
$2,422
$44,279
Home equity loans1,750
1,418
14,743
Credit cards8,310
11,320
110,522
Installment and other284
271
2,601
Total$13,088
$15,431
$172,145

(1)The FICO bands in the tables are consistent with general industry peer presentations.
(2)Excludes loans guaranteed by U.S. government entities,government-sponsored agencies, loans subject to long-term standby commitments (LTSCs)(LTSC) with U.S. government-sponsored entitiesagencies and loans recorded at fair value.
(2)(3)Excludes balances where FICO was not available. Such amounts are not material.


Loan to Value (LTV) Ratios
LTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data.
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.
LTV distribution in U.S. portfolio(1)(2)
December 31, 2017December 31, 2019
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$43,626
$2,578
$247
$41,705
$3,302
$98
Home equity loans11,403
2,147
800
7,934
819
235
Total$55,029
$4,725
$1,047
$49,639
$4,121
$333
LTV distribution in U.S. portfolio(1)(2)
December 31, 2016December 31, 2018
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$45,849
$3,467
$324
$42,379
$2,474
$197
Home equity loans12,869
3,653
1,305
9,465
1,287
390
Total$58,718
$7,120
$1,629
$51,844
$3,761
$587

(1)Excludes loans guaranteed by U.S. government entities,government-sponsored agencies, loans subject to LTSCs with U.S. government-sponsored entitiesagencies and loans recorded at fair value.
(2)Excludes balances where LTV was not available. Such amounts are not material.




Impaired Consumer Loans
A loan is considered impaired when Citi believes it is probable that all amounts due according to the original contractual terms of the loan will not be collected. Impaired consumer loans include non-accrual commercial market loans, as well as smaller-balance homogeneous loans whose terms have been modified due to the borrower’s financial difficulties and where Citi has granted a concession to the borrower. These modifications may
include interest rate reductions and/or principal forgiveness. Impaired consumer loans exclude smaller-balance homogeneous loans that have not been modified and are carried on a non-accrual basis.

The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:


 At and for the year ended December 31, 2019
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Interest income
recognized(5)
Mortgage and real estate     
Residential first mortgages$1,666
$1,838
$161
$1,925
$60
Home equity loans592
824
123
637
9
Credit cards1,931
2,288
771
1,890
103
Installment and other     
Personal, small business and other

703
738
135
754
55
Total$4,892
$5,688
$1,190
$5,206
$227
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
(2) $405 million of residential first mortgages, and $212 million of home equity loans do not have a specific allowance.
(3)
Included in the Allowance for loan losses.
(4)Average carrying value represents the average recorded investment ending balance for the last 4 quarters and does not include the related specific allowance.
(5)Includes amounts recognized on both an accrual and cash basis.



 At and for the year ended December 31, 2017
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Interest income
recognized(5)
Mortgage and real estate     
Residential first mortgages$2,877
$3,121
$278
$3,155
$119
Home equity loans1,151
1,590
216
1,181
28
Credit cards1,787
1,819
614
1,803
150
Installment and other     
Individual installment and other431
460
175
415
25
Commercial market loans334
541
51
429
20
Total$6,580
$7,531
$1,334
$6,983
$342
 At and for the year ended December 31, 2018
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying 
value(4)
Interest income
recognized(5)(6)
Mortgage and real estate    
Residential first mortgages$2,130
$2,329
$178
$2,483
$81
Home equity loans684
946
122
698
12
Credit cards1,818
1,842
677
1,815
105
Installment and other     
Personal, small business and other452
666
139
500
22
Total$5,084
$5,783
$1,116
$5,496
$220
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
(2)$607484 million of residential first mortgages $370and $263 million of home equity loans and $10 million of commercial market loans do not have a specific allowance.
(3) Included in the Allowance for loan losses.
(4) Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.
(5) Includes amounts recognized on both an accrual and cash basis.


 At and for the year ended December 31, 2016
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying 
value(4)
Interest income
recognized(5)(6)
Mortgage and real estate    
Residential first mortgages$3,786
$4,157
$540
$4,632
$170
Home equity loans1,298
1,824
189
1,326
35
Credit cards1,747
1,781
566
1,831
158
Installment and other     
Individual installment and other455
481
215
475
27
Commercial market loans513
744
98
538
12
Total$7,799
$8,987
$1,608
$8,802
$402
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
(2)$740 million of residential first mortgages, $406 million of home equity loans and $97 million of commercial market loans do not have a specific allowance.
(3)
Included in the Allowance for loan losses.
(4)Average carrying value represents the average recorded investment ending balance for the last four4 quarters and does not include the related specific allowance.
(5)
(5)Includes amounts recognized on both an accrual and cash basis.
(6)Interest income recognized for the year ended December 31, 2017 was $342 million.

(6) Interest income recognized for the year ended December 31, 2015 was $728 million.





Consumer Troubled Debt Restructurings

At and for the year ended December 31, 2017For the year ended December 31, 2019
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
In millions of dollars, except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages4,063
$580
$6
$—
$2
1%1,122
$172
$—
$—
$—
—%
Home equity loans2,807
247
16
—
1
1
717
79
3
—
—
1
Credit cards230,042
880
—
—
—
17
268,778
1,165
—
—
—
17
Installment and other revolving1,088
8
—
—
—
5
Commercial banking(6)
112
117
—
—
—
—
Total(8)
238,112
$1,832
$22
$—
$3
 
Personal, small business and other1,719
15
—
—
—
5
Total(6)
272,336
$1,431
$3
$—
$—
 
International      
Residential first mortgages4,477
$123
$—
$—
$—
—%2,448
$74
$—
$—
$—
—%
Credit cards115,941
399
—
—
7
11
72,325
288
—
—
10
17
Installment and other revolving44,880
254
—
—
11
9
Commercial banking(6)
370
50
—
—
—
—
Total(8)
165,668
$826
$—
$—
$18
 
Personal, small business and other29,192
204
—
—
6
9
Total(6)
103,965
$566
$—
$—
$16
 

 For the year ended December 31, 2018
In millions of dollars, except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages2,019
$300
$2
$—
$—
—%
Home equity loans1,381
130
5
—
—
1
Credit cards243,253
978
—
—
—
18
   Personal, small business and other1,349
12
—
—
—
4
Total(6)
248,002
$1,420
$7
$—
$—
 
International      
Residential first mortgages2,572
$85
$—
$—
$—
—%
Credit cards77,823
323
—
—
9
16
Personal, small business and other

30,849
216
—
—
7
9
Total(6)
111,244
$624
$—
$—
$16
 

 At and for the year ended December 31, 2016
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages5,023
$726
$6
$—
$3
1%
Home equity loans4,100
200
6
—
1
2
Credit cards196,004
762
—
—
—
17
Installment and other revolving5,649
47
—
—
—
14
Commercial banking(6)
132
91
—
—
—
—
Total(8)
210,908
$1,826
$12
$—
$4
 
International      
Residential first mortgages2,722
$80
$—
$—
$—
—%
Credit cards137,466
385
—
—
9
12
Installment and other revolving60,094
276
—
—
7
7
Commercial banking(6)
162
109
—
—
—
—
Total(8)
200,444
$850
$—
$—
$16
 


(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $53$19 million of residential first mortgages and $21$7 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2017.2019. These amounts include $36$11 million of residential first mortgages and $18$6 million of home equity loans that were newly classified as TDRs during 2017,2019, based on previously received OCC guidance.
(3)Represents portion of contractual loan principal that is non-interest bearing but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(4)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(6)The above tables reflect activity for restructured loans that were considered TDRs during the year.
(7)
Post-modification balances in North America include $38 million of residential first mortgages and $12 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2018. These amounts include $27 million of residential first mortgages and $10 million of home equity loans that were newly classified as TDRs during 2018, based on previously received OCC guidance.
(6) Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.
(7) Post-modification balances in North America include $74 million of residential first mortgages and $22 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2016. These amounts include $48 million of residential first mortgages and $20 million of home equity loans that were newly classified as TDRs during 2016, based on previously received OCC guidance.
(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.




The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
 Years ended December 31,
In millions of dollars20192018
North America  
Residential first mortgages$85
$136
Home equity loans15
23
Credit cards301
241
Personal, small business and other

4
4
Total$405
$404
International  
Residential first mortgages$13
$9
Credit cards142
198
Personal, small business and other

74
80
Total$229
$287

In millions of dollars20172016
North America  
Residential first mortgages$253
$229
Home equity loans46
25
Credit cards221
188
Installment and other revolving2
9
Commercial banking2
15
Total$524
$466
International  
Residential first mortgages$11
$11
Credit cards185
148
Installment and other revolving96
90
Commercial banking1
37
Total$293
$286




Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information by corporate loan type:
In millions of dollarsDecember 31,
2019		December 31,
2018
In North America offices(1)
  
Commercial and industrial$55,929
$60,861
Financial institutions53,922
48,447
Mortgage and real estate(2)
53,371
50,124
Installment, revolving credit and other31,238
32,425
Lease financing1,290
1,429
Total$195,750
$193,286
In offices outside
North America(1)
  
Commercial and industrial$112,668
$114,029
Financial institutions40,211
36,837
Mortgage and real estate(2)
9,780
7,376
Installment, revolving credit and other27,303
25,685
Lease financing95
103
Governments and official institutions4,128
4,520
Total$194,185
$188,550
Corporate loans, net of unearned income(3)
$389,935
$381,836
In millions of dollarsDecember 31,
2017		December 31,
2016
In U.S. offices  
Commercial and industrial$51,319
$49,586
Financial institutions39,128
35,517
Mortgage and real estate(1)
44,683
38,691
Installment, revolving credit and other33,181
34,501
Lease financing1,470
1,518
 $169,781
$159,813
In offices outside the U.S.  
Commercial and industrial$93,750
$81,882
Financial institutions35,273
26,886
Mortgage and real estate(1)
7,309
5,363
Installment, revolving credit and other22,638
19,965
Lease financing190
251
Governments and official institutions5,200
5,850
 $164,360
$140,197
Total corporate loans$334,141
$300,010
Net unearned income$(763)$(704)
Corporate loans, net of unearned income$333,378
$299,306

(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($814) million and ($855) million at December 31, 2019 and 2018, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.

The Company sold and/or reclassified to held-for-sale $1.0$2.6 billion and $4.2$1.0 billion of corporate loans during the years ended December 31, 20172019 and 2016,2018, respectively. The Company did not have significant purchases of corporate
loans classified as held-for-investment for the years ended December 31, 20172019 or 2016.2018.

Lease financing
Citi is a lessor in the power, railcars, shipping and aircraft sectors, where the Company has executed operating, direct financing and leveraged leases. Citi’s $1.4 billion of lease financing receivables, as of December 31, 2019, is composed of approximately equal balances of direct financing lease receivables and net investments in leveraged leases. Citi uses the interest rate implicit in the lease to determine the present value of its lease financing receivables. Interest income on direct financing and leveraged leases during the year ended December 31, 2019 was not material.
The Company’s leases have an average remaining maturity of approximately three and a half years. In certain cases, Citi obtains residual value insurance from third parties and/or the lessee to manage the risk associated with the residual value of the leased assets. The receivable related to the residual value of the leased assets is $0.9 billion as of December 31, 2019, while the amount covered by residual value guarantees is $0.3 billion.
The Company’s operating leases, where Citi is a lessor, are not significant to the Consolidated Financial Statements.

Delinquency Status
Citi generally does not manage corporate loans on a delinquency basis. Corporate loans are identified as impaired and placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired corporate loans and leases is reversed at 90 days and charged against current earnings, and interest is thereafter included in earnings only to the extent actually received in cash. When there is doubt regarding the ultimate collectability of principal, all cash receipts are thereafter applied to reduce the recorded investment in the loan. While corporate loans are generally managed based on their internally assigned risk rating (see further discussion below), the following tables present delinquency information by corporate loan type.

Corporate Loan DelinquencyDelinquencies and Non-Accrual Details at December 31, 20172019
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
Commercial and industrial$676
$93
$769
$1,828
$164,249
$166,846
Financial institutions791
3
794
50
91,008
91,852
Mortgage and real estate534
4
538
188
62,425
63,151
Lease financing58
9
67
41
1,277
1,385
Other190
22
212
81
62,341
62,634
Loans at fair value    

4,067
Total$2,249
$131
$2,380
$2,188
$381,300
$389,935

In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans (4)
Commercial and industrial$249
$13
$262
$1,506
$139,554
$141,322
Financial institutions93
15
108
92
73,557
73,757
Mortgage and real estate147
59
206
195
51,563
51,964
Leases68
8
76
46
1,533
1,655
Other70
13
83
103
60,145
60,331
Loans at fair value









4,349
Total$627
$108
$735
$1,942
$326,352
$333,378
Corporate Loan DelinquencyDelinquencies and Non-Accrual Details at December 31, 20162018
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans (4)
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
Commercial and industrial$143
$52
$195
$1,909
$127,012
$129,116
$403
$111
$514
$1,119
$173,257
$174,890
Financial institutions119
2
121
185
61,254
61,560
87
7
94
102
85,088
85,284
Mortgage and real estate148
137
285
139
43,607
44,031
128
5
133
215
57,152
57,500
Leases27
8
35
56
1,678
1,769
Lease financing5
10
15
—
1,517
1,532
Other349
12
361
132
58,880
59,373
151
52
203
75
59,149
59,427
Loans at fair value









3,457
  3,203
Total$786
$211
$997
$2,421
$292,431
$299,306
$774
$185
$959
$1,511
$376,163
$381,836
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Non-accrual loans generally include those loans that are ≥ 90 days or more past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful.
(3)Loans less than 30 days past due are presented as current.
(4)Total loans include loans at fair value, which are not included in the various delinquency columns.


Citigroup has a risk management process to monitor, evaluate and manage the principal risks associated with its corporate loan portfolio. As part of its risk management process, Citi assigns numeric risk ratings to its corporate loan facilities based on quantitative and qualitative assessments of the obligor and facility. These risk ratings are reviewed at least annually or more often if material events related to the obligor or facility warrant. Factors considered in assigning the risk ratings include financial condition of the obligor, qualitative assessment of management and strategy, amount and sources of repayment, amount and type of collateral and guarantee arrangements, amount and type of any contingencies associated with the obligor and the obligor’s industry and geography.
The obligor risk ratings are defined by ranges of default probabilities. The facility risk ratings are defined by ranges of loss norms, which are the product of the probability of default and the loss given default. The investment grade rating categories are similar to the category BBB-/Baa3 and above as defined by S&P and Moody’s. Loans classified according to the bank regulatory definitions as special mention, substandard and doubtful will have risk ratings within the non-investment gradenon-investment-grade categories.






 









Corporate Loans Credit Quality Indicators
Recorded investment in loans(1)
Recorded investment in loans(1)
In millions of dollarsDecember 31, 2017December 31,
2016		December 31, 2019December 31,
2018
Investment grade(2)
  
Commercial and industrial$101,313
$87,201
$110,797
$113,925
Financial institutions60,404
50,597
80,533
73,533
Mortgage and real estate23,213
18,718
27,571
26,799
Leases1,090
1,303
Lease financing816
1,035
Other56,306
52,828
57,339
58,916
Total investment grade$242,326
$210,647
$277,056
$274,208
Non-investment grade(2)
  
Accrual  
Commercial and industrial$38,503
$39,874
$54,220
$53,942
Financial institutions13,261
10,873
11,269
10,866
Mortgage and real estate2,881
1,821
3,811
4,200
Leases518
410
Lease financing528
497
Other3,924
6,450
5,206
5,753
Non-accrual  
Commercial and industrial1,506
1,909
1,828
1,119
Financial institutions92
185
50
102
Mortgage and real estate195
139
188
215
Leases46
56
Lease financing41
—
Other103
132
81
75
Total non-investment grade$61,029
$61,849
$77,222
$76,769
Private bank loans managed on a delinquency basis(2)
$25,674
$23,353
Non-rated private bank loans managed on a delinquency basis(2)
$31,590
$27,656
Loans at fair value4,349
3,457
4,067
3,203
Corporate loans, net of unearned income$333,378
$299,306
$389,935
$381,836
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Held-for-investment loans are accounted for on an amortized cost basis.
 
Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral and there are no other available and reliable sources of repayment, are written down to the lower of costcarrying value or collateral value, less cost to sell. Cash-basis loans are returned to an accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance, generally six months, in accordance with the contractual terms of the loan.

Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:
Non-Accrual Corporate Loans
At and for the year ended December 31, 2017At and for the year ended December 31, 2019
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
Non-accrual corporate loans      
Commercial and industrial$1,506
$1,775
$368
$1,547
$23
$1,828
$1,942
$283
$1,449
$33
Financial institutions92
102
41
212
1
50
120
2
63
—
Mortgage and real estate195
324
11
183
10
188
362
10
192
—
Lease financing46
46
4
59
—
41
41
—
8
—
Other103
212
2
108
1
81
202
4
76
9
Total non-accrual corporate loans$1,942
$2,459
$426
$2,109
$35
$2,188
$2,667
$299
$1,788
$42
At and for the year ended December 31, 2016At and for the year ended December 31, 2018
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
Non-accrual corporate loans     
Commercial and industrial$1,909
$2,259
$362
$1,919
$25
$1,119
$1,270
$245
$1,299
$49
Financial institutions185
192
16
183
3
102
123
35
99
—
Mortgage and real estate139
250
10
174
6
215
323
39
233
1
Lease financing56
56
4
44
—
—
28
—
21
—
Other132
197
—
87
6
75
165
6
83
6
Total non-accrual corporate loans$2,421
$2,954
$392
$2,407
$40
$1,511
$1,909
$325
$1,735
$56


December 31, 2017December 31, 2016December 31, 2019December 31, 2018
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans with valuation allowances   
Non-accrual corporate loans with specific allowance   
Commercial and industrial$1,017
$368
$1,343
$362
$714
$283
$801
$245
Financial institutions88
41
45
16
40
2
76
35
Mortgage and real estate51
11
41
10
48
10
100
39
Lease financing46
4
55
4
—
—
—
—
Other13
2
1
—
7
4
24
6
Total non-accrual corporate loans with specific allowance$1,215
$426
$1,485
$392
$809
$299
$1,001
$325
Non-accrual corporate loans without specific allowance      
Commercial and industrial$489
 
$566
 
$1,114
 
$318
 
Financial institutions4
 
140
 
10
 
26
 
Mortgage and real estate144
 
98
 
140
 
115
 
Lease financing—
 
1
 
41
 
—
 
Other90
 
131
 
74
 
51
 
Total non-accrual corporate loans without specific allowance$727
N/A
$936
N/A
$1,379
N/A
$510
N/A
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowance.
(3)Interest income recognized for the year ended December 31, 20152017 was $11$35 million.
N/A Not applicable



Corporate Troubled Debt Restructurings


The following table presents corporate TDR activity at and forFor the year ended December 31, 2017:2019:
In millions of dollarsCarrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$283
$19
$—
$264
Mortgage and real estate16
—
—
16
Other6
6
—
—
Total$305
$25
$—
$280

In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$509
$131
$7
$371
Financial institutions15
—
—
15
Mortgage and real estate36
—
—
36
Total$560
$131
$7
$422


The following table presents corporate TDR activity at and forFor the year ended December 31, 2016:2018:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Carrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$338
$176
$34
$128
$159
$5
$8
$146
Financial institutions10
10
—
—
Mortgage and real estate15
6
—
9
60
3
—
57
Other142
—
142
—
Total$505
$192
$176
$137
$219
$8
$8
$203
(1)TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(2)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.




The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
In millions of dollarsTDR balances at December 31, 2019TDR loans in payment default during the year ended December 31, 2019
TDR balances at
December 31, 2018
TDR loans in payment default during the year ended December 31, 2018
Commercial and industrial$603
$35
$568
$111
Financial institutions—
—
25
—
Mortgage and real estate79
—
123
—
Lease financing—
—
—
—
Other44
—
2
—
Total(1)
$726
$35
$718
$111

In millions of dollarsTDR balances at December 31, 2017TDR loans in payment default during the year ended December 31, 2017
TDR balances at
December 31, 2016
TDR loans in payment default during the year ended December 31, 2016
Commercial and industrial$617
$72
$408
$7
Financial institutions48
—
9
—
Mortgage and real estate101
—
87
8
Lease financing7
—
—
—
Other45
—
228
—
Total(1)
$818
$72
$732
$15


(1)The above tables reflecttable reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period that were considered TDRs.period.










15. ALLOWANCE FOR CREDIT LOSSES
In millions of dollars201720162015201920182017
Allowance for loan losses at beginning of period$12,060
$12,626
$15,994
$12,315
$12,355
$12,060
Gross credit losses(8,673)(8,222)(9,041)(9,341)(8,665)(8,673)
Gross recoveries(1)
1,597
1,661
1,739
1,573
1,552
1,597
Net credit losses (NCLs)$(7,076)$(6,561)$(7,302)$(7,768)$(7,113)$(7,076)
NCLs$7,076
$6,561
$7,302
$7,768
$7,113
$7,076
Net reserve builds (releases)544
340
139
364
394
544
Net specific reserve releases(117)(152)(333)
Net specific reserve builds (releases)86
(153)(117)
Total provision for loan losses$7,503
$6,749
$7,108
$8,218
$7,354
$7,503
Other, net (see table below)(132)(754)(3,174)18
(281)(132)
Allowance for loan losses at end of period$12,355
$12,060
$12,626
$12,783
$12,315
$12,355
Allowance for credit losses on unfunded lending commitments at beginning of period$1,418
$1,402
$1,063
$1,367
$1,258
$1,418
Provision (release) for unfunded lending commitments(161)29
74
92
113
(161)
Other, net(2)
1
(13)265
(3)(4)1
Allowance for credit losses on unfunded lending commitments at end of period(3)(2)
$1,258
$1,418
$1,402
$1,456
$1,367
$1,258
Total allowance for loans, leases and unfunded lending commitments$13,613
$13,478
$14,028
$14,239
$13,682
$13,613


(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)2015 includes a reclassification of $271 million of Allowance for loan losses to Allowance for unfunded lending commitments, included in Other, net. This reclassification reflects the re-attribution of $271 million in Allowances for credit losses between the funded and unfunded portions of the corporate credit portfolios and does not reflect a change in the underlying credit performance of these portfolios.
(3)
Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.


Other, net details   
In millions of dollars201920182017
Sales or transfers of various consumer loan portfolios to HFS   
Transfer of real estate loan portfolios$(42)$(91)$(106)
Transfer of other loan portfolios—
(110)(155)
Sales or transfers of various consumer loan portfolios to HFS$(42)$(201)$(261)
FX translation, primarily consumer60
(60)115
Other—
(20)14
Other, net$18
$(281)$(132)

Other, net details:   
In millions of dollars201720162015
Sales or transfers of various consumer loan portfolios to held-for-sale   
Transfer of real estate loan portfolios$(106)$(106)$(1,462)
Transfer of other loan portfolios(155)(468)(948)
Sales or transfers of various consumer loan portfolios to held-for-sale$(261)$(574)$(2,410)
FX translation, consumer115
(199)(474)
Other14
19
(290)
Other, net$(132)$(754)$(3,174)



Allowance for Credit Losses and Investment inEnd-of-Period Loans at December 31, 20172019
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,702
$9,358
$12,060
Allowance for loan losses at beginning of year$2,811
$9,504
$12,315
Charge-offs(491)(8,182)(8,673)(487)(8,854)(9,341)
Recoveries112
1,485
1,597
95
1,478
1,573
Replenishment of net charge-offs379
6,697
7,076
392
7,376
7,768
Net reserve builds (releases)(267)811
544
96
268
364
Net specific reserve builds (releases)28
(145)(117)(21)107
86
Other23
(155)(132)—
18
18
Ending balance$2,486
$9,869
$12,355
$2,886
$9,897
$12,783
Allowance for loan losses 
 
 
 
 
 
Collectively evaluated in accordance with ASC 450$2,060
$8,531
$10,591
$2,587
$8,706
$11,293
Individually evaluated in accordance with ASC 310-10-35426
1,334
1,760
299
1,190
1,489
Purchased credit-impaired in accordance with ASC 310-30—
4
4
Purchased credit impaired in accordance with ASC 310-30—
1
1
Total allowance for loan losses$2,486
$9,869
$12,355
$2,886
$9,897
$12,783
Loans, net of unearned income      
Collectively evaluated for impairment in accordance with ASC 450$327,142
$326,884
$654,026
Individually evaluated for impairment in accordance with ASC 310-10-351,887
6,580
8,467
Purchased credit-impaired in accordance with ASC 310-30—
167
167
Collectively evaluated in accordance with ASC 450$383,828
$304,510
$688,338
Individually evaluated in accordance with ASC 310-10-352,040
4,892
6,932
Purchased credit impaired in accordance with ASC 310-30—
128
128
Held at fair value4,349
25
4,374
4,067
18
4,085
Total loans, net of unearned income$333,378
$333,656
$667,034
$389,935
$309,548
$699,483




Allowance for Credit Losses and Investment inEnd-of-Period Loans at December 31, 20162018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,791
$9,835
$12,626
Allowance for loan losses at beginning of year$2,943
$9,412
$12,355
Charge-offs(580)(7,642)(8,222)(343)(8,322)(8,665)
Recoveries67
1,594
1,661
138
1,414
1,552
Replenishment of net charge-offs513
6,048
6,561
205
6,908
7,113
Net reserve builds (releases)(85)425
340
42
352
394
Net specific reserve builds (releases)—
(152)(152)(151)(2)(153)
Other(4)(750)(754)(23)(258)(281)
Ending balance$2,702
$9,358
$12,060
$2,811
$9,504
$12,315
Allowance for loan losses 
 
 
 
 
 
Collectively evaluated in accordance with ASC 450$2,310
$7,744
$10,054
$2,486
$8,386
$10,872
Individually evaluated in accordance with ASC 310-10-35392
1,608
2,000
325
1,116
1,441
Purchased credit-impaired in accordance with ASC 310-30—
6
6
Purchased credit impaired in accordance with ASC 310-30—
2
2
Total allowance for loan losses$2,702
$9,358
$12,060
$2,811
$9,504
$12,315
Loans, net of unearned income      
Collectively evaluated for impairment in accordance with ASC 450$293,218
$317,048
$610,266
Individually evaluated for impairment in accordance with ASC 310-10-352,631
7,799
10,430
Purchased credit-impaired in accordance with ASC 310-30—
187
187
Collectively evaluated in accordance with ASC 450$377,186
$297,128
$674,314
Individually evaluated in accordance with ASC 310-10-351,447
5,084
6,531
Purchased credit impaired in accordance with ASC 310-30—
128
128
Held at fair value3,457
29
3,486
3,203
20
3,223
Total loans, net of unearned income$299,306
$325,063
$624,369
$381,836
$302,360
$684,196







Allowance for Credit Losses at December 31, 2015

2017
In millions of dollarsCorporateConsumerTotal
Allowance for loan losses at beginning of year$3,218
$8,842
$12,060
Charge-offs(632)(8,041)(8,673)
Recoveries153
1,444
1,597
Replenishment of net charge-offs479
6,597
7,076
Net reserve builds (releases)(274)818
544
Net specific reserve builds (releases)(31)(86)(117)
Other30
(162)(132)
Ending balance$2,943
$9,412
$12,355

In millions of dollarsCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,447
$13,547
$15,994
Charge-offs(349)(8,692)(9,041)
Recoveries105
1,634
1,739
Replenishment of net charge-offs244
7,058
7,302
Net reserve builds (releases)550
(411)139
Net specific reserve builds (releases)86
(419)(333)
Other(292)(2,882)(3,174)
Ending balance$2,791
$9,835
$12,626








16.   GOODWILL AND INTANGIBLE ASSETS
Goodwill

The changes in Goodwill were as follows:
In millions of dollars 
Balance at December 31, 2014$23,592
Foreign exchange translation and other$(1,000)
Divestitures(1)
(212)
Impairment of goodwill(2)
(31)
Balance at December 31, 2015$22,349
Foreign exchange translation and other

$(613)
Divestitures(3)
(77)
Balance at December 31, 2016$21,659
Foreign exchange translation and other$729
Divestitures(4)
(104)
Impairment of goodwill(5)
(28)
Balance at December 31, 2017$22,256

The changes in Goodwill by segment were as follows:
In millions of dollarsGlobal Consumer BankingInstitutional Clients Group
Corporate/Other(6)
Total
Balance at December 31, 2015(7)
$12,704
$9,545
$100
$22,349
Foreign exchange translation and other$(174)$(447)$8
$(613)
Divestitures(3)
—
(13)(64)(77)
Balance at December 31, 2016$12,530
$9,085
$44
$21,659
Foreign exchange translation and other$286
$443
$—
$729
Divestitures(4)
(32)(72)—
(104)
Impairment of goodwill(5)
—
—
(28)(28)
Balance at December 31, 2017$12,784
$9,456
$16
$22,256
In millions of dollarsGlobal Consumer BankingInstitutional Clients GroupCorporate/OtherTotal
Balance at December 31, 2016(1)
$11,874
$9,741
$44
$21,659
Foreign exchange translation$286
$443
$—
$729
Divestitures(2)
(32)(72)—
(104)
Impairment of goodwill(3)
—
—
(28)(28)
Balance at December 31, 2017$12,128
$10,112
$16
$22,256
Foreign exchange translation$(41)$(153)$—
$(194)
Divestitures(4)
—
—
(16)(16)
Balance at December 31, 2018$12,087
$9,959
$—
$22,046
Foreign exchange translation$15
$65
$—
$80
Balance at December 31, 2019$12,102
$10,024
$—
$22,126


(1)Primarily related
December 31, 2016 has been revised to reflect intersegment goodwill allocations that resulted from the sales2019 reorganization of the Latin America Retirement Services and Japan cards businesses completed in 2015, and agreementsCiti commercial banking business from GCB to sell certain businesses in Citi Holdings as of December 31, 2015.ICG. See Note 23 to the Consolidated Financial Statements.
(2)
Goodwill impairment related to reporting units subsequently sold, including Citi Holdings—Consumer Finance South Korea of $16 million and Citi Holdings—Consumer Latin America of $15 million.
(2) Primarily related to the sale of a fixed income analytics business and a fixed income index business completed in 2017 and agreement to sell a Mexico asset management business as of December 31, 2017. See Note 2 to the Consolidated Financial Statements.
(3)Primarily related
Related to the saletransfer of the private equity servicesmortgage servicing business completed in 2016 and agreementsfrom North America GCB to sell Argentina and Brazil consumer operations as of December 31, 2016.Corporate/Other effective January 1, 2017.
(4)Primarily related to the sale of a fixed income analytics business and a fixed income index business completedconsumer operations in 2017 and an agreement to sell a Mexico asset management business as of December 31, 2017. See Note 2 to the Consolidated Financial Statements.
(5)
Goodwill impairment related to the mortgage servicing business upon transfer from North America GCB to Corporate/Other effective January 1, 2017.
(6)
All Citi Holdings reporting units are presentedColombia in Corporate/Other. See Note 3 to the Consolidated Financial Statements.
(7)
December 31, 2015 has been restated to reflect intersegment goodwill allocations that resulted from the reorganizations in 2016 and on January 1, 2017 including transfers of GCB businessesto ICG and to Corporate/Other. See Note 3 to the Consolidated Financial Statements.
2018.




Goodwill impairment testing is performed at the level below each business segment (referred to as a reporting unit). See Note 3 for further information on business segments.
The Company performed its annual goodwill impairment test as of July 1, 2017.2019. The fair values of the Company’s reporting units exceeded their carrying values by approximately 32%33% to 168%134% and no reporting unit is at risk of impairment, except forimpairment.    
Effective in the fourth quarter of 2019, the Citi Holdings—Consumer Latin America.
Interim impairment tests were performed for Citi Holdings—Consumer Latin America, which is reported as part of Corporate/Other, for all other quarterscommercial banking business, previously included in 2017.
While there is no indication of impairment, each interim impairment test showed that the fair value of Citi Holdings—Consumer Latin America reporting unit, which has $16 million of goodwill, only marginally exceeded its carrying value. The fair value as a percentage of allocated book value as of December 31, 2017 was 111%. Subsequently, on January 31, 2018, Citi executed a definitive agreement to sell the reporting unit and allocated the entire goodwill to the sale, which is expected to result in a pre-tax gain upon closing.

Further, effective January 1, 2017, the mortgage servicing business in North America GCB, Latin America GCB and Asia GCB, was reorganized and is now reported as part of Corporate/OtherICG. Goodwill was allocated to the transferred business based on its relative fair value to the legacy North America GCBreporting unit.units. An interim goodwill impairment test was performed under both the legacy and current reporting unit structures, which resulted in full impairment ofno impairment. No additional triggering events were identified and 0 goodwill was impaired during the $28 million of allocated goodwill upon transfer to Citi Holdings—REL, recorded in Operating expenses in 2017.

year.
 

















 



Intangible Assets
The components of intangible assets were as follows:
 December 31, 2019December 31, 2018
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$5,676
$4,059
$1,617
$5,733
$3,936
$1,797
Credit card contract-related intangibles(1)
5,393
3,069
2,324
5,225
2,791
2,434
Core deposit intangibles434
433
1
419
415
4
Other customer relationships424
275
149
470
299
171
Present value of future profits34
31
3
32
29
3
Indefinite-lived intangible assets228
—
228
218
—
218
Other82
77
5
84
75
9
Intangible assets (excluding MSRs)$12,271
$7,944
$4,327
$12,181
$7,545
$4,636
Mortgage servicing rights (MSRs)(2)
495
—
495
584
—
584
Total intangible assets$12,766
$7,944
$4,822
$12,765
$7,545
$5,220
 December 31, 2017December 31, 2016
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$5,375
$3,836
$1,539
$8,215
$6,549
$1,666
Credit card contract related intangibles5,045
2,456
2,589
5,149
2,177
2,972
Core deposit intangibles639
628
11
801
771
30
Other customer relationships459
272
187
474
272
202
Present value of future profits32
28
4
31
27
4
Indefinite-lived intangible assets244
—
244
210
—
210
Other100
86
14
504
474
30
Intangible assets (excluding MSRs)$11,894
$7,306
$4,588
$15,384
$10,270
$5,114
Mortgage servicing rights (MSRs)(1)
558
—
558
1,564
—
1,564
Total intangible assets$12,452
$7,306
$5,146
$16,948
$10,270
$6,678
(1)In January 2017, Citi signed agreements to effectively exit its U.S. mortgage servicing operations by the end of 2018 and intensify its focus on loan originations.  For additional information on these transactions, see Note 2 to the Consolidated Financial Statements.

Intangible assets amortization expense was $603 million, $595 million and $625 million for 2017, 2016 and 2015, respectively. Intangible assets amortization expense is estimated to be $503 million in 2018, $479 million in 2019, $332 million in 2020, $314 million in 2021 and $866 million in 2022.


The changes in intangible assets were as follows:
 Net carrying
amount at		    
Net carrying
amount at
In millions of dollarsDecember 31, 2016Acquisitions/ divestituresAmortizationImpairmentsFX translation and otherDecember 31,
2017
Purchased credit card relationships$1,666
$20
$(149)$—
$2
$1,539
Credit card contract-related intangibles(1)
2,972
9
(393)—
1
2,589
Core deposit intangibles30
—
(20)—
1
11
Other customer relationships202
—
(24)—
9
187
Present value of future profits4
—
—
—
—
4
Indefinite-lived intangible assets210
—
—
—
34
244
Other30
(14)(17)—
15
14
Intangible assets (excluding MSRs)$5,114
$15
$(603)$—
$62
$4,588
Mortgage servicing rights (MSRs)(2)
1,564
    558
Total intangible assets$6,678
    $5,146


(1)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco Sears and AT&T credit card program agreements, which represent 97%represented 96% of the aggregate net carrying amount as of December 31, 2017.2019.
(2)For additional information on Citi’s MSRs, including the rollforward from 2016 to 2017, see Note 21 to the Consolidated Financial Statements.



17.   DEBTIntangible assets amortization expense was $564 million, $557 million and $603 million for 2019, 2018 and 2017, respectively. Intangible assets amortization expense is estimated to be $424 million in 2020, $399 million in 2021, $1,025 million in 2022, $226 million in 2023 and $219 million in 2024.
Short-Term Borrowings

The changes in intangible assets were as follows:
 Net carrying
amount at		    
Net carrying
amount at
In millions of dollarsDecember 31, 2018Acquisitions/ divestituresAmortizationImpairmentsFX translation and otherDecember 31,
2019
Purchased credit card relationships(1)
$1,797
$9
$(189)$—
$—
$1,617
Credit card contract-related intangibles(2)
2,434
73
(336)—
153
2,324
Core deposit intangibles4
—
(4)—
1
1
Other customer relationships171
—
(24)—
2
149
Present value of future profits3
—
—
—
—
3
Indefinite-lived intangible assets218
4
—
—
6
228
Other9
6
(11)—
1
5
Intangible assets (excluding MSRs)$4,636
$92
$(564)$—
$163
$4,327
Mortgage servicing rights (MSRs)(3)
584
    495
Total intangible assets$5,220
    $4,822
 December 31,

20172016
In millions of dollarsBalanceWeighted average couponBalanceWeighted average coupon
Commercial paper$9,940
1.28%$9,989
0.79%
Other borrowings(1)
34,512
1.62
20,712
1.39
Total$44,452
 $30,701



(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract-related intangibles and include credit card accounts primarily in the Costco, Macy’s and Sears portfolios.
(2)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represent 96% of the aggregate net carrying amount at December 31, 2019 and 2018.
(3)For additional information on Citi’s MSRs, including the rollforward from 2018 to 2019, see Note 21 to the Consolidated Financial Statements.


17.   DEBT
Short-Term Borrowings
 December 31,

20192018
In millions of dollarsBalanceWeighted average couponBalanceWeighted average coupon
Commercial paper    
Bank(1)
$10,155
 $13,238
 
Broker-dealer and other(2)
6,321
 —
 
Total commercial paper$16,476
1.98%$13,238
1.95%
Other borrowings(3)
28,573
2.57
19,108
2.99
Total$45,049
 $32,346


(1)Represents Citibank entities as well as other bank entities.
(2)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.
(3)Includes borrowings from the Federal Home Loan Banks and other market participants. At December 31, 20172019 and December 31, 2016,2018, collateralized short-term advances from the Federal Home Loan Banks were $23.8$17.6 billion and $12.0$9.5 billion, respectively.


Borrowings under bank lines of credit may be at interest rates based on LIBOR, CD rates, the prime rate or bids submitted by the banks. Citigroup pays commitment fees for its lines of credit.
Some of Citigroup’s non-bank subsidiaries have credit facilities with Citigroup’s subsidiary depository institutions, including Citibank. Borrowings under these facilities are secured in accordance with Section 23A of the Federal Reserve Act.
Citigroup Global Markets Holdings Inc. (CGMHI) has borrowing agreements consisting of facilities that CGMHI has been advised are available, but where no contractual lending obligation exists. These arrangements are reviewed on an ongoing basis to ensure flexibility in meeting CGMHI’s short-term requirements.
 

Long-Term Debt



Balances at
December 31,


Balances at
December 31,
In millions of dollars
Weighted
average
coupon
Maturities20172016
Weighted
average
coupon(1)
Maturities20192018
Citigroup Inc.(1)(2)






Senior debt4.15%2018-2098$123,488
$118,881
3.11%2020-2098$123,292
$117,511
Subordinated debt(2)(3)
4.48
2018-204626,963
26,758
5.59
2022-204625,463
24,545
Trust preferred
securities
6.90
2036-20671,712
1,694
8.15
2036-20671,722
1,711
Bank(3)(4)
      
Senior debt2.06
2018-204965,856
49,454
2.51
2020-203853,340
61,237
Broker-dealer(4)(5)
      
Senior debt3.44
2018-205718,666
9,387
2.43
2020-209844,817
26,947
Subordinated debt(2)(3)
5.37
2021-203724
4
2.37
2022-2046126
48
Total3.57% $236,709
$206,178
3.28% $248,760
$231,999
Senior debt  $208,010
$177,722
  $221,449
$205,695
Subordinated debt(2)(3)
  26,987
26,762
  25,589
24,593
Trust preferred
securities
  1,712
1,694
  1,722
1,711
Total  $236,709
$206,178
  $248,760
$231,999


(1)The weighted average coupon excludes structured notes accounted for at fair value.
(2)Represents the parent holding company.
(2)(3)Includes notes that are subordinated within certain countries, regions or subsidiaries.
(3)(4)Represents Citibank entities as well as other bank entities. At December 31, 20172019 and December 31, 2016,2018, collateralized long-term advances from the Federal Home Loan Banks were $19.3$5.5 billion and $21.6$10.5 billion, respectively.
(4)(5)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.


The Company issues both fixed- and variable-rate debt in a range of currencies. It uses derivative contracts, primarily interest rate swaps, to effectively convert a portion of its fixed-rate debt to variable-rate debt. The maturity structure of the derivatives generally corresponds to the maturity structure of the debt being hedged. In addition, the Company uses other derivative contracts to manage the foreign exchange impact of certain debt issuances. At December 31, 2017,2019, the Company’s overall weighted average interest rate for long-term debt, excluding structured notes accounted for at fair value, was 3.57%3.28% on a contractual basis and 2.70%3.54% including the effects of derivative contracts.





Aggregate annual maturities of long-term debt obligations (based on final maturity dates) including trust preferred securities are as follows:
In millions of dollars20202021202220232024ThereafterTotal
Citigroup Inc.$7,033
$15,208
$13,061
$14,202
$8,247
$92,726
$150,477
Bank20,654
14,023
8,471
2,634
4,417
3,141
53,340
Broker-dealer9,570
8,852
5,558
3,292
3,359
14,312
44,943
Total$37,257
$38,083
$27,090
$20,128
$16,023
$110,179
$248,760

In millions of dollars2018
2019
2020
2021
2022
Thereafter
Total
Citigroup Inc.$20,050
$16,656
$9,565
$15,499
$9,627
$80,766
$152,163
Bank29,270
17,245
10,302
4,077
1,471
3,491
65,856
Broker-dealer4,158
2,388
3,321
1,443
1,266
6,114
18,690
Total$53,478
$36,289
$23,188
$21,019
$12,364
$90,371
$236,709




The following table summarizes the Company’sCiti’s outstanding trust preferred securities at December 31, 2017:2019:
    Junior subordinated debentures owned by trust    Junior subordinated debentures owned by trust
Trust
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
In millions of dollars, except share amounts








In millions of dollars, except securities and share amounts
In millions of dollars, except securities and share amounts








Citigroup Capital IIIDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemableDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemable
Citigroup Capital XIIISept. 201089,840,000
2,246
3 mo LIBOR + 637 bps
1,000
2,246
Oct. 30, 2040Oct. 30, 2015Sept. 201089,840,000
2,246
3 mo LIBOR + 637 bps
1,000
2,246
Oct. 30, 2040Oct. 30, 2015
Citigroup Capital XVIIIJune 200799,901
135
3 mo LIBOR + 88.75 bps
50
135
June 28, 2067June 28, 2017June 200799,901
132
3 mo LIBOR + 88.75 bps
50
132
June 28, 2067June 28, 2017
Total obligated  
$2,575
  $2,581
   
$2,572
  $2,578
 


Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and Citigroup Capital XVIII and quarterly for Citigroup Capital XIII.
(1)Represents the notional value received by outside investors from the trusts at the time of issuance. This differs from Citi’s balance sheet carrying value due primarily to unamortized discount and issuance costs.
(2)In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.


18. REGULATORY CAPITAL
 
Citigroup is subject to risk-based capital and leverage standards issued by the Federal Reserve Board, which constitute the U.S. Basel III rules. Citi’s U.S.-insured depository institution subsidiaries, including Citibank, are subject to similar standards issued by their respective primary federal bank regulatory agencies. These standards are used to evaluate capital adequacy and include the required minimums
shown in the following table. The regulatory agencies are
required by law to take specific, prompt corrective actions with respect to institutions that do not meet minimum capital standards.
 The following table sets forth for Citigroup and Citibank the regulatory capital tiers, total risk-weighted assets, quarterly adjusted average total assets, Total Leverage Exposure, risk-based capital ratios and leverage ratios in accordance with current regulatory standards (reflecting Basel III Transition Arrangements):ratios:
In millions of dollars, except ratios
Stated
minimum
CitigroupCitibank
Well-
capitalized
minimum
December 31, 2017
Well-
capitalized
minimum
December 31, 2017
Common Equity Tier 1 Capital 
 
$147,891
 
$124,733
Tier 1 Capital 
 
164,841
 
126,303
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
 
 
190,331
 
139,351
Total risk-weighted assets(2)
  1,138,167
 1,014,242
Quarterly adjusted average total assets(3)
  1,869,206
 1,401,615
Total Leverage Exposure(4)
  2,433,371
 1,901,069
Common Equity Tier 1 Capital ratio(5)
4.5%    N/A
12.99%6.5%12.30%
Tier 1 Capital ratio(5)
6.0
6.0%14.48
8.0
12.45
Total Capital ratio(5)
8.0
10.0
16.77
10.0
14.60
Tier 1 Leverage ratio4.0
N/A
8.82
5.0
9.01
Supplementary Leverage ratio(6)
N/A
N/A
6.77
N/A
6.64
In millions of dollars, except ratios
Stated
minimum
CitigroupCitibank
Well-
capitalized
minimum
December 31, 2019December 31, 2018
Well-
capitalized
minimum
December 31, 2019December 31, 2018
Common Equity Tier 1 Capital 
 
$137,798
$139,252
 
$130,791
$129,091
Tier 1 Capital 
 
155,805
158,122
 
132,918
131,215
Total Capital (Tier 1 Capital + Tier 2 Capital)—Standardized Approach
  193,682
195,440
 157,324
155,154
Total Capital (Tier 1 Capital + Tier 2 Capital)—Advanced Approaches
  181,337
183,144
 145,989
144,358
Total risk-weighted assets—Standardized Approach  1,166,523
1,174,448
 1,019,916
1,032,809
Total risk-weighted assets—Advanced Approaches  1,135,553
1,131,933
 932,432
926,229
Quarterly adjusted average total assets(1)
  
1,957,039
1,896,959
 1,459,851
1,398,875
Total Leverage Exposure(2)
  2,507,891
2,465,641
 1,951,701
1,914,663
Common Equity Tier 1 Capital ratio(3)
4.5%    N/A
11.81%11.86%6.5%12.82%12.50%
Tier 1 Capital ratio(3)
6.0
6.0%13.36
13.46
8.0
13.03
12.70
Total Capital ratio(3)
8.0
10.0
15.97
16.18
10.0
15.43
15.02
Tier 1 Leverage ratio4.0
N/A
7.96
8.34
5.0
9.10
9.38
Supplementary Leverage ratio3.0
N/A
6.21
6.41
6.0
6.81
6.85


(1)Reflected in the table above is Citigroup’s and Citibank’s Total Capital as derived under the Basel III Advanced Approaches framework. At December 31, 2017, Citigroup’s and Citibank’s Total Capital as derived under the Basel III Standardized Approach was $202 billion and $150 billion, respectively.
(2)Reflected in the table above are Citigroup’s and Citibank’s total risk-weighted assets as derived under the Basel III Standardized Approach. At December 31, 2017, Citigroup’s and Citibank’s total risk-weighted assets as derived under the Basel III Advanced Approaches were $1,135 billion and $955 billion, respectively.
(3)Tier 1 Leverage ratio denominator.
(4)(2)Supplementary Leverage ratio denominator.
(5)(3)As of December 31, 2017,2019 and 2018, Citigroup’s and Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(6)Commencing on January As of December 31, 2019 and 2018, Citibank’s reportable Common Equity Tier 1 2018, CitigroupCapital, Tier 1 Capital and Citibank will be required to maintain a stated minimum Supplementary Leverage ratio of 3%, and Citibank will be required to maintain a Supplementary Leverage ratio of 6% to be considered “well capitalized.”Total Capital ratios were the lower derived under the Basel III Standardized Approach.
N/A  Not applicable


As indicated in the table above, Citigroup and Citibank were “well capitalized” under the current federal bank regulatory agency definitions as of December 31, 2017.2019 and 2018.


 
Banking Subsidiaries—Constraints on Dividends
There are various legal limitations on the ability of Citigroup’s subsidiary depository institutions to extend credit, pay dividends or otherwise supply funds to Citigroup and its non-bank subsidiaries. The approval of the Office of the Comptroller of the Currency is required if total dividends declared in any calendar year were to exceed amounts specified by the applicable agency’s regulations.
In determining the dividends, each subsidiary depository institution must also consider its effect on applicable risk-based capital and leverage ratio requirements, as well as policy statements of the federal bank regulatory agencies that indicate that banking organizations should generally pay dividends out of current operating earnings. Citigroup received $7.5$17.3 billion and $13.8$8.3 billion in dividends from Citibank during 20172019 and 2016,2018, respectively.




19.   CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)
Changes in each component of Citigroup’s Accumulated other comprehensive income (loss): were as follows:
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2014$57
$—
$(909)$(5,159)$(17,205)$(23,216)
Balance, December 31, 2016$(799)$(352)$(560)$(5,164)$(25,506)$—
$(32,381)
Adjustment to opening balance, net
of taxes(6)
$504
$—
$—
$—
$—
$—
$504
Adjusted balance, beginning of period$(295)$(352)$(560)$(5,164)$(25,506)$—
$(31,877)
Impact of Tax Reform(7)
$(223)$(139)$(113)$(1,020)$(1,809)$—
$(3,304)
Other comprehensive income before reclassifications(695)—
83
(143)(5,465)(6,220)(186)(426)(111)(158)1,607
—
726
Increase (decrease) due to amounts reclassified from AOCI(269)—
209
186
(34)92
(454)(4)86
159
—
—
(213)
Change, net of taxes$(964)$—
$292
$43
$(5,499)$(6,128)$(863)$(569)$(138)$(1,019)$(202)$—
$(2,791)
Balance, December 31, 2015$(907)$—
$(617)$(5,116)$(22,704)$(29,344)
Adjustment to opening balance, net of taxes(1)
$—
$(15)$—
$—
$—
$(15)
Balance, December 31, 2017$(1,158)$(921)$(698)$(6,183)$(25,708)$—
$(34,668)
Adjustment to opening balance, net
of taxes(8)
$(3)$—
$—
$—
$—
$—
$(3)
Adjusted balance, beginning of period$(907)$(15)$(617)$(5,116)$(22,704)$(29,359)$(1,161)$(921)$(698)$(6,183)$(25,708)$—
$(34,671)
Other comprehensive income before reclassifications(866)1,081
(135)(240)(2,607)(57)(2,824)
Increase (decrease) due to amounts reclassified from AOCI(9)
(223)32
105
166
245
—
325
Change, net of taxes
$(1,089)$1,113
$(30)$(74)$(2,362)$(57)$(2,499)
Balance at December 31, 2018$(2,250)$192
$(728)$(6,257)$(28,070)$(57)$(37,170)
Other comprehensive income before reclassifications$530
$(335)$(88)$(208)$(2,802)$(2,903)3,065
(1,151)549
(758)(647)25
1,083
Increase (decrease) due to amounts reclassified from AOCI
(422)(2)145
160
—
(119)(1,080)15
302
206
326
—
(231)
Change, net of taxes
$108
$(337)$57
$(48)$(2,802)$(3,022)$1,985
$(1,136)$851
$(552)$(321)$25
$852
Balance, December 31, 2016$(799)$(352)$(560)$(5,164)$(25,506)$(32,381)
Adjustment to opening balance, net of taxes (5)
$504
$—
$—
$—
$—
$504
Adjusted balance, beginning of period$(295)$(352)$(560)$(5,164)$(25,506)$(31,877)
Impact of Tax Reform(6)
(223)(139)(113)(1,020)(1,809)(3,304)
Other comprehensive income before reclassifications(186)(426)(111)(158)1,607
726
Increase (decrease) due to amounts reclassified from AOCI(454)(4)86
159
—
(213)
Change, net of taxes
$(863)$(569)$(138)$(1,019)$(202)$(2,791)
Balance at December 31, 2017$(1,158)$(921)$(698)$(6,183)$(25,708)$(34,668)
Balance at December 31, 2019$(265)$(944)$123
$(6,809)$(28,391)$(32)$(36,318)
(1)Beginning in the first quarter of 2016, changes
Changes in DVA are reflected as a component of AOCI, pursuant to the adoption of only the provisions of ASU 2016-01 relating to the presentation of DVA on fair value option liabilities. See Note 1 to the Consolidated Financial Statements for further information regarding this change.
(2)Primarily driven by Citi’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(3)Primarily reflects adjustments based on the quarterly actuarial valuations of Citi’sthe Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in Otherother comprehensive income.
(4)Primarily reflects the movements in (by order of impact) the Indian rupee, Brazilian real, Chilean peso, and Euro against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2019. Primarily reflects the movements in (by order of impact) the Brazilian real, Indian rupee, Mexican peso, and Australian dollar against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2018. Primarily reflects the movements in (by order of impact) the Euro, Mexican peso, Polish zloty and South Korean won against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2017. Primarily reflectsAmounts recorded in the movementsCTA component of AOCI remain in (by orderAOCI until the sale or substantial liquidation of impact) the Mexican peso, Euro, British pound and Indian rupee againstforeign entity, at which point such amounts related to the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2016. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Korean won and Euro against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2015.foreign entity are reclassified into earnings.
(5)
Beginning in the first quarter of 2018, changes in the excluded component of fair value hedges are reflected as a component of AOCI, pursuant to the early adoption of ASU 2017-12, Targeted Improvements to Accounting for Hedging Activities. See Note 1 of the Consolidated Financial Statements for further information regarding this change.
(6)
In the second quarter of 2017, Citi early adopted ASU No. 2017-08. Upon adoption, a cumulative effect adjustment was recorded to reduce retainedRetained earnings, effective January 1, 2017, for the incremental amortization of cumulative fair value hedge adjustments on callable state and municipal debt securities. See Note 1 to the Consolidated Financial Statements.
(6)(7)
In the fourth quarter of 2017, Citi adopted ASU 2018-02, which transferred these amounts from AOCI to Retained earnings. See Note 1 to the Consolidated Financial Statements.
(8)
Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to Retained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements.
(9)Includes the impact of the release of foreign currency translation adjustment, net of hedges, upon meeting the accounting trigger for substantial liquidation of Citi’s Japan Consumer Finance business during the fourth quarter of 2018. See Note 1 to the Consolidated Financial Statements.






The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) are were as follows:
In millions of dollarsPretax
Tax effect(1)
After-tax
Balance, December 31, 2016$(42,035)$9,654
$(32,381)
Adjustment to opening balance(2)
803
(299)504
Adjusted balance, beginning of period

$(41,232)$9,355
$(31,877)
Change in net unrealized gains (losses) on investment securities(1,088)225
(863)
Debt valuation adjustment (DVA)(680)111
(569)
Cash flow hedges(37)(101)(138)
Benefit plans14
(1,033)(1,019)
Foreign currency translation adjustment1,795
(1,997)(202)
Change$4
$(2,795)$(2,791)
Balance, December 31, 2017$(41,228)$6,560
$(34,668)
Adjustment to opening balance(3)
(4)1
(3)
Adjusted balance, beginning of period$(41,232)$6,561
$(34,671)
Change in net unrealized gains (losses) on investment securities(1,435)346
(1,089)
Debt valuation adjustment (DVA)1,415
(302)1,113
Cash flow hedges(38)8
(30)
Benefit plans(94)20
(74)
Foreign currency translation adjustment(2,624)262
(2,362)
Excluded component of fair value hedges

(74)17
(57)
Change$(2,850)$351
$(2,499)
Balance, December 31, 2018$(44,082)$6,912
$(37,170)
Change in net unrealized gains (losses) on AFS debt securities2,633
(648)1,985
Debt valuation adjustment (DVA)(1,473)337
(1,136)
Cash flow hedges1,120
(269)851
Benefit plans(671)119
(552)
Foreign currency translation adjustment(332)11
(321)
Excluded component of fair value hedges33
(8)25
Change$1,310
$(458)$852
Balance, December 31, 2019$(42,772)$6,454
$(36,318)
In millions of dollarsPretaxTax Effect
Adoption of ASU 2018-02 (1)
After-tax
Balance, December 31, 2014$(31,060)$7,844
$—
$(23,216)
Change in net unrealized gains (losses) on investment securities(1,462)498
—
(964)
Cash flow hedges468
(176)—
292
Benefit plans19
24
—
43
Foreign currency translation adjustment(6,405)906
—
(5,499)
Change$(7,380)$1,252
$—
$(6,128)
Balance, December 31, 2015$(38,440)$9,096
$—
$(29,344)
Adjustment to opening balance(2)
(26)11
—
(15)
Adjusted balance, beginning of period

$(38,466)$9,107
$—
$(29,359)
Change in net unrealized gains (losses) on investment securities167
(59)—
108
Debt valuation adjustment (DVA)(538)201
—
(337)
Cash flow hedges84
(27)—
57
Benefit plans(78)30
—
(48)
Foreign currency translation adjustment(3,204)402
—
(2,802)
Change$(3,569)$547
$—
$(3,022)
Balance, December 31, 2016$(42,035)$9,654
$—
$(32,381)
Adjustment to opening balance(3)
803
(299)—
504
Adjusted balance, beginning of period$(41,232)$9,355
$—
$(31,877)
Change in net unrealized gains (losses) on investment securities(1,088)448
(223)(863)
Debt valuation adjustment (DVA)(680)250
(139)(569)
Cash flow hedges(37)12
(113)(138)
Benefit plans14
(13)(1,020)(1,019)
Foreign currency translation adjustment1,795
(188)(1,809)(202)
Change$4
$509
$(3,304)$(2,791)
Balance, December 31, 2017$(41,228)$9,864
$(3,304)$(34,668)

(1)
InIncludes the fourth quarterimpact of 2017, Citi adopted ASU 2018-02, which transferred these amounts from AOCI to Retained earnings. See Note 1 to the Consolidated Financial Statements.
(2) Represents the $(15) million adjustment related to the initial adoption of ASU 2016-01. See Note 1 to the Consolidated Financial Statements.
(3)(2)
In the second quarter of 2017, Citi early adopted ASU 2017-08. Upon adoption, a cumulative effect adjustment was recorded to reduce retainedRetained earnings, effective January 1, 2017, for the incremental amortization of cumulative fair value hedge adjustments on callable state and municipal debt securities. See Note 1 to the Consolidated Financial Statements.
(3)
Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to Retained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements.










The Company recognized pretax gain (loss)gains (losses) related to amounts in AOCI reclassified into the Consolidated Statement of Income as follows:
Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
Year ended December 31,Year ended December 31,
In millions of dollars201720162015201920182017
Realized (gains) losses on sales of investments$(778)$(948)$(682)$(1,474)$(421)$(778)
OTTI gross impairment losses63
288
265
Gross impairment losses23
125
63
Subtotal, pretax$(715)$(660)$(417)$(1,451)$(296)$(715)
Tax effect261
238
148
371
73
261
Net realized (gains) losses on investment securities, after-tax(1)
$(454)$(422)$(269)
Realized DVA (gains) losses on fair value option liabilities$(7)$(3)$—
Subtotal, pretax$(7)$(3)$—
Net realized (gains) losses on investments, after-tax(1)
$(1,080)$(223)$(454)
Realized DVA (gains) losses on fair value option liabilities, pretax$20
$41
$(7)
Tax effect3
1
—
(5)(9)3
Net realized debt valuation adjustment, after-tax$(4)$(2)$—
Net realized DVA, after-tax$15
$32
$(4)
Interest rate contracts$126
$140
$186
$384
$301
$126
Foreign exchange contracts10
93
146
7
17
10
Subtotal, pretax$136
$233
$332
$391
$318
$136
Tax effect(50)(88)(123)(89)(213)(50)
Amortization of cash flow hedges, after-tax(2)
$86
$145
$209
$302
$105
$86
Amortization of unrecognized  
Prior service cost (benefit)$(42)$(40)$(40)$(12)$(34)$(42)
Net actuarial loss271
272
276
286
248
271
Curtailment/settlement impact(3)
17
18
57
1
6
17
Subtotal, pretax$246
$250
$293
$275
$220
$246
Tax effect(87)(90)(107)(69)(54)(87)
Amortization of benefit plans, after-tax(3)
$159
$160
$186
$206
$166
$159
Foreign currency translation adjustment$—
$—
$(53)$—
$34
$—
Tax effect—
—
19
326
211
—
Foreign currency translation adjustment$—
$—
$(34)$326
$245
$—
Total amounts reclassified out of AOCI, pretax$(340)$(180)$155
Total amounts reclassified out of AOCI, pretax
$(765)$317
$(340)
Total tax effect127
61
(63)534
8
127
Total amounts reclassified out of AOCI, after-tax$(213)$(119)$92
Total amounts reclassified out of AOCI, after-tax
$(231)$325
$(213)
(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses in the Consolidated Statement of Income. See Note 13 to the Consolidated Financial Statements for additional details.
(2)See Note 22 to the Consolidated Financial Statements for additional details.
(3)See Note 8 to the Consolidated Financial Statements for additional details.





20.   PREFERRED STOCK
The following table summarizes the Company’s preferred stock outstanding:
     Redemption
price per depositary
share/preference share		 
Carrying value
 in millions of dollars
 Issuance dateRedeemable by issuer beginningDividend
rate		Number
of depositary
shares		December 31,
2017		December 31,
2016
Series AA(1)
January 25, 2008February 15, 20188.125%$25
3,870,330
$97
$97
Series E(2)
April 28, 2008April 30, 20188.400
1,000
121,254
121
121
Series A(3)
October 29, 2012January 30, 20235.950
1,000
1,500,000
1,500
1,500
Series B(4)
December 13, 2012February 15, 20235.900
1,000
750,000
750
750
Series C(5)
March 26, 2013April 22, 20185.800
25
23,000,000
575
575
Series D(6)
April 30, 2013May 15, 20235.350
1,000
1,250,000
1,250
1,250
Series J(7)
September 19, 2013September 30, 20237.125
25
38,000,000
950
950
Series K(8)
October 31, 2013November 15, 20236.875
25
59,800,000
1,495
1,495
Series L(9)
February 12, 2014February 12, 20196.875
25
19,200,000
480
480
Series M(10)
April 30, 2014May 15, 20246.300
1,000
1,750,000
1,750
1,750
Series N(11)
October 29, 2014November 15, 20195.800
1,000
1,500,000
1,500
1,500
Series O(12)
March 20, 2015March 27, 20205.875
1,000
1,500,000
1,500
1,500
Series P(13)
April 24, 2015May 15, 20255.950
1,000
2,000,000
2,000
2,000
Series Q(14)
August 12, 2015August 15, 20205.950
1,000
1,250,000
1,250
1,250
Series R(15)
November 13, 2015November 15, 20206.125
1,000
1,500,000
1,500
1,500
Series S(16)
February 2, 2016February 12, 20216.300
25
41,400,000
1,035
1,035
Series T(17)
April 25, 2016August 15, 20266.250
1,000
1,500,000
1,500
1,500
    
 
 
$19,253
$19,253
     Redemption
price per depositary
share/preference share		 
Carrying value
 in millions of dollars
 Issuance dateRedeemable by issuer beginningDividend
rate		Number
of depositary
shares		December 31,
2019		December 31,
2018
Series A(1)
October 29, 2012January 30, 20235.950%$1,000
1,500,000
$1,500
$1,500
Series B(2)
December 13, 2012February 15, 20235.900
1,000
750,000
750
750
Series D(3)
April 30, 2013May 15, 20235.350
1,000
1,250,000
1,250
1,250
Series J(4)
September 19, 2013September 30, 20237.125
25
38,000,000
950
950
Series K(5)
October 31, 2013November 15, 20236.875
25
59,800,000
1,495
1,495
Series L(6)
February 12, 2014February 12, 20196.875
25
19,200,000
—
480
Series M(7)
April 30, 2014May 15, 20246.300
1,000
1,750,000
1,750
1,750
Series N(8)
October 29, 2014November 15, 20195.800
1,000
1,500,000
—
1,500
Series O(9)
March 20, 2015March 27, 20205.875
1,000
1,500,000
1,500
1,500
Series P(10)
April 24, 2015May 15, 20255.950
1,000
2,000,000
2,000
2,000
Series Q(11)
August 12, 2015August 15, 20205.950
1,000
1,250,000
1,250
1,250
Series R(12)
November 13, 2015November 15, 20206.125
1,000
1,500,000
1,500
1,500
Series S(13)
February 2, 2016February 12, 20216.300
25
41,400,000
1,035
1,035
Series T(14)
April 25, 2016August 15, 20266.250
1,000
1,500,000
1,500
1,500
Series U(15)
September 12, 2019September 12, 20245.000
1,000
1,500,000
1,500
—
    
 
 $17,980
$18,460
(1)
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15, in each case when, as and if declared by the Citi Board of Directors.
(2)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on April 30 and October 30 at a fixed rate until April 30, 2018, thereafter payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(3)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on January 30 and July 30 at a fixed rate until January 30, 2023, thereafter payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(4)(2)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on February 15 and August 15 at a fixed rate until February 15, 2023, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(5)(3)
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on January 22, April 22, July 22 and October 22 when, as and if declared by the Citi Board of Directors.
(6)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until May 15, 2023, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(7)(4)
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on March 30, June 30, September 30 and December 30 at a fixed rate until September 30, 2023, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(8)(5)
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until November 15, 2023, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(9)(6)
Issued as depositary shares, each representing a 1/1,000th interestThe Series L preferred stock was redeemed in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterlyfull on February 12, May 12, August 12 and November 12 at a fixed rate, in each case when, as and if declared by the Citi Board of Directors.
2019.
(10)(7)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until May 15, 2024, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(11)(8)The Series N preferred stock was redeemed in full on November 15, 2019.
(9)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, November 15, 2019, and thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(12)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on March 27 and September 27 at a fixed rate until, but excluding, March 27, 2020, and thereafter payable quarterly on March 27, June 27, September 27 and December 27 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(13)(10)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, May 15, 2025, and thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(14)(11)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on February 15 and August 15 at a fixed rate until, but excluding, August 15, 2020, and thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(15)(12)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, November 15, 2020, and thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(16)(13)
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 12, May 12, August 12 and November 12 at a fixed rate, in each case when, as and if declared by the Citi Board of Directors.
(17)(14)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on February 15 and August 15 at a fixed rate until, but excluding, August 15, 2026, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.


(15)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on March 12 and September 12 at a fixed rate until, but excluding, September 12, 2024, thereafter payable quarterly on March 12, June 12, September 12 and December 12 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.


During 2017,2019, Citi distributed $1,213$1,109 million in dividends on its outstanding preferred stock. Based on its preferred stock outstanding as of December 31, 2017 and the planned redemption of Series AA on FebruaryOn January 15, 2018,2020, Citi estimates it will distributedeclared preferred dividends of approximately $1,179$291 million during 2018,for the first quarter of 2020. During the first quarter of 2020, Citi issued 1.5 million Series V preferred shares for $1.5 billion. Semi-annual dividends on Series V, assuming such dividends are declared by the Citi Board of Directors.Directors, will be distributed beginning in the third quarter of 2020. As of February 21, 2020, Citi estimates it will distribute preferred dividends of approximately $253 million, $328 million and $253 million in the second, third and fourth quarters of 2020, respectively.






21. SECURITIZATIONS AND VARIABLE INTEREST ENTITIES
 
Uses of Special Purpose Entities
A special purpose entity (SPE) is an entity designed to fulfill a specific limited need of the company that organized it. The principal uses of SPEs by Citi are to obtain liquidity and favorable capital treatment by securitizing certain financial assets, to assist clients in securitizing their financial assets and to create investment products for clients. SPEs may be organized in various legal forms, including trusts, partnerships or corporations. In a securitization, through the SPE’s issuance of debt and equity instruments, certificates, commercial paper or other notes of indebtedness, the company transferring assets to the SPE converts all (or a portion) of those assets into cash before they would have been realized in the normal course of business. These issuances are recorded on the balance sheet of the SPE, which may or may not be consolidated onto the balance sheet of the company that organized the SPE.
Investors usually have recourse only to the assets in the SPE, but may also benefit from other credit enhancements, such as a collateral account, a line of credit or a liquidity facility, such as a liquidity put option or asset purchase agreement. Because of these enhancements, the SPE issuances typically obtain a more favorable credit rating than the transferor could obtain for its own debt issuances. This results in less expensive financing costs than unsecured debt. The SPE may also enter into derivative contracts in order to convert the yield or currency of the underlying assets to match the needs of the SPE investors or to limit or change the credit risk of the SPE. Citigroup may be the provider of certain credit enhancements as well as the counterparty to any related derivative contracts.
Most of Citigroup’s SPEs are variable interest entities (VIEs), as described below.
 
Variable Interest Entities
VIEs are entities that have either a total equity investment that is insufficient to permit the entity to finance its activities without additional subordinated financial support or whose equity investors lack the characteristics of a controlling financial interest (i.e., ability to make significant decisions through voting rights or similar rights and a right to receive the expected residual returns of the entity or an obligation to absorb the expected losses of the entity). Investors that finance the VIE through debt or equity interests or other counterparties providing other forms of support, such as guarantees, certain fee arrangements or certain types of derivative contracts, are variable interest holders in the entity.
 
The variable interest holder, if any, that has a controlling financial interest in a VIE is deemed to be the primary beneficiary and must consolidate the VIE. Citigroup would be deemed to have a controlling financial interest and be the primary beneficiary if it has both of the following characteristics:


power to direct the activities of the VIE that most significantly impact the entity’s economic performance; and
an obligation to absorb losses of the entity that could potentially be significant to the VIE, or a right to receive benefits from the entity that could potentially be significant to the VIE.


The Company must evaluate each VIE to understand the purpose and design of the entity, the role the Company had in the entity’s design and its involvement in the VIE’s ongoing activities. The Company then must evaluate which activities most significantly impact the economic performance of the VIE and who has the power to direct such activities.
For those VIEs where the Company determines that it has the power to direct the activities that most significantly impact the VIE’s economic performance, the Company must then evaluate its economic interests, if any, and determine whether it could absorb losses or receive benefits that could potentially be significant to the VIE. When evaluating whether the Company has an obligation to absorb losses that could potentially be significant, it considers the maximum exposure to such loss without consideration of probability. Such obligations could be in various forms, including, but not limited to, debt and equity investments, guarantees, liquidity agreements and certain derivative contracts.
In various other transactions, the Company may (i) act as a derivative counterparty (for example, interest rate swap, cross-currency swap or purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE), (ii) act as underwriter or placement agent, (iii) provide administrative, trustee or other services or (iv) make a market in debt securities or other instruments issued by VIEs. The Company generally considers such involvement, by itself, not to be variable interests and thus not an indicator of power or potentially significant benefits or losses.



Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:
 As of December 31, 2019
    
Maximum exposure to loss in significant unconsolidated VIEs(1)
    
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$43,534
$43,534
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
        
U.S. agency-sponsored117,374
—
117,374
2,671
—
—
72
2,743
Non-agency-sponsored39,608
1,187
38,421
876
—
—
1
877
Citi-administered asset-backed commercial paper conduits15,622
15,622
—
—
—
—
—
—
Collateralized loan obligations (CLOs)17,395
—
17,395
4,199
—
—
—
4,199
Asset-based financing196,728
6,139
190,589
23,756
1,151
9,524
—
34,431
Municipal securities tender option bond trusts (TOBs)6,950
1,458
5,492
4
—
3,544
—
3,548
Municipal investments20,312
—
20,312
2,636
4,274
3,034
—
9,944
Client intermediation1,455
1,391
64
4
—
—
—
4
Investment funds827
174
653
5
—
16
1
22
Other352
1
351
169
—
39
—
208
Total$460,157
$69,506
$390,651
$34,320
$5,425
$16,157
$74
$55,976
 As of December 31, 2017 
    
Maximum exposure to loss in significant unconsolidated VIEs(1)
    
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$50,795
$50,795
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
        
U.S. agency-sponsored(5)
116,610
—
116,610
2,647
—
—
74
2,721
Non-agency-sponsored22,251
2,035
20,216
330
—
—
1
331
Citi-administered asset-backed commercial paper conduits (ABCP)19,282
19,282
—
—
—
—
—
—
Collateralized loan obligations (CLOs)20,588
—
20,588
5,956
—
—
9
5,965
Asset-based financing60,472
633
59,839
19,478
583
5,878
—
25,939
Municipal securities tender option bond trusts (TOBs)6,925
2,166
4,759
138
—
3,035
—
3,173
Municipal investments19,119
7
19,112
2,709
3,640
2,344
—
8,693
Client intermediation958
824
134
32
—
—
9
41
Investment funds1,892
616
1,276
14
7
13
—
34
Other677
36
641
27
9
34
47
117
Total$319,569
$76,394
$243,175
$31,331
$4,239
$11,304
$140
$47,014

As of December 31, 2016 As of December 31, 2018
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Funded exposures(2)
Unfunded exposures  
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$50,171
$50,171
$—
$—
$—
$—
$—
$—
$46,232
$46,232
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
      
U.S. agency-sponsored214,458
—
214,458
3,852
—
—
78
3,930
116,563
—
116,563
3,038
—
—
60
3,098
Non-agency-sponsored15,965
1,092
14,873
312
35
—
1
348
30,886
1,498
29,388
431
—
—
1
432
Citi-administered asset-backed commercial paper conduits (ABCP)19,693
19,693
—
—
—
—
—
—
Citi-administered asset-backed commercial paper conduits18,750
18,750
—
—
—
—
—
—
Collateralized loan obligations (CLOs)18,886
—
18,886
5,128
—
—
62
5,190
21,837
—
21,837
5,891
—
—
9
5,900
Asset-based financing53,168
733
52,435
16,553
475
4,915
—
21,943
99,433
628
98,805
21,640
715
9,757
—
32,112
Municipal securities tender option bond trusts (TOBs)7,070
2,843
4,227
40
—
2,842
—
2,882
7,998
1,776
6,222
9
—
4,262
—
4,271
Municipal investments17,679
14
17,665
2,441
3,578
2,580
—
8,599
18,044
3
18,041
2,813
3,922
2,738
—
9,473
Client intermediation515
371
144
49
—
—
3
52
858
614
244
172
—
—
2
174
Investment funds2,788
767
2,021
32
120
27
3
182
1,272
440
832
12
—
1
1
14
Other1,429
607
822
116
11
58
43
228
63
3
60
37
—
23
—
60
Total$401,822
$76,291
$325,531
$28,523
$4,219
$10,422
$190
$43,354
$361,936
$69,944
$291,992
$34,043
$4,637
$16,781
$73
$55,534


(1)The definition of maximum exposure to loss is included in the text that follows this table.
(2)Included on Citigroup’s December 31, 20172019 and 20162018 Consolidated Balance Sheet.
(3)A significant unconsolidated VIE is an entity in which the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss.
(4)Citigroup mortgage securitizations also include agency and non-agency (private-label)(private label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.
(5)See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs.






The previous tables do not include the following:include:


certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC Topic 946);
certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;
certain third-party sponsored private equity funds to which the Company provides secured credit facilities. The Company has no decision-making power and does not consolidate these funds, some of which may meet the definition of a VIE. The Company’s maximum exposure to loss is generally limited to a loan or lending-related commitment (for more information on these positions, see Notes 14 and 26 to the Consolidated Financial Statements);
certain VIEs structured by third parties in which the Company holds securities in inventory, as these investments are made on arm’s-length terms;
certain positions in mortgage-backed and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, in which the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 13 and 24 to the Consolidated Financial Statements);
certain representations and warranties exposures in legacy ICG-sponsored mortgage-backed and asset-backed securitizations, in which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 in which the Company has no variable interest or continuing involvement as servicer was approximately $9 billion and $10 billion at December 31, 2017 and 2016, respectively;
•
certain positions in mortgage- and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, in which the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 13 and 24 to the Consolidated Financial Statements);
•
certain representations and warranties exposures in legacy ICG-sponsored mortgage- and asset-backed securitizations in which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 in which the Company has no variable interest or continuing involvement as servicer was approximately $6 billion and $7 billion at December 31, 2019 and 2018, respectively;
certain representations and warranties exposures in Citigroup residential mortgage securitizations in which the original mortgage loan balances are no longer outstanding; and
VIEs such as trust preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.


 


The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., loan or security) and the Company’s standard accounting policies for the asset type and line of business.
The asset balances for unconsolidated VIEs in which the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, unless fair value information is readily available to the Company.
The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE, adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.

Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:
 December 31, 2019December 31, 2018
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing$—
$9,524
$—
$9,757
Municipal securities tender option bond trusts (TOBs)3,544
—
4,262
—
Municipal investments—
3,034
—
2,738
Investment funds—
16
—
1
Other—
39
—
23
Total funding commitments$3,544
$12,613
$4,262
$12,519
 December 31, 2017December 31, 2016
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing$—
$5,878
$5
$4,910
Municipal securities tender option bond trusts (TOBs)3,035
—
2,842
—
Municipal investments—
2,344
—
2,580
Investment funds—
13
—
27
Other—
34
—
58
Total funding commitments$3,035
$8,269
$2,847
$7,575

Consolidated VIEs
The Company engages in on-balance sheet securitizations, which are securitizations that do not qualify for sales treatment; thus, the assets remain on the Citi’s Consolidated Balance Sheet, and any proceeds received are recognized as secured liabilities. The consolidated VIEs represent hundreds ofmore than a hundred separate entities with which the Company is involved. In general, the third-party investors in the obligations of consolidated VIEs have legal recourse only to the assets of the respective VIEs and do not have such recourse to the Company, except where Citi has provided a guarantee to the investors or is the counterparty to certain derivative
 
derivative transactions involving the VIE. Thus, Citigroup’s maximum legal exposure to loss related to consolidated VIEs is significantly less than the carrying value of the consolidated VIE assets due to outstanding third-party financing.
Intercompany assets and liabilities are excluded from Citi’s Consolidated Balance Sheet. All VIE assets are restricted from being sold or pledged as collateral. The cash flows from these assets are the only source used to pay down the associated liabilities, which are non-recourse to Citi’s general assets. See the Consolidated Balance Sheet for more information about these Consolidated VIE assets and liabilities.




Significant Interests in Unconsolidated VIEs—Balance Sheet Classification
The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:
In billions of dollarsDecember 31, 2019December 31, 2018
Cash$—
$—
Trading account assets2.6
3.0
Investments9.9
10.7
Total loans, net of allowance26.7
24.5
Other0.5
0.5
Total assets$39.7
$38.7
In billions of dollarsDecember 31, 2017December 31, 2016
Cash$—
$0.1
Trading account assets8.5
8.0
Investments4.4
4.4
Total loans, net of allowance22.2
18.8
Other0.5
1.5
Total assets$35.6
$32.8


Credit Card Securitizations
The Company securitizes credit card receivables through trusts established to purchase the receivables. Citigroup transfers receivables into the trusts on a non-recourse basis. Credit card securitizations are revolving securitizations;securitizations: as customers pay their credit card balances, the cash proceeds are used to purchase new receivables and replenish the receivables in the trust.
Substantially all of Citigroup’sthe Company’s credit card securitization activity is through two2 trusts—Citibank Credit Card Master Trust (Master Trust) and Citibank Omni Master Trust (Omni Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities because, as servicer,
 
servicer, Citigroup has the power to direct the activities that most significantly impact the economic performance of the trusts. Citigroup holds a seller’s interest and certain securities issued by the trusts, which could result in exposure to potentially significant losses or benefits from the trusts. Accordingly, the transferred credit card receivables remain on Citi’s Consolidated Balance Sheet with no0 gain or loss recognized. The debt issued by the trusts to third parties is included on Citi’s Consolidated Balance Sheet.
Citi utilizes securitizations as one of the sources of funding for its business in North America. The following table reflects amounts related to the Company’s securitized credit card receivables:
In billions of dollarsDecember 31, 2019December 31, 2018
Ownership interests in principal amount of trust credit card receivables
   Sold to investors via trust-issued securities$19.7
$27.3
   Retained by Citigroup as trust-issued securities6.2
7.6
   Retained by Citigroup via non-certificated interests17.8
11.3
Total$43.7
$46.2
In billions of dollarsDecember 31, 2017December 31, 2016
Ownership interests in principal amount of trust credit card receivables
   Sold to investors via trust-issued securities$28.8
$22.7
   Retained by Citigroup as trust-issued securities7.6
7.4
   Retained by Citigroup via non-certificated interests14.4
20.6
Total$50.8
$50.7



The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
In billions of dollars201920182017
Proceeds from new securitizations$—
$6.8
$11.1
Pay down of maturing notes(7.6)(8.3)(5.0)

In billions of dollars201720162015
Proceeds from new securitizations$11.1
$3.3
$—
Pay down of maturing notes(5.0)(10.3)(7.4)


Managed Loans
After securitization of credit card receivables, the Company continues to maintain credit card customer account relationships and provides servicing for receivables transferred to the trusts. As a result, the Company considers the securitized credit card receivables to be part of the business it manages. As Citigroup consolidates the credit card trusts, all managed securitized card receivables are on-balance sheet.


Funding, Liquidity Facilities and Subordinated Interests
As noted above, Citigroup securitizes credit card receivables through two2 securitization trusts—Master Trust and Omni Trust. The liabilities of the trusts are included on the Consolidated Balance Sheet, excluding those retained by Citigroup.
    


 


Master Trust Liabilities (at Par Value)
The Master Trust issues fixed- and floating-rate term notes. Some of the term notes may be issued to multi-seller commercial paper conduits. The weighted average maturity of
the third-party term notes issued by the Master Trust was 2.63.1 years as of December 31, 20172019 and 2016.3.0 years as of December 31, 2018.

In billions of dollarsDec. 31, 2019Dec. 31, 2018
Term notes issued to third parties$18.2
$25.8
Term notes retained by Citigroup affiliates4.3
5.7
Total Master Trust liabilities$22.5
$31.5

Master
Omni Trust Liabilities (at Par Value)
In billions of dollarsDec. 31, 2017Dec. 31, 2016
Term notes issued to third parties$27.8
$21.7
Term notes retained by Citigroup affiliates5.7
5.5
Total Master Trust liabilities$33.5
$27.2

The Omni Trust issues fixed- and floating-rate term notes, some of which are purchased by multi-seller commercial paper conduits. The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.91.6 years as of December 31, 20172019 and 2016.

Omni Trust Liabilities (at Par Value)2.7 years as of December 31, 2018.
In billions of dollarsDec. 31, 2019Dec. 31, 2018
Term notes issued to third parties$1.5
$1.5
Term notes retained by Citigroup affiliates1.9
1.9
Total Omni Trust liabilities$3.4
$3.4

In billions of dollarsDec. 31, 2017Dec. 31, 2016
Term notes issued to third parties$1.0
$1.0
Term notes retained by Citigroup affiliates1.9
1.9
Total Omni Trust liabilities$2.9
$2.9



Mortgage Securitizations
Citigroup provides a wide range of mortgage loan products to a diverse customer base. Once originated, the Company often securitizes these loans through the use of VIEs. These VIEs are funded through the issuance of trust certificates backed solely by the transferred assets. These certificates have the same life as the transferred assets. In addition to providing a source of liquidity and less expensive funding, securitizing these assets also reduces Citi’s credit exposure to the borrowers. These mortgage loan securitizations are primarily non-recourse, thereby effectively transferring the risk of future credit losses to the purchasers of the securities issued by the trust. However,
Citi’s U.S. consumer mortgage business generally retains the servicing rights and in certain instances retains investment securities, interest-only strips and residual interests in future cash flows from the trusts and also provides servicing for a limited number of ICG securitizations. Citi’s ICG business may hold investment securities pursuant to credit risk retention rules or in connection with secondary market-making activities.
The Company securitizes mortgage loans generally through either a U.S. government-sponsored agency, such as Ginnie Mae, Fannie Mae or Freddie Mac (U.S. agency-sponsored mortgages), or private-labelprivate label (non-agency-sponsored
mortgages) securitization. Citi is not the primary beneficiary
of its U.S. agency-sponsored mortgage securitizationssecuritization entities because
Citigroup does not have the power to direct the activities of the VIEVIEs that most significantly impact the entity’sentities’ economic performance. Therefore, Citi does not consolidate these U.S. agency-sponsored mortgage securitizations.securitization entities. Substantially all of the consumer loans sold or securitized through non-consolidated trusts by Citigroup are U.S. prime residential mortgage loans. Retained interests in non-consolidated agency-sponsored mortgage securitization trusts are classified as Trading account assets, except for MSRs, which are included in Mortgage servicing rightsOther assets on Citigroup’s Consolidated Balance Sheet.
Citigroup does not consolidate certain non-agency-sponsored mortgage securitizationssecuritization entities because Citi is either not the servicer with the power to direct the significant activities of the entity or Citi is the servicer, but the servicing relationship is deemed to be a fiduciary relationship; therefore, Citi is not deemed to be the primary beneficiary of the entity.
In certain instances, the Company has (i) the power to direct the activities and (ii) the obligation to either absorb losses or the right to receive benefits that could be potentially significant to its non-agency-sponsored mortgage securitizationssecuritization entities and, therefore, is the primary beneficiary and, thus, consolidates the VIE.


The following table summarizestables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
201720162015201920182017
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized$5.3
$18.9
$4.0
$5.6
$7.8
$7.3
Proceeds from new securitizations(1)
$33.9
$7.9
$41.3
$11.8
$35.0
$12.1
5.5
18.9
4.2
7.1
8.1
7.3
Contractual servicing fees received0.2
—
0.4
—
0.5
—
0.1
—
0.1
—
0.2
—
Cash flows received on retained interests and other net cash flows—
—
0.1
—
0.1
—
Purchases of previously transferred financial assets

0.2
—
0.2
—
0.4
—

Note: Excludes re-securitization transactions.
(1)The proceeds from new securitizations in 2019 include $0.2 billion related to personal loan securitizations.

For non-consolidated mortgage securitization entities where the transfer of loans to the VIE meets the conditions for sale accounting, Citi recognizes a gain or loss based on the difference between the carrying value of the transferred assets and the proceeds received (generally cash but may be beneficial interests or servicing rights).

(1) The proceeds from new securitizations in 2016 and 2015 include $0.5 billion and $0.7 billion, respectively, related to personal loan securitizations.


Agency and non-agency securitization gains for the year ended December 31, 20172019 were $73$16 million and $77$99 million, respectively.

Agency and non-agency securitization gains for the year ended December 31, 20162018 were $105$17 million and $107$36 million, respectively, and $149$28 million and $41$70 million, respectively, for the year ended December 31, 2015.2017.

 20192018
  
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
In millions of dollarsU.S. agency-
sponsored mortgages		Senior
interests
Subordinated
interests(3)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests(2)
$491
$748
$102
$564
$300
$51

(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Retained interests consist of Level 2 or Level 3 assets depending on the observability of significant inputs. See Note 24 to the Consolidated Financial Statements for more information about fair value measurements.
(3)Senior interests in non-agency-sponsored mortgages include $150 million related to personal loan securitizations at December 31, 2019.

Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
December 31, 2017
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate1.8% to 19.9%
—
—
   Weighted average discount rate8.6%—
—
Constant prepayment rate3.8% to 31.6%
—
—
   Weighted average constant prepayment rate9.4%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life2.5 to 20.7 years
—
—



 December 31, 2019
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Weighted average discount rate9.3%3.6%4.6%
Weighted average constant prepayment rate12.9%10.5%7.6%
Weighted average anticipated net credit losses(2)
   NM
3.9%2.8%
Weighted average life6.6 years
3 years
11.4 years
December 31, 2016
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.8% to 13.7%
—
—
   Weighted average discount rate9.9%—
—
Constant prepayment rate3.8% to 30.9%
—
—
   Weighted average constant prepayment rate11.1%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life0.5 to 17.5 years
—
—
 December 31, 2018
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate9.6%2.8%4.4%
Weighted average constant prepayment rate5.8%8.0%9.1%
Weighted average anticipated net credit losses(2)
   NM
4.4%3.4%
Weighted average life7.5 years
5.5 years
6.7 years


(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.


The interests retained by Citithe Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests.
The key Key assumptions used to value retained interests, and the sensitivity ofin measuring the fair value to adverse changes of 10% and 20% in eachretained interests at period end or securitization of the key assumptions, are set forth in the tables
below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.
mortgage receivables were as follows:
 December 31, 2017
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate   1.8% to 84.2%
   5.8% to 100.0%
   2.8% to 35.1%
   Weighted average discount rate7.1%5.8%9.0%
Constant prepayment rate6.9% to 27.8%
   8.9% to 15.5%
   8.6% to 13.1%
   Weighted average constant prepayment rate11.6%8.9%10.6%
Anticipated net credit losses(2)
   NM
   0.4% to 46.9%
   35.1% to 52.1%
   Weighted average anticipated net credit losses   NM
46.9%44.9%
Weighted average life0.1 to 27.8 years
   4.8 to 5.3 years
   0.2 to 18.6 years
 December 31, 2019
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Weighted average discount rate9.8%7.6%4.2%
Weighted average constant prepayment rate10.1%3.6%6.1%
Weighted average anticipated net credit losses(2)
NM
5.2%2.7%
Weighted average life6.6 years
5.9 years
29.3 years
 December 31, 2016
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate   0.7% to 28.2%
   0.0% to 8.1%
   5.1% to 26.4%
   Weighted average discount rate9.0%2.1%13.1%
Constant prepayment rate6.8% to 22.8%
   4.2% to 14.7%
   0.5% to 37.5%
   Weighted average constant prepayment rate10.2%11.0%10.8%
Anticipated net credit losses(2)
   NM
   0.5% to 85.6%
   8.0% to 63.7%
   Weighted average anticipated net credit losses   NM
31.4%48.3%
Weighted average life0.2 to 28.8 years
   5.0 to 8.5 years
   1.2 to 12.1 years
 December 31, 2018
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Weighted average discount rate7.8%9.3%—
Weighted average constant prepayment rate9.1%8.0%—
Weighted average anticipated net credit losses(2)
   NM
40.0%—
Weighted average life6.4 years
6.6 years
—


(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.





The sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions are presented in the tables below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.
December 31, 2017December 31, 2019
 Non-agency-sponsored mortgages Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Carrying value of retained interests(1)
$1,634
$214
$139
Discount rates 
Discount rate 
Adverse change of 10%$(44)$(2)$(3)$(18)$—
$(1)
Adverse change of 20%(85)(4)(5)(35)(1)(1)
Constant prepayment rate  
Adverse change of 10%(41)(1)(1)(18)—
—
Adverse change of 20%(84)(1)(2)(35)—
—
Anticipated net credit losses  
Adverse change of 10%NM
(3)—
NM
—
—
Adverse change of 20%NM
(7)—
NM
—
—


 December 31, 2018
  Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate   
   Adverse change of 10%$(16)$—
$—
   Adverse change of 20%(32)—
—
Constant prepayment rate   
   Adverse change of 10%(21)—
—
   Adverse change of 20%(41)—
—
Anticipated net credit losses   
   Adverse change of 10%NM
—
—
   Adverse change of 20%NM
—
—

 December 31, 2016
  Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Carrying value of retained interests(1)
$2,258
$26
$161
Discount rates   
   Adverse change of 10%$(71)$(7)$(8)
   Adverse change of 20%(138)(14)(16)
Constant prepayment rate   
   Adverse change of 10%(80)(2)(4)
   Adverse change of 20%(160)(3)(8)
Anticipated net credit losses   
   Adverse change of 10%NM
(7)(1)
   Adverse change of 20%NM
(14)(2)


(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.

The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities:
 Securitized assets90 days past dueLiquidation losses
In billions of dollars, except liquidation losses in millions201920182019201820192018
Securitized assets      
Residential mortgages$11.7
$5.2
$0.4
$0.4
$49.0
$54.0
Commercial and other22.3
13.1
—
—
—
—
Total$34.0
$18.3
$0.4
$0.4
$49.0
$54.0



Mortgage Servicing Rights (MSRs)
In connection with the securitization of mortgage loans, Citi’s U.S. consumer mortgage business generally retains the servicing rights, which entitle the Company to a future stream of cash flows based on the outstanding principal balances of the loans and the contractual servicing fee. Failure to service the loans in accordance with contractual requirements may lead to a termination of the servicing rights and the loss of future servicing fees.
These transactions create an intangible assetassets referred to as mortgage servicing rights (MSRs),MSRs, which are recorded at fair value on Citi’s Consolidated Balance Sheet. The fair value of Citi’s capitalized MSRs was $558$495 million and $1.6 billion$584 million at December 31, 20172019 and 2016,2018, respectively. The MSRs correspond to principal loan balances of $66$58 billion and $168$62 billion as of December 31, 20172019 and 2016,2018, respectively.
The following table summarizes the changes in capitalized MSRs:
In millions of dollars20172016
Balance, beginning of year$1,564
$1,781
Originations96
152
Changes in fair value of MSRs due to changes in inputs and assumptions65
(36)
Other changes(1)
(110)(313)
Sale of MSRs(2)
(1,057)(20)
Balance, as of December 31$558
$1,564

In millions of dollars20192018
Balance, beginning of year$584
$558
Originations70
58
Changes in fair value of MSRs due to changes in inputs and assumptions(84)54
Other changes(1)
(75)(68)
Sale of MSRs—
(18)
Balance, as of December 31$495
$584

(1)Represents changes due to customer payments and passage of time.
(2)See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs. 2016 amount includes sales of credit-challenged MSRs for which Citi paid the new servicer.



The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, Citigroup economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities, all classified as Trading account assets.
The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
In millions of dollars201920182017
Servicing fees$148
$172
$276
Late fees8
4
10
Ancillary fees1
8
13
Total MSR fees$157
$184
$299

In millions of dollars201720162015
Servicing fees$276
$484
$552
Late fees10
14
16
Ancillary fees13
17
31
Total MSR fees$299
$515
$599


In the Consolidated Statement of Income these fees are primarily classified as Commissions and fees,and changes in MSR fair values are classified as Other revenue.
Citi signed agreements during the first quarter of 2017 to effectively exit its direct U.S. mortgage servicing operations by the end of 2018 to intensify focus on originations. The exit of the mortgage servicing operations included the sale of mortgage servicing rights and execution of a subservicing agreement for the remaining Citi-owned loans and certain other mortgage servicing rights. As part of this transaction, Citi is also transferring certain employees. See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs.


Re-securitizations
CitigroupThe Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private-label)(private label) securities to re-securitization entities during the years ended December 31, 20172019 and 2016.2018. These securities are
backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of December 31, 2017,2019, Citi held no retained interests in private label re-securitization transactions structured by Citi. As of December 31, 2018, the fair value of Citi-retained interests in private-labelprivate label re-securitization transactions structured by Citi totaled approximately $79 million (all related to re-securitization transactions executed prior to 2016), which has been recorded in Trading account assets. Of this amount, substantially all was related to subordinated beneficial interests. As of December 31, 2016, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $126$16 million (all related to re-securitization transactions executed prior to 2016). Of this amount, substantially all was related to subordinated beneficial interests. The original par value of private-labelprivate label re-securitization transactions in which Citi holdsheld a retained interest as of December 31, 2017 and 20162018 was approximately $887 million and $1.3 billion, respectively.$271 million.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the years ended December 31, 20172019 and 2016,2018, Citi transferred
agency securities with a fair value of approximately $26.6$31.9 billion and $26.5$26.3 billion, respectively, to re-securitization entities.
As of December 31, 2017,2019, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.1$2.2 billion (including $854 million$1.3 billion related to re-securitization transactions executed in 2017)2019) compared to $2.3$2.5 billion as of December 31, 20162018 (including $741 million$1.4 billion related to re-securitization transactions executed in 2016)2018), which is recorded in Trading account assets. The original fair value of agency re-securitization transactions in which Citi holds a retained interest as of December 31, 20172019 and 20162018 was approximately $68.3$73.5 billion and $71.8$70.9 billion, respectively.
As of December 31, 20172019 and 2016,2018, the Company did not consolidate any private-labelprivate label or agency re-securitization entities.


Citi-Administered Asset-Backed Commercial Paper Conduits
The Company is active in the asset-backed commercial paper conduit business as administrator of several multi-seller commercial paper conduits and also as a service provider to single-seller and other commercial paper conduits sponsored by third parties.
Citi’s multi-seller commercial paper conduits are designed to provide the Company’s clients access to low-cost funding in the commercial paper markets. The conduits purchase assets from or provide financing facilities to clients and are funded by issuing commercial paper to third-party investors. The conduits generally do not purchase assets originated by Citi. The funding of the conduits is facilitated by the liquidity support and credit enhancements provided by the Company.
As administrator to Citi’s conduits, the Company is generally responsible for selecting and structuring assets purchased or financed by the conduits, making decisions regarding the funding of the conduits, including determining the tenor and other features of the commercial paper issued, monitoring the quality and performance of the conduits’ assets and facilitating the operations and cash flows of the conduits. In return, the Company earns structuring fees from customers for individual transactions and earns an administration fee from the conduit, which is equal to the income from the client program and liquidity fees of the conduit after payment of conduit expenses. This administration fee is fairly stable, since

most risks and rewards of the underlying assets are passed back to the clients. Once the asset pricing is negotiated, most ongoing income, costs and fees are relatively stable as a percentage of the conduit’s size.
The conduits administered by Citi do not generally invest in liquid securities that are formally rated by third parties. The assets are privately negotiated and structured transactions that are generally designed to be held by the conduit, rather than actively traded and sold. The yield earned by the conduit on each asset is generally tied to the rate on the commercial paper issued by the conduit, thus passing interest rate risk to the client. Each asset purchased by the conduit is structured with transaction-specific credit enhancement features provided by the third-party client seller, including over-collateralization, cash and excess spread collateral accounts, direct recourse or third-party guarantees. These credit enhancements are sized

with the objective of approximating a credit rating of A or above, based on Citi’s internal risk ratings. At December 31, 20172019 and 2016,2018, the commercial paper conduits administered by Citi had approximately $19.3$15.6 billion and $19.7$18.8 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $14.5$16.3 billion and $12.8$14.0 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At December 31, 20172019 and 2016,2018, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 5149 and 5553 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteed loan conduit, have obtained a letter of credit from the Company, which is equal to at least 8% to –10% of the conduit’s assets with a minimum of $200 million. The letters of credit provided by the Company to the conduits total approximately $1.7 billion and $1.8$1.4 billion as of December 31, 20172019 and 2016, respectively.$1.7 billion as of December 31, 2018. The net result across multi-seller conduits administered by the Company is that, in the event that defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.
Citigroup also provides the conduits with two forms of liquidity agreements that are used to provide funding to the conduits in the event of a market disruption, among other events. Each asset of the conduits is supported by a transaction-specific liquidity facility in the form of an asset purchase agreement (APA). Under the APA, the Company has generally agreed to purchase non-defaulted eligible receivables from the conduit at par. The APA is not designed to provide credit support to the conduit, as it generally does not permit the purchase of defaulted or impaired assets. Any funding under the APA will likely subject the underlying conduit clients to increased interest costs. In addition, the Company provides the conduits with program-wide liquidity in the form of short-term lending commitments. Under these commitments, the Company has agreed to lend to the conduits in the event of a short-term disruption in the commercial paper market, subject to specified conditions. The Company receives
fees for providing both types of liquidity agreements and considers these fees to be on fair market terms.
Finally, Citi is one of several named dealers in the commercial paper issued by the conduits and earns a market-based fee for providing such services. Along with third-party dealers, the Company makes a market in the commercial paper and may from time to time fund commercial paper pending sale to a third party. On specific dates with less liquidity in the market, the Company may hold in inventory commercial paper issued by conduits administered by the Company, as well as conduits administered by third parties. Separately, in the normal course of business, Citi purchases commercial paper, including commercial paper issued by Citigroup's conduits. At December 31, 20172019 and 2016,2018, the Company owned $9.3$5.5 billion and $9.7$5.5 billion, respectively, of the commercial paper issued by its administered conduits. The Company's purchases
investments were not driven by market illiquidity and other than the amounts required to be held pursuant to credit risk retention rules, the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.
The asset-backed commercial paper conduits are consolidated by Citi. The Company has determined that, through its roles as administrator and liquidity provider, it has the power to direct the activities that most significantly impact the entities’ economic performance. These powers include its ability to structure and approve the assets purchased by the conduits, its ongoing surveillance and credit mitigation activities, its ability to sell or repurchase assets out of the conduits and its liability management. In addition, as a result of all the Company’s involvement described above, it was concluded that Citi has an economic interest that could potentially be significant. However, the assets and liabilities of the conduits are separate and apart from those of Citigroup. No assets of any conduit are available to satisfy the creditors of Citigroup or any of its other subsidiaries.


Collateralized Loan Obligations (CLOs)
A collateralized loan obligation (CLO) is a VIE that purchases a portfolio of assets consisting primarily of non-investment grade corporate loans. CLOs issue multiple tranches of debt and equity to investors to fund the asset purchases and pay upfront expenses associated with forming the CLO. A third-party asset manager is contracted by the CLO to purchase the underlying assets from the open market and monitor the credit risk associated with those assets. Over the term of a CLO, the asset manager directs purchases and sales of assets in a manner consistent with the CLO’s asset management agreement and indenture. In general, the CLO asset manager will have the power to direct the activities of the entity that most significantly impact the economic performance of the CLO. Investors in a CLO, through their ownership of debt and/or equity in it, can also direct certain activities of the CLO, including removing its asset manager under limited circumstances, optionally redeeming the notes, voting on amendments to the CLO’s operating documents and other activities. A CLO has a finite life, typically 12 years.
Citi serves as a structuring and placement agent with respect to the CLOs. Typically, the debt and equity of the CLOs are sold to third-party investors. On occasion, certain Citi entities may purchase some portion of a CLO’s liabilities for investment purposes. In addition, Citi may purchase,

typically in the secondary market, certain securities issued by the CLOs to support its market making activities.
The Company generally does not generally have the power to direct the activities that most significantly impact the economic performance of the CLOs, as this power is generally held by a third-party asset manager of the CLO. As such, those CLOs are not consolidated.


The following table summarizestables summarize selected cash flow information and retained interests related to Citigroup CLOs:
In millions of dollars201920182017
Principal securitized$—
$—
$133
Proceeds from new securitizations—
—
133
Cash flows received on retained interests and other net cash flows72
127
107

In billions of dollars201720162015
Proceeds from new securitizations$3.5
$5.0
$5.9
Cash flows received on retained interests and other net cash flows0.1
—
—
In millions of dollarsDec. 31, 2019Dec. 31, 2018Dec. 31, 2017
Carrying value of retained interests$1,404
$3,142
$4,079



The key assumptions used to valueAll of Citi’s retained interests in CLOs,were held-to-maturity securities as of December 31, 2019 and the sensitivity of the fair value to adverse changes of 10% and 20%, are set forth in the tables below:2018.

Dec. 31, 2017Dec. 31, 2016
Discount rate   1.1% to 1.6%1.3% to 1.7%
In millions of dollarsDec. 31, 2017Dec. 31, 2016
Carrying value of retained interests$3,607
$4,261
Discount rates  
   Adverse change of 10%$(24)$(30)
   Adverse change of 20%(47)(62)


Asset-Based Financing
The Company provides loans and other forms of financing to VIEs that hold assets. Those loans are subject to the same credit approvals as all other loans originated or purchased by the Company. Financings in the form of debt securities or derivatives are, in most circumstances, reported in Trading account assets and accounted for at fair value through earnings. The Company generally does not have the power to direct the activities that most significantly impact these VIEs’ economic performance; thus, it does not consolidate them.
The primary types of Citi’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement and Citi’s maximum exposure to loss are shown below. For Citi to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
 December 31, 2017
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$15,370
$5,445
Corporate loans4,725
3,587
Hedge funds and equities542
58
Airplanes, ships and other assets39,202
16,849
Total$59,839
$25,939
December 31, 2016December 31, 2019
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$8,784
$2,368
$31,377
$7,489
Corporate loans4,051
2,684
7,088
5,802
Hedge funds and equities370
54
Airplanes, ships and other assets39,230
16,837
Other (including investment funds, airlines and shipping)152,124
21,140
Total$52,435
$21,943
$190,589
$34,431
 
 December 31, 2018
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$23,918
$6,928
Corporate loans6,973
5,744
Other (including investment funds, airlines and shipping)

67,914
19,440
Total$98,805
$32,112


Municipal Securities Tender Option Bond (TOB) Trusts
Municipal TOB trusts may hold fixed- or floating-rate, taxable or tax-exempt securities issued by state and local governments and municipalities. TOB trusts are typically structured as single-issuer entities whose assets are purchased from either the Company or from other investors in the municipal securities market. TOB trusts finance the purchase of their municipal assets by issuing two classes of certificates: long-dated, floating rate certificates (“Floaters”) that are putable pursuant to a liquidity facility and residual interest certificates (“Residuals”). The Floaters are purchased by third-party investors, typically tax-exempt money market funds. The Residuals are purchased by the original owner of the municipal securities that are being financed.
From the Citigroup’s perspective, there are two2 types of TOB trusts: customer and non-customer. Customer TOB trusts are those trusts utilized by customers of the Company to finance their securities, generally municipal securities investments.securities. The Residuals issued by these trusts are purchased by the customer being financed. Non-customer TOB trusts are generally used by the Company to finance its own municipal securities investments; the Residuals issued by non-customer TOB trusts are purchased by the Company.
With respect to both customer and non-customer TOB trusts, Citi may provide remarketing agent services. If Floaters are optionally tendered and the Company, in its role as remarketing agent, is unable to find a new investor to purchase the optionally tendered Floaters within a specified period of time, Citigroup may, but is not obligated to, purchase the tendered Floaters into its own inventory. The level of the Company’s inventory of such Floaters fluctuates.
For certain customer TOB trusts, Citi may also serve as a voluntary advance provider. In this capacity, the Company may, but is not obligated to, make loan advances to customer TOB trusts to purchase optionally tendered Floaters that have not otherwise been successfully remarketed to new investors. Such loans are secured by pledged Floaters. As of December 31, 2017,2019, Citi had no outstanding voluntary advances to customer TOB trusts.
For certain non-customer trusts, the Company also provides credit enhancement. At December 31, 20172019 and 2016, approximately $62 million and $82 million, respectively,2018, NaN of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
Citigroup also provides liquidity services to many customer and non-customer trusts. If a trust is unwound early due to an event other than a credit event on the underlying

municipal bonds, the underlying municipal bonds are sold out of the trust and bond sale proceeds are used to redeem the outstanding trust certificates. If this results in a shortfall between the bond sale proceeds and the redemption price of the tendered Floaters, the Company, pursuant to the liquidity agreement, would be obligated to make a payment to the trust to satisfy that shortfall. For certain customer TOB trusts, Citigroup has also executed a reimbursement agreement with the holder of the Residual, pursuant to which the Residual holder is obligated to reimburse the Company for any payment the Company makes under the liquidity arrangement. These reimbursement agreements may be subject to daily margining

based on changes in the market value of the underlying municipal bonds. In cases where a third party provides liquidity to a non-customer TOB trust, a similar reimbursement arrangement may be executed, whereby the Company (or a consolidated subsidiary of the Company), as Residual holder, would absorb any losses incurred by the liquidity provider.
For certain other non-customer TOB trusts, Citi serves as tender option provider. The tender option provider arrangement allows Floater holders to put their interests directly to the Company at any time, subject to the requisite notice period requirements, at a price of par.
At December 31, 20172019 and 2016,2018, liquidity agreements provided with respect to customer TOB trusts totaled $3.2$3.5 billion and $2.9$4.3 billion, respectively, of which $2.0$1.6 billion and $2.1$2.3 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the residual owned by the customer was at least 25% of the bond value at the inception of the transaction, no reimbursement agreement was executed.
Citi considers both customer and non-customer TOB trusts to be VIEs. Customer TOB trusts are not consolidated by the Company, as the power to direct the activities that most significantly impact the trust’s economic performance rests with the customer Residual holder, which may unilaterally cause the sale of the trust’s bonds.
Non-customer TOB trusts generally are consolidated because the Company holds the Residual interest and thus has the unilateral power to cause the sale of the trust’s bonds.
The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $6.1 billion and $7.4$7.0 billion as of December 31, 20172019 and 2016, respectively.$6.1 billion as of December 31, 2018. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.


Municipal Investments
Municipal investment transactions include debt and equity interests in partnerships that finance the construction and rehabilitation of low-income housing, facilitate lending in new or underserved markets or finance the construction or operation of renewable municipal energy facilities. Citi generally invests in these partnerships as a limited partner and earns a return primarily through the receipt of tax credits and grants earned from the investments made by the partnership. The Company may also provide construction loans or permanent loans for the development or operation of real
estate properties held by partnerships. These entities are generally considered VIEs. The power to direct the activities of these entities is typically held by the general partner. Accordingly, these entities are not consolidated by Citigroup.


Client Intermediation
Client intermediation transactions represent a range of transactions designed to provide investors with specified returns based on the returns of an underlying security, referenced asset or index. These transactions include credit-linked notes and equity-linked notes. In these transactions, the VIE typically obtains exposure to the underlying security, referenced asset or index through a derivative instrument, such as a total-return swap or a credit-default swap. In turn, the VIE issues notes to investors that pay a return based on the specified underlying security, referenced asset or index. The VIE invests the proceeds in a financial asset or a guaranteed insurance contract that serves as collateral for the derivative contract over the term of the transaction. The Company’s involvement in these transactions includes being the counterparty to the VIE’s derivative instruments and investing in a portion of the notes issued by the VIE. In certain transactions, the investor’s maximum risk of loss is limited and the Company absorbs risk of loss above a specified level. Citi does not have the power to direct the activities of the VIEs that most significantly impact their economic performance and thus it does not consolidate them.
Citi’s maximum risk of loss in these transactions is defined as the amount invested in notes issued by the VIE and the notional amount of any risk of loss absorbed by Citi through a separate instrument issued by the VIE. The derivative instrument held by the Company may generate a receivable from the VIE (for example, where the Company purchases credit protection from the VIE in connection with the VIE’s issuance of a credit-linked note), which is collateralized by the assets owned by the VIE. These derivative instruments are not considered variable interests and any associated receivables are not included in the calculation of maximum exposure to the VIE.
The proceeds from new securitizations related to Citi’s client intermediation transactions for the years ended December 31, 2017 and 2016 totaled approximately $1.1 billion and $2.3 billion, respectively.


Investment Funds
The Company is the investment manager for certain investment funds and retirement funds that invest in various asset classes including private equity, hedge funds, real estate, fixed income and infrastructure. Citigroup earns a management fee, which is a percentage of capital under management, and may earn performance fees. In addition, for some of these funds the Company has an ownership interest in the investment funds. Citi has also established a number of investment funds as opportunities for qualified employees to invest in private equity investments. The Company acts as investment manager for these funds and may provide employees with financing on both recourse and non-recourse bases for a portion of the employees’ investment commitments.




22.   DERIVATIVES ACTIVITIES
In the ordinary course of business, Citigroup enters into various types of derivative transactions, which include:


•
Futures and forward contracts,which are commitments to buy or sell at a future date a financial instrument, commodity or currency at a contracted price that may be settled in cash or through delivery of an item readily convertible to cash.
•
Swap contracts,which are commitments to settle in cash at a future date or dates that may range from a few days to a number of years, based on differentials between specified indices or financial instruments, as applied to a notional principal amount.
•
Option contracts,which give the purchaser, for a premium, the right, but not the obligation, to buy or sell within a specified time a financial instrument, commodity or currency at a contracted price that may also be settled in cash, based on differentials between specified indices or prices.
Futures and forward contracts,which are commitments to buy or sell at a future date a financial instrument, commodity or currency at a contracted price and may be settled in cash or through delivery of an item readily convertible to cash.
Swap contracts,which are commitments to settle in cash at a future date or dates that may range from a few days to a number of years, based on differentials between specified indices or financial instruments, as applied to a notional principal amount.
Option contracts,which give the purchaser, for a premium, the right, but not the obligation, to buy or sell within a specified time a financial instrument, commodity or currency at a contracted price that may also be settled in cash, based on differentials between specified indices or prices.


Swaps, forwards and some option contracts are over-the-counter (OTC) derivatives that are bilaterally negotiated with counterparties and settled with those counterparties, except for swap contracts that are novated and "cleared" through central counterparties (CCPs). Futures contracts and other option contracts are standardized contracts that are traded on an exchange with a CCP as the counterparty from the inception of the transaction. Citigroup enters into derivative contracts relating to interest rate, foreign currency, commodity and other market/credit risks for the following reasons:


Trading Purposes:Citigroup trades derivatives as an active market maker. Citigroup offers its customers derivatives in connection with their risk management actions to transfer, modify or reduce their interest rate, foreign exchange and other market/credit risks or for their own trading purposes. Citigroup also manages its derivative risk positions through offsetting trade activities, controls focused on price verification and daily reporting of positions to senior managers.
Hedging:Citigroup uses derivatives in connection with its own risk management activities to hedge certain risks or reposition the risk profile of the Company. Hedging may be accomplished by applying hedge accounting in accordance with ASC 815, Derivatives and Hedging, or by an economic hedge. For example, Citigroup issues fixed-rate long-term debt and then enters into a receive-fixed, pay-variable-rate interest rate swap with the same tenor and notional amount to synthetically convert the interest payments to a net variable-rate basis. This strategy is the most common form of an interest rate hedge, as it minimizes net interest cost in certain yield curve environments. Derivatives are also used to manage market risks inherent in specific groups of on-balance sheet assets and liabilities, including AFS securities, commodities and borrowings, as well as other interest-sensitive assets and liabilities. In addition, foreign exchange contracts are used to hedge non-U.S.-dollar-
•
Trading Purposes:Citigroup trades derivatives as an active market maker. Citigroup offers its customers derivatives in connection with their risk management actions to transfer, modify or reduce their interest rate, foreign exchange and other market/credit risks or for their own trading purposes. Citigroup also manages its derivative risk positions through offsetting trade activities, controls focused on price verification and daily reporting of positions to senior managers.
•
Hedging:Citigroup uses derivatives in connection with its own risk management activities to hedge certain risks or reposition the risk profile of the Company. Hedging may be accomplished by applying hedge accounting in accordance with ASC 815, Derivatives and Hedging, or by an economic hedge. For example, Citigroup issues fixed-rate long-term debt and then enters into a receive-fixed, pay-variable-rate interest rate swap with the same tenor and notional amount to synthetically convert the interest payments to a net variable-rate basis. This strategy is the most common form of an interest rate hedge, as it minimizes net interest cost in certain yield curve environments. Derivatives are also used to manage market risks inherent in specific groups of on-balance sheet assets and liabilities, including AFS securities, commodities and borrowings, as well as other interest-sensitive assets and liabilities. In addition, foreign exchange contracts are used to hedge non-U.S.-dollar-
 
denominated debt, foreign currency-denominated AFS securities and net investment exposures.


Derivatives may expose Citigroup to market, credit or liquidity risks in excess of the amounts recorded on the Consolidated Balance Sheet. Market risk on a derivative product is the exposure created by potential fluctuations in interest rates, market prices, foreign exchange rates and other factors and is a function of the type of product, the volume of transactions, the tenor and terms of the agreement and the underlying volatility. Credit risk is the exposure to loss in the event of nonperformance by the other party to satisfy a derivative liability where the value of any collateral held by Citi is not adequate to cover such losses. The recognition in earnings of unrealized gains on derivative transactions is subject to management’s assessment of the probability of counterparty default. Liquidity risk is the potential exposure that arises when the size of a derivative position may affect the ability to monetize the position in a reasonable period of time and at a reasonable cost in periods of high volatility and financial stress.
Derivative transactions are customarily documented under industry standard master netting agreements, which provide that following an event of default, the non-defaulting party may promptly terminate all transactions between the parties and determine the net amount due to be paid to, or by, the defaulting party. Events of default include (i) failure to make a payment on a derivativesderivative transaction that remains uncured following applicable notice and grace periods, (ii) breach of agreement that remains uncured after applicable notice and grace periods, (iii) breach of a representation, (iv) cross default, either to third-party debt or to other derivative transactions entered into between the parties, or, in some cases, their affiliates, (v) the occurrence of a merger or consolidation whichthat results in a party’s becoming a materially weaker credit and (vi) the cessation or repudiation of any applicable guarantee or other credit support document. Obligations under master netting agreements are often secured by collateral posted under an industry standard credit support annex to the master netting agreement. An event of default may also occur under a credit support annex if a party fails to make a collateral delivery that remains uncured following applicable notice and grace periods.
The netting and collateral rights incorporated in the master netting agreements are considered to be legally enforceable if a supportive legal opinion has been obtained from counsel of recognized standing that provides (i) the requisite level of certainty regarding enforceability and (ii) that the exercise of rights by the non-defaulting party to terminate and close-out transactions on a net basis under these agreements will not be stayed or avoided under applicable law upon an event of default, including bankruptcy, insolvency or similar proceeding.
A legal opinion may not be sought for certain jurisdictions where local law is silent or unclear as to the enforceability of such rights or where adverse case law or conflicting regulation may cast doubt on the enforceability of such rights. In some jurisdictions and for some counterparty types, the insolvency law may not provide the requisite level of certainty. For

example, this may be the case for certain sovereigns, municipalities, central banks and U.S. pension plans.
Exposure to credit risk on derivatives is affected by market volatility, which may impair the ability of counterparties to satisfy their obligations to the Company. Credit limits are established and closely monitored for customers engaged in derivatives transactions. Citi considers the level of legal certainty regarding enforceability of its offsetting rights under master netting agreements and credit support annexes to be an important factor in its risk management process. Specifically, Citi generally transacts much lower volumes of derivatives under master netting agreements where Citi does not have the requisite level of legal certainty regarding enforceability, because such derivatives consume greater amounts of single counterparty credit limits than those executed under enforceable master netting agreements.
Cash collateral and security collateral in the form of G10 government debt securities are often posted by a party to a master netting agreement to secure the net open exposure of the other party; the receiving party is free to commingle/rehypothecate such collateral in the ordinary course of its business. Nonstandard collateral such as corporate bonds, municipal bonds, U.S. agency securities and/or MBS may also be pledged as collateral for derivative transactions. Security collateral posted to open and maintain a master netting agreement with a counterparty, in the form of cash and/or securities, may from time to time be segregated in an account at a third-party custodian pursuant to a tri-party account control agreement.

As of January 1, 2018, Citigroup early adopted ASU 2017-12, Targeted Improvements to Accounting for Hedge Activities. This standard primarily impacts Citi’s accounting for derivatives designated as cash flow hedges and fair value hedges. Refer to the respective sections below for details.





























Information pertaining to Citigroup’s derivative activities, based on notional amounts, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete and accurate measure of Citi’s exposure to derivative transactions. Rather, Citi’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the
transactions. Moreover, notional
amounts do not reflect the netting of offsetting trades. For example, if Citi enters into a receive-fixed interest rate swap with $100 million notional, and offsets this risk with an
identical but opposite pay-fixed position with a different
counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk. Aggregate
In addition, aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.



Derivative Notionals
 Hedging instruments under
ASC 815		Trading derivative instruments
In millions of dollarsDecember 31,
2019		December 31,
2018		December 31,
2019		December 31,
2018
Interest rate contracts    
Swaps$318,089
$273,636
$17,063,272
$18,138,686
Futures and forwards—
—
3,636,658
4,632,257
Written options—
—
2,114,511
3,018,469
Purchased options—
—
1,857,770
2,532,479
Total interest rate contracts$318,089
$273,636
$24,672,211
$28,321,891
Foreign exchange contracts    
Swaps$63,104
$57,153
$6,063,853
$6,738,158
Futures, forwards and spot38,275
41,410
3,979,188
5,115,504
Written options80
1,726
908,061
1,566,717
Purchased options80
2,104
959,149
1,543,516
Total foreign exchange contracts$101,539
$102,393
$11,910,251
$14,963,895
Equity contracts    
Swaps$—
$—
$197,893
$217,580
Futures and forwards—
—
66,705
52,053
Written options—
—
560,571
454,675
Purchased options—
—
422,393
341,018
Total equity contracts$—
$—
$1,247,562
$1,065,326
Commodity and other contracts    
Swaps$—
$—
$69,445
$79,133
Futures and forwards1,195
802
137,192
146,647
Written options—
—
91,587
62,629
Purchased options—
—
86,631
61,298
Total commodity and other contracts$1,195
$802
$384,855
$349,707
Credit derivatives(1)
    
Protection sold$—
$—
$603,387
$724,939
Protection purchased—
—
703,926
795,649
Total credit derivatives$—
$—
$1,307,313
$1,520,588
Total derivative notionals$420,823
$376,831
$39,522,192
$46,221,407

 
Hedging instruments under
ASC 815(1)(2)
Other derivative instruments
 

Trading derivatives
Management hedges(3)
In millions of dollarsDecember 31,
2017		December 31,
2016		December 31,
2017		December 31,
2016		December 31,
2017		December 31,
2016
Interest rate contracts      
Swaps$189,779
$151,331
$18,718,224
$19,145,250
$35,995
$47,324
Futures and forwards—
97
6,447,886
6,864,276
12,653
30,834
Written options—
—
3,513,759
2,921,070
2,372
4,759
Purchased options—
—
3,230,915
2,768,528
3,110
7,320
Total interest rate contract notionals$189,779
$151,428
$31,910,784
$31,699,124
$54,130
$90,237
Foreign exchange contracts      
Swaps$37,162
$19,042
$5,538,231
$5,492,145
$38,126
$22,676
Futures, forwards and spot33,103
56,964
3,080,361
3,251,132
17,339
3,419
Written options3,951
—
1,127,728
1,194,325
—
—
Purchased options6,427
—
1,148,686
1,215,961
—
—
Total foreign exchange contract notionals$80,643
$76,006
$10,895,006
$11,153,563
$55,465
$26,095
Equity contracts      
Swaps$—
$—
$215,834
$192,366
$—
$—
Futures and forwards—
—
72,616
37,557
—
—
Written options—
—
389,961
304,579
—
—
Purchased options—
—
328,154
266,070
—
—
Total equity contract notionals$—
$—
$1,006,565
$800,572
$—
$—
Commodity and other contracts      
Swaps$—
$—
$82,039
$70,774
$—
$—
Futures and forwards23
182
153,248
142,530
—
—
Written options—
—
62,045
74,627
—
—
Purchased options—
—
60,526
69,629
—
—
Total commodity and other contract notionals$23
$182
$357,858
$357,560
$—
$—
Credit derivatives(4)
      
Protection sold$—
$—
$735,142
$859,420
$—
$—
Protection purchased—
—
766,565
883,003
11,148
19,470
Total credit derivatives$—
$—
$1,501,707
$1,742,423
$11,148
$19,470
Total derivative notionals$270,445
$227,616
$45,671,920
$45,753,242
$120,743
$135,802

(1)The notional amounts presented in this table do not include hedge accounting relationships under ASC 815 where Citigroup is hedging the foreign currency risk of a net investment in a foreign operation by issuing a foreign currency-denominated debt instrument. The notional amount of such debt was $63 million and $1,825 million at December 31, 2017 and December 31, 2016, respectively.
(2)
Derivatives in hedge accounting relationships accounted for under ASC Topic 815 are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.
(3)
Management hedges represent derivative instruments used to mitigate certain economic risks, but for which hedge accounting is not applied. These derivatives are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.
(4)Credit derivatives are arrangements designed to allow one party (protection buyer) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.

Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.

The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of December 31, 20172019 and December 31, 2016.2018. Gross positive fair values are offset against gross negative fair values by counterparty, pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount, if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.
In addition, the table for December 31, 2017 reflectsfollowing tables reflect rule changes adopted by clearing organizations that require or
allow entities to elect to treat derivative assets, liabilities and the related variation margin as settlement of the related derivative fair values for legal and accounting purposes, as opposed to presenting gross derivative assets and liabilities


that are subject to collateral, whereby the counterparties would also record a related collateral payable or receivable. As a result, the table for December 31, 2017 reflectstables reflect a reduction of approximately $180 billion and $100 billion as of December 31, 2019 and 2018, respectively, of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now legally settled and not subject to collateral. The table for December 31, 2016 presents derivative assets and liabilities as gross amounts subject to variation margin collateral that were netted under enforceable master netting agreements. Therefore, the net presentation of the affected items on the consolidated balance sheet is consistent for all periods. The tables also present amounts that are not permitted to be offset, such as security collateral or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.



Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at December 31, 2017
Derivatives classified
in Trading account
assets/liabilities(1)(2)(3)
Derivatives classified
in Other
assets/liabilities(2)(3)
In millions of dollars at December 31, 2019
Derivatives classified
in Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$644
$121
$1,325
$13
$1,682
$143
Cleared71
24
39
68
41
111
Interest rate contracts$715
$145
$1,364
$81
$1,723
$254
Over-the-counter$885
$1,064
$258
$86
$1,304
$908
Cleared—
2
Foreign exchange contracts$885
$1,064
$258
$86
$1,304
$910
Total derivative instruments designated as ASC 815 hedges$1,600
$1,209
$1,622
$167
Total derivatives instruments designated as ASC 815 hedges$3,027
$1,164
Derivatives instruments not designated as ASC 815 hedges    
Over-the-counter$195,648
$173,921
$29
$16
$189,892
$169,749
Cleared7,051
10,268
78
113
5,896
7,472
Exchange traded102
95
—
—
157
180
Interest rate contracts$202,801
$184,284
$107
$129
$195,945
$177,401
Over-the-counter$118,611
$116,962
$481
$511
$105,401
$108,807
Cleared1,690
2,028
—
—
862
1,015
Exchange traded34
121
—
—
3
—
Foreign exchange contracts$120,335
$119,111
$481
$511
$106,266
$109,822
Over-the-counter$17,221
$21,201
$—
$—
$21,311
$22,411
Cleared21
25
—
—
Exchange traded9,736
10,147
—
—
7,160
8,075
Equity contracts$26,978
$31,373
$—
$—
$28,471
$30,486
Over-the-counter$13,499
$16,362
$—
$—
$13,582
$16,773
Exchange traded604
665
—
—
630
542
Commodity and other contracts$14,103
$17,027
$—
$—
$14,212
$17,315
Over-the-counter$12,954
$12,895
$18
$63
$8,896
$8,975
Cleared7,530
8,327
32
248
1,513
1,763
Credit derivatives$20,484
$21,222
$50
$311
$10,409
$10,738
Total derivatives instruments not designated as ASC 815 hedges$384,701
$373,017
$638
$951
$355,303
$345,762
Total derivatives$386,301
$374,226
$2,260
$1,118
$358,330
$346,926
Cash collateral paid/received(5)(3)
$7,541
$14,296
$—
$12
$17,926
$14,391
Less: Netting agreements(6)(4)
(306,401)(306,401)—
—
(274,970)(274,970)
Less: Netting cash collateral received/paid(7)(5)
(37,506)(35,659)(1,026)(7)(44,353)(38,919)
Net receivables/payables included on the Consolidated Balance Sheet(8)(6)
$49,935
$46,462
$1,234
$1,123
$56,933
$47,428
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(872)$(121)$—
$—
$(861)$(128)
Less: Non-cash collateral received/paid(12,453)(6,929)(286)—
(13,143)(7,308)
Total net receivables/payables(8)(6)
$36,610
$39,412
$948
$1,123
$42,929
$39,992
(1)The trading derivatives fair values are presented in Note 24 to the Consolidated Financial Statements.
(2)
Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities.
(3)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange tradedExchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(4)(3)For the trading account assets/liabilities, reflectsReflects the net amount of the $43,200$56,845 million and $51,801$58,744 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $35,659$38,919 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $37,506$44,353 million was used to offset trading derivative assets.
(5)
For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $7 million of gross cash collateral paid, of which $7 million is netted against non-trading derivative positions within Other liabilities. For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $1,038 million of gross cash collateral received, of which $1,026 million is netted against OTC non-trading derivative positions within Other assets.

(6)(4)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $283$262 billion, $14$6 billion and $9$7 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange tradedexchange-traded derivatives, respectively.
(7)(5)Represents the netting of cash collateral paid and received by counterpartycounterparties under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.
(8)(6)The net receivables/payables include approximately $6$7 billion of derivative asset and $8$6 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

In millions of dollars at December 31, 2018
Derivatives classified
in Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$1,631
$172
Cleared238
53
Interest rate contracts$1,869
$225
Over-the-counter$1,402
$736
Cleared—
4
Foreign exchange contracts$1,402
$740
Total derivatives instruments designated as ASC 815 hedges$3,271
$965
Derivatives instruments not designated as ASC 815 hedges  
Over-the-counter$161,183
$146,909
Cleared8,489
7,594
Exchange traded91
99
Interest rate contracts$169,763
$154,602
Over-the-counter$159,099
$156,904
Cleared1,900
1,671
Exchange traded53
40
Foreign exchange contracts$161,052
$158,615
Over-the-counter$18,253
$21,527
Cleared17
32
Exchange traded11,623
12,249
Equity contracts$29,893
$33,808
Over-the-counter$16,661
$19,894
Exchange traded894
795
Commodity and other contracts$17,555
$20,689
Over-the-counter$6,967
$6,155
Cleared3,798
4,196
Credit derivatives$10,765
$10,351
Total derivatives instruments not designated as ASC 815 hedges$389,028
$378,065
Total derivatives$392,299
$379,030
Cash collateral paid/received(3)
$11,518
$13,906
Less: Netting agreements(4)
(311,089)(311,089)
Less: Netting cash collateral received/paid(5)
(38,608)(29,911)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$54,120
$51,936
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(767)$(164)
Less: Non-cash collateral received/paid(13,509)(13,354)
Total net receivables/payables(6)
$39,844
$38,418
In millions of dollars at December 31, 2016
Derivatives classified in Trading
account assets/liabilities(1)(2)(3)
Derivatives classified in Other assets/liabilities(2)(3)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$716
$171
$1,927
$22
Cleared3,530
2,154
47
82
Interest rate contracts$4,246
$2,325
$1,974
$104
Over-the-counter$2,494
$393
$747
$645
Foreign exchange contracts$2,494
$393
$747
$645
Total derivative instruments designated as ASC 815 hedges$6,740
$2,718
$2,721
$749
Derivatives instruments not designated as ASC 815 hedges    
Over-the-counter$244,072
$221,534
$225
$5
Cleared120,920
130,855
240
349
Exchange traded87
47
—
—
Interest rate contracts$365,079
$352,436
$465
$354
Over-the-counter$182,659
$186,867
$—
$60
Cleared482
470
—
—
Exchange traded27
31
—
—
Foreign exchange contracts$183,168
$187,368
$—
$60
Over-the-counter$15,625
$19,119
$—
$—
Cleared1
21
—
—
Exchange traded8,484
7,376
—
—
Equity contracts$24,110
$26,516
$—
$—
Over-the-counter$13,046
$14,234
$—
$—
Exchange traded719
798
—
—
Commodity and other contracts$13,765
$15,032
$—
$—
Over-the-counter$19,033
$19,563
$159
$78
Cleared5,582
5,874
47
310
Credit derivatives$24,615
$25,437
$206
$388
Total derivatives instruments not designated as ASC 815 hedges$610,737
$606,789
$671
$802
Total derivatives$617,477
$609,507
$3,392
$1,551
Cash collateral paid/received(4)(5)
$11,188
$15,731
$8
$1
Less: Netting agreements(6)
(519,000)(519,000)—
—
Less: Netting cash collateral received/paid(7)
(45,912)(49,811)(1,345)(53)
Net receivables/payables included on the Consolidated Balance Sheet(8)
$63,753
$56,427
$2,055
$1,499
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet    
Less: Cash collateral received/paid$(819)$(19)$—
$—
Less: Non-cash collateral received/paid(11,767)(5,883)(530)—
Total net receivables/payables(8)
$51,167
$50,525
$1,525
$1,499

(1)The trading derivatives fair values are presented in Note 24 to the Consolidated Financial Statements.
(2)
Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities.
(3)Over-the-counter (OTC) derivatives include derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange tradedExchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.

(4)(3)For the trading account assets/liabilities, reflectsReflects the net amount of the $60,999$41,429 million and $61,643$52,514 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $49,811$29,911 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $45,912$38,608 million was used to offset trading derivative assets.
(5)
For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $61 million of the gross cash collateral paid, of which $53 million is netted against non-trading derivative positions within Other liabilities. For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $1,346 million of gross cash collateral received of which $1,345 million is netted against non-trading derivative positions within Other assets.
(6)(4)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $383$296 billion, $128$4 billion and $8$11 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange tradedexchange-traded derivatives, respectively.
(7)(5)Represents the netting of cash collateral paid and received by counterpartycounterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.

(8)(6)The net receivables/payables include approximately $7$5 billion of derivative asset and $9$7 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.


For the years ended December 31, 2017, 20162019, 2018 and 2015,2017, the amounts recognized in Principal transactions in the Consolidated Statement of Income related toinclude certain derivatives not designated in a qualifying hedging relationship, as well as the underlying non-derivative instruments, are presented in Note 6 to the Consolidated Financial Statements.relationship. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents the wayhow these portfolios are risk managed. See Note 6 to the Consolidated Financial Statements for further information.
The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains/lossesgains (losses) on the economically hedged items to the extent that such amounts are also recorded in Other revenue.
 
Gains (losses) included in
Other revenue

 Year ended December 31,
In millions of dollars201920182017
Interest rate contracts$57
$(25)$(73)
Foreign exchange(29)(197)2,062
Total$28
$(222)$1,989

 
Gains (losses) included in
Other revenue
In millions of dollars201720162015
Interest rate contracts$(54)$(81)$117
Foreign exchange244
12
(39)
Credit derivatives(494)(1,009)476
Total$(304)$(1,078)$554


Accounting for Derivative Hedging
Citigroup accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging. As a general rule, hedge accounting is permitted where the Company is exposed to a particular risk, such as interest rate or foreign exchange risk, that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings.
Derivative contracts hedging the risks associated with changes in fair value are referred to as fair value hedges, while contracts hedging the variability of expected future cash flows are cash flow hedges. Hedges that utilize derivatives or debt instruments to manage the foreign exchange risk associated with equity investments in non-U.S.-dollar-functional-currency foreign subsidiaries (net investment in a foreign operation) are net investment hedges.
To qualify as an accounting hedge under the hedge accounting rules (versus an economic hedge where hedge accounting is not applied), a hedging relationship must be highly effective in offsetting the risk designated as being

hedged. The hedgehedging relationship must be formally documented at inception, detailing the particular risk management objective and strategy for the hedge. This includes the item and risk(s) being hedged, the hedging instrument being used and how effectiveness will be assessed. The effectiveness of these hedging relationships is evaluated at hedge inception and on an ongoing basis both on a retrospective and prospective basis, typically using quantitative measures of correlation, with hedge
ineffectiveness measured and recorded in current earnings. Hedge effectiveness assessment methodologies are performed in a similar manner for similar hedges, and are used consistently throughout the hedging relationships. The assessment of effectiveness may exclude changes in the value of the hedged item that are unrelated to the risks being hedged and the changes in fair value of the derivative associated with time value. ThesePrior to January 1, 2018, these excluded items arewere recognized in current earnings for the hedging derivative, while changes in the value of a hedged item that arewere not related to the hedged risk arewere not recorded. Upon adoption of ASC 2017-12, Citi excludes changes in the cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records it in Other comprehensive income.


Discontinued Hedge Accounting
A hedging instrument must be highly effective in accomplishing the hedge objective of offsetting either changes in the fair value or cash flows of the hedged item for the risk being hedged. Management may voluntarily de-designate an accounting hedge at any time, but if a hedgehedging relationship is not highly effective, it no longer qualifies for hedge accounting and must be de-designated. Subsequent changes in the fair value of the derivative are recognized in Other revenue or Principal transactions, similar to trading derivatives, with no offset recorded related to the hedged item.
For fair value hedges, any changes in the fair value of the hedged item remain as part of the basis of the asset or liability and are ultimately realized as an element of the yield on the item. For cash flow hedges, changes in fair value of the end-user derivative remain in Accumulated other comprehensive income (loss) (AOCI) and are included in the earnings of future periods when the forecasted hedged cash flows impact earnings. However, if it becomes probable that some or all of the hedged forecasted transactions will not occur, any amounts that remain in AOCIrelated to these transactions must be immediately reflected in Other revenue.
The foregoing criteria are applied on a decentralized basis, consistent with the level at which market risk is managed, but are subject to various limits and controls. The underlying asset, liability or forecasted transaction may be an individual item or a portfolio of similar items.



Fair Value Hedges


Hedging of Benchmark Interest Rate Risk
Citigroup’s fair value hedges are primarily hedges of fixed-rate long-term debt or assets, such as available-for-sale securities.debt securities or loans.
CitigroupFor qualifying fair value hedges exposure toof interest rate risk, the changes in the fair value of outstanding fixed-rate issued debt. These hedges are designated as fair value hedges of the benchmark interest rate risk associated withderivative and the currency of the hedged liability. The fixed cash flows of the hedged items are typically converted to benchmark variable-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. By designating an interest rate swap contract as a hedging instrument and electing to apply ASC 815 fair value hedge accounting, the carrying value of the debt is adjusted to reflect the impact of changes in the benchmark interest rate, with such changes in value recorded in Other revenue. The related interest rate swap is recorded on the balance sheet at fair value, with changes in fair value also reflected in Other revenue. These amounts are expected to, and generally do, offset. Any net amount, representing hedge ineffectiveness, is automatically reflected in current earnings. These fair value hedge relationships use either regression or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.
Citigroup also hedges its exposure to changeschange in the fair value of fixed-rate available for sale debt securities duethe hedged item attributable to changes in benchmark interest rates. The hedging instrumentsthe hedged risk are typically receive-variable, pay-fixedpresented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability.
In the first quarter of 2019, Citigroup executed a last-of-layer hedge, which permits an entity to hedge the interest rate swaps. Theserisk of a stated portion of a closed portfolio of prepayable financial assets that are expected to remain outstanding for the designated tenor of the hedge. In accordance with ASC 815, an entity may exclude prepayment risk when measuring the change in fair value hedging relationships use either regression or dollar-offset ratio analysisof the hedged item attributable to assess whetherinterest rate risk under the last-of-layer approach. Similar to other fair value hedges, where the hedged item is an asset, the fair value of the hedged item attributable to interest rate risk will be presented in Interest revenue along with the change in the fair value of the hedging relationships are highly effective at inception and on an ongoing basis.instrument.

 
Hedging of Foreign Exchange Risk
Citigroup hedges the change in fair value attributable to foreign exchange rate movements in available-for-sale debt securities and long-term debt that are denominated in currencies other than the functional currency of the entity holding the securities which may be within or outsideissuing the U.S.debt. The hedging instrument may be a cross currency swap or a forward foreign exchange contract. Whenis generally a forward foreign exchange contract is used as the hedging instrument, the portion of the change in the fair value of the hedged available-for-sale security attributable to foreign exchange risk (i.e., spot rates) is reported in earnings, and not AOCI, which offsets the change in the fair value of the forward contract that is also reflected in earnings.or a cross-currency swap contract. Citigroup considers the premium associated with forward contracts (i.e., the differential between the spot and contractual forward rates) as the cost of hedging; this amount is excluded from the assessment of hedge effectiveness and is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records it in Other comprehensive income.


Hedging of Commodity Price Risk
Citigroup hedges the change in fair value attributable to spot price movements in physical commodities inventory. The hedging instrument is a futures contract to sell the underlying commodity. In this hedge, the change in the value of the hedged inventory is reflected in earnings, which offsets the change in the fair value of the futures contract that is also reflected in earnings. Although the change in the fair value of the hedging instrument recorded in earnings includes changes in forward rates, Citigroup excludes the differential between the spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness. Sinceeffectiveness and reflects it directly in earnings over the assessment is based on changes in fair value attributable to change in spot prices on bothlife of the physical commodity and the futures contract, the amount of hedge ineffectiveness is not significant.

hedge.

The following table summarizes the gains (losses) on the Company’s fair value hedges:
 
Gains (losses) on fair value hedges(1)

 Year Ended December 31,
 20192018
2017(2)
In millions of dollarsOther revenueNet interest revenue
Other
revenue
Net interest revenue
Other
revenue
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges     
Interest rate hedges$—
$2,273
$—
$794
$(891)
Foreign exchange hedges337
—
(2,064)—
(824)
Commodity hedges(33)—
(123)—
(17)
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$304
$2,273
$(2,187)$794
$(1,732)
Gain (loss) on the hedged item in designated and qualifying fair value hedges     
Interest rate hedges$—
$(2,085)$—
$(747)$853
Foreign exchange hedges(337)—
2,064
—
969
Commodity hedges33
—
124
—
18
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$(304)$(2,085)$2,188
$(747)$1,840
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges     
Interest rate hedges$—
$3
$—
$(5)$(7)
Foreign exchange hedges(3)
(109)—
(4)—
96
Commodity hedges41
—
(19)—
1
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges$(68)$3
$(23)$(5)$90
 
Gains (losses) on fair value hedges(1)
 Year ended December 31,
In millions of dollars201720162015
Gain (loss) on the derivatives in designated and qualifying fair value hedges   
Interest rate contracts$(891)$(753)$(847)
Foreign exchange contracts(824)(1,415)1,315
Commodity contracts(17)182
41
Total gain (loss) on the derivatives in designated and qualifying fair value hedges$(1,732)$(1,986)$509
Gain (loss) on the hedged item in designated and qualifying fair value hedges   
Interest rate hedges$853
$668
$792
Foreign exchange hedges969
1,573
(1,258)
Commodity hedges18
(210)(35)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$1,840
$2,031
$(501)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges   
Interest rate hedges$(31)$(84)$(47)
Foreign exchange hedges49
4
(23)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges$18
$(80)$(70)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges   
Interest rate contracts$(7)$(1)$(8)
Foreign exchange contracts(2)
96
154
80
Commodity hedges(2)
1
(28)6
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges$90
$125
$78

(1)
AmountsBeginning January 1, 2018, gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense, while the remaining amounts including the amounts for interest rate hedges prior to January 1, 2018 are included in Other revenueorPrincipal Transactions intransactions on the Consolidated Statement of Income. The accrued interest income on fair value hedges both prior to and after January 1, 2018 is recorded in Net interest revenue and is excluded from this table.
(2)Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges for the year ended December 31, 2017 was $(31) million for interest rate hedges and $49 million for foreign exchange hedges, for a total of $18 million.
(3)
Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates). These amounts that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. After January 1, 2018, amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis that was included in AOCI was $33 million and $(74) million for the years ended December 31, 2019 and 2018, respectively.

Cumulative Basis Adjustment
Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative changes in the hedged risk. The hedge basis adjustment, whether from an active or de-designated hedge relationship, remains with the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at December 31, 2019 and 2018, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities, that would reverse through earnings in future periods.
In millions of dollars
Balance sheet line item in which hedged item is recordedCarrying amount of hedged asset/ liabilityCumulative fair value hedging adjustment increasing (decreasing) the carrying amount
ActiveDe-designated
As of December 31, 2019  
Debt securities
  AFS(1)(2)
$94,659
$(114)$743
Long-term
  debt
157,387
2,334
3,445
As of December 31, 2018  
Debt securities
  AFS(2)
$81,632
$(196)$295
Long-term
  debt
$149,054
$1,211
$869


(1)These amounts include a cumulative basis adjustment of $(8) million for active hedges and $157 million for de-designated hedges as of December 31, 2019 related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $605 million as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $20 billion as of December 31, 2019) in a last-of-layer hedging relationship, which commenced in the first quarter of 2019.
(2)Carrying amount represents the amortized cost.

Cash Flow Hedges

Hedging of Benchmark Interest Rate Risk
Citigroup hedges the variability of forecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. Variable cash flows from those liabilities are synthetically converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps and receive-variable, pay-fixed forward-starting interest rate swaps. Variable cash flows associated with certain assets are synthetically converted to fixed-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. These cash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis. WhenPrior to the variable interest rates associated with hedged items do not qualify as benchmark interest rates,adoption of ASU 2017-12, Citigroup designatesdesignated the risk being hedged as the risk of overall variability in the hedged cash flows. Because efforts are made to matchflows for certain items.
With the termsadoption of ASU 2017-12, Citigroup hedges the variability from changes in a contractually specified rate and recognizes the entire change in fair value of the derivatives to those of the hedged forecasted cash flows as closely as possible, the amount of hedge ineffectiveness is not significant.
For cash flow hedgeshedging instruments in which derivatives hedgeAOCI. Prior to the variabilityadoption of forecasted cash flows relatedASU 2017-12, to recognized assets, liabilities or forecasted transactions, the accounting treatment depends on the effectiveness of the hedge. To the extent that these derivatives are effective in offsetting the variability of the forecasted hedged cash flows, the effective portion of the changes in the derivatives’ fair values will not
be included in current earnings, but will be reported inAOCI. These changes in fair value will be included in the earnings of future periods when the hedged cash flows impact earnings. To the extent that these derivatives arewere not fully effective, changes in their fair values arein excess of changes in the value of the hedged transactions were immediately included in Other revenue. Citigroup’s cash flow hedges primarily include hedgesWith the adoption of floating-rate assets or liabilities which may include loans as well as forecasted transactions.

Hedging of Foreign Exchange Risk
Citigroup locksASU 2017-12, such amounts are no longer required to be immediately recognized in income, but instead the full change in the functional currency equivalent cash flows of long-term debt and short-term borrowings that are denominated in currencies other than the functional currencyvalue of the issuing entity. Depending on risk management objectives, these types of hedges are designated either as cash flow hedges of foreign exchange risk only or cash flow hedges of both foreign exchange riskhedging instrument is required to be recognized in AOCI, and interest rate risk, and the hedging instruments are foreign exchange cross-currency swaps and forward contracts. These cash flow hedge relationships use dollar-offset ratio analysis to determine whether the hedging relationships are highly effective at inception and on an ongoing basis.
The amount of hedge ineffectiveness on the cash flow hedgesthen recognized in earnings forin the years ended December 31, 2017, 2016 and 2015 is not significant.same period that the cash flows impact earnings. The pretax change in AOCI from cash flow hedges is presented in the table below:




Year ended December 31,
In millions of dollars201720162015201920182017
Effective portion of cash flow hedges included in AOCI 
Amount of gain (loss) recognized in AOCI on derivatives
   
Interest rate contracts$(165)$(219)$357
$746 $(361)$(165)
Foreign exchange contracts(8)69
(220)(17)5 (8)
Total effective portion of cash flow hedges included in AOCI$(173)$(150)$137
Effective portion of cash flow hedges reclassified from AOCI to earnings   
Total gain (loss) recognized in AOCI
$729 $(356)$(173)
Amount of gain (loss) reclassified from AOCI to earnings(1)
Other revenueNet Interest revenue
Other
revenue
Net interest
revenue
Other
revenue
Interest rate contracts$(126)$(140)$(186)$—
$(384)$—
$(301)$(126)
Foreign exchange contracts(10)(93)(146)(7)—
(17)—
(10)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)
$(136)$(233)$(332)
Total gain (loss) reclassified from AOCI into earnings
$(7)$(384)$(17)$(301)$(136)
Net pretax change in cash flow hedges included within AOCI
 $1,120
 $(38)$(37)
(1)
IncludedAll amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest revenue in the Consolidated Statement of Income.

For cash flow hedges, the changesentire change in the fair value of the hedging derivative remainis recognized in AOCI on the Consolidated Balance Sheet and will be includedthen reclassified to earnings in the earnings of future periods to offsetsame period that the variability of theforecasted hedged cash flows when such cash flows affectimpact earnings. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of December 31, 20172019 is approximately $0.4 billion.$84 million. The maximum length of time over which forecasted cash flows are hedged is 10 years.
The after-tax impact of cash flow hedges on AOCI is shown in Note 19 to the Consolidated Financial Statements.

Net Investment Hedges
Consistent with ASC 830-20, Foreign Currency Matters—Foreign Currency Transactions, ASC 815 allows the hedging of the foreign currency risk of a net investment in a foreign operation. Citigroup uses foreign currency forwards, cross-currency swaps, options and foreign currency-denominated debt instruments to manage the foreign exchange risk associated with Citigroup’s equity investments in several non-U.S.-dollar-functional-currency foreign subsidiaries. Citigroup records the change in the carrying amount of these investments in the Foreign currency translation adjustment account within AOCI.AOCI. Simultaneously, the effective portion of the hedge of this exposure is also recorded in the Foreign currency translation adjustment account and any ineffective portion is immediately recorded in earnings.
For derivatives designated as net investment hedges, Citigroup follows the forward-rate method outlined in ASC 815-35-35. According to that method, all changes in fair value, including changes related to the forward-rate component of the foreign currency forward contracts and the time value of foreign currency options, are recorded in the Foreign currency translation adjustment account within AOCI.AOCI.
For foreign currency-denominated debt instruments that are designated as hedges of net investments, the translation gain or loss that is recorded in the Foreign currency translation adjustment account is based on the spot exchange rate between the functional currency of the respective subsidiary and the U.S. dollar, which is the functional currency of Citigroup. To the extent that the notional amount of the hedging instrument exactly matches the hedged net investment, and the underlying exchange rate of the derivative hedging instrument relates to the exchange rate between the functional currency of the net investment and Citigroup’s functional currency (or, in the case of a non-derivative debt instrument, such instrument is denominated in the functional currency of the net investment), no0 ineffectiveness is recorded in earnings.
The pretax gain (loss) recorded in the Foreign currency translation adjustment account within AOCI, related to the effective portion of the net investment hedges, is $2,528$(556) million, $(220)$1,207 million and $2,475$2,528 million for the years ended December 31, 2019, 2018 and 2017, 2016 and 2015, respectively.


Economic Hedges
Citigroup often uses economic hedges when hedge accounting would be too complex or operationally burdensome. End-user derivatives that are economic hedges are carried at fair value, with changes in value included in either Principal transactions or Other revenue.
For asset/liability management hedging, fixed-rate long-term debt is recorded at amortized cost under GAAP.
For other hedges that either do not meet the ASC 815 hedging criteria or for which management decides not to apply ASC 815 hedge accounting, the derivative is recorded at fair value on the balance sheet with the associated changes in fair value recorded in earnings, while the debt continues to be carried at amortized cost. Therefore, current earnings are affected by the interest rate shifts and other factors that cause a change in the swap’s value, but for which no offsetting change in value is recorded on the debt.
 
Citigroup may alternatively elect to account for the debt at fair value under the fair value option. Once the irrevocable election is made upon issuance of the debt, the full change in fair value of the debt is reported in earnings. The changes in fair value of the related interest rate swap are also reflected in earnings, which provides a natural offset to the debt’s fair value change. To the extent that the two amounts differ because the full change in the fair value of the debt includes risks not offset by the interest rate swap, the difference is automatically captured in current earnings.
Additional economic hedges include hedges of the credit risk component of commercial loans and loan commitments. Citigroup periodically evaluates its hedging strategies in other areas and may designate either an accounting hedge or an economic hedge after considering the relative costs and benefits. Economic hedges are also employed when the hedged item itself is marked to market through current earnings, such as hedges of commitments to originate one- to four-family mortgage loans to be held for saleHFS and MSRs.


Credit Derivatives
Citi is a market maker and trades a range of credit derivatives. Through these contracts, Citi either purchases or writes protection on either a single name or a portfolio of reference credits. Citi also uses credit derivatives to help mitigate credit risk in its corporate and consumer loan portfolios and other cash positions and to facilitate client transactions.
Citi monitors its counterparty credit risk in credit derivative contracts. As of both December 31, 20172019 and December 31, 2016,2018, approximately 98% of the gross receivables are from counterparties with which Citi maintains collateral agreements. A majority of Citi’s top 15 counterparties (by receivable balance owed to Citi) are central clearing houses, banks, financial institutions or other dealers. Contracts with these counterparties do not include ratings-based termination events. However, counterparty ratings downgrades may have an incremental effect by lowering the threshold at which Citi may call for additional collateral.
The range of credit derivatives entered into includes credit default swaps, total return swaps, credit options and credit-linked notes.
A credit default swap is a contract in which, for a fee, a protection seller agrees to reimburse a protection buyer for any losses that occur due to a predefined credit event on a reference entity. These credit events are defined by the terms of the derivative contract and the reference credit and are generally limited to the market standard of failure to pay on indebtedness and bankruptcy of the reference credit and, in a more limited range of transactions, debt restructuring. Credit derivative transactions that reference emerging market entities also typically include additional credit events to cover the acceleration of indebtedness and the risk of repudiation or a payment moratorium. In certain transactions, protection may be provided on a portfolio of reference entities or asset-backed securities. If there is no credit event, as defined by the specific derivative contract, then the protection seller makes no payments to the protection buyer and receives only the contractually specified fee. However, if a credit event occurs as defined in the specific derivative contract sold, the

protection seller will be required to make a payment to the protection buyer. Under certain contracts, the seller of protection may not be required to make a payment until a specified amount of losses has occurred with respect to the portfolio and/or may only be required to pay for losses up to a specified amount.
A total return swap typically transfers the total economic performance of a reference asset, which includes all associated cash flows, as well as capital appreciation or depreciation. The protection buyer receives a floating rate of interest and any depreciation on the reference asset from the protection seller and, in return, the protection seller receives the cash flows associated with the reference asset plus any appreciation. Thus, according to the total return swap agreement, the protection seller will be obligated to make a payment any time the floating interest rate payment plus any depreciation of the reference asset exceeds the cash flows associated with the underlying asset. A total return swap may terminate upon a default of the reference asset or a credit event with respect to the reference entity, subject to the provisions of the related total return swap agreement between the protection seller and the protection buyer.
A credit option is a credit derivative that allows investors to trade or hedge changes in the credit quality of a reference entity. For example, in a credit spread option, the option writer assumes the obligation to purchase or sell credit protection on the reference entity at a specified “strike” spread level. The option purchaser buys the right to sell credit default protection on the reference entity to, or purchase it from, the option writer at the strike spread level. The payments on credit spread options depend either on a particular credit spread or the price of the underlying credit-sensitive asset or other reference entity. The options usually terminate if a credit event occurs with respect to the underlying reference entity.
A credit-linked note is a form of credit derivative structured as a debt security with an embedded credit default swap. The purchaser of the note effectively provides credit protection to the issuer by agreeing to receive a return that could be negatively affected by credit events on the underlying reference credit. If the reference entity defaults, the note may be cash settled or physically settled by delivery of a debt security of the reference entity. Thus, the maximum amount of the note purchaser’s exposure is the amount paid for the credit-linked note.



The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
Fair valuesNotionalsFair valuesNotionals
In millions of dollars at December 31, 2017
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty   
In millions of dollars at December 31, 2019
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty 
Banks$7,471
$6,669
$264,414
$273,711
$4,017
$4,102
$172,461
$169,546
Broker-dealers2,325
2,285
73,273
83,229
1,724
1,528
54,843
53,846
Non-financial70
91
1,288
1,140
92
76
2,601
1,968
Insurance and other financial institutions10,668
12,488
438,738
377,062
4,576
5,032
474,021
378,027
Total by industry/counterparty$20,534
$21,533
$777,713
$735,142
Total by industry of counterparty$10,409
$10,738
$703,926
$603,387
By instrument    
Credit default swaps and options$20,251
$20,554
$754,114
$724,228
$9,759
$9,791
$685,643
$593,850
Total return swaps and other283
979
23,599
10,914
650
947
18,283
9,537
Total by instrument$20,534
$21,533
$777,713
$735,142
$10,409
$10,738
$703,926
$603,387
By rating   
By rating of reference entity 
Investment grade$10,473
$10,616
$588,324
$557,987
$4,579
$4,578
$560,806
$470,778
Non-investment grade10,061
10,917
189,389
177,155
5,830
6,160
143,120
132,609
Total by rating$20,534
$21,533
$777,713
$735,142
Total by rating of reference entity$10,409
$10,738
$703,926
$603,387
By maturity    
Within 1 year$2,477
$2,914
$231,878
$218,097
$1,806
$2,181
$231,135
$176,188
From 1 to 5 years16,098
16,435
498,606
476,345
7,275
7,265
414,237
379,915
After 5 years1,959
2,184
47,229
40,700
1,328
1,292
58,554
47,284
Total by maturity$20,534
$21,533
$777,713
$735,142
$10,409
$10,738
$703,926
$603,387

(1)The fair value amount receivable is composed of $3,195$3,415 million under protection purchased and $17,339$6,994 million under protection sold.
(2)The fair value amount payable is composed of $3,147$7,793 million under protection purchased and $18,386$2,945 million under protection sold.


Fair valuesNotionalsFair valuesNotionals
In millions of dollars at December 31, 2016
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty   
In millions of dollars at December 31, 2018
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty 
Banks$11,895
$10,930
$407,992
$414,720
$4,785
$4,432
$214,842
$218,273
Broker-dealers3,536
3,952
115,013
119,810
1,706
1,612
62,904
63,014
Non-financial82
99
4,014
2,061
64
87
2,687
1,192
Insurance and other financial institutions9,308
10,844
375,454
322,829
4,210
4,220
515,216
442,460
Total by industry/counterparty$24,821
$25,825
$902,473
$859,420
Total by industry of counterparty$10,765
$10,351
$795,649
$724,939
By instrument    
Credit default swaps and options$24,502
$24,631
$883,719
$852,900
$10,030
$9,755
$771,865
$712,623
Total return swaps and other319
1,194
18,754
6,520
735
596
23,784
12,316
Total by instrument$24,821
$25,825
$902,473
$859,420
$10,765
$10,351
$795,649
$724,939
By rating   
By rating of reference entity 
Investment grade$9,605
$9,995
$675,138
$648,247
$4,725
$4,544
$637,790
$568,849
Non-investment grade15,216
15,830
227,335
211,173
6,040
5,807
157,859
156,090
Total by rating$24,821
$25,825
$902,473
$859,420
Total by rating of reference entity$10,765
$10,351
$795,649
$724,939
By maturity    
Within 1 year$4,113
$4,841
$293,059
$287,262
$2,037
$2,063
$251,994
$225,597
From 1 to 5 years17,735
17,986
551,155
523,371
6,720
6,414
493,096
456,409
After 5 years2,973
2,998
58,259
48,787
2,008
1,874
50,559
42,933
Total by maturity$24,821
$25,825
$902,473
$859,420
$10,765
$10,351
$795,649
$724,939

(1)The fair value amount receivable is composed of $9,077$5,126 million under protection purchased and $15,744$5,639 million under protection sold.
(2)The fair value amount payable is composed of $17,110$5,882 million under protection purchased and $8,715$4,469 million under protection sold.

Fair values included in the above tables are prior to application of any netting agreements and cash collateral. For notional amounts, Citi generally has a mismatch between the total notional amounts of protection purchased and sold, and it may hold the reference assets directly rather than entering into offsetting credit derivative contracts as and when desired. The open risk exposures from credit derivative contracts are largely matched after certain cash positions in reference assets are considered and after notional amounts are adjusted, either to a duration-based equivalent basis or to reflect the level of subordination in tranched structures. The ratings of the credit derivatives portfolio presented in the tables and used to evaluate payment/performance risk are based on the assigned internal or external ratings of the reference asset or entity. Where external ratings are used, investment-grade ratings are considered to be ‘Baa/BBB’“Baa/BBB” and above, while anything below is considered non-investment grade. Citi’s internal ratings are in line with the related external rating system.
Citigroup evaluates the payment/performance risk of the credit derivatives for which it stands as a protection seller based on the credit rating assigned to the underlying reference credit. Credit derivatives written on an underlying non-investment grade reference credit represent greater payment risk to the Company. The non-investment grade category in the table above also includes credit derivatives where the underlying reference entity has been downgraded subsequent to the inception of the derivative.
The maximum potential amount of future payments under credit derivative contracts presented in the table above is based on the notional value of the derivatives. The Company believes that the notional amount for credit protection sold is not representative of the actual loss exposure based on historical experience. This amount has not been reduced by the value of the reference assets and the related cash flows. In accordance with most credit derivative contracts, should a credit event occur, the Company usually is liable for the difference between the protection sold and the value of the reference assets. Furthermore, the notional amount for credit protection sold has not been reduced for any cash collateral paid to a given counterparty, as such payments would be calculated after netting all derivative exposures, including any credit derivatives with that counterparty in accordance with a related master netting agreement. Due to such netting processes, determining the amount of collateral that corresponds to credit derivative exposures alone is not possible. The Company actively monitors open credit-risk exposures and manages this exposure by using a variety of strategies, including purchased credit derivatives, cash collateral or direct holdings of the referenced assets. This risk mitigation activity is not captured in the table above.


 
Credit Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates.
The fair value (excluding CVA) of all derivative instruments with credit-risk-relatedcredit risk-related contingent features that were in a net liability position at both December 31, 20172019 and December 31, 20162018 was $29$30 billion and $26$33 billion, respectively. The Company posted $28 billion and $26$33 billion as collateral for this exposure in the normal course of business as of December 31, 20172019 and December 31, 2016,2018, respectively.
A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all three3 major rating agencies as of December 31, 2017,2019, the Company could be required to post an additional $0.9$0.6 billion as either collateral or settlement of the derivative transactions. Additionally,In addition, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.3$0.2 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.2$0.8 billion.


Derivatives Accompanied by Financial Asset Transfers
The Company executes total return swaps that provide it with synthetic exposure to substantially all of the economic return of the securities or other financial assets referenced in the contract. In certain cases, the derivative transaction is accompanied by the Company’s transfer of the referenced financial asset to the derivative counterparty, most typically in response to the derivative counterparty’s desire to hedge, in whole or in part, its synthetic exposure under the derivative contract by holding the referenced asset in funded form. In certain jurisdictions these transactions qualify as sales, resulting in derecognition of the securities transferred (see Note 1 to the Consolidated Financial Statements for further discussion of the related sale conditions for transfers of financial assets). For a significant portion of the transactions, the Company has also executed another total return swap where the Company passes on substantially all of the economic return of the referenced securities to a different third party seeking the exposure. In those cases, the Company is not exposed, on a net basis, to changes in the economic return of the referenced securities.
These transactions generally involve the transfer of the Company’s liquid government bonds, convertible bonds or publicly traded corporate equity securities from the trading portfolio and are executed with third-party financial institutions. The accompanying derivatives are typically total return swaps. The derivatives are cash settled and subject to ongoing margin requirements.
When the conditions for sale accounting are met, the Company reports the transfer of the referenced financial asset as a sale and separately reports the accompanying derivative

transaction. These transactions generally do not result in a gain or loss on the sale of the security, because the transferred security was held at fair value in the Company’s trading portfolio. For transfers of financial assets accounted for as a sale by the Company as a sale, whereand for which the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed with the same counterparty in contemplation of the initial sale with the same counterparty and(and still outstanding as of December 31, 2017 and December 31, 2016,outstanding), both the asset carrying amounts derecognized and the gross cash proceeds received as of the date of derecognition were $3.0$5.8 billion and $1.0$4.6 billion as of December 31, 2019 and 2018, respectively.
At December 31, 2017,2019, the fair value of these previously derecognized assets was $3.1$5.9 billion. The fair value of the total return swaps as of December 31, 2019 was $117 million recorded as gross derivative assets and $43 million recorded as gross derivative liabilities. At December 31, 2018, the fair value of these previously derecognized assets was $4.5 billion, and the fair value of the total return swaps was $89$55 million recorded as gross derivative assets and $15$40 million recorded as gross derivative liabilities. At December 31, 2016, the fair value of these previously derecognized assets was $1.0 billion and the fair value of the total return swaps was $32 million, recorded as gross derivative assets, and $23 million, recorded as gross derivative liabilities.
The balances for the total return swaps are on a gross basis, before the application of counterparty and cash collateral netting, and are included primarily as equity derivatives in the tabular disclosures in this Note.




23. CONCENTRATIONS OF CREDIT RISK


Concentrations of credit risk exist when changes in economic, industry or geographic factors similarly affect groups of counterparties whose aggregate credit exposure is material in relation to Citigroup’s total credit exposure. Although Citigroup’s portfolio of financial instruments is broadly diversified along industry, product and geographic lines, material transactions are completed with other financial institutions, particularly in the securities trading, derivatives and foreign exchange businesses.
In connection with the Company’s efforts to maintain a diversified portfolio, the Company limits its exposure to any one geographic region, country or individual creditor and monitors this exposure on a continuous basis. At December 31, 2017,2019, Citigroup’s most significant concentration of credit risk was with the U.S. government and its agencies. The Company’s exposure, which primarily results from trading assets and investments issued by the U.S. government and its agencies, amounted to $227.8$250.9 billion and $228.5$250.0 billion at December 31, 20172019 and 2016,2018, respectively. The GermanJapanese and JapaneseGerman governments and their agencies, which are rated investment grade by both Moody’s and S&P, were the next largest exposures. The Company’s exposure to GermanyJapan amounted to $38.3$33.3 billion and $26.7$28.8 billion at December 31, 20172019 and 2016,2018, respectively, and was composed of investment securities, loans and trading assets. The Company’s exposure to JapanGermany amounted to $25.8$29.8 billion and $27.3$45.6 billion at December 31, 20172019 and 2016,2018, respectively, and was composed of investment securities, loans and trading assets.
The Company’s exposure to states and municipalities amounted to $30.6$23.8 billion and $30.7$27.9 billion at December 31, 20172019 and 2016,2018, respectively, and was composed of trading assets, investment securities, derivatives and lending activities.




24.   FAIR VALUE MEASUREMENT
ASC 820-10, Fair Value Measurement, defines fair value, establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.date, and therefore represents an exit price. Among other things, the standard requires the Company to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value.
Under ASC 820-10, the probability of default of a counterparty is factored into the valuation of derivative and other positions as well as the impact of Citigroup’s own credit risk on derivatives and other liabilities measured at fair value.


Fair Value Hierarchy
ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:


•
Level 1: Quoted prices for identical instruments in active markets.
•
Level 2: Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.
•
Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.
Level 1: Quoted prices for identical instruments in active markets.
Level 2: Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.
Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.


As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid-ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the liquidity of markets and the relevance of observed prices in those markets.
The Company’s policy with respect to transfers between levels of the fair value hierarchy is to recognize transfers into and out of each level as of the end of the reporting period.

Determination of Fair Value
For assets and liabilities carried at fair value, the Company measures fair value using the procedures set out below, irrespective of whether the assets and liabilities are measured at fair value as a result of an election or whether they are required to be measured at fair value.
When available, the Company uses quoted market prices to determine fair value and classifies such items as Level 1. In some specific cases where a market price is available, the
Company will make use of acceptable practical expedients (such as matrix pricing) to calculate fair value, in which case the items are classified as Level 2.
The Company may also apply a price-based methodology, which utilizes, where available, quoted prices or other market information obtained from recent trading activity in positions with the same or similar characteristics to the position being valued. The market activityfrequency and the amountsize of the bid-ask spreadtransactions are among the factors considered in determiningthat are driven by the liquidity of markets and determine the observabilityrelevance of observed prices fromin those markets. If relevant and observable prices are available, those valuations may be classified as Level 2. When that is not the case, and there are one or more significant unobservable “price” inputs, then those valuations will be classified as Level 3. Furthermore, when less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the price of a similar security is necessary to reflect differences in the terms of the actual security or loan being valued, or prices from independent sources are insufficient to corroborate the valuation, the “price” inputs are considered unobservable and the fair value measurements are classified as Level 3.
If quoted market prices are not available, fair value is based upon internally developed valuation techniques that use, where possible, current market-based parameters, such as interest rates, currency rates and option volatilities. Items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified as Level 3 even though there may be some significant inputs that are readily observable.
Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors or brokers. Vendors’ and brokers’ valuations may be based on a variety of inputs ranging from observed prices to proprietary valuation models.
models, and the Company assesses the quality and relevance of this information in determining the estimate of fair value. The following section describes the valuation methodologies used by the Company to measure various financial instruments at fair value, including an indication of the level in the fair value hierarchy in which each instrument is generally classified. Where appropriate, the description includes details of the valuation models, the key inputs to those models and any significant assumptions.


Market Valuation Adjustments
Generally, the unit of account for a financial instrument is the individual financial instrument. The Company applies market valuation adjustments that are consistent with the unit of account, which does not include adjustment due to the size of the Company’s position, except as follows. ASC 820-10 permits an exception, through an accounting policy election, to measure the fair value of a portfolio of financial assets and financial liabilities on the basis of the net open risk position when certain criteria are met. Citi has elected to measure certain portfolios of financial instruments such as derivatives, that meet those criteria, such as derivatives, on the basis of the net open risk position. The Company applies market valuation adjustments, including adjustments to account for the size of the net open risk position, consistent with market participant assumptions and in accordance with the unit of account.assumptions.

LiquidityValuation adjustments are applied to items inclassified as Level 2 or Level 3 ofin the fair value hierarchy in an effort to ensure that the fair value reflects the price at which the net open risk position could be liquidated. The liquidity adjustment isexited. These valuation adjustments are based on the bid/offer spread for an instrument.instrument in the market. When Citi has elected to measure certain portfolios of financial investments, such as derivatives, on the basis of the net open risk position, the liquidityvaluation adjustment may be adjusted to take into account the size of the position.
Credit valuation adjustments (CVA) and funding valuation adjustments (FVA) are applied to the relevant population of over-the-counter (OTC) derivative instruments in which the base valuation generally discounts expected cash flows using the relevant base interest rate curve for the currency of the derivative (e.g., LIBOR for uncollateralized U.S.-dollar derivatives). As not all counterparties have the same credit risk as that implied by the relevant base curve, a CVA is necessarywhere adjustments to incorporate the market view of bothreflect counterparty credit risk, and Citi’s own credit risk inand term funding risk are required to estimate fair value. This principally includes derivatives with a base valuation (e.g., discounted using overnight indexed swap (OIS)) requiring adjustment for these effects, such as uncollateralized interest rate swaps. The CVA represents a portfolio-level adjustment to reflect the valuation. risk premium associated with the counterparty’s (assets) or Citi’s (liabilities) non-performance risk.
FVA reflectsreflect a market funding risk premium inherent in the uncollateralized portion of a derivative portfolio and in certain collateralized derivative portfolios and in collateralized derivativesthat do not include standard credit support annexes (CSAs), such as where the terms of the agreement doCSA does not permit the reuse of collateral received. Citi’s FVA methodology leverages the existing CVA methodology to estimate a funding exposure profile. The calculation of this exposure profile considers collateral agreements in which the terms do not permit the Company to reuse the collateral received.received, including where counterparties post collateral to third-party custodians.
Citi’s CVA and FVA methodology consists of two steps:


First, the exposure profile for each counterparty is determined using the terms of all individual derivative positions and a Monte Carlo simulation or other quantitative analysis to generate a series of expected cash flows at future points in time. The calculation of this exposure profile considers the effect of credit risk mitigants and sources of funding, including pledged cash or other collateral and any legal right of offset that exists with a counterparty through arrangements such as netting agreements. Individual derivative contracts that are subject to an enforceable master netting agreement with a counterparty are aggregated as a netting set for this purpose, since it is those aggregate net cash flows that are subject to nonperformance risk. This process identifies specific, point-in-time future cash flows that are subject to nonperformance risk and unsecured funding, rather than using the current recognized net asset or liability as a basis to measure the CVA and FVA.
Second, for CVA, market-based views of default probabilities derived from observed credit spreads in the credit default swap (CDS) market are applied to the expected future cash flows determined in step one. Citi’s own-credit CVA is determined using Citi-specific CDS spreads for the relevant tenor. Generally, counterparty
CVA is determined using CDS spread indices for each credit rating and tenor. For certain identified netting sets where individual analysis is practicable (e.g., exposures to counterparties with liquid CDSs), counterparty-specific CDS spreads are used. For FVA, a term structure of future liquidity spreads is applied to the expected future funding requirement.

The CVA and FVA are designed to incorporate a market view of the credit and funding risk, respectively, inherent in
the derivative portfolio. However, most unsecured derivative instruments are negotiated bilateral contracts and are not commonly transferred to third parties. Derivative instruments are normally settled contractually or, if terminated early, are terminated at a value negotiated bilaterally between the counterparties. Thus, the CVA and FVA may not be realized upon a settlement or termination in the normal course of business. In addition, all or a portion of these adjustments may be reversed or otherwise adjusted in future periods in the event of changes in the credit or funding risk associated with the derivative instruments.
The table below summarizes the CVA and FVA applied to the fair value of derivative instruments at December 31, 20172019 and 2016:2018:
Credit and funding valuation adjustments
contra-liability (contra-asset)
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsDecember 31,
2017		December 31,
2016		December 31,
2019		December 31,
2018
Counterparty CVA$(970)$(1,488)$(705)$(1,085)
Asset FVA(447)(536)(530)(544)
Citigroup (own-credit) CVA287
459
341
482
Liability FVA47
62
72
135
Total CVA—derivative instruments(1)
$(1,083)$(1,503)$(822)$(1,012)


(1)FVA is included with CVA for presentation purposes.


The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the years indicated:
Credit/funding/debt valuation
adjustments gain (loss)
Credit/funding/debt valuation
adjustments gain (loss)
In millions of dollars201720162015201920182017
Counterparty CVA$276
$157
$(115)$149
$(109)$276
Asset FVA90
47
(66)13
46
90
Own-credit CVA(153)17
(28)(131)178
(153)
Liability FVA(15)(44)97
(63)56
(15)
Total CVA—derivative instruments$198
$177
$(112)$(32)$171
$198
DVA related to own FVO liabilities(1)
$(680)$(538)$367
$(1,473)$1,415
$(680)
Total CVA and DVA(2)
$(482)$(361)$255
$(1,505)$1,586
$(482)


(1)
Effective JanuarySee Notes 1, 2016, Citigroup early adopted on a prospective basis only the provisions of ASU No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition17 and Measurement of Financial Assets and Financial Liabilities, related19 to the presentation of DVA on fair value option liabilities. Accordingly, beginning in the first quarter of 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s revenues and net income. DVA amounts in AOCI will be recognized in revenue and net income if realized upon the settlement of the related liability.
Consolidated Financial Statements.

(2)FVA is included with CVA for presentation purposes.



Valuation Process for Fair Value Measurements
Price verification procedures and related internal control procedures are governed by the Citigroup Pricing and Price Verification Policy and Standards, which is jointly owned by Finance and Risk Management.
For fair value measurements of substantially all assets and liabilities held by the Company, individual business units are responsible for valuing the trading account assets and liabilities, and Product Control within Finance performs independent price verification procedures to evaluate those fair value measurements. Product Control is independent of the individual business units and reports to the Global Head of Product Control. It has authority over the valuation of financial assets and liabilities. Fair value measurements of assets and liabilities are determined using various techniques, including, but not limited to, discounted cash flows and internal models, such as option and correlation models.
Based on the observability of inputs used, Product Control classifies the inventory as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a position involves one or more significant inputs that are not directly observable, price verification procedures are performed that may include reviewing relevant historical data, analyzing profit and loss, valuing each component of a structured trade individually and benchmarking, among others.
Reports of inventory that is classified within Level 3 of the fair value hierarchy are distributed to senior management in Finance, Risk and the business. This inventory is also discussed in Risk Committees and in monthly meetings with senior trading management. As deemed necessary, reports may go to the Audit Committee of the Board of Directors or to the full Board of Directors. Whenever an adjustment is needed to bring the price of an asset or liability to its exit price, Product Control reports it to management along with other price verification results.
In addition, the pricing models used in measuring fair value are governed by an independent control framework. Although the models are developed and tested by the individual business units, they are independently validated by the Model Validation Group within Risk Management and reviewed by Finance with respect to their impact on the price verification procedures. The purpose of this independent control framework is to assess model risk arising from models’ theoretical soundness, calibration techniques where needed and the appropriateness of the model for a specific product in a defined market. To ensure their continued applicability, models are independently reviewed annually. In addition, Risk Management approves and maintains a list of products permitted to be valued under each approved model for a given business.

Securities Purchased Under Agreements to Resell and Securities Sold Under Agreements to Repurchase
No quoted prices exist for these instruments, so fair value is determined using a discounted cash flow technique. Cash flows are estimated based on the terms of the contract, taking into account any embedded derivative or other features. These cash flows are discounted using interest rates appropriate to the maturity of the instrument as well as the nature of the underlying collateral. Generally, when such instruments are recorded at fair value, they are classified within Level 2 of the fair value hierarchy, as the inputs used in the valuation are readily observable. However, certain long-dated positions are classified within Level 3 of the fair value hierarchy.


Trading Account Assets and Liabilities—Trading Securities and Trading Loans
When available, the Company uses quoted market prices in active markets to determine the fair value of trading securities; such items are classified as Level 1 of the fair value hierarchy. Examples include government securities and exchange-traded equity securities.
For bonds and secondary market loans traded over the counter, the Company generally determines fair value utilizing valuation techniques, including discounted cash flows, price-based and internal models, such as Black-Scholes and Monte Carlo simulation.models. Fair value estimates from these internal valuation techniques are verified, where possible, to prices obtained from independent sources, including third-party vendors. Vendors compile prices from various sources and may apply matrix pricing for similar bonds or loans where no price is observable. A price-based methodology utilizes, where available, quoted prices or other market information obtained from recent trading activity of assets with similar characteristics to the bond or loan being valued. The yields used in discounted cash flow models are derived from the same price information. Trading securities and loans priced using such methods are generally classified as Level 2. However, when less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the price of a similar security or loan is necessary to reflect differences in the terms of the actual security or loan being valued, or prices from independent sources are insufficient to corroborate valuation, a loan or security is generally classified as Level 3. The price input used in a price-based methodology may be zero for a security, such as a subprime CDO, that is not receiving any principal or interest and is currently written down to zero.
When the Company’s principal market for a portfolio of loans is the securitization market, the Company uses the securitization price to determine the fair value of the portfolio. The securitization price is determined from the assumed proceeds of a hypothetical securitization in the current market, adjusted for transformation costs (i.e., direct costs other than transaction costs) and securitization uncertainties such as market conditions and liquidity. As a result of the severe reduction in the level of activity in certain securitization markets since the second half of 2007,
observable securitization prices for certain directly

comparable portfolios of loans have not been readily available. Therefore, such portfolios of loans are generally classified as Level 3 of the fair value hierarchy. However, for other loan securitization markets, such as commercial real estate loans, price verification of the hypothetical securitizations has been possible, since these markets have remained active. Accordingly, this loan portfolio is classified as Level 2 of the fair value hierarchy.
For most of the lending and structured direct subprime exposures, fair value is determined utilizing observable transactions where available, other market data for similar assets in markets that are not active and other internal valuation techniques. The valuation of certain asset-backed security (ABS) CDO positions utilizes prices based on the underlying assets of the ABS CDO.


Trading Account Assets and Liabilities—Derivatives
Exchange-traded derivatives, measured at fair value using quoted (i.e., exchange) prices in active markets, where available, are classified as Level 1 of the fair value hierarchy.
Derivatives without a quoted price in an active market and derivatives executed over the counter are valued using internal valuation techniques. These derivative instruments are classified as either Level 2 or Level 3 depending uponon the observability of the significant inputs to the model.
The valuation techniques and inputs depend on the type of derivative and the nature of the underlying instrument. The principal techniques used to value these instruments are discounted cash flows and internal models, includingsuch as derivative pricing models (e.g., Black-Scholes and Monte Carlo simulation.simulations).
The key inputs depend upon the type of derivative and the nature of the underlying instrument and include interest rate yield curves, foreign exchange rates, volatilities and correlation. The Company typically uses overnight indexed swap (OIS)OIS curves as fair value measurement inputs for the valuation of certain collateralized derivatives. Citi uses the relevant benchmark curve for the currency of the derivative (e.g., the London Interbank Offered Rate for U.S.-dollar derivatives) as the discount rate for uncollateralized derivatives.
As referenced above, during the third quarter of 2016, Citi incorporated FVA into the fair value measurements due to what it believes to be an industry migration toward incorporating the market’s view of funding risk premium in OTC derivatives. The charge incurred in connection with the implementation of FVA was reflected in Principal transactions as a change in accounting estimate. Citi’s FVA methodology leverages the existing CVA methodology to estimate a funding exposure profile. The calculation of this exposure profile considers collateral agreements where the terms do not permit the Company to reuse the collateral received, including where counterparties post collateral to third-party custodians.

Investments
The investments category includes available-for-sale debt and marketable equity securities whose fair values are generally determined by utilizing similar procedures described for trading securities above or, in some cases, using vendor pricing as the primary source.
Also included in investments are nonpublic investments in private equity and real estate entities. Determining the fair value of nonpublic securities involves a significant degree of management judgment, as no quoted prices exist and such securities are generally thinly traded. In addition, there may be transfer restrictions on private equity securities. The Company’s process for determining the fair value of such securities utilizes commonly accepted valuation techniques, including comparables analysis. In determining the fair value of nonpublic securities, the Company also considers events such as a proposed sale of the investee company, initial public offerings, equity issuances or other observable transactions.
Private equity securities are generally classified as Level 3 of the fair value hierarchy.
In addition, the Company holds investments in certain alternative investment funds that calculate NAV per share, including hedge funds, private equity funds and real estate funds. Investments in funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV per share of the Company’s ownership interest in the funds where it is not probable that the investment will be realized at a price other than the NAV. Consistent with the provisions of ASU 2015-07, these investments have not been categorized within the fair value hierarchy and are not included in the tables below. See Note 13 to the Consolidated Financial Statements for additional information.


Short-Term Borrowings and Long-Term Debt
Where fair value accounting has been elected, the fair value of non-structured liabilities is determined by utilizing internal models using the appropriate discount rate for the applicable maturity. Such instruments are generally classified as Level 2 of the fair value hierarchy when all significant inputs are readily observable.
The Company determines the fair value of hybrid financial instruments, including structured liabilities, using the appropriate derivative valuation methodology (described above in “Trading Account Assets and Liabilities—Derivatives”) given the nature of the embedded risk profile. Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model.




Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 20172019 and December 31, 2016.2018. The Company may hedge positions that have been classified in the Level 3 category with other financial
 
other financial instruments (hedging instruments) that may be classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables:


Fair Value Levels
In millions of dollars at December 31, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2019Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$188,571
$16
$188,587
$(55,638)$132,949
Securities borrowed and purchased under agreements to resell$—
$254,253
$303
$254,556
$(101,363)$153,193
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed—
22,801
163
22,964
—
22,964
—
27,661
10
27,671
—
27,671
Residential—
649
164
813
—
813
—
573
123
696
—
696
Commercial—
1,309
57
1,366
—
1,366
—
1,632
61
1,693
—
1,693
Total trading mortgage-backed securities$—
$24,759
$384
$25,143
$—
$25,143
$—
$29,866
$194
$30,060
$—
$30,060
U.S. Treasury and federal agency securities$17,524
$3,613
$—
$21,137
$—
$21,137
$26,159
$3,736
$—
$29,895
$—
$29,895
State and municipal—
4,426
274
4,700
—
4,700
—
2,573
64
2,637
—
2,637
Foreign government39,347
20,843
16
60,206
—
60,206
50,948
20,326
52
71,326
—
71,326
Corporate301
15,129
275
15,705
—
15,705
1,332
17,246
313
18,891
—
18,891
Equity securities53,305
6,794
120
60,219
—
60,219
41,663
9,878
100
51,641
—
51,641
Asset-backed securities—
1,198
1,590
2,788
—
2,788
—
1,539
1,177
2,716
—
2,716
Other trading assets(3)(2)
3
11,105
615
11,723
—
11,723
74
11,412
555
12,041
—
12,041
Total trading non-derivative assets$110,480
$87,867
$3,274
$201,621
$—
$201,621
$120,176
$96,576
$2,455
$219,207
$—
$219,207
Trading derivatives
 


  
Interest rate contracts$145
$201,663
$1,708
$203,516
 $7
$196,493
$1,168
$197,668
  
Foreign exchange contracts19
120,624
577
121,220
 1
107,022
547
107,570
  
Equity contracts2,364
24,170
444
26,978
 83
28,148
240
28,471
  
Commodity contracts282
13,252
569
14,103
 —
13,498
714
14,212
  
Credit derivatives—
19,574
910
20,484
 —
9,960
449
10,409
  
Total trading derivatives$2,810
$379,283
$4,208
$386,301
 $91
$355,121
$3,118
$358,330
  
Cash collateral paid(4)(3)
 $7,541
   $17,926
  
Netting agreements $(306,401)    $(274,970) 
Netting of cash collateral received (37,506)    (44,353) 
Total trading derivatives$2,810
$379,283
$4,208
$393,842
$(343,907)$49,935
$91
$355,121
$3,118
$376,256
$(319,323)$56,933
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$—
$41,717
$24
$41,741
$—
$41,741
$—
$35,198
$32
$35,230
$—
$35,230
Residential—
2,884
—
2,884
—
2,884
—
793
—
793
—
793
Commercial—
329
3
332
—
332
—
74
—
74
—
74
Total investment mortgage-backed securities$—
$44,930
$27
$44,957
$—
$44,957
$—
$36,065
$32
$36,097
$—
$36,097
U.S. Treasury and federal agency securities$106,964
$11,182
$—
$118,146
$—
$118,146
$106,103
$5,315
$—
$111,418
$—
$111,418
State and municipal—
8,028
737
8,765
—
8,765
—
4,355
623
4,978
—
4,978
Foreign government56,456
43,985
92
100,533
—
100,533
69,957
41,196
96
111,249
—
111,249
Corporate1,911
12,127
71
14,109
—
14,109
5,150
6,076
45
11,271
—
11,271
Equity securities176
11
2
189
—
189
Marketable equity securities87
371
—
458
—
458
Asset-backed securities—
3,091
827
3,918
—
3,918
—
500
22
522
—
522
Other debt securities—
297
—
297
—
297
—
4,730
—
4,730
—
4,730
Non-marketable equity securities(5)(4)
—
121
681
802
—
802
—
93
441
534
—
534
Total investments$165,507
$123,772
$2,437
$291,716
$—
$291,716
$181,297
$98,701
$1,259
$281,257
$—
$281,257
Table continues on the next page, including footnotes.page.

In millions of dollars at December 31, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2019Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—
$3,824
$550
$4,374
$—
$4,374
$—
$3,683
$402
$4,085
$—
$4,085
Mortgage servicing rights—
—
558
558
—
558
—
—
495
495
—
495
Non-trading derivatives and other financial assets measured on a recurring basis, gross$13,903
$6,900
$16
$20,819
 
Cash collateral paid(6)
 —
 
Netting of cash collateral received $(1,026) 
Non-trading derivatives and other financial assets measured on a recurring basis$13,903
$6,900
$16
$20,819
$(1,026)$19,793
$5,628
$7,201
$1
$12,830
$—
$12,830
Total assets$292,700
$790,217
$11,059
$1,101,517
$(400,571)$700,946
$307,192
$815,535
$8,033
$1,148,686
$(420,686)$728,000
Total as a percentage of gross assets(7)
26.8%72.2%1.0%





Total as a percentage of gross assets(5)
27.2%72.1%0.7%





Liabilities      
Interest-bearing deposits$—
$1,179
$286
$1,465
$—
$1,465
$—
$2,104
$215
$2,319
$—
$2,319
Federal funds purchased and securities loaned or sold under agreements to repurchase—
95,550
726
96,276
(55,638)40,638
Securities loaned and sold under agreements to repurchase—
111,567
757
112,324
(71,673)40,651
Trading account liabilities      
Securities sold, not yet purchased65,843
10,306
22
76,171
—
76,171
60,429
11,965
48
72,442
—
72,442
Other trading liabilities—
1,409
5
1,414
—
1,414
—
24
—
24
—
24
Total trading liabilities$65,843
$11,715
$27
$77,585
$—
$77,585
$60,429
$11,989
$48
$72,466
$—
$72,466
Trading derivatives      
Interest rate contracts$137
$182,162
$2,130
$184,429
 $8
$176,480
$1,167
$177,655
  
Foreign exchange contracts9
119,719
447
120,175
 —
110,180
552
110,732
  
Equity contracts2,430
26,472
2,471
31,373
 144
28,506
1,836
30,486
  
Commodity contracts115
14,482
2,430
17,027
 —
16,542
773
17,315
  
Credit derivatives—
19,513
1,709
21,222
 —
10,233
505
10,738
  
Total trading derivatives$2,691
$362,348
$9,187
$374,226
 $152
$341,941
$4,833
$346,926
  
Cash collateral received(8)
 $14,296
 
Cash collateral received(6)
  $14,391
  
Netting agreements $(306,401)    $(274,970) 
Netting of cash collateral paid (35,659)    (38,919) 
Total trading derivatives$2,691
$362,348
$9,187
$388,522
$(342,060)$46,462
$152
$341,941
$4,833
$361,317
$(313,889)$47,428
Short-term borrowings$—
$4,609
$18
$4,627
$—
$4,627
$—
$4,933
$13
$4,946
$—
$4,946
Long-term debt—
18,310
13,082
31,392
—
31,392
—
38,614
17,169
55,783
—
55,783
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$13,903
$1,168
$8
$15,079
 
Cash collateral received(9)
 12
 
Netting of cash collateral paid $(7) 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$13,903
$1,168
$8
$15,091
$(7)$15,084
$6,280
$63
$—
$6,343
$—
$6,343
Total liabilities$82,437
$494,879
$23,334
$614,958
$(397,705)$217,253
$66,861
$511,211
$23,035
$615,498
$(385,562)$229,936
Total as a percentage of gross liabilities(7)
13.7%82.4%3.9% 
Total as a percentage of gross liabilities(5)
11.1%85.0%3.8%   


(1)In 2017, the Company transferred assets of approximately $4.8 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. In 2017, the Company transferred assets of approximately $4.0 billion from Level 2 to Level 1, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. In 2017, the Company transferred liabilities of approximately $0.4 billion from Level 1 to Level 2. In 2017, the Company transferred liabilities of approximately $0.3 billion from Level 2 to Level 1.
(2)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 25 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(4)(3)Reflects the net amount of $43,200$56,845 million of gross cash collateral paid, of which $35,659$38,919 million was used to offset trading derivative liabilities.
(5)(4)
Amounts exclude $0.40.2 billion of investments measured at Net Asset Valuenet asset value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(6)Reflects the net amount of $7 million of gross cash collateral paid, all of which was used to offset non-trading derivative liabilities.
(7)(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(8)(6)Reflects the net amount of $51,802$58,744 million of gross cash collateral received, of which $37,506$44,353 million was used to offset trading derivative assets.
(9)Reflects the net amount of $1,038 million of gross cash collateral received, of which $1,026 million was used to offset non-trading derivatives.

Fair Value Levels
In millions of dollars at December 31, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2018Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$172,394
$1,496
$173,890
$(40,686)$133,204
Securities borrowed and purchased under agreements to resell$—
$214,570
$115
$214,685
$(66,984)$147,701
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed—
22,718
176
22,894
—
22,894
—
24,090
156
24,246
—
24,246
Residential—
291
399
690
—
690
—
709
268
977
—
977
Commercial—
1,000
206
1,206
—
1,206
—
1,323
77
1,400
—
1,400
Total trading mortgage-backed securities$—
$24,009
$781
$24,790
$—
$24,790
$—
$26,122
$501
$26,623
$—
$26,623
U.S. Treasury and federal agency securities$16,368
$4,811
$1
$21,180
$—
$21,180
$26,439
$4,802
$1
$31,242
$—
$31,242
State and municipal—
3,780
296
4,076
—
4,076
—
3,782
200
3,982
—
3,982
Foreign government32,164
17,492
40
49,696
—
49,696
43,309
21,179
31
64,519
—
64,519
Corporate424
14,199
324
14,947
—
14,947
1,026
14,510
360
15,896
—
15,896
Equity securities45,056
5,260
127
50,443
—
50,443
36,342
7,308
153
43,803
—
43,803
Asset-backed securities—
892
1,868
2,760
—
2,760
—
1,429
1,484
2,913
—
2,913
Other trading assets(3)(2)
—
9,466
2,814
12,280
—
12,280
3
12,198
818
13,019
—
13,019
Total trading non-derivative assets$94,012
$79,909
$6,251
$180,172
$—
$180,172
$107,119
$91,330
$3,548
$201,997
$—
$201,997
Trading derivatives      
Interest rate contracts$105
$366,995
$2,225
$369,325
 $101
$169,860
$1,671
$171,632
  
Foreign exchange contracts53
184,776
833
185,662
 —
162,108
346
162,454
  
Equity contracts2,306
21,209
595
24,110
 647
28,903
343
29,893
  
Commodity contracts261
12,999
505
13,765
 —
16,788
767
17,555
  
Credit derivatives—
23,021
1,594
24,615
 —
9,839
926
10,765
  
Total trading derivatives$2,725
$609,000
$5,752
$617,477
 $748
$387,498
$4,053
$392,299
  
Cash collateral paid(4)(3)
 $11,188
   $11,518
  
Netting agreements $(519,000)    $(311,089) 
Netting of cash collateral received (45,912)    (38,608) 
Total trading derivatives$2,725
$609,000
$5,752
$628,665
$(564,912)$63,753
$748
$387,498
$4,053
$403,817
$(349,697)$54,120
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$—
$38,304
$101
$38,405
$—
$38,405
$—
$42,988
$32
$43,020
$—
$43,020
Residential—
3,860
50
3,910
—
3,910
—
1,313
—
1,313
—
1,313
Commercial—
358
—
358
—
358
—
172
—
172
—
172
Total investment mortgage-backed securities$—
$42,522
$151
$42,673
$—
$42,673
$—
$44,473
$32
$44,505
$—
$44,505
U.S. Treasury and federal agency securities$112,916
$10,753
$2
$123,671
$—
$123,671
$107,577
$9,645
$—
$117,222
$—
$117,222
State and municipal—
8,909
1,211
10,120
—
10,120
—
8,498
708
9,206
—
9,206
Foreign government54,028
43,934
186
98,148
—
98,148
58,252
42,371
68
100,691
—
100,691
Corporate3,215
13,598
311
17,124
—
17,124
4,410
7,033
156
11,599
—
11,599
Equity securities336
46
9
391
—
391
Marketable equity securities206
14
—
220
—
220
Asset-backed securities—
6,134
660
6,794
—
6,794
—
656
187
843
—
843
Other debt securities—
503
—
503
—
503
—
3,972
—
3,972
—
3,972
Non-marketable equity securities(5)(4)
—
35
1,331
1,366
—
1,366
—
96
586
682
—
682
Total investments$170,495
$126,434
$3,861
$300,790
$—
$300,790
$170,445
$116,758
$1,737
$288,940
$—
$288,940
Table continues on the next page.

In millions of dollars at December 31, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2018Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—
$2,918
$568
$3,486
$—
$3,486
$—
$2,946
$277
$3,223
$—
$3,223
Mortgage servicing rights—
—
1,564
1,564
—
1,564
—
—
584
584
—
584
Non-trading derivatives and other financial assets measured on a recurring basis, gross$9,300
$7,732
$34
$17,066
 
Cash collateral paid(6)
 8
 
Netting of cash collateral received $(1,345) 
Non-trading derivatives and other financial assets measured on a recurring basis$9,300
$7,732
$34
$17,074
$(1,345)$15,729
$15,839
$4,949
$—
$20,788
$—
$20,788
Total assets$276,532
$998,387
$19,526
$1,305,641
$(606,943)$698,698
$294,151
$818,051
$10,314
$1,134,034
$(416,681)$717,353
Total as a percentage of gross assets(7)
21.4%77.1%1.5% 
Total as a percentage of gross assets(5)
26.2%72.9%0.9%   
Liabilities      
Interest-bearing deposits$—
$919
$293
$1,212
$—
$1,212
$—
$980
$495
$1,475
$—
$1,475
Federal funds purchased and securities loaned or sold under agreements to repurchase—
73,500
849
74,349
(40,686)33,663
Securities loaned and sold under agreements to repurchase—
110,511
983
111,494
(66,984)44,510
Trading account liabilities      
Securities sold, not yet purchased67,429
12,184
1,177
80,790
—
80,790
78,872
11,364
586
90,822
—
90,822
Other trading liabilities—
1,827
1
1,828
—
1,828
—
1,547
—
1,547
—
1,547
Total trading liabilities$67,429
$14,011
$1,178
$82,618
$—
$82,618
$78,872
$12,911
$586
$92,369
$—
$92,369
Trading account derivatives      
Interest rate contracts$107
$351,766
$2,888
$354,761
 $71
$152,931
$1,825
$154,827
  
Foreign exchange contracts13
187,328
420
187,761
 —
159,003
352
159,355
  
Equity contracts2,245
22,119
2,152
26,516
 351
32,330
1,127
33,808
  
Commodity contracts196
12,386
2,450
15,032
 —
19,904
785
20,689
  
Credit derivatives—
22,842
2,595
25,437
 —
9,486
865
10,351
  
Total trading derivatives$2,561
$596,441
$10,505
$609,507
 $422
$373,654
$4,954
$379,030
  
Cash collateral received(8)
 $15,731
 
Cash collateral received(6)
  $13,906
  
Netting agreements $(519,000)    $(311,089) 
Netting of cash collateral paid (49,811)    (29,911) 
Total trading derivatives$2,561
$596,441
$10,505
$625,238
$(568,811)$56,427
$422
$373,654
$4,954
$392,936
$(341,000)$51,936
Short-term borrowings$—
$2,658
$42
$2,700
$—
$2,700
$—
$4,446
$37
$4,483
$—
$4,483
Long-term debt—
16,510
9,744
26,254
—
26,254
—
25,659
12,570
38,229
—
38,229
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$9,300
$1,540
$8
$10,848
 
Cash collateral received(9)
 1
 
Netting of cash collateral paid $(53) 
Non-trading derivatives and other financial liabilities measured on a recurring basis$9,300
$1,540
$8
$10,849
$(53)$10,796
$15,839
$67
$—
$15,906
$—
$15,906
Total liabilities$79,290
$705,579
$22,619
$823,220
$(609,550)$213,670
$95,133
$528,228
$19,625
$656,892
$(407,984)$248,908
Total as a percentage of gross liabilities(6)
9.8%87.4%2.8% 
Total as a percentage of gross liabilities(5)
14.8%82.1%3.1%   


(1)In 2016, the Company transferred assets of approximately $2.6 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. In 2016, the Company transferred assets of approximately $4.0 billion from Level 2 to Level 1, respectively, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. In 2016, the Company transferred liabilities of approximately $0.4 billion from Level 2 to Level 1. In 2016, the Company transferred liabilities of approximately $0.3 billion from Level 1 to Level 2.
(2)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase;repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 25 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(4)(3)Reflects the net amount of $60,999$41,429 million of gross cash collateral paid, of which $49,811$29,911 million was used to offset trading derivative liabilities.
(5)(4)
Amounts exclude $0.40.2 billion of investments measured at Net Asset Valuenet asset value (NAV) in accordance with ASU 2015-07,Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(6)
Reflects the net amount of $61 million of gross cash collateral paid, of which $53 million was used to offset non-trading derivative liabilities.
(7)(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(8)(6)Reflects the net amount of $61,643$52,514 million of gross cash collateral received, of which $45,912$38,608 million was used to offset trading derivative assets.
(9)Reflects the net amount of $1,346 million of gross cash collateral received, of which $1,345 million was used to offset non-trading derivative assets.


Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the years ended December 31, 20172019 and 2016.2018. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are classified in a different level. For example, the gains and losses for assets and liabilities in the Level 3
 
category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 and Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:


Level 3 Fair Value Rollforward
 Net realized/unrealized
gains (losses) included in		Transfers 
Unrealized
gains/
(losses)
still held(3)
 Net realized/unrealized
gains/losses included in		Transfers 
Unrealized
gains/
losses
still held(3)
In millions of dollarsDec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2017Dec. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2019
Assets    
Federal funds sold and securities borrowed or purchased under agreements to resell$1,496
$(281)$—
$—
$(1,198)$—
$—
$—
$(1)$16
$1
Securities borrowed and purchased under agreements to resell$115
$(5)$—
$191
$(4)$195
$—
$—
$(189)$303
$3
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed176
23
—
176
(174)463
—
(504)3
163
2
156
—
—
54
(72)160
(1)(287)—
10
1
Residential399
86
—
95
(118)126
—
(424)—
164
14
268
15
—
86
(80)227
—
(393)—
123
10
Commercial206
15
—
69
(57)450
—
(626)—
57
(5)77
14
—
150
(105)136
—
(211)—
61
(4)
Total trading mortgage-backed securities$781
$124
$—
$340
$(349)$1,039
$—
$(1,554)$3
$384
$11
$501
$29
$—
$290
$(257)$523
$(1)$(891)$—
$194
$7
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
$1
$(9)$—
$—
$—
$20
$—
$(11)$(1)$—
$—
State and municipal296
28
—
24
(48)161
(23)(164)—
274
8
200
(2)—
1
(19)2
—
(118)—
64
(2)
Foreign government40
1
—
89
(228)291
—
(177)—
16
—
31
28
—
12
(7)88
—
(100)—
52
1
Corporate324
344
—
140
(185)482
(8)(828)6
275
81
360
284
—
213
(86)323
(29)(742)(10)313
(11)
Equity securities127
54
—
210
(58)51
(3)(261)—
120
—
Marketable equity securities153
(21)—
13
(19)117
—
(143)—
100
(51)
Asset-backed securities1,868
284
—
44
(178)1,457
—
(1,885)—
1,590
36
1,484
(65)—
51
(127)738
—
(904)—
1,177
29
Other trading assets2,814
117
—
474
(2,691)2,195
11
(2,285)(20)615
60
818
(52)—
97
(283)598
36
(630)(29)555
(257)
Total trading non-derivative assets$6,251
$952
$—
$1,321
$(3,737)$5,676
$(23)$(7,155)$(11)$3,274
$196
$3,548
$192
$—
$677
$(798)$2,409
$6
$(3,539)$(40)$2,455
$(284)
Trading derivatives, net(4)
    
Interest rate contracts$(663)$(44)$—
$(28)$610
$154
$(13)$(322)$(116)$(422)$77
$(154)$116
$—
$(129)$172
$154
$45
$(1)$(202)$1
$2,194
Foreign exchange contracts413
(438)—
54
(60)33
14
(21)135
130
(139)(6)(73)—
152
(97)113
—
(114)20
(5)(134)
Equity contracts(1,557)129
—
(159)28
184
(216)(333)(103)(2,027)(214)(784)(425)—
(213)274
(111)(147)(8)(182)(1,596)(422)
Commodity contracts(1,945)(384)—
77
35
—
23
(3)336
(1,861)149
(18)(121)—
(15)(15)252
—
(133)(9)(59)(33)
Credit derivatives(1,001)(484)—
(28)18
6
16
(6)680
(799)(169)61
(412)—
(114)204
—
—
14
191
(56)(289)
Total trading derivatives, net(4)
$(4,753)$(1,221)$—
$(84)$631
$377
$(176)$(685)$932
$(4,979)$(296)$(901)$(915)$—
$(319)$538
$408
$(102)$(242)$(182)$(1,715)$1,316
Table continues on the next page, including footnotes.page.

 Net realized/unrealized
gains (losses) included in		Transfers 
Unrealized
gains/
(losses)
still held(3)
 Net realized/unrealized
gains/losses included in		Transfers 
Unrealized
gains/
losses
still held(3)
In millions of dollarsDec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2017Dec. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2019
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$101
$—
$16
$1
$(94)$—
$—
$—
$—
$24
$(2)$32
$—
$—
$—
$—
$—
$—
$—
$—
$32
$(1)
Residential50
—
2
—
(47)—
—
(5)—
—
—
—
—
—
—
—
—
—
—
—
—
—
Commercial—
—
—
3
—
12
—
(12)—
3
—
—
—
—
—
—
—
—
—
—
—
—
Total investment mortgage-backed securities$151
$—
$18
$4
$(141)$12
$—
$(17)$—
$27
$(2)$32
$—
$—
$—
$—
$—
$—
$—
$—
$32
$(1)
U.S. Treasury and federal agency securities$2
$—
$—
$—
$—
$—
$—
$(2)$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal1,211
—
58
70
(517)127
—
(212)—
737
44
708
—
86
14
(318)430
—
(297)—
623
82
Foreign government186
—
—
2
(284)523
—
(335)—
92
1
68
—
2
—
—
145
—
(119)—
96
2
Corporate311
—
9
77
(47)227
—
(506)—
71
—
156
—
(14)3
(94)—
—
(6)—
45
—
Equity securities9
—
(1)—
—
—
—
(6)—
2
—
Marketable equity securities—
—
—
—
—
—
—
—
—
—
—
Asset-backed securities660
—
(89)31
(32)883
—
(626)—
827
12
187
—
(11)122
(612)550
—
(214)—
22
13
Other debt securities—
—
—
—
—
21
—
(21)—
—
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities1,331
—
(170)2
—
19
—
(233)(268)681
44
586
—
(11)39
(1)11
—
(151)(32)441
16
Total investments$3,861
$—
$(175)$186
$(1,021)$1,812
$—
$(1,958)$(268)$2,437
$99
$1,737
$—
$52
$178
$(1,025)$1,136
$—
$(787)$(32)$1,259
$112
Loans$568
$—
$75
$80
$(16)$188
$—
$(337)$(8)$550
$211
$277
$—
$192
$148
$(189)$16
$—
$(40)$(2)$402
$186
Mortgage servicing rights1,564
—
65
—
—
—
96
(1,057)(110)558
74
584
—
(84)—
—
—
70
—
(75)495
(68)
Other financial assets measured on a recurring basis34
—
(128)10
(8)1
318
(14)(197)16
(152)—
—
96
6
(2)2
32
(21)(112)1
18
Liabilities    
Interest-bearing deposits$293
$—
$25
$40
$—
$—
$2
$—
$(24)$286
$22
$495
$—
$(16)$10
$(783)$—
$843
$—
$(366)$215
$(25)
Federal funds purchased and securities loaned or sold under agreements to repurchase849
14
—
—
—
—
36
—
(145)726
10
Securities loaned and sold under agreements to repurchase983
121
—
1
4
—
—
(168)58
757
(26)
Trading account liabilities    
Securities sold, not yet purchased1,177
385
—
22
(796)—
17
277
(290)22
8
586
122
—
68
(443)19
—
(12)(48)48
3
Other trading liabilities1
—
—
4
—
—
—
—
—
5
—
—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings42
32
—
4
(7)—
31
—
(20)18
(3)37
32
—
13
(42)—
168
—
(131)13
(1)
Long-term debt9,744
(1,083)—
1,251
(1,836)44
2,712
—
84
13,082
(1,554)12,570
(2,140)—
3,892
(5,188)23
8,262
(5)(4,525)17,169
(3,300)
Other financial liabilities measured on a recurring basis8
—
—
5
—
—
5
(1)(9)8
(1)—
—
4
5
—
—
4
—
(5)—
—
(1)
Changes in fair value forof available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on in the Consolidated Statement of Income.
(3)
Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 2017.2019.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.







 Net realized/unrealized
gains (losses) included in		Transfers 
Unrealized
gains/
(losses)
still held(3)
 Net realized/unrealized
gains (losses) included in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2016Dec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2018
Assets    
Federal funds sold and securities borrowed or purchased under agreements to resell$1,337
$(20)$—
$—
$(28)$758
$—
$—
$(551)$1,496
$(16)
Securities borrowed and purchased under agreements to resell$16
$17
$—
$50
$—
$95
$—
$16
$(79)$115
$9
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed744
6
—
510
(1,087)941
—
(961)23
176
(7)163
5
—
92
(107)281
—
(278)—
156
186
Residential1,326
104
—
189
(162)324
—
(1,376)(6)399
26
164
112
—
124
(133)154
—
(153)—
268
4
Commercial517
(1)—
193
(234)759
—
(1,028)—
206
(27)57
(7)—
24
(49)110
—
(58)—
77
—
Total trading mortgage-backed securities$2,587
$109
$—
$892
$(1,483)$2,024
$—
$(3,365)$17
$781
$(8)$384
$110
$—
$240
$(289)$545
$—
$(489)$—
$501
$190
U.S. Treasury and federal agency securities$1
$—
$—
$2
$—
$—
$—
$(2)$—
$1
$—
$—
$—
$—
$6
$(4)$1
$—
$—
$(2)$1
$—
State and municipal351
23
—
195
(256)322
—
(339)—
296
(88)274
22
—
—
(96)45
—
(45)—
200
9
Foreign government197
(9)—
21
(49)115
—
(235)—
40
(16)16
(2)—
5
(13)75
—
(50)—
31
(28)
Corporate376
330
—
171
(132)867
—
(1,295)7
324
69
275
(72)—
138
(122)596
(40)(415)—
360
(32)
Equity securities3,684
(527)—
279
(4,057)955
(11)(196)—
127
(457)
Marketable equity securities120
2
—
25
(62)290
—
(222)—
153
(56)
Asset-backed securities2,739
53
—
205
(360)2,199
—
(2,965)(3)1,868
(46)1,590
28
—
77
(90)1,238
—
(1,359)—
1,484
(21)
Other trading assets2,483
(58)—
2,070
(2,708)2,894
19
(1,838)(48)2,814
(101)615
276
—
197
(82)598
8
(777)(17)818
91
Total trading non-derivative assets$12,418
$(79)$—
$3,835
$(9,045)$9,376
$8
$(10,235)$(27)$6,251
$(647)$3,274
$364
$—
$688
$(758)$3,388
$(32)$(3,357)$(19)$3,548
$153
Trading derivatives, net(4)
    
Interest rate contracts$(495)$(146)$—
$301
$(239)$163
$(18)$(142)$(87)$(663)$26
$(422)$414
$—
$(6)$(193)$8
$17
$(32)$60
$(154)$336
Foreign exchange contracts620
(276)—
75
(106)200
—
(181)81
413
23
130
(99)—
(29)77
11
—
(89)(7)(6)(72)
Equity contracts(800)(89)—
63
(772)92
38
(128)39
(1,557)(33)(2,027)479
—
(131)1,114
25
(44)(17)(183)(784)52
Commodity contracts(1,861)(352)—
(425)(39)357
—
(347)722
(1,945)(164)(1,861)(505)—
(32)2,180
62
—
(19)157
(18)(171)
Credit derivatives307
(1,970)—
8
(29)37
—
(34)680
(1,001)(1,854)(799)261
—
(7)391
2
—
1
212
61
87
Total trading derivatives, net(4)
$(2,229)$(2,833)$—
$22
$(1,185)$849
$20
$(832)$1,435
$(4,753)$(2,002)$(4,979)$550
$—
$(205)$3,569
$108
$(27)$(156)$239
$(901)$232
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$139
$—
$(26)$25
$(72)$45
$—
$(9)$(1)$101
$54
$24
$—
$10
$—
$—
$—
$—
$(2)$—
$32
$14
Residential4
—
3
49
—
26
—
(32)—
50
2
—
—
—
—
—
—
—
—
—
—
—
Commercial2
—
(1)6
(7)—
—
—
—
—
—
3
—
2
1
(1)—
—
(5)—
—
—
Total investment mortgage-backed securities$145
$—
$(24)$80
$(79)$71
$—
$(41)$(1)$151
$56
$27
$—
$12
$1
$(1)$—
$—
$(7)$—
$32
$14
U.S. Treasury and federal agency securities$4
$—
$—
$—
$—
$—
$—
$(2)$—
$2
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal2,192
—
39
467
(1,598)351
—
(240)—
1,211
23
737
—
(20)—
(18)211
—
(202)—
708
(29)
Foreign government260
—
10
38
(39)259
—
(339)(3)186
(104)92
—
(3)3
(4)141
—
(161)—
68
4
Corporate603
—
77
11
(240)693
—
(468)(365)311
—
71
—
(1)61
(66)101
—
(10)—
156
—
Equity securities124
—
10
5
(5)1
—
(131)5
9
—
Marketable equity securities2
—
1
—
—
—
—
(2)(1)—
—
Asset-backed securities596
—
(92)7
(61)435
—
(306)81
660
(102)827
—
(21)10
(524)63
—
(168)—
187
—
Other debt securities—
—
—
10
—
6
—
(16)—
—
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities1,135
—
79
336
(32)26
—
(14)(199)1,331
18
681
—
(95)193
—
91
—
(234)(50)586
55
Total investments$5,059
$—
$99
$954
$(2,054)$1,842
$—
$(1,557)$(482)$3,861
$(109)$2,437
$—
$(127)$268
$(613)$607
$—
$(784)$(51)$1,737
$44
Table continues on the next page, including footnotes.page.

 Net realized/unrealized
gains (losses) included in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) included in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2016Dec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2018
Loans$2,166
$—
$(61)$89
$(1,074)$708
$219
$(813)$(666)$568
$26
$550
$—
$(319)$—
$13
$140
$—
$(103)$(4)$277
$236
Mortgage servicing rights1,781
—
(36)—
—
—
152
(20)(313)1,564
(21)558
—
54
—
—
—
58
(18)(68)584
59
Other financial assets measured on a recurring basis180
—
80
55
(47)1
236
(133)(338)34
39
16
—
51
—
(11)4
12
(12)(60)—
63
Liabilities    
Interest-bearing deposits$434
$—
$43
$322
$(309)$—
$5
$—
$(116)$293
$46
$286
$—
$14
$13
$(1)$—
$215
$—
$(4)$495
$(355)
Federal funds purchased and securities loaned or sold under agreements to repurchase1,247
(6)—
—
(150)—
—
27
(281)849
(12)
Securities loaned and sold under agreements to repurchase726
(8)—
1
—
—
243
(31)36
983
24
Trading account liabilities    
Securities sold, not yet purchased199
17
—
1,185
(109)(70)(41)367
(337)1,177
(43)22
(454)—
187
(172)7
226
(39)(99)586
(238)
Other trading liabilities—
—
—
1
—
—
—
—
—
1
—
5
5
—
—
—
—
—
—
—
—
—
Short-term borrowings9
(16)—
19
(37)—
87
—
(52)42
—
18
53
—
72
(46)—
86
—
(40)37
25
Long-term debt7,543
(282)—
3,792
(4,350)—
4,845
(3)(2,365)9,744
(419)13,082
(182)—
2,850
(3,514)36
(18)(45)(3)12,570
(2,871)
Other financial liabilities measured on a recurring basis14
—
(11)2
(12)(8)12
—
(11)8
(13)8
—
(2)1
(10)—
2
—
(3)—
(8)
(1)
Changes in fair value of available-for-sale investmentsdebt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on in the Consolidated Statement of Income.
(3)
Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments)debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 2016.2018.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.

Level 3 Fair Value Rollforward
The following were the significant Level 3 transfers for the period December 31, 20162018 to December 31, 2017:2019:


•
Transfers of Long-Term Debt of $3.9 billion from Level 2 to Level 3, and of $5.2 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.
Transfers of Federal funds sold and securities borrowed or purchased under agreements to resell of $1.2 billion from Level 3 to Level 2 related to the significance of unobservable inputs as well as certain underlying market inputs becoming more observable and shortening of the remaining tenor of certain reverse repos. There is more transparency and observability for repo curves used in the valuation of structured reverse repos with tenors up to five years.
Transfers of Other trading assets of $2.7 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations, changes in the significance of unobservable inputs for certain portfolios of trading loans economically hedging derivatives, and certain underlying market inputs becoming more observable as a result of secondary market transactions for portfolios of residential mortgage loans with similar characteristics.
Transfers of Long-term debt of $1.3 billion from Level 2 to Level 3, and of $1.8 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.


The following were the significant Level 3 transfers for the period December 31, 20152017 to December 31, 2016:2018:


•
Transfers of Equity Contract Derivatives of $1.1 billion from Level 3 to Level 2, related to equity derivatives where the unobservable components were deemed insignificant.
•
Transfers of Commodity Contract Derivatives of $2.2 billion from Level 3 to Level 2, related to commodity derivatives where the unobservable component of the derivatives were deemed insignificant.
•
Transfers of Long-term debt of $2.9 billion from Level 2 to Level 3, and of $3.5 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.


Transfers of U.S. government-sponsored agency guaranteed MBS in Trading account assets of $0.5 billion from Level 2 to Level 3, and of $1.1 billion from Level 3 to Level 2, primarily related to Agency Guaranteed MBS securities for which there were changes in volume of market quotations.

Transfer of Equity securities of $4.0 billion from Level 3 to Level 2, included $3.2 billion of non-marketable equity securities and $0.5 billion of related partial economic hedging derivatives for which the portfolio valuation measurement exception under ASC 820-35-18D has been applied. After application of the portfolio exception, the Company considers these items to be one valuation unit and measures the fair value of the net open risk position primarily based on recent market transactions where these instruments are traded concurrently.  Because the derivatives offset the significant unobservable exposure
within the non-marketable equity securities, there were no remaining unobservable inputs deemed to be significant.
Transfers of Other trading assets of $2.1 billion from Level 2 to Level 3, and of $2.7 billion from Level 3 to Level 2, primarily related to trading loans for which there were changes in volume of market quotations.
Transfers of State and Municipal securities in AFS Investments of $0.5 billion from Level 2 to Level 3, and of $1.6 billion from Level 3 to Level 2, primarily reflecting changes in the volume of market quotations.
Transfers of Loans of $1.1 billion from Level 3 to Level 2 reflecting changes in the volume of market quotations.
Transfers of Securities Sold Not Yet Purchased of $1.2 billion from Level 2 to Level 3 related to the significance


of unobservable inputs as well as certain underlying market inputs becoming less observable.
Transfers of Long-term debt of $3.8 billion from Level 2 to Level 3, and of $4.4 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.




Valuation Techniques and Inputs for Level 3 Fair
Value Measurements
The Company’s Level 3 inventory consists of both cash
instruments and derivatives of varying complexity. The
valuation methodologies used to measure the fair value of
these positions include discounted cash flow analysis, internal
models and comparative analysis. A position is classified
within Level 3 of the fair value hierarchy when at least one
input is unobservable and is considered significant to its
valuation. The specific reason an input is deemed
unobservable varies; for example, at least one significant
input to the pricing model is not observable in the market, at
 
least one significant input has been adjusted to make it more
representative of the position being valued or the price quote
available does not reflect sufficient trading activities.
The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.

Valuation Techniques and Inputs for Level 3 Fair Value Measurements
As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of December 31, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets        
Federal funds sold and securities borrowed or purchased under agreements to resell$16
Model-basedInterest rate1.43 %2.16%2.09%
Securities borrowed and purchased under agreements to resell$303
Model-basedCredit spread15 bps
15 bps
15 bps
  





  Interest rate1.59 %3.67%2.72%
Mortgage-backed securities$214
Price-basedPrice$2.96
$101.00
$56.52
$196
Price-basedPrice$36
$505
$97
184
Yield analysisYield2.52 %14.06%5.97
22
Model-based 





State and municipal, foreign government, corporate and other debt securities$949
Model-basedPrice$—
$184.04
$91.74
$880
Model-basedPrice$—
$1,238
$90
914
Price-basedCredit spread35 bps
500 bps
249 bps
677
Price-basedCredit spread35 bps
295 bps
209 bps
Marketable equity securities(5)
$70
Price-basedPrice$—
$38,500
$2,979
  Yield2.36 %14.25%6.03%30
Model-basedWAL1.48 years
1.48 years
1.48 years
Equity securities(5)
$65
Price-basedPrice$—
$25,450.00
$2,526.62
55
Model-basedWAL2.50 years
2.50 years
2.50 years
  
Recovery
(in millions)
$5,450
$5,450
$5,450
Asset-backed securities$2,287
Price-basedPrice$4.25
$100.60
$74.57
$812
Price-basedPrice$4
$103
$60
Non-marketable equity$423
Comparables analysisEBITDA multiples6.90x12.80x8.66x
$368
Yield analysisYield0.61 %23.38%8.88%
Non-marketable equities$316
Comparables analysisEBITDA multiples7.00x
17.95x
10.34x
\97
Price-based
Appraised value
(in thousands)
$397
$33,246
$8,446
  Price$3
$2,019
$1,020
  PE ratio14.70x
28.70x
20.54x
223
Price-basedDiscount to price— %100.00%11.83%  Price to book ratio1.50x
3.00x
1.88x
  Price-to-book ratio0.05x1.00x0.32x  Discount to price— %10.00%2.32%
Derivatives—gross(6)
      
Interest rate contracts (gross)$3,818
Model-basedIR normal volatility9.40 %77.40%58.86%$2,196
Model-basedInflation volatility0.21 %2.74%0.79%
  Mean reversion1.00 %20.00%10.50%
  Mean reversion1.00 %20.00%10.50%  IR normal volatility0.09 %0.66%0.53%
Foreign exchange contracts (gross)$940
Model-basedForeign exchange (FX) volatility4.58 %15.02%8.16%$1,099
Model-basedFX volatility1.27 %12.16%9.17%


 Interest rate(0.55)%0.28%0.04%

 IR normal volatility0.27 %0.66%0.58%
  IR-IR correlation(51.00)%40.00%36.56%  FX rate37.39 %586.84%80.64%
  IR-FX correlation(7.34)%60.00%49.04%  Interest rate2.72 %56.14%13.11%
  Credit spread11 bps
717 bps
173 bps
  IR-IR correlation(51.00)%40.00%32.00%
  IR-FX correlation40.00 %60.00%50.00%
Equity contracts (gross)(7)
$2,897
Model-basedEquity volatility3.00 %68.93%24.66%$2,076
Model-basedEquity volatility3.16 %52.80%28.43%
  Forward price69.74 %154.19%92.80%
Commodity contracts (gross)$2,937
Model-basedForward price3.66 %290.59%114.16%
  Commodity volatility8.60 %66.73%25.04%
  Commodity correlation(37.64)%91.71%15.21%
Credit derivatives (gross)$1,797
Model-basedCredit correlation25.00 %90.00%44.64%
823
Price-basedUpfront points6.03 %97.26%62.88%  Forward price62.60 %112.69%98.46%
  Credit spread3 bps
1,636 bps
173 bps
  WAL1.48 years
1.48 years
1.48 years
  Price$1.00
$100.24
$57.63
  
Recovery
(in millions)
$5,450
$5,450
$5,450

As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$24
Model-basedRecovery rate25.00 %40.00%31.56%
As of December 31, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Commodity and other contracts (gross)$1,487
Model-basedForward price37.62 %362.57%119.32%
  
Commodity
volatility
5.25 %93.63%23.55%
  
Commodity
correlation
(39.65)%87.81%41.80%
Credit derivatives (gross)$613
Model-basedCredit spread8 bps
283 bps
80 bps
341
Price-basedUpfront points2.59 %99.94%59.41%
  Redemption rate10.72 %99.50%74.24%  Price$12
$100
$87
  Credit spread38 bps
275 bps
127 bps
  Credit
correlation		25.00 %87.00%48.57%
  Upfront points61.00 %61.00%61.00%  Recovery rate20.00 %65.00%48.00%
Loans and leases$391
Model-basedEquity volatility3.00 %68.93%22.52%$378
Model-basedCredit spread9 bps
52 bps
48 bps
148
Price-basedCredit spread134 bps
500 bps
173 bps
  Yield3.09 %4.40%3.13%
 Equity volatility32.00 %32.00%32.00%
Mortgage servicing rights$471
Cash flowYield8.00 %16.38%11.47%$418
Cash flowYield1.78 %12.00%9.49%
87
Model-basedWAL3.83 years
6.89 years
5.93 years
77
Model-basedWAL4.07 years
8.13 years
6.61 years
Liabilities      
Interest-bearing deposits$286
Model-basedMean reversion1.00 %20.00%10.50%$215
Model-basedMean reversion1.00 %20.00%10.50%
  Forward price99.56 %99.95%99.72%  Forward price97.59 %111.06%102.96%
Federal funds purchased and securities loaned or sold under agreements to repurchase$726
Model-basedInterest rate1.43 %2.16%2.09%
Securities loaned and sold under agreements to repurchase$757
Model-basedInterest rate1.59 %2.38%1.95%
Trading account liabilities      
Securities sold, not yet purchased$21
Price-basedPrice$1.00
$287.64
$88.19
$46
Price-basedPrice$—
$866
$96
Short-term borrowings and long-term debt$13,100
Model-basedForward price69.74 %161.11%100.70%$17,182
Model-basedMean reversion1.00 %20.00%10.50%
  IR normal volatility0.09 %0.66%0.46%
  Forward price37.62 %362.57%97.52%
  
Equity-IR
Correlation
15.00 %44.00%32.66%
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$1,496
Model-basedIR log-normal volatility12.86 %75.50 %61.73 %
  Interest rate(0.51)%5.76 %2.80 %
Securities borrowed and purchased under agreements to resell$115
Model-basedInterest rate2.52 %7.43%5.08 %
Mortgage-backed securities$509
Price-basedPrice$5.50
$113.48
$61.74
$313
Price-basedPrice$11
$110
$90
368
Yield analysisYield1.90 %14.54 %4.34 %198
Yield analysisYield2.27 %8.70%3.74 %
State and municipal, foreign government, corporate and other debt securities$3,308
Price-basedPrice$15.00
$103.60
$89.93
$1,212
Price-basedPrice$—
$104
$91
1,513
Cash flowCredit spread35 bps
600 bps
230 bps
938
Model-basedCredit spread35 bps
446 bps
238 bps
Equity securities(5)
$69
Model-basedPrice$0.48
$104.00
$22.19
Marketable equity securities(5)$108
Price-basedPrice$—
$20,255
$1,248
58
Price-based 





45
Model-basedWAL1.47 years
1.47 years
1.47 years
Asset-backed securities$2,454
Price-basedPrice$4.00
$100.00
$71.51
$1,608
Price-basedPrice$3
$101
$66
Non-marketable equity$726
Price-basedDiscount to price— %90.00 %13.36 %
Non-marketable equities$293
Comparables analysisDiscount to price— %100.00%0.66 %
565
Comparables analysisEBITDA multiples6.80x10.10x8.62x255
Price-basedEBITDA multiples5.00x
34.00x
9.73x
  Price-to-book ratio0.32x1.03x0.87x

 Net operating income multiple24.70x
24.70x
24.70x
  Price$—
$113.23
$54.40
  Price$2
$1,074
$420
Derivatives—gross(6)
   
Interest rate contracts (gross)$4,897
Model-basedIR log-normal volatility1.00 %93.97 %62.72 %
  Mean reversion1.00 %20.00 %10.50 %  Revenue multiple2.25x
16.50x
7.06x
Derivatives—gross(6)   

As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Interest rate contracts (gross)$3,467
Model-basedMean reversion1.00 %20.00%10.50 %
  Inflation volatility0.22 %2.65%0.77 %
  IR normal volatility0.16 %0.86%0.56 %
Foreign exchange contracts (gross)$1,110
Model-basedForeign exchange (FX) volatility1.39 %26.85 %15.18 %$626
Model-basedForeign exchange (FX) volatility3.15 %17.35%11.37 %
134
Cash flowInterest rate(0.85)%(0.49)%(0.84)%73
Cash flowIR-IR correlation(51.00)%40.00%32.69 %
  Credit spread4 bps
657 bps
266 bps
  IR-FX correlation40.00 %60.00%50.00 %
  IR-IR correlation40.00 %50.00 %41.27 %  Credit spread39 bps
676 bps
423 bps
  IR-FX correlation16.41 %60.00 %49.52 %  IR basis(0.65)%0.11%(0.17)%
Equity contracts (gross)(7)
$2,701
Model-basedEquity volatility3.00 %97.78 %29.52 %
  Yield6.98 %7.48%7.23 %
Equity contracts (gross)(7)$1,467
Model-basedEquity volatility3.00 %78.39%37.53 %


 Forward price69.05 %144.61 %94.28 %

 Forward price64.66 %144.45%98.55 %
  Equity-FX correlation(60.70)%28.20 %(26.28)%  Equity-Equity correlation(81.39)%100.00%35.49 %
  Equity-IR correlation(35.00)%41.00 %(15.65)%

 Equity-FX correlation(86.27)%70.00%(1.20)%
  Yield volatility3.55 %14.77 %9.29 %  WAL1.47 years
1.47 years
1.47 years


 Equity-equity correlation(87.70)%96.50 %67.45 %
Commodity contracts (gross)$2,955
Model-basedForward price35.74 %235.35 %119.99 %
Commodity and other contracts (gross)$1,552
Model-basedForward price15.30 %585.07%145.08 %
  Commodity volatility2.00 %32.19 %17.07 %

 Commodity volatility8.92 %59.86%20.34 %


 Commodity correlation(41.61)%90.42 %52.85 %
 Commodity correlation(51.90)%92.11%40.71 %
Credit derivatives (gross)$2,786
Model-basedRecovery rate20.00 %75.00 %39.75 %$1,089
Model-basedCredit correlation5.00 %85.00%41.06 %
1,403
Price-basedCredit correlation5.00 %90.00 %34.27 %701
Price-basedUpfront points7.41 %99.04%58.95 %
  Upfront points6.00 %99.90 %72.89 %

 Credit spread2 bps
1,127 bps
87 bps
  Price$1.00
$167.00
$77.35
  Recovery rate5.00 %65.00%46.40 %


 Credit spread3 bps
1,515 bps
256 bps
  Price$17
$98
$81
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$42
Model-basedRecovery rate40.00 %40.00 %40.00 %
  Redemption rate3.92 %99.58 %74.69 %
  Upfront points16.00 %20.50 %18.78 %
   
Loans$258
Price-basedPrice$31.55
$105.74
$56.46
Loans and leases$248
Model-basedCredit spread138 bps
255 bps
147 bps
221
Yield analysisYield2.75 %20.00 %11.09 %29
Price-basedYield0.30 %0.47%0.32 %
79
Model-based 






 Price$56
$110
$92
Mortgage servicing rights$1,473
Cash flowYield4.20 %20.56 %9.32 %$501
Cash flowYield4.60 %12.00%7.79 %


 WAL3.53 years
7.24 years
5.83 years
84
Model-basedWAL3.55 years
7.45 years
6.39 years
Liabilities  





  





Interest-bearing deposits$293
Model-basedMean reversion1.00 %20.00 %10.50 %$495
Model-basedMean reversion1.00 %20.00%10.50 %


 Forward price98.79 %104.07 %100.19 %

 Forward price64.66 %144.45%98.55 %
Federal funds purchased and securities loaned or sold under agreements to repurchase$849
Model-basedInterest rate0.62 %2.19 %1.99 %


 Equity volatility3.00 %78.39%43.49 %
Securities loaned and sold under agreements to repurchase$983
Model-basedInterest rate2.52 %3.21%2.87 %
Trading account liabilities  







 





Securities sold, not yet purchased$1,056
Model-basedIR Normal volatility12.86 %75.50 %61.73 %$509
Model-basedForward price15.30 %585.07%105.69 %
77
Price-basedEquity volatility3.00 %78.39%43.49 %
  Equity-Equity correlation(81.39)%100.00%34.04 %
  Equity-FX correlation(86.27)%70.00%(1.20)%
  Commodity volatility8.92 %59.86%20.34 %
  Commodity correlation(51.90)%92.11%40.71 %
  Equity-IR correlation(40.00)%70.37%30.80 %
Short-term borrowings and long-term debt$9,774
Model-basedMean reversion1.00 %20.00 %10.50 %$12,289
Model-basedMean reversion1.00 %20.00%10.50 %

 Commodity correlation(41.61)%90.42 %52.85 %  Forward price64.66 %144.45%98.58 %
  Commodity volatility2.00 %32.19 %17.07 %  Equity volatility3.00 %78.39%43.24 %

 Forward price69.05 %235.35 %103.28 %
(1)The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.

(2)Some inputs are shown as zero due to rounding.
(3)When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
(4)Weighted averages are calculated based on the fair values of the instruments.
(5)For equity securities, the price and fund NAV inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)Includes hybrid products.


SensitivityUncertainty of Fair Value Measurements Relating to Unobservable Inputs
Valuation uncertainty arises when there is insufficient or disperse market data to allow a precise determination of the exit value of a fair-valued position or portfolio in today’s market. This is especially prevalent in Level 3 fair value instruments, where uncertainty exists in valuation inputs that may be both unobservable and Interrelationships between Unobservable Inputs
significant to the instrument’s (or portfolio’s) overall fair value measurement. The impact ofuncertainties associated with key unobservable inputs on the Level 3 fair value measurements may not be independent of one another. In addition, the amount and direction of the impactuncertainty on a fair value measurement for a given change in an unobservable input depends on the nature of the instrument as well as whether the Company holds the instrument as an asset or a liability. For certain instruments, the pricing, hedging and risk management are sensitive to the correlation between various inputs rather than on the analysis and aggregation of the individual inputs.
The following section describes the sensitivities and interrelationshipssome of the most significant unobservable inputs used by the Company in Level 3 fair value measurements.


Correlation
Correlation is a measure of the extent to which two or more variables change in relation to each other. A variety of correlation-related assumptions are required for a wide range of instruments, including equity and credit baskets, foreign-exchangeforeign exchange options, CDOs backed by loans or bonds, mortgages, subprime mortgages and many other instruments. For almost all of these instruments, correlations are not directly observable in the market and must be calculated using alternative sources, including historical information. Estimating correlation can be especially difficult where it may vary over time. Calculatingtime, and calculating correlation information from market data requires significant assumptions regarding the informational efficiency of the market (for example,(e.g., swaption markets). Uncertainty therefore exists when an estimate of the appropriate level of correlation as an input into some fair value measurements is required.
Changes in correlation levels can have a majorsubstantial impact, favorable or unfavorable, on the value of an instrument, depending on its nature. A change in the default correlation of the fair value of the underlying bonds comprising a CDO structure would affect the fair value of the senior tranche. For example, an increase in the default correlation of the underlying bonds would reduce the fair value of the senior tranche, because highly correlated instruments produce largergreater losses in the event of default and a partportion of these losses would become attributable to the senior tranche. That same change in default correlation would
have a different impact on junior tranches of the same structure.


Volatility
Volatility represents the speed and severity of market price changes and is a key factor in pricing options. Typically, instruments can become more expensive if volatility increases. For example, as an index becomes more volatile, the cost to Citi of maintaining a given level of exposure increases because more frequent rebalancing of the portfolio is required. Volatility generally depends on the tenor of the underlying instrument and the strike price or level defined in the contract. Volatilities for certain combinations of tenor and strike are not observable. observable and need to be estimated using alternative methods, such as using comparable instruments, historical analysis or other sources of market information. This leads to uncertainty around the final fair value measurement of instruments with unobservable volatilities.
The general relationship between changes in the value of a portfolio to changes in volatility also depends on changes in interest rates and the level of the underlying index. Generally, long option positions (assets) benefit from increases in volatility, whereas short option positions (liabilities) will suffer losses. Some instruments are more sensitive to changes in volatility than others. For example, an
at-the-money option would experience a largergreater percentage change in its fair value than a deep-in-the-money option. In addition, the fair value of an option with more than one underlying security (for example,(e.g., an option on a basket of bonds) depends on the volatility of the individual underlying securities as well as their correlations.


Yield
In some circumstances, the yield of an instrument is not observable in the market and must be estimated from historical data or from yields of similar securities. This estimated yield may need to be adjusted to capture the characteristics of the security being valued. In other situations, the estimated yield may not represent sufficient market liquidity and must be adjusted as well. Whenever the amount of the adjustment is significant to the value of the security, the fair value measurement is classified as Level 3.
Adjusted yield is generally used to discount the projected future principal and interest cash flows on instruments, such as asset-backed securities. Adjusted yield is impacted by changes in the interest rate environment and relevant credit spreads.


Prepayment
Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. The effect of prepayments is more pronounced for residential mortgage-backed securities. An increase in prepayments—in speed or magnitude—generally creates losses for the holder of these securities. Prepayment is generally negatively correlated with delinquency and interest rate. A combination of low prepayment and high delinquencies amplifies each input’s negative impact on mortgage securities’ valuation. As prepayment speeds change, the weighted

average life of the security changes, which impacts the valuation either positively or negatively, depending upon the nature of the security and the direction of the change in the weighted average life.


Recovery
Recovery is the proportion of the total outstanding balance of a bond or loan that is expected to be collected in a liquidation scenario. For many credit securities (such as asset-backed securities), there is no directly observable market input for recovery, but indications of recovery levels are available from pricing services. The assumed recovery of a security may differ from its actual recovery that will be observable in the future. The recovery rate impacts the valuation of credit securities. Generally, an increase in the recovery rate assumption increases the fair value of the security. An increase in loss severity, the inverse of the recovery rate, reduces the amount of principal available for distribution and, as a result, decreases the fair value of the security.



Credit Spread
Credit spread is a component of the security representing its credit quality. Credit spread reflects the market perception of changes in prepayment, delinquency and recovery rates,

therefore capturing the impact of other variables on the fair value. Changes in credit spread affect the fair value of
securities differently depending on the characteristics and maturity profile of the security. For example, credit spread is a more significant driver of the fair value measurement of a high yield bond as compared to an investment grade bond. Generally, the credit spread for an investment grade bond is also more observable and less volatile than its high yield counterpart.

Qualitative Discussion of the Ranges of Significant Unobservable Inputs
The following section describes the ranges of the most significant unobservable inputs used by the Company in Level 3 fair value measurements. The level of aggregation and the diversity of instruments held by the Company lead to a wide range of unobservable inputs that may not be evenly distributed across the Level 3 inventory.

Correlation
There are many different types of correlation inputs, including credit correlation, cross-asset correlation (such as equity-interest rate correlation) and same-asset correlation (such as interest rate-interest rate correlation). Correlation inputs are generally used to value hybrid and exotic instruments. Generally, same-asset correlation inputs have a narrower range than cross-asset correlation inputs. However, due to the complex and unique nature of these instruments, the ranges for correlation inputs can vary widely across portfolios.

Volatility
Similar to correlation, asset-specific volatility inputs vary widely by asset type. For example, ranges for foreign exchange volatility are generally lower and narrower than equity volatility. Equity volatilities are wider due to the nature of the equities market and the terms of certain exotic instruments. For most instruments, the interest rate volatility input is on the lower end of the range; however, for certain structured or exotic instruments (such as market-linked deposits or exotic interest rate derivatives), the range is much wider.

Yield
Ranges for the yield inputs vary significantly depending upon the type of security. For example, securities that typically have lower yields, such as municipal bonds, will fall in the lower end of the range, while more illiquid securities or securities with lower credit quality, such as certain residual tranche asset-backed securities, will have much higher yield inputs.

Credit Spread
Credit spread is relevant primarily for fixed income and credit instruments; however, the ranges for the credit spread input can vary across instruments. For example, certain fixed income instruments, such as certificates of deposit, typically have lower credit spreads, whereas certain derivative instruments with high-risk counterparties are typically subject to higher credit spreads when they are uncollateralized or have a longer tenor. Other instruments, such as credit default swaps,

also have credit spreads that vary with the attributes of the underlying obligor. Stronger companies have tighter credit spreads, and weaker companies have wider credit spreads.

Price
The price input is a significant unobservable input for certain fixed income instruments. For these instruments, the price input is expressed as a percentage of the notional amount, with a price of $100 meaning that the instrument is valued at par. For most of these instruments, the price varies between zero to $100, or slightly above $100. Relatively illiquid assets that have experienced significant losses since issuance, such as certain asset-backed securities, are at the lower end of the range, whereas most investment grade corporate bonds will fall in the middle to the higher end of the range. For certain structured debt instruments with embedded derivatives, the price input may be above $100 to reflect the embedded features of the instrument (for example, a step-up coupon or a conversion option).
The price input is also a significant unobservable input for certain equity securities; however, the range of price inputs varies depending on the nature of the position, the number of shares outstanding and other factors.

Mean Reversion
A number of financial instruments require an estimate of the rate at which the interest rate reverts to its long-term average. Changes in this estimate can significantly affect the fair value of these instruments. However, sometimes there is insufficient external market data to calibrate this parameter, especially when pricing more complex instruments. The level of mean reversion affects the correlation between short- and long-term interest rates. The fair values of more complex instruments, such as Bermudan swaptions (options with multiple exercise dates) and constant maturity spread options or structured debts with these embedded features, are more sensitive to the changes in this correlation as compared to less complex instruments, such as caps and floors.


Items Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis and, therefore, are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for the identical or similar investment of the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market.market value.
The following table presentstables present the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:
In millions of dollarsFair valueLevel 2Level 3
December 31, 2019   
Loans HFS(1)
$4,579
$3,249
$1,330
Other real estate owned20
6
14
Loans(2)
344
93
251
Non-marketable equity securities measured using the measurement alternative249
249
—
Total assets at fair value on a nonrecurring basis$5,192
$3,597
$1,595
In millions of dollarsFair valueLevel 2Level 3
December 31, 2017   
Loans held-for-sale(1)
$5,675
$2,066
$3,609
Other real estate owned54
10
44
Loans(2)
630
216
414
Total assets at fair value on a nonrecurring basis$6,359
$2,292
$4,067

In millions of dollarsFair valueLevel 2Level 3
December 31, 2018   
Loans HFS(1)
$5,055
$3,261
$1,794
Other real estate owned78
62
16
Loans(2)
390
139
251
Non-marketable equity securities measured using the measurement alternative261
192
69
Total assets at fair value on a nonrecurring basis$5,784
$3,654
$2,130
In millions of dollarsFair valueLevel 2Level 3
December 31, 2016   
Loans held-for-sale(1)
$5,802
$3,389
$2,413
Other real estate owned75
15
60
Loans(2)
1,376
586
790
Total assets at fair value on a nonrecurring basis$7,253
$3,990
$3,263

(1)
Net of fair value amounts on the unfunded portion of loans held-for-sale,HFS recognized within as Other liabilities on the Consolidated Balance Sheet.
(2)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate secured loans.estate.


The fair value of loans held-for-saleHFS is determined where possible using quoted secondary-market prices. If no such quoted price exists, the fair value of a loan is determined using quoted prices for a similar asset or assets, adjusted for the specific attributes of that loan. Fair value for the other real estate owned is based on appraisals. For loans whose carrying amount is based on the fair value of the underlying collateral, the fair values depend on the type of collateral. Fair value of the collateral is typically estimated based on quoted market prices if available, appraisals or other internal valuation techniques.
Where the fair value of the related collateral is based on an unadjusted appraised value, the loan is generally classified as Level 2. Where significant adjustments are made to the appraised value, the loan is classified as Level 3. Additionally,In addition, for corporate loans, appraisals of the collateral are often based on sales of similar assets; however, because the prices of similar assets require significant adjustments to reflect the unique features of the underlying collateral, these fair value measurements are generally classified as Level 3.
The fair value of non-marketable equity securities under the measurement alternative is based on observed transaction prices for the identical or similar investment of the same issuer, or an internal valuation technique in the case of an impairment. Where significant adjustments are made to the observed transaction price or when an internal valuation technique is used, the security is classified as Level 3. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.


Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:
As of December 31, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFS$1,320
Price-basedPrice$86
$100
$99
Other real estate owned$11
Price-based
Appraised value(4)
$2,297,358
$8,394,102
$5,615,884
 $5
Recovery analysis    
Loans(6)
$100
Recovery analysisRecovery rate0.57%100.00%64.78%
 54
Cash flowPrice$2
$54
$27
 47
Price-basedCost of capital0.10%100.00%54.84%
 29
Price-based
Appraised value(4)
$17,521,218
$43,646,426
$30,583,822
As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$3,186
Price-basedPrice$77.93
$100.00
$99.26
Other real estate owned$42
Price-based
Appraised value(4)
$20,278
$8,091,760
$4,016,665
   Discount to price34.00%34.00%34.00%
   Price$30.00
$50.36
$49.09
Loans (5)
$133
Price-basedPrice$2.80
$100.00
$62.46
 129
Cash flowRecovery rate50.00%100.00%63.59%
 127
Recovery analysisAppraised value$—
$45,500,000
$38,785,667

As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFS$1,729
Price-basedPrice$81
$100
$98
Other real estate owned$15
Price-based
Appraised value(4)
$8,394,102
$8,394,102
$8,394,102
 2
Recovery analysisDiscount to price13.00%13.00%13.00%
   Price$56
$83
$58
Loans(6)
$251
Recovery analysisRecovery rate30.60%100.00%50.51%
 

 Price$3
$85
$28
Non-marketable equity securities measured using the measurement alternative$66
Price-basedPrice$46
$1,514
$570

As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$2,413
Price-basedPrice$—
$100.00
$93.08
Other real estate owned$59
Price-based
Discount to price(6)
0.34%13.00%3.10%
 

 Price$64.65
$74.39
$66.21
Loans(4)
$431
Cash flowPrice$3.25
$105
$59.61
 197
Recovery analysisForward price$2.90
$210.00
$156.78
 135
Price-based
Discount to price(6)
0.25%13.00%8.34%
   
Appraised value(4)
$25.80
$26,400,000
$6,462,735


(1)The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Some inputs are shown as zero due to rounding.
(3)Weighted averages are calculated based on the fair values of the instruments.
(4)Appraised values are disclosed in whole dollars.
(5)Includes estimated costs to sell.
(6)Represents impaired loans held for investment whose carrying amounts are based on the fair value of the underlying collateral, primarily real estate secured loans.



Nonrecurring Fair Value Changes
The following table presentstables present total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:
 Year ended December 31,
In millions of dollars2019
Loans HFS$—
Other real estate owned(1)
Loans(1)
(56)
Non-marketable equity securities measured using the measurement alternative99
Total nonrecurring fair value gains (losses)$42
 Year ended December 31,
In millions of dollars2017
Loans held-for-sale$(26)
Other real estate owned(4)
Loans(1)
(87)
Total nonrecurring fair value gains (losses)$(117)



Year ended December 31,Year ended December 31,
In millions of dollars20162018
Loans held-for-sale$(2)
Loans HFS$(13)
Other real estate owned(5)(2)
Loans(1)
(105)(22)
Non-marketable equity securities measured using the measurement alternative194
Total nonrecurring fair value gains (losses)$(112)$157
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate loans.estate.


Estimated Fair Value of Financial Instruments notNot Carried at Fair Value
The following table presentstables present the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The tabletables below therefore excludesexclude items measured at fair value on a recurring basis presented in the tables above.
The disclosure also excludes leases, affiliate investments, pension and benefit obligations, certain insurance contracts and tax-related items. Also, as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value associated with deposits with no fixed maturity and other expenses that would be incurred in a market transaction. In addition, the table excludestables exclude the values of non-financial assets and liabilities, as well as a wide range of franchise, relationship and intangible values, which are integral to a full assessment of Citigroup’s financial position and the value of its net assets.
The fair value represents management’s best estimates based on a range of methodologies and assumptions. The
carrying value of short-term financial instruments not accounted for at fair value, as well as receivables and payables arising in the ordinary course of business, approximates fair value because of the relatively short period of time between their origination and expected realization. Quoted market prices are used when available for investments and for liabilities, such as long-term debt not carried at fair value. For loans not accounted for at fair value, cash flows are discounted at quoted secondary market rates or estimated market rates if available. Otherwise, sales of comparable loan portfolios or current market origination rates for loans with similar terms and risk characteristics are used. Expected credit losses are either embedded in the estimated future cash flows or incorporated as an adjustment to the discount rate used. The value of collateral is also considered. For liabilities such as long-term debt not accounted for at fair value and without quoted market prices, market borrowing rates of interest are used to discount contractual cash flows.
 December 31, 2017Estimated fair value
 
Carrying
value
Estimated
fair value
   
In billions of dollarsLevel 1Level 2Level 3
Assets     
Investments$60.2
$60.6
$0.5
$57.5
$2.6
Federal funds sold and securities borrowed or purchased under agreements to resell99.5
99.5
—
94.4
5.1
Loans(1)(2)
648.6
644.9
—
6.0
638.9
Other financial assets(2)(3)
242.6
243.0
166.4
14.1
62.5
Liabilities     
Deposits$958.4
$955.6
$—
$816.1
$139.5
Federal funds purchased and securities loaned or sold under agreements to repurchase115.6
115.6
—
115.6
—
Long-term debt(4)
205.3
214.0
—
187.2
26.8
Other financial liabilities(5)
129.9
129.9
—
15.5
114.4

 December 31, 2016Estimated fair value
 
Carrying
value
Estimated
fair value
   
In billions of dollarsLevel 1Level 2Level 3
Assets     
Investments$52.1
$52.0
$0.8
$48.6
$2.6
Federal funds sold and securities borrowed or purchased under agreements to resell103.6
103.6
—
98.5
5.1
Loans(1)(2)
607.0
607.3
—
7.0
600.3
Other financial assets(2)(3)
215.2
215.9
145.6
16.2
54.1
Liabilities     
Deposits$928.2
$927.6
$—
$789.7
$137.9
Federal funds purchased and securities loaned or sold under agreements to repurchase108.2
108.2
—
107.8
0.4
Long-term debt(4)
179.9
185.5
—
156.5
29.0
Other financial liabilities(5)
115.3
115.3
—
16.2
99.1
(1)
The carrying value of loans is net of the Allowance for loan losses of $12.4 billion for December 31, 2017 and $12.1 billion for December 31, 2016. In addition, the carrying values exclude $1.7 billion and $1.9 billion of lease finance receivables at December 31, 2017 and December 31, 2016, respectively.

(2)Includes items measured at fair value on a nonrecurring basis.
(3)
Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(4)The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)
Includes brokerage payables, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

Fair values vary from period to period based on changes in a wide range of factors, including interest rates, credit quality and market perceptions of value, and as existing assets and liabilities run off and new transactions are entered into. The estimated fair values of loans reflect changes in credit status since the loans were made, changes in interest rates in the case of fixed-rate loans and premium values at origination of certain loans.
 December 31, 2019Estimated fair value
 
Carrying
value
Estimated
fair value
   
In billions of dollarsLevel 1Level 2Level 3
Assets     
Investments$86.4
$87.8
$1.9
$83.8
$2.1
Securities borrowed and purchased under agreements to resell98.1
98.1
—
98.1
—
Loans(1)(2)
681.2
677.7
—
4.7
673.0
Other financial assets(2)(3)
262.4
262.4
177.6
16.3
68.5
Liabilities     
Deposits$1,068.3
$1,066.7
$—
$875.5
$191.2
Securities loaned and sold under agreements to repurchase125.7
125.7
—
125.7
—
Long-term debt(4)
193.0
203.8
—
187.3
16.5
Other financial liabilities(5)
110.2
110.2
—
37.5
72.7

 December 31, 2018Estimated fair value
 
Carrying
value
Estimated
fair value
   
In billions of dollarsLevel 1Level 2Level 3
Assets     
Investments$68.9
$68.5
$1.0
$65.4
$2.1
Securities borrowed and purchased under agreements to resell123.0
123.0
—
121.6
1.4
Loans(1)(2)
667.1
666.9
—
5.6
661.3
Other financial assets(2)(3)
249.7
250.1
172.3
15.8
62.0
Liabilities     
Deposits$1,011.7
$1,009.5
$—
$847.1
$162.4
Securities loaned and sold under agreements to repurchase133.3
133.3
—
133.3
—
Long-term debt(4)
193.8
193.7
—
178.4
15.3
Other financial liabilities(5)
103.8
103.8
—
17.2
86.6
(1)
The carrying value of loans is net of the Allowance for loan losses of $12.8 billion for December 31, 2019 and $12.3 billion for December 31, 2018. In addition, the carrying values exclude $1.4 billion and $1.6 billion of lease finance receivables at December 31, 2019 and 2018, respectively.
(2)Includes items measured at fair value on a nonrecurring basis.

(3)
Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(4)The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)
Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

The estimated fair values of the Company’s corporate unfunded lending commitments at December 31, 20172019 and December 31, 20162018 were liabilities of $3.2$5.1 billion and $5.2$7.8 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancelable by providing notice to the borrower.




25.   FAIR VALUE ELECTIONS
The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election may not otherwise be revoked once an election is made. The changes in
 
changes in fair value are recorded in current earnings, other than DVA, which from January 1, 2016 is reported in AOCI.AOCI. Additional discussion regarding the applicable areas in which fair value elections were made is presented in Note 24 to the Consolidated Financial Statements.
The Company has elected fair value accounting for its mortgage servicing rights.rights (MSRs). See Note 21 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting of MSRs.


The following table presents the changes in fair value of those items for which the fair value option has been elected:
 
Changes in fair value for the years ended
December 31,
 
In millions of dollars20192018
Assets  
Securities borrowed and purchased under agreements to resell$6
$(6)
Trading account assets77
(337)
Investments—
—
Loans  
Certain corporate loans 
(222)(116)
Certain consumer loans—
—
Total loans$(222)$(116)
Other assets
 
MSRs$(84)$54
Certain mortgage loans HFS(1)
91
38
Total other assets$7
$92
Total assets$(132)$(367)
Liabilities  
Interest-bearing deposits$(205)$20
Securities loaned and sold under agreements to repurchase

386
(118)
Trading account liabilities27
(13)
Short-term borrowings(78)150
Long-term debt(2)
(5,174)3,048
Total liabilities$(5,044)$3,087
 
Changes in fair value gains (losses) for
the years ended December 31,
 
In millions of dollars20172016
Assets  
Federal funds sold and securities borrowed or purchased under agreements to resell
     selected portfolios of securities purchased under agreements
     to resell and securities borrowed
$(133)$(89)
Trading account assets1,622
404
Investments(3)(25)
Loans

Certain corporate loans 
(537)40
Certain consumer loans3
—
Total loans$(534)$40
Other assets

MSRs$65
$(36)
Certain mortgage loans held for sale(1)
142
284
  Other assets—
376
Total other assets$207
$624
Total assets$1,159
$954
Liabilities  
Interest-bearing deposits$(69)$(50)
Federal funds purchased and securities loaned or sold under agreements to repurchase
selected portfolios of securities sold under agreements to repurchase and securities loaned
223
45
Trading account liabilities70
105
Short-term borrowings(116)(61)
Long-term debt(1,491)(935)
Total liabilities$(1,383)$(896)

(1)Includes gains (losses) associated with interest rate lock-commitmentslock commitments for those loans that have been originated and elected under the fair value option.
(2)
Includes DVA that is included in AOCI. See Notes 19 and 24 to the Consolidated Financial Statements.


Own Debt Valuation Adjustments (DVA)
Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected using Citi’s credit spreads observed in the bond market. Effective January 1, 2016, changesChanges in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s Revenues and Net income along with all other changes in fair value.AOCI. See Note 1 to the Consolidated Financial Statements for additional information.
Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse debt and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.
The estimated changechanges in the fair value of these non-derivative liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) were lossesa loss of $680$1,473 million and $538a gain of $1,415 million for the years ended December 31, 20172019 and 2016,2018, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.

The Fair Value Option for Financial Assets and Financial Liabilities


Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Non-Collateralized Short-Term Borrowings
The Company elected the fair value option for certain portfolios of fixed income securities purchased under agreements to resell and fixed income securities sold under agreements to repurchase, securities borrowed, securities loaned and certain non-collateralizeduncollateralized short-term borrowings held primarily by broker-dealer entities in the United States, the United Kingdom and Japan. In each case, the election was made because the related interest-rateinterest rate risk is managed on a portfolio basis, primarily with offsetting derivative instruments that are accounted for at fair value through earnings.
Changes in fair value for transactions in these portfolios are recorded in Principal transactions. The related interest revenue and interest expense are measured based on the contractual rates specified in the transactions and are reported as Interest revenue and Interest expense in the Consolidated Statement of Income.


Certain Loans and Other Credit Products
Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.

The following table provides information about certain credit products carried at fair value:
 December 31, 2019December 31, 2018
In millions of dollarsTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$8,320
$4,086
$10,108
$3,224
Aggregate unpaid principal balance in excess of (less than) fair value410
315
435
741
Balance of non-accrual loans or loans more than 90 days past due—
1
—
1
Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due—
—
—
—
 December 31, 2017December 31, 2016
In millions of dollarsTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$8,851
$4,374
$9,824
$3,486
Aggregate unpaid principal balance in excess of fair value623
682
758
18
Balance of non-accrual loans or loans more than 90 days past due—
1
—
1
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
1
—
1

In addition to the amounts reported above, $508$1,062 million and $1,828$1,137 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of December 31, 20172019 and 2016,2018, respectively.

Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in Citi’s Consolidated Statement of Income. Related interest revenue is measured based on the contractual interest rates and reported

as Interest revenue on Trading account assets or loan interest depending on the balance sheet classifications of the credit products. The changes in fair value for the years ended December 31, 20172019 and 20162018 due to instrument-specific credit risk totaled to gainsa gain of $10$95 million and $76a loss of $27 million, respectively.


Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $0.9$0.2 billion and $0.6$0.4 billion at December 31, 20172019 and 2016,2018, respectively. The amounts are expected to fluctuate based on trading activity in future periods.
As part of its commodity and foreign currency trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of December 31, 2017,2019, there were approximately $10.3$7.4 billion and $9.3$6.8 billion in notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.


 
Certain Investments in Private Equity and Real Estate Ventures and Certain Equity Method and Other Investments
Citigroup invests in private equity and real estate ventures for the purpose of earning investment returns and for capital appreciation. The Company has elected the fair value option for certain of these ventures, because such investments are considered similar to many private equity or hedge fund activities in Citi’s investment companies, which are reported at fair value. The fair value option brings consistency in the accounting and evaluation of these investments. All investments (debt and equity) in such private equity and real estate entities are accounted for at fair value. These investments are classified as Investments on Citigroup’s Consolidated Balance Sheet.
Changes in the fair values of these investments are classified in Other revenue in the Company’s Consolidated Statement of Income.
Citigroup also elects the fair value option for certain non-marketable equity securities whose risk is managed with derivative instruments that are accounted for at fair value through earnings. These securities are classified as Trading account assets on Citigroup’s Consolidated Balance Sheet. Changes in the fair value of these securities and the related derivative instruments are recorded in Principal transactions.


Certain Mortgage Loans Held-for-Sale (HFS)
Citigroup has elected the fair value option for certain purchased and originated prime fixed-rate and conforming adjustable-rate first mortgage loans HFS. These loans are intended for sale or securitization and are hedged with derivative instruments. The Company has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications.


The following table provides information about certain mortgage loans HFS carried at fair value:
In millions of dollarsDecember 31,
2019		December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$1,254
$556
Aggregate fair value in excess of (less than) unpaid principal balance(31)21
Balance of non-accrual loans or loans more than 90 days past due1
—
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—
In millions of dollarsDecember 31,
2017		December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$426
$915
Aggregate fair value in excess of (less than) unpaid principal balance14
8
Balance of non-accrual loans or loans more than 90 days past due—
—
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—


The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the years ended December 31, 20172019 and 20162018 due to instrument-specific credit risk. Related interest income continues to be measured based on the contractual interest rates and reported as Interest revenue in the Consolidated Statement of Income.

Certain Structured Liabilities
The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks. The Company elected the fair value option because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (Trading account liabilities) on the Company’s Consolidated Balance Sheet according to their legal form.

The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument:
In billions of dollarsDecember 31, 2019December 31, 2018
Interest rate linked$22.9
$17.3
Foreign exchange linked0.9
0.5
Equity linked21.7
14.8
Commodity linked1.8
1.2
Credit linked2.4
1.9
Total$49.7
$35.7
In billions of dollarsDecember 31, 2017December 31, 2016
Interest rate linked$13.9
$10.6
Foreign exchange linked0.3
0.2
Equity linked13.0
12.3
Commodity linked0.2
0.3
Credit linked1.9
0.9
Total$29.3
$24.3

Prior to 2016, the total change in the fair value of these structured liabilities was reported in Principal transactions in the Company’s Consolidated Statement of Income. Beginning in the first quarter of 2016, theThe portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) areis reflected as a component of AOCI while all other changes in fair value will continue to beare reported in Principal transactions. Changes in the fair value of these structured liabilities include accrued interest, which is also included in the change in fair value reported in Principal transactions.


Certain Non-Structured Liabilities
The Company has elected the fair value option for certain non-structured liabilities with fixed and floating interest rates. The Company has elected the fair value option where the interest-rateinterest rate risk of such liabilities may be economically hedged with
derivative contracts or the proceeds are used to purchase
financial assets that will also be accounted for at fair value through earnings. The elections have been made to mitigate accounting mismatches and to achieve operational simplifications. These positions are reported in Short-term borrowings and Long-term debt on the Company’s Consolidated Balance Sheet. Prior to 2016, the total change in the fair value of these non-structured liabilities was reported in Principal transactions in the Company’s Consolidated Statement of Income. Beginning in the first quarter of 2016, theThe portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value will continue to beare reported in Principal transactions.
Interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income.


The following table provides information about long-term debt carried at fair value:
In millions of dollarsDecember 31, 2019December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$55,783
$38,229
Aggregate unpaid principal balance in excess of (less than) fair value(2,967)3,814

In millions of dollarsDecember 31, 2017December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$31,392
$26,254
Aggregate unpaid principal balance in excess of (less than) fair value(579)(128)

The following table provides information about short-term borrowings carried at fair value:
In millions of dollarsDecember 31, 2019December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$4,946
$4,483
Aggregate unpaid principal balance in excess of (less than) fair value1,411
861

In millions of dollarsDecember 31, 2017December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$4,627
$2,700
Aggregate unpaid principal balance in excess of (less than) fair value74
(61)


26.   PLEDGED ASSETS, COLLATERAL, GUARANTEES AND COMMITMENTS
Pledged Assets
In connection with Citi’s financing and trading activities, Citi has pledged assets to collateralize its obligations under repurchase agreements, secured financing agreements, secured liabilities of consolidated VIEs and other borrowings. The approximate carrying values of the significant components of pledged assets recognized on Citi’s Consolidated Balance Sheet included:included the following:
In millions of dollarsDecember 31, 2019December 31,
2018
Investment securities$152,352
$148,756
Loans236,033
227,840
Trading account assets132,332
120,292
Total$520,717
$496,888

In millions of dollars20172016
Investment securities$138,807
$161,914
Loans229,552
231,833
Trading account assets102,892
84,371
Total$471,251
$478,118


Restricted Cash
Citigroup defines restricted cash (as cash subject to withdrawal restrictions) to include cash deposited with central banks that must be maintained to meet minimum regulatory requirements, and cash set aside for the benefit of customers or for other purposes such as compensating balance arrangements or debt retirement. Restricted cash includes minimum reserve requirements with the Federal
Reserve Bank and certain other central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the United States Securities and Exchange Commission (SEC), the Commodities Futures Trading Commission and the United Kingdom’s Prudential Regulation Authority.
Restricted cash is included on the Consolidated Balance Sheet within the following balance sheet lines:
In millions of dollarsDecember 31,
2019
December 31,
2018
Cash and due from banks$3,758
$4,000
Deposits with banks26,493
27,208
Total$30,251
$31,208


In addition, included in Cash and due from banks and Deposits with banks at December 31, 20172019 and 20162018 were $7.4$8.5 billion and $6.8$8.3 billion, respectively, of cash segregated under federal and other brokerage regulations or deposited with clearing organizations.


Collateral
At December 31, 20172019 and 2016,2018, the approximate fair value of collateral received by Citi that may be resold or repledged, excluding the impact of allowable netting, was $457.5$569.8 billion and $378.1$526.0 billion, respectively. This collateral was received in connection with resale agreements, securities borrowings and loans, securities for securities lending transactions, derivative transactions and margined broker loans.
At December 31, 20172019 and 2016,2018, a substantial portion of the collateral received by Citi had been sold or repledged in connection with repurchase agreements, securities sold, not yet purchased, securities borrowings and loans, pledges to clearing organizations, segregation requirements under securities laws and regulations, derivative transactions and bank loans.
In addition, at December 31, 20172019 and 2016,2018, Citi had pledged $362$389.8 billion and $388$373.7 billion, respectively, of
collateral that may not be sold or repledged by the secured parties.


Lease CommitmentsLeases
RentalThe Company’s operating leases, where Citi is a lessee, include real estate, such as office space and branches, and various types of equipment. These leases have a weighted-average remaining lease term of approximately six years as of December 31, 2019. The operating lease ROU asset and lease liability were $3.1 billion and $3.3 billion, respectively, as of December 31, 2019. The Company recognizes fixed lease costs on a straight-line basis throughout the lease term in the Consolidated Statement of Income. In addition, variable lease costs are recognized in the period in which the obligation for those payments is incurred. The total operating lease expense (principally for offices, branches and computer equipment), net of $56 million of sublease income, was $1.1 billion, $1.1$1,084 million for the year ended December 31, 2019. The decrease in the lease liability (and related operating lease financial information) from January 1, 2019 is primarily related to the purchase of a previously leased property in London during the second quarter of 2019. See Note 1 for additional lease liability details and balances at January 1, 2019. The purchased property is included in Other assets on the Consolidated Balance Sheet at December 31, 2019.
While Citi has certain finance leases as a lessee, such leases are not material to the Company's Consolidated Financial Statements.
Citi’s lease arrangements that have not yet commenced as of December 31, 2019 and the Company’s short-term lease, variable lease and finance lease costs, for the year ended December 31, 2019, are not material to the Consolidated Financial Statements.

Citi’s cash outflows related to operating leases were $942 million for the year ended December 31, 2019, while the future lease payments are as follows:
In millions of dollars 
2020$801
2021695
2022572
2023425
2024314
Thereafter935
Total future lease payments$3,742
Less imputed interest (based on weighted-average discount rate of 3.6%)$(402)
Lease liability$3,340


The minimum annual rent commitments under non-cancelable leases, net of sublease income, as ofDecember 31, 2018 prior to the adoption of ASU 2016-02, were as follows:
In millions of dollars 
2019$925
2020748
2021657
2022525
2023394
Thereafter1,890
Total lease commitments$5,139


Operating lease expenses were $1.0 billion and $1.3$1.1 billion for the years ended December 31, 2017, 20162018 and 2015,2017, respectively.
Future minimum annual rentals under non-cancelable leases, net of sublease income, are as follows:
In millions of dollars 
2018$968
2019837
2020676
2021568
2022469
Thereafter2,593
Total$6,111


Guarantees
Citi provides a variety of guarantees and indemnifications to its customers to enhance their credit standing and enable them to complete a wide variety of business transactions. For
certain contracts meeting the definition of a guarantee, the guarantor must recognize, at inception, a liability for the fair value of the obligation undertaken in issuing the guarantee.
In addition, the guarantor must disclose the maximum potential amount of future payments that the guarantor could be required to make under the guarantee, if there were a total
default by the guaranteed parties. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.

The following tables present information about Citi’s guarantees:

 Maximum potential amount of future payments 
In billions of dollars at December 31, 2019
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
(in millions of dollars)
Financial standby letters of credit$31.9
$62.4
$94.3
$140
Performance guarantees6.9
5.5
12.4
21
Derivative instruments considered to be guarantees37.5
60.1
97.6
289
Loans sold with recourse—
1.2
1.2
7
Securities lending indemnifications(1)
87.8
—
87.8
—
Credit card merchant processing(1)(2)
91.6
—
91.6
—
Credit card arrangements with partners0.2
0.4
0.6
23
Custody indemnifications and other—
33.7
33.7
41
Total$255.9
$163.3
$419.2
$521
 Maximum potential amount of future payments 
In billions of dollars at December 31, 2017 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$27.9
$65.9
$93.8
$93
Performance guarantees7.2
4.1
11.3
20
Derivative instruments considered to be guarantees11.0
84.9
95.9
423
Loans sold with recourse—
0.2
0.2
9
Securities lending indemnifications(1)
103.7
—
103.7
—
Credit card merchant processing(1)(2)
85.5
—
85.5
—
Credit card arrangements with partners0.3
1.1
1.4
205
Custody indemnifications and other—
36.0
36.0
59
Total$235.6
$192.2
$427.8
$809

Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at December 31, 2016 except carrying value in millionsExpire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
 (in millions of dollars)
In billions of dollars at December 31, 2018Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
(in millions of dollars)

Financial standby letters of credit$26.0
$67.1
$93.1
$141
$32.1
$67.5
$99.6
$131
Performance guarantees7.5
3.6
11.1
19
7.7
4.2
11.9
29
Derivative instruments considered to be guarantees7.2
80.0
87.2
747
23.5
87.4
110.9
567
Loans sold with recourse—
0.2
0.2
12
—
1.2
1.2
9
Securities lending indemnifications(1)
80.3
—
80.3
—
98.3
—
98.3
—
Credit card merchant processing(1)(2)
86.4
—
86.4
—
94.7
—
94.7
—
Credit card arrangements with partners

—
1.5
1.5
206
0.3
0.8
1.1
162
Custody indemnifications and other—
45.4
45.4
58
—
35.4
35.4
41
Total$207.4
$197.8
$405.2
$1,183
$256.6
$196.5
$453.1
$939
(1)The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)
At December 31, 20172019 and 2016,2018, this maximum potential exposure was estimated to be $86$92 billion and $86$95 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.


Financial Standby Letters of Credit
Citi issues standby letters of credit, which substitute its own credit for that of the borrower. If a letter of credit is drawn down, the borrower is obligated to repay Citi. Standby letters of credit protect a third party from defaults on contractual obligations. Financial standby letters of credit include (i) guarantees of payment of insurance premiums and reinsurance risks that support industrial revenue bond underwriting, (ii) settlement of payment obligations to clearing houses, including futures and over-the-counter derivatives clearing (see further discussion below), (iii) support options and purchases of securities in lieu of escrow deposit accounts and (iv) letters of credit that backstop loans, credit facilities, promissory notes and trade acceptances.

Performance Guarantees
Performance guarantees and letters of credit are issued to guarantee a customer’s tender bid on a construction or systems-installation project or to guarantee completion of such projects in accordance with contract terms. They are also issued to support a customer’s obligation to supply specified products, commodities or maintenance or warranty services to a third party.


Derivative Instruments Considered to Be Guarantees
Derivatives are financial instruments whose cash flows are based on a notional amount and an underlying instrument, reference credit or index, where there is little or no initial investment, and whose terms require or permit net settlement. For a discussion of Citi’s derivatives activities, see Note 22 to the Consolidated Financial Statements.
Derivative instruments considered to be guarantees include only those instruments that require Citi to make payments to the counterparty based on changes in an underlying instrument that is related to an asset, a liability or an equity security held by the guaranteed party. More specifically, derivative instruments considered to be

guarantees include certain over-the-counter written put options where the counterparty is not a bank, hedge fund or broker-dealer (such counterparties are considered to be dealers in these markets and may, therefore, not hold the underlying instruments). Credit derivatives sold by Citi are excluded from the tables above as they are disclosed separately in Note 22 to the Consolidated Financial Statements. In instances where Citi’s maximum potential future payment is unlimited, the notional amount of the contract is disclosed.


Loans Sold with Recourse
Loans sold with recourse represent Citi’s obligations to reimburse the buyers for loan losses under certain circumstances. Recourse refers to the clause in a sales agreement under which a seller/lender will fully reimburse the buyer/investor for any losses resulting from the purchased loans. This may be accomplished by the seller taking back any loans that become delinquent.
In addition to the amounts shown in the tables above, Citi has recorded a repurchase reserve for its potential repurchases or make-whole liability regarding residential mortgage representation and warranty claims related to its whole loan sales to the U.S. government-sponsored enterprises (GSEs)agencies and, to a lesser extent, private investors. The repurchase reserve was approximately $66$37 million and $107$49 million at December 31, 20172019 and 2016,2018, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.


Securities Lending Indemnifications
Owners of securities frequently lend those securities for a fee to other parties who may sell them short or deliver them to another party to satisfy some other obligation. Banks may administer such securities lending programs for their clients. Securities lending indemnifications are issued by the bank to guarantee that a securities lending customer will be made

whole in the event that the security borrower does not return the security subject to the lending agreement and collateral held is insufficient to cover the market value of the security.


Credit Card Merchant Processing
Credit card merchant processing guarantees represent the Company’s indirect obligations in connection with (i) providing transaction processing services to various merchants with respect to its private-labelprivate label cards and (ii) potential liability for bank card transaction processing services. The nature of the liability in either case arises as a result of a billing dispute between a merchant and a cardholder that is ultimately resolved in the cardholder’s favor. The merchant is liable to refund the amount to the cardholder. In general, if the credit card processing company is unable to collect this amount from the merchant, the credit card processing company bears the loss for the amount of the credit or refund paid to the cardholder.
With regard to (i) above, Citi has the primary contingent liability with respect to its portfolio of private-labelprivate label merchants. The risk of loss is mitigated as the cash flows between Citi and the merchant are settled on a net basis, and
Citi has the right to offset any payments with cash flows otherwise due to the merchant. To further mitigate this risk, Citi may delay settlement, require a merchant to make an escrow deposit, include event triggers to provide Citi with more financial and operational control in the event of the financial deterioration of the merchant or require various credit enhancements (including letters of credit and bank guarantees). In the unlikely event that a private-labelprivate label merchant is unable to deliver products, services or a refund to its private-labelprivate label cardholders, Citi is contingently liable to credit or refund cardholders.
With regard to (ii) above, Citi has a potential liability for bank card transactions where Citi provides the transaction processing services as well as those where a third party provides the services and Citi acts as a secondary guarantor, should that processor fail to perform.
Citi’s maximum potential contingent liability related to both bank card and private-labelprivate label merchant processing services is estimated to be the total volume of credit card transactions that meet the requirements to be valid charge-back transactions at any given time. At December 31, 20172019 and 2016,2018, this maximum potential exposure was estimated to be $86$91.6 billion and $86$94.7 billion, respectively.
However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants. Citi assesses the probability and amount of its contingent liability related to merchant processing based on the financial strength of the primary guarantor, the extent and nature of unresolved charge-backs and its historical loss experience. At December 31, 20172019 and 2016,2018, the losses incurred and the carrying amounts of Citi’s contingent obligations related to merchant processing activities were immaterial.


Credit Card Arrangements with Partners
Citi, in certain of its credit card partner arrangements, provides guarantees to the partner regarding the volume of certain customer originations during the term of the agreement. To the extent that such origination targets are not met, the guarantees serve to compensate the partner for certain payments that otherwise would have been generated in connection with such originations.


Custody Indemnifications
Custody indemnifications are issued to guarantee that custody clients will be made whole in the event that a third-party subcustodian or depository institution fails to safeguard clients’ assets.


Other Guarantees and Indemnifications


Credit Card Protection Programs
Citi, through its credit card businesses, provides various
cardholder protection programs on several of its card
products, including programs that provide insurance
coverage for rental cars, coverage for certain losses
associated with purchased products, price protection for
certain purchases and protection for lost luggage. These
guarantees are not included in the table, since the total
outstanding amount of the guarantees and Citi’s maximum
exposure to loss cannot be quantified. The protection is
limited to certain types of purchases and losses, and it is not
possible to quantify the purchases that would qualify for
these benefits at any given time. Citi assesses the probability
and amount of its potential liability related to these programs
based on the extent and nature of its historical loss
experience. At December 31, 20172019 and 2016,2018, the actual and estimated losses incurred and the carrying value
of Citi’s obligations related to these programs were
immaterial.


Other Representation and Warranty Indemnifications
In the normal course of business, Citi provides standard representations and warranties to counterparties in contracts in connection with numerous transactions and also provides indemnifications, including indemnifications that protect the counterparties to the contracts in the event that additional taxes are owed, due either to a change in the tax law or an adverse interpretation of the tax law. Counterparties to these transactions provide Citi with comparable indemnifications. While such representations, warranties and indemnifications are essential components of many contractual relationships, they do not represent the underlying business purpose for the transactions. The indemnification clauses are often standard contractual terms related to Citi’s own performance under the terms of a contract and are entered into in the normal course of business based on an assessment that the risk of loss is remote. Often these clauses are intended to ensure that terms of a contract are met at inception. NoNaN compensation is received for these standard representations and warranties, and it is not possible to determine their fair value because they rarely, if ever, result in a payment. In many cases, there are no0 stated or notional amounts included in the

indemnification clauses, and the contingencies potentially triggering the obligation to indemnify have not occurred and are not expected to occur. As a result, these indemnifications are not included in the tables above.


Value-Transfer Networks (Including Exchanges and Clearing Houses) (VTNs)
Citi is a member of, or shareholder in, hundreds of value-transfer networks (VTNs) (payment, clearing and settlement systems as well as exchanges) around the world. As a condition of membership, many of these VTNs require that members stand ready to pay a pro rata share of the losses incurred by the organization due to another member’s default on its obligations. Citi’s potential obligations may be limited to its membership interests in the VTNs, contributions to the VTN’s funds, or, in limitedcertain narrow cases, to the obligation may be unlimited.full pro rata
share. The maximum exposure cannot be estimatedis difficult to estimate as this would require an assessment of future claims that have not yet occurred.occurred; however, Citi believes the risk of loss is remote given historical experience with the VTNs. Accordingly, Citi’s participation in VTNs is not reported in the guarantees tables above, and there are no amounts reflected on the Consolidated Balance Sheet as of December 31, 20172019 or 20162018 for potential obligations that could arise from Citi’s involvement with VTN associations.


Long-Term Care Insurance Indemnification
In 2000, Travelers Life & Annuity (Travelers), then a subsidiary of Citi, entered into a reinsurance agreement to transfer the risks and rewards of its long-term care (LTC) business to GE Life (now Genworth Financial Inc., or Genworth), then a subsidiary of the General Electric Company (GE). As part of this transaction, the reinsurance obligations were provided by two regulated insurance subsidiaries of GE Life, which funded two2 collateral trusts with securities. Presently, as discussed below, the trusts are referred to as the Genworth Trusts.
As part of GE’s spin-off of Genworth in 2004, GE retained the risks and rewards associated with the 2000 Travelers reinsurance agreement by providing a reinsurance contract to Genworth through itsGE’s Union Fidelity Life Insurance Company (UFLIC) subsidiary that covers the Travelers LTC policies. In addition, GE provided a capital maintenance agreement in favor of UFLIC whichthat is designed to assure that UFLIC will have the funds to pay its reinsurance obligations. As a result of these reinsurance agreements and the spin-off of Genworth, Genworth has reinsurance protection from UFLIC (supported by GE) and has reinsurance obligations in connection with the Travelers LTC policies. As noted below, the Genworth reinsurance obligations now benefit Brighthouse Financial, Inc. (Brighthouse). While neither Brighthouse nor Citi are direct beneficiaries of the capital maintenance agreement between GE and UFLIC, Brighthouse and Citi benefit indirectly from the existence of the capital maintenance agreement, which helps assure that UFLIC will continue to have funds necessary to pay its reinsurance obligations to Genworth.
In connection with Citi’s 2005 sale of Travelers to MetLife Inc. (MetLife), Citi provided an indemnification to MetLife for losses (including policyholder claims) relating to
the LTC business for the entire term of the Travelers LTC policies, which, as noted above, are reinsured by subsidiaries of Genworth. In 2017, MetLife spun off its retail insurance business to Brighthouse. As a result, the Travelers LTC policies now reside with Brighthouse. The original reinsurance agreement between Travelers (now Brighthouse) and Genworth remains in place and Brighthouse is the sole beneficiary of the Genworth Trusts. The fair value of the Genworth Trusts iswas approximately $7.5$8.6 billion as of December 31, 2017,2019, compared to $7.0approximately $7.5 billion at December 31, 2016.2018. The Genworth Trusts are designed to provide collateral to Brighthouse in an amount equal to the statutory liabilities of Brighthouse in respect of the Travelers LTC policies. The assets in the Genworth Trusts are evaluated and adjusted periodically by Genworth to ensure

that the fair value of the assets continues to provide collateral in an amount equal to these estimated statutory liabilities, as the liabilities change over time.
If both (i) Genworth fails to perform under the original Travelers/GE Life reinsurance agreement for any reason, including its insolvency or the failure of UFLIC to perform in a timely manner,under its reinsurance contract or GE to perform under the capital maintenance agreement, and (ii) the assets of the two Genworth Trusts are insufficient or unavailable, then Citi, through its LTC reinsurance indemnification, must reimburse Brighthouse for any losses incurred in connection with the LTC policies. Since both events would have to occur before Citi would become responsible for any payment to Brighthouse pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no0 liability reflected on the Consolidated Balance Sheet as of December 31, 20172019 and 20162018 related to this indemnification. However, if both events become reasonably possible (meaning more than remote but less than probable), Citi will be required to estimate and disclose a reasonably possible loss or range of loss to the extent that such an estimate could be made. In addition, if both events become probable, Citi will be required to accrue for such liability in accordance with applicable accounting principles.
Citi continues to closely monitor its potential exposure under thisthe Brighthouse indemnification obligation.obligation, given GE’s 2018 LTC and other charges and the September 2019 AM Best credit ratings downgrade for the two Genworth insurance subsidiaries.
Separately, Genworth announced that it had agreed to be purchased by China Oceanwide Holdings Co., Ltd, subject to a series of conditions and regulatory approvals. Citi is monitoring these developments.


Futures and Over-the-Counter Derivatives Clearing
Citi provides clearing services on central clearing parties (CCPs) for clients that need to clear exchange tradedexchange-traded and over-the-counter (OTC) derivatives contracts.contracts with CCPs. Based on all relevant facts and circumstances, Citi has concluded that it acts as an agent for accounting purposes in its role as clearing member for these client transactions. As such, Citi does not reflect the underlying exchange tradedexchange-traded or OTC derivatives contracts in its Consolidated Financial Statements. See Note 22 for a discussion of Citi’s derivatives activities that are reflected in its Consolidated Financial Statements.
As a clearing member, Citi collects and remits cash and securities collateral (margin) between its clients and the respective CCP. In certain circumstances, Citi collects a higher amount of cash (or securities) from its clients than it needs to remit to the CCPs. This excess cash is then held at depository institutions such as banks or carry brokers.
There are two2 types of margin: initial and variation. Where Citi obtains benefits from or controls cash initial margin (e.g., retains an interest spread), cash initial margin

collected from clients and remitted to the CCP or depository institutions is reflected within Brokerage payables (payables to customers) and Brokerage receivables (receivables from
brokers, dealers and clearing organizations) or Cash and due from banks, respectively.
However, for exchange tradedexchange-traded and OTC-cleared derivatives contracts where Citi does not obtain benefits from or control the client cash balances, the client cash initial margin collected from clients and remitted to the CCP or depository institutions is not reflected on Citi’s Consolidated Balance Sheet. These conditions are met when Citi has contractually agreed with the client that (i) Citi will pass through to the client all interest paid by the CCP or depository institutions on the cash initial margin, (ii) Citi will not utilize its right as a clearing member to transform cash margin into other assets, (iii) Citi does not guarantee and is not liable to the client for the performance of the CCP or the depository institution and (iv) the client cash balances are legally isolated from Citi’s bankruptcy estate. The total amount of cash initial margin collected and remitted in this manner was approximately $10.7$13.3 billion and $9.4$13.8 billion as of December 31, 20172019 and 2016,2018, respectively.
Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of non-performance by clients (e.g., failure of a client to post variation margin to the CCP for negative changes in the value of the client’s derivative contracts). In the event of non-performance by a client, Citi would move to close out the client’s positions. The CCP would typically utilize initial margin posted by the client and held by the CCP, with any remaining shortfalls required to be paid by Citi as clearing member. Citi generally holds incremental cash or securities margin posted by the client, which would typically be expected to be sufficient to mitigate Citi’s credit risk in the event that the client fails to perform.
As required by ASC 860-30-25-5, securities collateral posted by clients is not recognized on Citi’s Consolidated Balance Sheet.


Carrying Value—Guarantees and Indemnifications
At December 31, 20172019 and 2016,2018, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to
approximately $0.8$0.5 billion and $1.2$0.9 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.


Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $46$46.7 billion and $48$38.0 billion at December 31, 20172019 and 2016,2018, respectively. Securities and other marketable assets held as collateral amounted to $70$45.8 billion and $41$54.7 billion at December 31, 20172019 and 2016,2018, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. Additionally,In addition, letters of credit in favor of Citi held as collateral amounted to $3.7$4.4 billion and $5.4$4.1 billion at December 31, 20172019 and 2016,2018, respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.

Performance Risk
Citi evaluates the performance risk of its guarantees based on the assigned referenced counterparty internal or external ratings. Where external ratings are used, investment-grade ratings are considered to be Baa/BBB and above, while anything below is considered non-investment grade. Citi’s internal ratings are in line with the related external rating system. On certain underlying referenced assets or entities, ratings are not available. Such referenced assets are included in the “not rated” category. The maximum potential amount of the future payments related to the outstanding guarantees is determined to be the notional amount of these contracts, which is the par amount of the assets guaranteed.
Presented in the tables below are the maximum potential
amounts of future payments that are classified based upon internal and external credit ratings. As previously mentioned, theThe determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.



Maximum potential amount of future paymentsMaximum potential amount of future payments
In billions of dollars at December 31, 2017
Investment
grade
Non-investment
grade
Not
rated
Total
In billions of dollars at December 31, 2019
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$68.1
$10.9
$14.8
$93.8
$66.4
$12.5
$15.4
$94.3
Performance guarantees7.9
2.4
1.0
11.3
9.7
2.3
0.4
12.4
Derivative instruments deemed to be guarantees—
—
95.9
95.9
—
—
97.6
97.6
Loans sold with recourse—
—
0.2
0.2
—
—
1.2
1.2
Securities lending indemnifications—
—
103.7
103.7
—
—
87.8
87.8
Credit card merchant processing—
—
85.5
85.5
—
—
91.6
91.6
Credit card arrangements with partners—
—
1.4
1.4
—
—
0.6
0.6
Custody indemnifications and other23.7
12.3
—
36.0
21.3
12.4
—
33.7
Total$99.7
$25.6
$302.5
$427.8
$97.4
$27.2
$294.6
$419.2


 Maximum potential amount of future payments
In billions of dollars at December 31, 2018
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$71.3
$11.9
$16.4
$99.6
Performance guarantees9.2
2.1
0.6
11.9
Derivative instruments deemed to be guarantees—
—
110.9
110.9
Loans sold with recourse—
—
1.2
1.2
Securities lending indemnifications—
—
98.3
98.3
Credit card merchant processing—
—
94.7
94.7
Credit card arrangements with partners

—
—
1.1
1.1
Custody indemnifications and other22.2
13.2
—
35.4
Total$102.7
$27.2
$323.2
$453.1


 Maximum potential amount of future payments
In billions of dollars at December 31, 2016
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$66.8
$13.4
$12.9
$93.1
Performance guarantees6.3
4.0
0.8
11.1
Derivative instruments deemed to be guarantees—
—
87.2
87.2
Loans sold with recourse—
—
0.2
0.2
Securities lending indemnifications—
—
80.3
80.3
Credit card merchant processing—
—
86.4
86.4
Credit card arrangements with partners

—
—
1.5
1.5
Custody indemnifications and other33.3
12.1
—
45.4
Total$106.4
$29.5
$269.3
$405.2


Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
In millions of dollarsU.S.
Outside of 
U.S.
December 31,
2019		December 31, 2018
Commercial and similar letters of credit$746
$3,787
$4,533
$5,461
One- to four-family residential mortgages2,088
1,633
3,721
2,671
Revolving open-end loans secured by one- to four-family residential properties9,511
1,288
10,799
11,374
Commercial real estate, construction and land development10,623
2,358
12,981
11,293
Credit card lines609,866
98,157
708,023
696,007
Commercial and other consumer loan commitments212,569
111,790
324,359
300,115
Other commitments and contingencies1,852
96
1,948
3,321
Total$847,255
$219,109
$1,066,364
$1,030,242

In millions of dollarsU.S.
Outside of 
U.S.
December 31,
2017		December 31, 2016
Commercial and similar letters of credit$904
$4,096
$5,000
$5,736
One- to four-family residential mortgages988
1,686
2,674
2,838
Revolving open-end loans secured by one- to four-family residential properties10,825
1,498
12,323
13,405
Commercial real estate, construction and land development9,594
1,557
11,151
10,781
Credit card lines578,634
99,666
678,300
664,335
Commercial and other consumer loan commitments171,383
101,272
272,655
259,934
Other commitments and contingencies2,182
889
3,071
3,202
Total$774,510
$210,664
$985,174
$960,231
The majority of unused commitments are contingent upon customers maintaining specific credit standards.
Commercial commitments generally have floating interest rates and fixed expiration dates and may require payment of fees. Such fees (net of certain direct costs) are deferred and, upon exercise of the commitment, amortized over the life of the loan or, if exercise is deemed remote, amortized over the commitment period.


Commercial and Similar Letters of Credit
A commercial letter of credit is an instrument by which Citigroup substitutes its credit for that of a customer to enable the customer to finance the purchase of goods or to incur other commitments. Citigroup issues a letter on behalf
of its client to a supplier and agrees to pay the supplier upon
presentation of documentary evidence that the supplier has performed in accordance with the terms of the letter of credit. When a letter of credit is drawn, the customer is then required to reimburse Citigroup.


One- to Four-Family Residential Mortgages
A one- to four-family residential mortgage commitment is a written confirmation from Citigroup to a seller of a property that the bank will advance the specified sums enabling the buyer to complete the purchase.


Revolving Open-End Loans Secured by One- to Four-Family Residential Properties
Revolving open-end loans secured by one- to four-family residential properties are essentially home equity lines of credit. A home equity line of credit is a loan secured by a primary residence or second home to the extent of the excess of fair market value over the debt outstanding for the first mortgage.


Commercial Real Estate, Construction and Land Development
Commercial real estate, construction and land development include unused portions of commitments to extend credit for the purpose of financing commercial and multifamily residential properties as well as land development projects.
Both secured-by-real-estate and unsecured commitments are included in this line, as well as
undistributed loan proceeds, where there is an obligation to advance for construction progress payments. However, this line only includes those extensions of credit that, once funded, will be classified as Total loans, net on the Consolidated Balance Sheet.


Credit Card Lines
Citigroup provides credit to customers by issuing credit cards. The credit card lines are cancelable by providing notice to the cardholder or without such notice as permitted by local law.


Commercial and Other Consumer Loan Commitments
Commercial and other consumer loan commitments include overdraft and liquidity facilities as well as commercial commitments to make or purchase loans, purchase third-party receivables, provide note issuance or revolving underwriting facilities and invest in the form of equity.


Other Commitments and Contingencies
Other commitments and contingencies include committed or unsettled regular-way reverse repurchase agreements and all other transactions related to commitments and contingencies not reported on the lines above.


Unsettled Reverse Repurchase and Securities LendingBorrowing Agreements and Unsettled Repurchase and Securities BorrowingLending Agreements
In addition, in the normal course of business, Citigroup enters into reverse repurchase and securities borrowing agreements, as well as repurchase and securities lending agreements, which settle at a future date. At December 31, 2017,2019 and December 31, 2016,2018, Citigroup had $35.0approximately $34.0 billion and $43.1$36.1 billion in unsettled reverse repurchase and securities borrowing agreements, respectively, and $19.1$38.7 billion and $14.9$30.7 billion in unsettled repurchase and securities lending agreements.agreements, respectively. For a further discussion of securities purchased under agreements to resell and securities borrowed, and securities sold under agreements to repurchase and securities loaned, including the Company’s policy for offsetting repurchase and reverse repurchase agreements, see Note 11 to the Consolidated Financial Statements.




27.   CONTINGENCIES


Accounting and Disclosure Framework
ASC 450 governs the disclosure and recognition of loss contingencies, including potential losses from litigation, regulatory, tax and regulatoryother matters. ASC 450 defines a “loss contingency” as “an existing condition, situation, or set of circumstances involving uncertainty as to possible loss to an entity that will ultimately be resolved when one or more future events occur or fail to occur.” It imposes different requirements for the recognition and disclosure of loss contingencies based on the likelihood of occurrence of the contingent future event or events. It distinguishes among degrees of likelihood using the following three terms: “probable,” meaning that “the future event or events are likely to occur”; “remote,” meaning that “the chance of the future event or events occurring is slight”; and “reasonably possible,” meaning that “the chance of the future event or events occurring is more than remote but less than likely.” These three terms are used below as defined in ASC 450.
Accruals. ASC 450 requires accrual for a loss contingency when it is “probable that one or more future events will occur confirming the fact of loss” and “the“the amount of the loss can be reasonably estimated.” In accordance with ASC 450, Citigroup establishes accruals for contingencies, including the litigation, regulatory and regulatorytax matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. When the reasonable estimate of the loss is within a range of amounts, the minimum amount of the range is accrued, unless some higher amount within the range is a better estimate than any other amount within the range. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters.
Disclosure. ASC 450 requires disclosure of a loss contingency if “there is at least a reasonable possibility that a loss or an additional loss may have been incurred” andthere is no accrual for the loss because the conditions described above are not met or an exposure to loss exists in excess of the amount accrued. In accordance with ASC 450, if Citigroup has not accrued for a matter because Citigroup believes that a loss is reasonably possible but not probable, or that a loss is probable but not reasonably estimable, and the reasonably possible loss is material, it discloses the loss contingency. In addition, Citigroup discloses matters for which it has accrued if it believes a reasonably possible exposure to material loss exists in excess of the amount accrued. In accordance with ASC 450, Citigroup’s disclosure includes an estimate of the reasonably possible loss or range of loss for those matters as to which an estimate can be made. ASC 450 does not require disclosure of an estimate of the reasonably possible loss or range of loss where an estimate cannot be made. Neither accrual nor disclosure is required for losses that are deemed remote.


 
Litigation, Regulatory and RegulatoryOther Contingencies
Overview.In addition to the matters described below, in the ordinary course of business, Citigroup, its affiliates and subsidiaries, and current and former officers, directors and employees (for purposes of this section, sometimes collectively referred to as Citigroup and Related Parties) routinely are named as defendants in, or as parties to, various legal actions and proceedings. Certain of these actions and proceedings assert claims or seek relief in connection with alleged violations of consumer protection, fair lending, securities, banking, antifraud, antitrust, anti-money laundering, employment and other statutory and common laws. Certain of these actual or threatened legal actions and proceedings include claims for substantial or indeterminate compensatory or punitive damages, or for injunctive relief, and in some instances seek recovery on a class-wide basis.
In the ordinary course of business, Citigroup and Related Parties also are subject to governmental and regulatory examinations, information-gathering requests, investigations and proceedings (both formal and informal), certain of which may result in adverse judgments, settlements, fines, penalties, restitution, disgorgement, injunctions or other relief. In addition, certain affiliates and subsidiaries of Citigroup are banks, registered broker-dealers, futures commission merchants, investment advisersadvisors or other regulated entities and, in those capacities, are subject to regulation by various U.S., state and foreign securities, banking, commodity futures, consumer protection and other regulators. In connection with formal and informal inquiries by these regulators, Citigroup and such affiliates and subsidiaries receive numerous requests, subpoenas and orders seeking documents, testimony and other information in connection with various aspects of their regulated activities. From time to time Citigroup and Related Parties also receive grand jury subpoenas and other requests for information or assistance, formal or informal, from federal or state law enforcement agencies including, among others, various United States Attorneys’ Offices, the Asset Forfeiture and Money Laundering Section and other divisions of the Department of Justice, the Financial Crimes Enforcement Network of the United States Department of the Treasury, and the Federal Bureau of Investigation relating to Citigroup and its customers.
Because of the global scope of Citigroup’s operations, and its presence in countries around the world, Citigroup and Related Parties are subject to litigation and governmental and regulatory examinations, information-gathering requests, investigations and proceedings (both formal and informal) in multiple jurisdictions with legal, regulatory and regulatorytax regimes that may differ substantially, and present substantially different risks, from those Citigroup and Related Parties are subject to in the United States. In some instances, Citigroup and Related Parties may be involved in proceedings involving the same subject matter in multiple jurisdictions, which may result in overlapping, cumulative or inconsistent outcomes.
Citigroup seeks to resolve all litigation, regulatory, tax and regulatoryother matters in the manner management believes is in the best interests of Citigroup and its shareholders, and contests liability, allegations of wrongdoing and, where applicable, the

applicable, the amount of damages or scope of any penalties or other relief sought as appropriate in each pending matter.
Inherent Uncertainty of the Matters Disclosed.Certain of the matters disclosed below involve claims for substantial or indeterminate damages. The claims asserted in these matters typically are broad, often spanning a multi-year period and sometimes a wide range of business activities, and the plaintiffs’ or claimants’ alleged damages frequently are not quantified or factually supported in the complaint or statement of claim. Other matters relate to regulatory investigations or proceedings, as to which there may be no objective basis for quantifying the range of potential fine, penalty or other remedy. As a result, Citigroup is often unable to estimate the loss in such matters, even if it believes that a loss is probable or reasonably possible, until developments in the case, proceeding or investigation have yielded additional information sufficient to support a quantitative assessment of the range of reasonably possible loss. Such developments may include, among other things, discovery from adverse parties or third parties, rulings by the court on key issues, analysis by retained experts and engagement in settlement negotiations. Depending on a range of factors, such as the complexity of the facts, the novelty of the legal theories, the pace of discovery, the court’s scheduling order, the timing of court decisions and the adverse party’s, regulator’s or other authority’s willingness to negotiate in good faith toward a resolution, it may be months or years after the filing of a case or commencement of a proceeding or an investigation before an estimate of the range of reasonably possible loss can be made.
Matters as to Which an Estimate Can Be Made. For some of the matters disclosed below, Citigroup is currently able to estimate a reasonably possible loss or range of loss in excess of amounts accrued (if any). For some of the matters included within this estimation, an accrual has been made because a loss is believed to be both probable and reasonably estimable, but an exposure to loss exists in excess of the amount accrued. In these cases, the estimate reflects the reasonably possible range of loss in excess of the accrued amount. For other matters included within this estimation, no accrual has been made because a loss, although estimable, is believed to be reasonably possible, but not probable; in these cases, the estimate reflects the reasonably possible loss or range of loss. As of December 31, 2017,2019, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $1.0$1.3 billion in the aggregate.
These estimates are based on currently available information. As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation and regulatory proceedings are subject to particular uncertainties. For example, at the time of making an estimate, (i) Citigroup may have only preliminary, incomplete, or inaccurate information about the facts underlying the claim, (ii) its assumptions about the future rulings of the court, or other tribunal or authority on significant issues, or the behavior and incentives of adverse
parties, regulators or regulators,other authorities, may prove to be wrong and (iii) the outcomes it is
attempting to predict are often not amenable to the use of statistical or other quantitative analytical tools. In addition, from time to time an outcome may occur that Citigroup had not accounted for in its estimate because it had deemed such an outcome to be remote. For all of these reasons, the amount of loss in excess of accruals ultimately incurred for the matters as to which an estimate has been made could be substantially higher or lower than the range of loss included in the estimate.
Matters as to Which an Estimate Cannot Be Made. For other matters disclosed below, Citigroup is not currently able to estimate the reasonably possible loss or range of loss. Many of these matters remain in very preliminary stages (even in some cases where a substantial period of time has passed since the commencement of the matter), with few or no substantive legal decisions by the court, tribunal or tribunalother authority defining the scope of the claims, the class (if any) or the potentially available damages or other exposure, and fact discovery is still in progress or has not yet begun. In many of these matters, Citigroup has not yet answered the complaint or statement of claim or asserted its defenses, nor has it engaged in any negotiations with the adverse party (whether a regulator, taxing authority or a private party). For all these reasons, Citigroup cannot at this time estimate the reasonably possible loss or range of loss, if any, for these matters.
Opinion of Management as to Eventual Outcome.Subject to the foregoing, it is the opinion of Citigroup’s management, based on current knowledge and after taking into account its current legal or other accruals, that the eventual outcome of all matters described in this Note would not be likely to have a material adverse effect on the consolidated financial condition of Citigroup. Nonetheless, given the substantial or indeterminate amounts sought in certain of these matters, and the inherent unpredictability of such matters, an adverse outcome in certain of these matters could, from time to time, have a material adverse effect on Citigroup’s consolidated results of operations or cash flows in particular quarterly or annual periods.

ANZ Underwriting Matter
In June 2018, the Australian Commonwealth Director of Public Prosecutions (CDPP) filed charges against Citigroup Global Markets Australia Pty Limited (CGMA) for alleged criminal cartel offenses following a referral by the Australian Competition and Consumer Commission. CDPP alleges that the cartel conduct took place following an institutional share placement by Australia and New Zealand Banking Group Limited (ANZ) in August 2015, where CGMA acted as joint underwriter and lead manager with other banks. CDPP also charged other banks and individuals, including current and former Citi employees. Separately, the Australian Securities and Investments Commission is conducting an investigation, and CGMA is cooperating with the investigation. Charges relating to CGMA are captioned R v. CITIGROUP GLOBAL MARKETS AUSTRALIA PTY LIMITED. The matter is before the Downing Centre Local Court in Sydney, Australia. Additional information concerning this action is

CARD Act Matter
Citi identified certain methodological issues
publicly available in connection with determining annual percentage rates (APRs) for certain cardholderscourt filings under the rate re-evaluation provisionsdocket number 2018/00175168.

Foreign Exchange Matters
Regulatory Actions: Government and regulatory agencies in the U.S. and in other jurisdictions are conducting investigations or making inquiries regarding Citigroup’s foreign exchange business. Citigroup is cooperating with these and related investigations and inquiries.
Antitrust and Other Litigation: In 2018, a number of institutional investors who opted out of the Credit Card Accountability Responsibilitypreviously disclosed August 2018 final settlement filed an action against Citigroup, Citibank, CGMI and Disclosureother defendants, captioned ALLIANZ GLOBAL INVESTORS, ET AL. v. BANK OF AMERICA CORP., ET AL., in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants manipulated, and colluded to manipulate, the foreign exchange markets. Plaintiffs assert claims under the Sherman Act (CARD Act) and Regulation Z. Citi self-reportedunjust enrichment claims, and seek consequential and punitive damages and other forms of relief. In July 2019, defendants moved to dismiss plaintiffs’ second amended complaint. Additional information concerning this action is publicly available in court filings under the issuesdocket number 18 Civ. 10364 (S.D.N.Y.) (Schofield, J.).
In December 2018, a group of institutional investors issued a claim against Citibank, Citigroup and other defendants, captioned ALLIANZ GLOBAL INVESTORS GMBH AND OTHERS v. BARCLAYS BANK PLC AND OTHERS, in the High Court in London. Claimants allege that defendants manipulated, and colluded to its regulatorsmanipulate, the foreign exchange market in violation of EU and will be providing remediationU.K. competition laws. In July 2019, defendants responded to affected customers. Citiplaintiffs’ claims, and in September 2019, claimants filed their reply. Additional information concerning this action is cooperating fullypublicly available in court filings under the docket number CL-2018-000840.
In 2015, a putative class of consumers and businesses in the United States who directly purchased supracompetitive foreign currency at benchmark exchange rates filed an action against Citigroup and other defendants, captioned NYPL v. JPMORGAN CHASE & CO., ET AL., in the United States District Court for the Northern District of California. Subsequently, plaintiffs filed a third amended class action complaint, naming Citigroup, Citibank and Citicorp as defendants. Plaintiffs allege that they suffered losses as a result of defendants’ alleged manipulation of, and collusion with respect to, the regulatory reviews.foreign exchange market. Plaintiffs assert claims under federal and California antitrust and consumer protection laws, and seek compensatory damages, treble damages and declaratory and injunctive relief. Additional information concerning this action is publicly available in court filings under the docket numbers 15 Civ. 2290 (N.D. Cal.) (Chhabria, J.) and 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).

In 2017, putative classes of indirect purchasers of certain foreign exchange instruments filed an action against Citigroup, Citibank, Citicorp, CGMI and other defendants, captioned CONTANT, ET AL. v. BANK OF AMERICA CORP., ET AL., in the United States District Court for the
Credit Crisis-Related
Southern District of New York. Plaintiffs allege that defendants engaged in a conspiracy to fix currency prices. Plaintiffs assert claims under the Sherman Act and various state antitrust laws, and seek compensatory damages and treble damages. In July 2019, the court granted preliminary approval of a settlement between plaintiffs and Citigroup, Citibank, Citicorp and CGMI. Additional information concerning this action is publicly available in court filings under the docket number 17 Civ. 3139 (S.D.N.Y.) (Schofield, J.).
On May 27, 2019, a putative class action was filed against Citibank and other defendants, captioned J WISBEY & ASSOCIATES PTY LTD v. UBS AG & ORS, in the Federal Court of Australia. Plaintiffs allege that defendants manipulated the foreign exchange markets. Plaintiffs assert claims under antitrust laws, and seek compensatory damages and declaratory and injunctive relief. Additional information concerning this action is publicly available in court filings under the docket number VID567/2019.
On July 29, 2019, an application, captioned MICHAEL O’HIGGINS FX CLASS REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS, was made to the U.K.’s Competition Appeal Tribunal requesting permission to commence collective proceedings against Citibank, Citigroup and other defendants. The application seeks compensatory damages for losses alleged to have arisen from the actions at issue in the European Commission’s foreign exchange spot trading infringement decision (European Commission Decision of May 16, 2019 in Case AT.40135-FOREX (Three Way Banana Split) C(2019) 3631 final). Additional information concerning this action is publicly available in court filings under the docket number 1329/7/7/19.
On December 20, 2019, an application, captioned PHILLIP EVANS v. BARCLAYS BANK PLC AND OTHERS, was made to the U.K.’s Competition Appeal Tribunal requesting permission to commence collective proceedings against Citibank, Citigroup and other defendants. The application seeks compensatory damages similar to those in the Michael O’Higgins FX Class Representative Limited application. Additional information concerning this action is publicly available in court filings under the docket number 1336/7/7/19.
In September 2019, two motions for certification of class actions filed against Citibank, Citigroup and Citicorp and other defendants were consolidated, under the caption GERTLER, ET AL. v. DEUTSCHE BANK AG, in the Tel Aviv Central District Court in Israel. Plaintiffs allege that defendants manipulated the foreign exchange markets. The amended motion for certification has not yet been served on Citigroup or Citicorp. Additional information concerning this action is publicly available in court filings under the docket number CA 29013-09-18.

Interbank Offered Rates-Related Litigation and Other Matters
Antitrust and Other Litigation: In 2016, a putative class action was filed against Citibank, Citigroup and other defendants, now captioned FUND LIQUIDATION HOLDINGS LLC, AS ASSIGNOR AND SUCCESSOR-IN-INTEREST TO

FRONTPOINT ASIAN EVENT DRIVEN FUND L.P., ET AL. v. CITIBANK, N.A., ET AL., in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants manipulated the Singapore Interbank Offered Rate and Singapore Swap Offer Rate. Plaintiffs assert claims under the Sherman Act, the Clayton Act, the RICO Act and state law. In May 2018, plaintiffs entered into a settlement with Citibank and Citigroup, under which Citibank and Citigroup agreed to pay approximately $10 million. In July 2019, the court found that it lacked subject-matter jurisdiction over the non-settling defendants and dismissed the case. The court also found that it lacked jurisdiction to approve the settlement and denied plaintiffs’ motion for preliminary approval of the settlement. In August 2019, plaintiffs filed a notice of appeal with the United States Court of Appeals for the Second Circuit. Additional information concerning this action is publicly available in court filings under the docket numbers 16 Civ. 5263 (S.D.N.Y.) (Hellerstein, J.) and 19-2719 (2d Cir.).
In 2016, Banque Delubac filed an action against Citigroup, Citigroup Global Markets Limited (CGML) and Citigroup Europe Plc, captioned SCS BANQUE DELUBAC & CIE v. CITIGROUP INC., ET AL., in the Commercial Court of Aubenas in France. Plaintiff alleges that defendants suppressed LIBOR submissions between 2005 and 2012 and that Banque Delubac’s EURIBOR-linked lending activity was negatively impacted as a result. Plaintiff asserts a claim under tort law, and seeks compensatory damages and consequential damages.In November 2018, the Commercial Court of Aubenas referred the case to the Commercial Court of Marseille. In March 2019, the Court of Appeal of Nîmes held that neither the Commercial Court of Aubenas nor any other court of France has territorial jurisdiction over Banque Delubac’s claims. In May 2019, plaintiff filed an appeal before the Cour de cassation of France challenging the Court of Appeal of Nîmes’s decision. Additional information concerning this action is publicly available in court filings under docket numbers RG no. 2018F02750 in the Commercial Court of Marseille and 19-16.931 in the Cour de cassation.
In May 2019, three putative class actions filed against Citigroup, Citibank, CGMI and other defendants were consolidated, under the caption IN RE ICE LIBOR ANTITRUST LITIGATION, in the United States District Court of the Southern District of New York. In July 2019, Plaintiffs filed a consolidated amended complaint. Plaintiffs allege that defendants suppressed ICE LIBOR. Plaintiffs assert claims under the Sherman Act, the Clayton Act and unjust enrichment, and seek compensatory damages, disgorgement and treble damages. In August 2019, defendants moved to dismiss the action. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 439 (S.D.N.Y.) (Daniels, J.).

Interchange Fee Litigation
Beginning in 2005, several putative class actions were filed against Citigroup, Citibank and Citicorp, together with Visa, MasterCard and other banks and their affiliates, in various federal district courts and consolidated with other related individual cases in a multi-district litigation proceeding in the
United States District Court for the Eastern District of New York. This proceeding is captioned IN RE PAYMENT CARD INTERCHANGE FEE AND MERCHANT DISCOUNT ANTITRUST LITIGATION.
The plaintiffs, merchants that accept Visa and MasterCard branded payment cards as well as various membership associations that claim to represent certain groups of merchants, allege, among other things, that defendants have engaged in conspiracies to set the price of interchange and merchant discount fees on credit and debit card transactions and to restrain trade unreasonably through various Visa and MasterCard rules governing merchant conduct, all in violation of Section 1 of the Sherman Act and certain California statutes. Plaintiffs further alleged violations of Section 2 of the Sherman Act. Supplemental complaints also were filed against defendants in the putative class actions alleging that Visa’s and MasterCard’s respective initial public offerings were anticompetitive and violated Section 7 of the Clayton Act, and that MasterCard’s initial public offering constituted a fraudulent conveyance.
In 2014, the district court entered a final judgment approving the terms of a class settlement providing for, among other things, cash payment to the class of $6.05 billion; a rebate to merchants participating in the damages class settlement of 10 bps on interchange collected for a period of eight months by the Visa and MasterCard networks; and changes to certain network rules. Various objectors appealed from the final class settlement approval order to the United States Court of Appeals for the Second Circuit.
In 2016, the Court of Appeals reversed the district court’s approval of the class settlement and remanded for further proceedings. The district court thereafter appointed separate interim counsel for a putative class seeking damages and a putative class seeking injunctive relief. Amended or new complaints on behalf of the putative classes and various individual merchants were subsequently filed, including a further amended complaint on behalf of a putative damages class and a new complaint on behalf of a putative injunctive class, both of which named Citigroup and Related PartiesParties. In addition, numerous merchants have filed amended or new complaints against Visa, MasterCard, and in some instances one or more issuing banks. Three of these suits—7-ELEVEN, INC., ET AL. v. VISA INC., ET AL.; ROUNDY’S SUPERMARKETS, INC. v. VISA INC. ET AL.; and LUBY’S FUDDRUCKERS RESTAURANTS, LLC, v. VISA INC., ET AL—brought on behalf of numerous individual merchants, name Citigroup and affiliates as defendants.
On December 13, 2019, the district court granted the damages class plaintiffs’ motion for final approval of a new settlement with the defendants. The settlement involves the damages class only and does not settle the claims of the injunctive relief class or any actions brought on a non-class basis by individual merchants. The settlement provides for a cash payment to the damages class of $6.24 billion, though that amount has been reduced by $700 million based on the transaction volume of class members that opted-out from the settlement. Several merchants and merchant groups have appealed the final approval order. Additional information concerning these consolidated actions is publicly available in

court filings under the docket number MDL 05-1720 (E.D.N.Y.) (Brodie, J.).

Interest Rate and Credit Default Swap Matters
Regulatory Actions: The Commodity Futures Trading Commission (CFTC) is conducting an investigation into alleged anticompetitive conduct in the trading and clearing of interest rate swaps (IRS) by investment banks. Citigroup is cooperating with the investigation.
Antitrust and Other Litigation: Beginning in 2015, Citigroup, Citibank, CGMI, CGML, and numerous other parties were named as defendants in numerous legala number of industry-wide putative class actions related to IRS trading. These actions have been consolidated in the United States District Court for the Southern District of New York under the caption IN RE INTEREST RATE SWAPS ANTITRUST LITIGATION. The complaints allege that defendants colluded to prevent the development of exchange-like trading for IRS and other proceedings assertingassert federal and state antitrust claims and claims for damagesunjust enrichment. Also consolidated under the same caption are individual actions filed by swap execution facilities, asserting federal and related reliefstate antitrust claims, as well as claims for losses arising from the global financial credit crisis that beganunjust enrichment and tortious interference with business relations. Plaintiffs in 2007. Citigroup also received subpoenas and requests for information from various regulatory agencies and other government authorities concerning certain businesses impacted by the credit crisis. The vast majorityall of these matters have been resolved as of December 31, 2017.


Mortgage-Related Litigationactions seek treble damages, fees, costs, and Other Matters
Mortgage-Backed Securitiesinjunctive relief. Lead plaintiffs in the class action moved for class certification in February 2019, and CDO Investor Actions: Beginning in July 2010, Citigroup and Related Parties were named as defendants in complaintssubsequently filed by purchasers of MBS and CDOs sold or underwritten by Citigroup. The complaints generally assert that defendants made material misrepresentations and omissions about the credit quality of the assets underlying the securities or the manner in which those assets were selected, and typically assert claims under Section 11 of the Securities Act of 1933, state blue sky laws, and/or common-law misrepresentation-based causes of action.
All but one of these matters have been resolved through settlement or otherwise.  As of December 31, 2017, the aggregate original purchase amount of the purchasescovered by the remaining tolling (extension) agreement with an investor threateninglitigation is approximately $500 million.
Mortgage-Backed Securities Repurchase Claims:Various parties to MBS securitizations and other interested parties have asserted that certain Citigroup affiliates breached representations and warranties made in connection with mortgage loans sold into securitization trusts (private-label securitizations). Typically, these claims are based on allegations that securitized mortgages were not underwritten in accordance with the applicable underwriting standards. Citigroup also has received inquiries, demands for loan files, and requests to toll the applicable statutes of limitation for representation and warranty claims, relating to its private-label securitizations. These inquiries, demands and requests have been made by trustees of securitization trusts and others.
To date, trustees have filed six actions against Citigroup seeking to enforce certain of these contractual repurchase claims that were excluded from the April 7, 2014 settlement in connection with four private-label securitizations. Citigroup has reached an agreement with the trustees to resolve all six of these actions.a fourth amended complaint. Additional information concerning these actions is publicly available in court filings under the docket numbers 13 Civ. 284318-CV-5361 (S.D.N.Y.) (Daniels,(Oetken, J.), 13 Civ. 6989 and 16-MD-2704 (S.D.N.Y.) (Daniels,(Oetken, J.), 653816/2013 (N.Y. Sup. Ct.) (Kornreich, J.), 653919/2014 (N.Y. Sup. Ct.), 653929/2014 (N.Y. Sup. Ct.),. 
In 2017, Citigroup, Citibank, CGMI, CGML and 653930/2014 (N.Y. Sup. Ct.).
Mortgage-Backed Securities Trustee Actions: On November 24, 2014, a group of investorsnumerous other parties were named as defendants in 27 RMBS trusts for which Citibank served or currently serves as trustee filed an action filed in the United States District Court for the Southern District of New York captioned FIXED INCOME SHARES: SERIES Munder the caption TERA GROUP, INC., ET AL. v. CITIBANK N.A.CITIGROUP, INC., alleging claims that Citibank failed to pursue contractual remedies against securitization sponsors and servicers.  On September 8, 2015, the United States District Court for the Southern District of New York dismissed all claims as to 24 of the 27 trusts and allowed certain of the claims to proceed as to the other three trusts. On September 7, 2016, plaintiffs filed a stipulation of voluntary dismissal of their claims with respect to two of the three remaining trusts, leaving one trust at issue. On September 30, 2016, plaintiffs moved to certify a class action, and on April 7, 2017, Citibank moved for summary judgment on all remaining claims. Both motions are pending. Additional information concerning this action is publicly available in
court filings under the docket number 14-cv-9373 (S.D.N.Y.) (Furman, J.).
On November 24, 2015, largely the same group of investors filed an action in the New York State Supreme Court, captioned FIXED INCOME SHARES: SERIES M, ET AL. v. CITIBANK N.A., relatedThe complaint alleges that defendants colluded to prevent the 24 trusts dismissed from thedevelopment of exchange-like trading for credit default swaps and asserts federal court action and one additional trust, assertingstate antitrust claims similar to the action filed in federal court.  On June 22, 2016, the court dismissed plaintiffs’ complaint. Plaintiffsand state law tort claims. In January 2020, plaintiffs filed an amended complaint on August 5, 2016. On June 27, 2017, the court granted in part and denied in part Citibank’s motion to dismiss the amended complaint.  Citibank appealed as to the sustained claims, and on January 16, 2018, the New York Appellate Division, First Department, dismissed all of the remaining claims except the claim for breach of contract related to purported discovery of alleged underwriter breaches of representations and warranties. Additional information concerning this action is publicly available in court filings under the docket number 653891/2015 (N.Y. Sup. Ct.17-CV-4302 (S.D.N.Y.) (Ramos,(Sullivan, J.).
On August 19, 2015,
Parmalat Litigation
In 2004, an Italian commissioner appointed to oversee the Federal Deposit Insurance Corporation (FDIC), as receiver for a financial institution,administration of various Parmalat companies filed a civil actioncomplaint against CitibankCitigroup and Related Parties alleging that the defendants facilitated a number of frauds by Parmalat insiders. In 2008, a jury rendered a verdict in Citigroup’s favor and awarded Citi $431 million. Citigroup has taken steps to enforce the judgment in Italian court. In April 2019, the Italian Supreme Court affirmed the decision in the United States Districtfull amount of $431 million. Additional information concerning this action is publicly available in court filings under the docket numbers 27618/2014 and 10540/2019.
In 2015, Parmalat filed a claim in an Italian civil court in Milan claiming damages of €1.8 billion against Citigroup and Related Parties. The Milan court dismissed Parmalat’s claim on grounds that it was duplicative of Parmalat’s previously
unsuccessful claims. In May 2019, the Milan Court for the Southern District of New York, captioned FEDERAL DEPOSIT INSURANCE CORPORATION AS RECEIVER FOR GUARANTY BANK v. CITIBANK N.A. The complaint concerns one RMBS trust for which Citibank formerly served as trustee, and alleges that Citibank failed to pursue contractual remediesAppeal rejected Parmalat’s appeal against the sponsor and servicersdecision of that trust. On September 30, 2016, the court granted Citibank’s motion to dismiss on the grounds that the FDIC lacked standing to pursue its claims. On October 14, 2016, the FDICMilan court. In June 2019, Parmalat filed a motion for reconsideration or relief from judgment fromfurther appeal with the court’s dismissal order. On July 10, 2017, the court denied the motion for reconsideration but granted the FDIC leave to file an amended complaint. The FDIC filed an amended complaint on December 8, 2017.Italian Supreme Court. Additional information concerning this action is publicly available in court filings under the docket number 15-cv-6574 (S.D.N.Y.) (Carter, J.).

Lehman Brothers Bankruptcy Proceedings20598/2019.
On February 8, 2012,January 29, 2020, Parmalat, its three directors and its sole shareholder, Sofil S.a.s., as co-plaintiffs, filed a claim before the Italian civil court in Milan seeking a declaratory judgment that they do not owe compensatory damages of €990 million to Citibank.

Payment Protection Insurance
Regulators and courts in the U.K. have scrutinized the selling of payment protection insurance (PPI) by financial institutions for several years. Citibank continues to review customer claims relating to the sale of PPI in the U.K., to grant redress in accordance with the requirements of the Financial Conduct Authority and certainto defend claims filed in U.K. courts. 

Sovereign Securities Matters
Regulatory Actions: Government and regulatory agencies in the U.S. and in other jurisdictions are conducting investigations or making inquiries regarding Citigroup’s sales and trading activities in connection with sovereign and other government-related securities. Citigroup affiliatesis cooperating with these investigations and inquiries.
Antitrust and Other Litigation: In 2015, putative class actions filed against CGMI and other defendants were named asconsolidated, under the caption IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. In December 2017, a consolidated amended complaint was filed, alleging that defendants colluded to fix Treasury auction bids by sharing competitively sensitive information ahead of the auctions, and that defendants colluded to boycott and prevent the emergence of an anonymous, all-to-all electronic trading platform in an adversary proceeding asserting objections to certain proofs of claim totaling approximately $2.6 billion filed by Citibank and those affiliates, andthe Treasuries secondary market. The complaint asserts claims under federal bankruptcyantitrust laws, and state lawseeks damages, including treble damages where authorized by statute, and injunctive relief. In February 2018, defendants moved to recover $2 billion deposited by Lehman Brothers Holdings Inc. (LBHI) with Citibank against which Citibank asserted a right of setoff. A global settlement betweendismiss the parties was approved by the bankruptcy court on October 13, 2017. As part of the global settlement, Citibank retained $350 million from LBHI’s deposit at Citibank and returned to LBHI and its affiliates the remaining deposited funds, and LBHI withdrew its remaining objections to the bankruptcy claims filed by Citibank and its affiliates. This action was dismissed by stipulation on November 3, 2017.complaint. Additional information concerning this action is publicly available in court filings under the docket number 15-MD-2673 (S.D.N.Y.) (Gardephe, J.).
In 2016 and 2017, class actions by direct purchasers of supranational, sub-sovereign and agency (SSA) bonds filed against Citigroup, Citibank, CGMI, CGML and other defendants were consolidated, under the caption IN RE SSA BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. In November 2018, a second amended consolidated complaint was filed, alleging that defendants, as market makers and traders of SSA bonds, colluded to fix the price at which they bought and sold SSA bonds in the secondary market. The complaint asserts claims under the antitrust laws and unjust enrichment, and seeks damages, including treble damages where authorized by statute, and disgorgement. In September 2019, the court granted defendants’ motion to dismiss certain

defendants, including CGML. Additional information concerning this action is publicly available in court filings under the docket numbers 12-01044 and 08-13555 (Bankr. S.D.N.Y.number 16 Civ. 3711 (S.D.N.Y.) (Chapman,(Ramos, J.).

On February 7, 2019, a putative class action, captioned STACHON v. BANK OF AMERICA N.A., ET AL., was filed against Citigroup, Citibank, CGMI, CGML and other defendants, captioned STACHON v. BANK OF AMERICA N.A., ET AL., in the United States District Court for the Southern District of New York. Plaintiffs assert claims under New York antitrust laws based on the same conduct alleged in IN RE SSA BONDS ANTITRUST LITIGATION and seek treble damages and injunctive relief. The action is currently stayed pending a decision on the remaining motion to dismiss in IN RE SSA BONDS ANTITRUST LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 01205 (S.D.N.Y.) (Swain, J.).
In 2017, a class action related to the SSA bond market was filed in the Ontario Court of Justice in Canada, against Citigroup, Citibank, CGMI, CGML, Citibank Canada, Citigroup Global Markets Canada, Inc. and other defendants, asserting plaintiff claims under breach of contract, breach of the competition act, breach of foreign law, unjust enrichment and civil conspiracy. Plaintiffs seek compensatory and punitive damages and declaratory relief. Additional information concerning this action is publicly available in court filings under the docket number CV-17-586082-00CP (Ont. S.C.J.).
In 2017, purchasers of SSA bonds filed a similar action against Citigroup, Citibank, CGMI, CGML, Citibank Canada, Citigroup Global Markets Canada, Inc. and other defendants, captioned JOSEPH MANCINELLI, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., in the Federal Court in Canada. In October 2019, plaintiffs filed an amended claim. Plaintiffs allege that defendants manipulated, and colluded to manipulate, the SSA bonds market. Plaintiffs assert claims under breach of the competition law, breach of foreign law, civil conspiracy, unjust enrichment, waiver of tort and breach of contract. Additional information concerning this action is publicly available in court filings under the docket number T-1871-17 (Fed. Ct.).
On September 10, 2019, plaintiffs filed a third consolidated amended complaint against CGMI and other defendants, under the caption IN RE GSE BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants conspired to manipulate the market for bonds issued by U.S. government-sponsored agencies. Plaintiffs assert a claim under the Sherman Act, and seek treble damages and injunctive relief. In December 2019, plaintiffs moved for preliminary approval of a settlement with CGMI and 11 other defendants. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 1704 (S.D.N.Y.) (Rakoff, J.).
On September 23, 2019, the State of Louisiana filed an action against CGMI and other defendants, captioned STATE OF LOUISIANA v. BANK OF AMERICA, N.A., ET AL., in the United States District Court for the Middle District of Louisiana. Plaintiff alleges that defendants conspired to
manipulate the market for bonds issued by U.S. government-sponsored agencies. Plaintiff asserts a claim against defendants for a violation of the Sherman Act, and seeks treble damages and injunctive relief. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 638 (M.D. La.) (Dick, C.J.).
On October 21, 2019, the City of Baton Rouge and related plaintiffs filed a substantially similar action against CGMI and other defendants, captioned CITY OF BATON ROUGE, ET AL. v. BANK OF AMERICA, N.A., ET AL., in the United States District Court for the Middle District of Louisiana. Plaintiffs allege that defendants conspired to manipulate the market for U.S. government-sponsored agencies bonds. Plaintiffs assert a claim under the Sherman Act, and seek treble damages and injunctive relief. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 725 (M.D. La.) (Dick, C.J.).
In 2018, a putative class action was filed against Citigroup, CGMI, Citigroup Financial Products Inc., Citigroup Global Markets Holdings Inc., Citibanamex, Grupo Banamex and other banks, captioned IN RE MEXICAN GOVERNMENT BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants colluded in the Mexican sovereign bond market. In September 2019, the court granted defendants’ motion to dismiss. Subsequently, plaintiffs filed an amended complaint against Citibanamex and other market makers in the Mexican sovereign bond market. Plaintiffs no longer assert any claims against Citigroup and any other Citi affiliates. The amended complaint alleges a conspiracy to fix prices in the Mexican sovereign bond market from January 1, 2006 to April 19, 2017, and asserts antitrust and unjust enrichment claims, and seek treble damages, restitution and injunctive relief. Additional information concerning this consolidated action is publicly available in court filings under the docket number 18 Civ. 2830 (S.D.N.Y.) (Oetken, J.).

Transaction Tax Matters
Citigroup and Citibank are engaged in litigation or examinations with tax authorities in India and Germany concerning the payment of transaction taxes and other non-income tax matters.

Tribune Company BankruptcyInterchange Fee Litigation
CertainBeginning in 2005, several putative class actions were filed against Citigroup, Citibank and Citicorp, together with Visa, MasterCard and other banks and their affiliates, have been named as defendants in adversary proceedingsvarious federal district courts and consolidated with other related to the Chapter 11individual cases of Tribune Company (Tribune) filedin a multi-district litigation proceeding in the
United States BankruptcyDistrict Court for the Eastern District of Delaware, asserting claims arising outNew York. This proceeding is captioned IN RE PAYMENT CARD INTERCHANGE FEE AND MERCHANT DISCOUNT ANTITRUST LITIGATION.
The plaintiffs, merchants that accept Visa and MasterCard branded payment cards as well as various membership associations that claim to represent certain groups of merchants, allege, among other things, that defendants have engaged in conspiracies to set the price of interchange and merchant discount fees on credit and debit card transactions and to restrain trade unreasonably through various Visa and MasterCard rules governing merchant conduct, all in violation of Section 1 of the approximately $11 billion leveraged buyoutSherman Act and certain California statutes. Plaintiffs further alleged violations of TribuneSection 2 of the Sherman Act. Supplemental complaints also were filed against defendants in 2007. On August 2, 2013, the Litigation Trustee, as successor plaintiffputative class actions alleging that Visa’s and MasterCard’s respective initial public offerings were anticompetitive and violated Section 7 of the Clayton Act, and that MasterCard’s initial public offering constituted a fraudulent conveyance.
In 2014, the district court entered a final judgment approving the terms of a class settlement providing for, among other things, cash payment to the Official Committeeclass of Unsecured Creditors, filed$6.05 billion; a fifth amended complaintrebate to merchants participating in the adversary proceeding KIRSCHNER v. FITZSIMONS, ET AL. The complaint seeksdamages class settlement of 10 bps on interchange collected for a period of eight months by the Visa and MasterCard networks; and changes to avoid and recover as actual fraudulent transferscertain network rules. Various objectors appealed from the transfers of Tribune stock that occurred as a part of the leveraged buyout. Several Citigroup affiliates are named as “Shareholder Defendants” and are allegedfinal class settlement approval order to have tendered Tribune stock to Tribune as a part of the buyout.
Several Citigroup affiliates are named as defendants in certain actions brought by Tribune noteholders, which seek to recover the transfers of Tribune stock that occurred as a part of the leveraged buyout, as state-law constructive fraudulent conveyances.  The noteholders’ claims were previously dismissed and the United States Court of Appeals for the Second Circuit affirmedCircuit.
In 2016, the dismissalCourt of Appeals reversed the district court’s approval of the class settlement and remanded for further proceedings. The district court thereafter appointed separate interim counsel for a putative class seeking damages and a putative class seeking injunctive relief. Amended or new complaints on appeal.behalf of the putative classes and various individual merchants were subsequently filed, including a further amended complaint on behalf of a putative damages class and a new complaint on behalf of a putative injunctive class, both of which named Citigroup and Related Parties. In addition, numerous merchants have filed amended or new complaints against Visa, MasterCard, and in some instances one or more issuing banks. Three of these suits—7-ELEVEN, INC., ET AL. v. VISA INC., ET AL.; ROUNDY’S SUPERMARKETS, INC. v. VISA INC. ET AL.; and LUBY’S FUDDRUCKERS RESTAURANTS, LLC, v. VISA INC., ET AL—brought on behalf of numerous individual merchants, name Citigroup and affiliates as defendants.
On December 13, 2019, the district court granted the damages class plaintiffs’ motion for final approval of a new settlement with the defendants. The noteholders’ petitionsettlement involves the damages class only and does not settle the claims of the injunctive relief class or any actions brought on a non-class basis by individual merchants. The settlement provides for a cash payment to the damages class of $6.24 billion, though that amount has been reduced by $700 million based on the transaction volume of class members that opted-out from the settlement. Several merchants and merchant groups have appealed the final approval order. Additional information concerning these consolidated actions is publicly available in

court filings under the docket number MDL 05-1720 (E.D.N.Y.) (Brodie, J.).

Interest Rate and Credit Default Swap Matters
Regulatory Actions: The Commodity Futures Trading Commission (CFTC) is conducting an investigation into alleged anticompetitive conduct in the trading and clearing of interest rate swaps (IRS) by investment banks. Citigroup is cooperating with the investigation.
Antitrust and Other Litigation: Beginning in 2015, Citigroup, Citibank, CGMI, CGML, and numerous other parties were named as defendants in a number of industry-wide putative class actions related to IRS trading. These actions have been consolidated in the United States SupremeDistrict Court for the Southern District of New York under the caption IN RE INTEREST RATE SWAPS ANTITRUST LITIGATION. The complaints allege that defendants colluded to prevent the development of exchange-like trading for IRS and assert federal and state antitrust claims and claims for unjust enrichment. Also consolidated under the same caption are individual actions filed by swap execution facilities, asserting federal and state antitrust claims, as well as claims for unjust enrichment and tortious interference with business relations. Plaintiffs in all of these actions seek treble damages, fees, costs, and injunctive relief. Lead plaintiffs in the class action moved for class certification in February 2019, and subsequently filed a writ of certiorari is pending.
In the FITZSIMONS action, on February 1, 2017, the Litigation Trustee requested leave to file an interlocutory appeal of Judge Sullivan’s order dismissing the actual fraudulent transfer claim against the shareholder defendants, including several Citigroup affiliates. On February 23, 2017, Judge Sullivan entered an order stating that an interlocutory appeal will be certified after the remaining motions to dismiss are resolved.  Those motions remain pending.fourth amended complaint. Additional information concerning these actions is publicly available in court filings under the docket numbers 08-13141 (Bankr. D. Del.) (Carey, J.), 11 MD 0229618-CV-5361 (S.D.N.Y.) (Sullivan,(Oetken, J.), 12 MC 2296 (S.D.N.Y.) (Sullivan, J.), 13-3992, 13-3875, 13-4196 (2d Cir.) and 16-317 (U.S.16-MD-2704 (S.D.N.Y.) (Oetken, J.).

Credit Default Swaps Matters
AntitrustIn 2017, Citigroup, Citibank, CGMI, CGML and Other Litigation:  On June 8, 2017, a complaint wasnumerous other parties were named as defendants in an action filed in the United States District Court for the Southern District of New York against numerous credit default swap (CDS) market participants, including Citigroup, Citibank, Citigroup Global Markets Inc. (CGMI), and Citigroup Global Markets Ltd. (CGML), under the caption TERA GROUP, INC., ET AL. v. CITIGROUP, INC., ET AL. The complaint alleges that defendants colluded to prevent plaintiffs’ electronic CDSthe development of exchange-like trading platform, TeraExchange, from entering the market, resulting in lost profits to plaintiffs.  The complaintfor credit default swaps and asserts federal and state antitrust claims and claims for unjust enrichment and tortious interference with business relations. Plaintiffs seek a finding of joint and several liability, treble damages, attorneys’ fees, interest, and injunctive relief.  On September 11, 2017, defendants, including Citigroup, Citibank, CGMI, and CGML,state law tort claims. In January 2020, plaintiffs filed motions to dismiss all claims.  Additional information concerning this action is
publicly available in court filings under the docket number 17-cv-04302 (S.D.N.Y.) (Sullivan, J.).

Depositary Receipts Conversion Litigation 
Citibank was sued by a purported class of persons or entities who, from January 2000 to the present, are or were holders of depositary receipts for which Citibank served as the depositary bank and converted, or caused to be converted, foreign-currency dividends or other distributions into U.S. dollars.  On August 15, 2016, the court dismissed certain claims against Citibank as well as all claims against two of its affiliates, leaving one claim against Citibank. Plaintiffs assert that Citibank breached its deposit agreements by charging a spread for the conversions of dividends and other distributions.  On June 30, 2017, plaintiffs moved for certification of a damages class consisting of persons or entities who, from January 1, 2006 to the present, were holders of 35 depositary receipts for which Citibank served as the depositary bank and converted, or caused to be converted, foreign currency dividends or other distributions into U.S. dollars.  Plaintiffs also moved to certify an injunctive class of persons or entities who currently hold the same 35 depositary receipts.  Citibank has opposed certification.amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 918517-CV-4302 (S.D.N.Y.) (McMahon, C.(Sullivan, J.).


Foreign ExchangeParmalat Litigation
In 2004, an Italian commissioner appointed to oversee the administration of various Parmalat companies filed a complaint against Citigroup and Related Parties alleging that the defendants facilitated a number of frauds by Parmalat insiders. In 2008, a jury rendered a verdict in Citigroup’s favor and awarded Citi $431 million. Citigroup has taken steps to enforce the judgment in Italian court. In April 2019, the Italian Supreme Court affirmed the decision in the full amount of $431 million. Additional information concerning this action is publicly available in court filings under the docket numbers 27618/2014 and 10540/2019.
In 2015, Parmalat filed a claim in an Italian civil court in Milan claiming damages of €1.8 billion against Citigroup and Related Parties. The Milan court dismissed Parmalat’s claim on grounds that it was duplicative of Parmalat’s previously
unsuccessful claims. In May 2019, the Milan Court of Appeal rejected Parmalat’s appeal against the decision of the Milan court. In June 2019, Parmalat filed a further appeal with the Italian Supreme Court. Additional information concerning this action is publicly available in court filings under the docket number 20598/2019.
On January 29, 2020, Parmalat, its three directors and its sole shareholder, Sofil S.a.s., as co-plaintiffs, filed a claim before the Italian civil court in Milan seeking a declaratory judgment that they do not owe compensatory damages of €990 million to Citibank.

Payment Protection Insurance
Regulators and courts in the U.K. have scrutinized the selling of payment protection insurance (PPI) by financial institutions for several years. Citibank continues to review customer claims relating to the sale of PPI in the U.K., to grant redress in accordance with the requirements of the Financial Conduct Authority and to defend claims filed in U.K. courts. 

Sovereign Securities Matters
Regulatory Actions: Government and regulatory agencies in the U.S. and in other jurisdictions are conducting investigations or making inquiries regarding Citigroup’s foreign exchange business.sales and trading activities in connection with sovereign and other government-related securities. Citigroup is fully cooperating with these and related investigations and inquiries.
Antitrust and Other Litigation: Numerous foreign exchange dealers, including Citigroup,Citicorp, CGMI, and Citibank, are named as defendants inIn 2015, putative class actions that are proceeding on afiled against CGMI and other defendants were consolidated, basisunder the caption IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York under the caption IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION. Plaintiffs allege that they suffered losses as a result of defendants’ alleged manipulation of, and collusion with respect to, the foreign exchange market. Plaintiffs allege violations of the Commodity Exchange Act, the Sherman Act, and/or the Clayton Act, and seek compensatory damages, treble damages, and declaratory and injunctive relief.
OnYork. In December 15, 2015, the court entered an order preliminarily approving a proposed settlement between the Citi defendants and classes of plaintiffs who traded foreign exchange instruments in the spot market and on exchanges. The proposed settlement provides for the Citi defendants to receive a release in exchange for a payment of approximately $400 million. On January 12, 2018, plaintiffs moved for final approval of the settlements with the Citi defendants and several other defendants inthat case. Additional information concerning this action is available in court filings under the consolidated lead docket number 13 Civ. 7789 (S.D.N.Y.) (Schofield, J.).
On May 21, 2015, an action captioned NYPL v.

JPMORGAN CHASE & CO., ET AL. was brought in the United States District Court for the Northern District of California against Citigroup, as well as numerous other foreign exchange dealers for possible consolidation with IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION. On August 10, 2017, plaintiffs filed a third amended class action complaint in the United States District Court for the Southern District of New York naming Citibank, Citigroup, and Citicorp as defendants. Plaintiffs seek to represent a putative class of “consumers and businesses in the United States who directly purchased supracompetitive foreign currency at Benchmark exchange rates” from defendants. Plaintiffs allege claims under federal and California antitrust and consumer protection laws, and are seeking compensatory damages, treble damages, and declaratory and injunctive relief. On October 16, 2017, defendants completed briefing on their renewed motion to dismiss or to certify the court’s ruling for interlocutory appeal. Additional information concerning this action is publicly available in court filings under the docket numbers 15 Civ. 2290 (N.D. Cal.) (Chhabria, J.) and 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).
On June 3, 2015, an action captioned ALLEN v. BANK OF AMERICA CORPORATION, ET AL. was brought in the United States District Court for the Southern District of New York against Citigroup and Citibank, as well as numerous other foreign exchange dealers. Plaintiffs seek to represent a putative class of participants, beneficiaries, and named fiduciaries of qualified Employee Retirement Income Security Act (ERISA) plans for whom a defendant provided foreign exchange transactional services or authorized or permitted foreign exchange transactional services involving a plan’s assets in connection with its exercise of authority or control regarding an ERISA plan. Plaintiffs allege violations of ERISA, and seek compensatory damages, restitution, disgorgement, and declaratory and injunctive relief. On September 20, 2016, plaintiffs and settling defendants in IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION filed a joint stipulation dismissing plaintiffs’ claims with prejudice. The case is currently on appeal to the United States Court of Appeals for the Second Circuit, where briefing and argument are complete. Additional information concerning this action is publicly available in court filings under the docket numbers 13 Civ. 7789 (S.D.N.Y.) (Schofield, J.), 15 Civ. 4285 (S.D.N.Y.) (Schofield, J.), 16-3327 (2d Cir.), and 16-3571 (2d Cir.).
On June 30, 2017, plaintiffs filed a consolidated amended complaint on behalf of purported classes of indirect purchasers of foreign exchange instruments sold by the defendants, naming various financial institutions, including Citigroup, Citibank, Citicorp and CGMI as defendants, captioned CONTANT ET AL. v. BANK OF AMERICA CORPORATION ET AL. Plaintiffs allegewas filed, alleging that defendants engaged in a conspiracycolluded to fix currency prices in violationTreasury auction bids by sharing competitively sensitive information ahead of the Sherman Actauctions, and various statethat defendants colluded to boycott and prevent the emergence of an anonymous, all-to-all electronic trading platform in the Treasuries secondary market. The complaint asserts claims under antitrust laws, and seek unspecified moneyseeks damages, (includingincluding treble damages), as well as equitabledamages where authorized by statute, and injunctive relief. Additional information concerning these actions is publicly available in court filings underIn February 2018, defendants moved to dismiss the docket numbers 16 Civ. 7512 (S.D.N.Y.) (Schofield,
J.), 17 Civ. 4392 (S.D.N.Y.) (Schofield, J.), and 17 Civ. 3139 (S.D.N.Y.) (Schofield, J.).

Interbank Offered Rates-Related Litigation and Other Matters
Regulatory Actions: A consortium of state attorneys general is conducting an investigation regarding submissions made by panel banks to bodies that publish various interbank offered rates and other benchmark rates. As a member of a number of such panels, Citigroup has received requests for information and documents. Citigroup is cooperating with the investigation and is responding to the requests.
Antitrust and Other Litigation: Citigroup and Citibank, along with other U.S. Dollar (USD) LIBOR panel banks, are defendants in a multi-district litigation (MDL) proceeding before the United States District Court for the Southern District of New York captioned IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION (the LIBOR MDL). On July 27, 2017, Citigroup and Citibank executed a settlement with one class (investors who transacted in Eurodollar futures or options on exchanges), pursuant to which the Citi defendants agreed to pay $33.4 million. On October 6, 2017, Citigroup and Citibank agreed to pay $130 million pursuant to its settlement with the largest plaintiffs’ class (investors who purchased over-the-counter (OTC) derivatives from USD LIBOR panel banks) in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION.
On January 10, 2018, Citigroup and Citibank executed a settlement agreement with another class (lending institutions with interests in loans tied to USD LIBOR) pursuant to which the Citi defendants will pay $23 million. Additional information concerning these actions and related actions and appeals is publicly available in court filings under the docket numbers 11 MD 2262 (S.D.N.Y.) (Buchwald, J.) and 17-1569 (2d Cir.).
On August 13, 2015, plaintiffs in the class action SULLIVAN v. BARCLAYS PLC, ET AL., pending in the United States District Court for the Southern District of New York, filed a fourth amended complaint naming Citigroup and Citibank as defendants. Plaintiffs claim to have suffered losses as a result of purported EURIBOR manipulation and assert claims under the Commodity Exchange Act, the Sherman Act and the federal civil Racketeer Influenced and Corrupt Organizations (RICO) Act and for unjust enrichment. On February 21, 2017, the court granted in part and denied in part defendants’ motion to dismiss.complaint. Additional information concerning this action is publicly available in court filings under the docket number 13 Civ. 281115-MD-2673 (S.D.N.Y.) (Castel,(Gardephe, J.).
On July 1,In 2016 a putativeand 2017, class action captioned FRONTPOINT ASIAN EVENT DRIVEN FUND, LTD. ET AL v. CITIBANK, N.A. ET AL. wasactions by direct purchasers of supranational, sub-sovereign and agency (SSA) bonds filed against Citigroup, Citibank, CGMI, CGML and other defendants were consolidated, under the caption IN RE SSA BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York against Citibank, CitigroupYork. In November 2018, a second amended consolidated complaint was filed, alleging that defendants, as market makers and various other banks. Plaintiffs asserttraders of SSA bonds, colluded to fix the price at which they bought and sold SSA bonds in the secondary market. The complaint asserts claims for violation ofunder the Sherman Act, Clayton Actantitrust laws and RICO Act, as well as state law claims for alleged manipulation of the Singapore Interbank Offered Rateunjust enrichment, and Singapore Swap Offer Rate. On August 18, 2017,seeks damages, including treble damages where authorized by statute, and disgorgement. In September 2019, the court granted in part the defendants’ motion to dismiss dismissing all claims againstcertain

foreign bank defendants, antitrust claims asserted by one of the two named plaintiffs, and all RICO, implied covenant, and unjust enrichment claims. The court allowed one antitrust claim to proceed against the U.S. bank defendants, including Citigroup and Citibank. Plaintiffs filed an amended complaint on September 18, 2017. On October 18, 2017, defendants filed a motion to dismiss the amended complaint.CGML. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 52633711 (S.D.N.Y.) (Hellerstein,(Ramos, J.).
On December 26, 2016, Banque DelubacFebruary 7, 2019, a putative class action, captioned STACHON v. BANK OF AMERICA N.A., ET AL., was filed a summons against Citigroup, Citibank, CGMI, CGML and Citigroup Europe Plc beforeother defendants, captioned STACHON v. BANK OF AMERICA N.A., ET AL., in the CommercialUnited States District Court for the Southern District of Aubenas, France alleging that defendants suppressed its LIBOR submissions between 2005New York. Plaintiffs assert claims under New York antitrust laws based on the same conduct alleged in IN RE SSA BONDS ANTITRUST LITIGATION and 2012,seek treble damages and that Banque Delubac’s EURIBOR-linked lending activity was negatively impacted asinjunctive relief. The action is currently stayed pending a result. Plaintiff is seeking compensatory damages for lossesdecision on LIBOR-linked loansthe remaining motion to customers and for alleged consequential losses to its business.dismiss in IN RE SSA BONDS ANTITRUST LITIGATION. Additional information concerning this action is publicly available in court filings under the case reference SCS BANQUE DELUBAC & CIEdocket number 19 Civ. 01205 (S.D.N.Y.) (Swain, J.).
In 2017, a class action related to the SSA bond market was filed in the Ontario Court of Justice in Canada, against Citigroup, Citibank, CGMI, CGML, Citibank Canada, Citigroup Global Markets Canada, Inc. and other defendants, asserting plaintiff claims under breach of contract, breach of the competition act, breach of foreign law, unjust enrichment and civil conspiracy. Plaintiffs seek compensatory and punitive damages and declaratory relief. Additional information concerning this action is publicly available in court filings under the docket number CV-17-586082-00CP (Ont. S.C.J.).
In 2017, purchasers of SSA bonds filed a similar action against Citigroup, Citibank, CGMI, CGML, Citibank Canada, Citigroup Global Markets Canada, Inc. and other defendants, captioned JOSEPH MANCINELLI, ET AL. v. CITIGROUP INC.BANK OF AMERICA CORPORATION, ET AL.,Commercial in the Federal Court in Canada. In October 2019, plaintiffs filed an amended claim. Plaintiffs allege that defendants manipulated, and colluded to manipulate, the SSA bonds market. Plaintiffs assert claims under breach of Aubenas, RG no. 2017J00043.the competition law, breach of foreign law, civil conspiracy, unjust enrichment, waiver of tort and breach of contract. Additional information concerning this action is publicly available in court filings under the docket number T-1871-17 (Fed. Ct.).

On September 10, 2019, plaintiffs filed a third consolidated amended complaint against CGMI and other defendants, under the caption IN RE GSE BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants conspired to manipulate the market for bonds issued by U.S. government-sponsored agencies. Plaintiffs assert a claim under the Sherman Act, and seek treble damages and injunctive relief. In December 2019, plaintiffs moved for preliminary approval of a settlement with CGMI and 11 other defendants. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 1704 (S.D.N.Y.) (Rakoff, J.).
On September 23, 2019, the State of Louisiana filed an action against CGMI and other defendants, captioned STATE OF LOUISIANA v. BANK OF AMERICA, N.A., ET AL., in the United States District Court for the Middle District of Louisiana. Plaintiff alleges that defendants conspired to
manipulate the market for bonds issued by U.S. government-sponsored agencies. Plaintiff asserts a claim against defendants for a violation of the Sherman Act, and seeks treble damages and injunctive relief. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 638 (M.D. La.) (Dick, C.J.).
On October 21, 2019, the City of Baton Rouge and related plaintiffs filed a substantially similar action against CGMI and other defendants, captioned CITY OF BATON ROUGE, ET AL. v. BANK OF AMERICA, N.A., ET AL., in the United States District Court for the Middle District of Louisiana. Plaintiffs allege that defendants conspired to manipulate the market for U.S. government-sponsored agencies bonds. Plaintiffs assert a claim under the Sherman Act, and seek treble damages and injunctive relief. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 725 (M.D. La.) (Dick, C.J.).
In 2018, a putative class action was filed against Citigroup, CGMI, Citigroup Financial Products Inc., Citigroup Global Markets Holdings Inc., Citibanamex, Grupo Banamex and other banks, captioned IN RE MEXICAN GOVERNMENT BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants colluded in the Mexican sovereign bond market. In September 2019, the court granted defendants’ motion to dismiss. Subsequently, plaintiffs filed an amended complaint against Citibanamex and other market makers in the Mexican sovereign bond market. Plaintiffs no longer assert any claims against Citigroup and any other Citi affiliates. The amended complaint alleges a conspiracy to fix prices in the Mexican sovereign bond market from January 1, 2006 to April 19, 2017, and asserts antitrust and unjust enrichment claims, and seek treble damages, restitution and injunctive relief. Additional information concerning this consolidated action is publicly available in court filings under the docket number 18 Civ. 2830 (S.D.N.Y.) (Oetken, J.).

Transaction Tax Matters
Citigroup and Citibank are engaged in litigation or examinations with tax authorities in India and Germany concerning the payment of transaction taxes and other non-income tax matters.

Interchange Fee Litigation
Beginning in 2005, several putative class actions were filed against Citigroup, Citibank and Related Parties,Citicorp, together with Visa, MasterCard and other banks and their affiliates, in various federal district courts and consolidated with other related individual cases in a multi-district litigation proceeding in the
United States District Court for the Eastern District of New York (Interchange MDL).York. This proceeding is captioned IN RE PAYMENT CARD INTERCHANGE FEE AND MERCHANT DISCOUNT ANTITRUST LITIGATION.
The plaintiffs, merchants that accept Visa and MasterCard branded payment cards as well as various membership associations that claim to represent certain groups of merchants, allege, among other things, that defendants have engaged in conspiracies to set the price of interchange and merchant discount fees on credit and debit card transactions and to restrain trade unreasonably through various Visa and MasterCard rules governing merchant conduct, all in violation of Section 1 of the Sherman Act and certain California statutes. Plaintiffs further alleged violations of Section 2 of the Sherman Act. Supplemental complaints also have beenwere filed against defendants in the putative class actions alleging that Visa’s and MasterCard’s respective initial public offerings were anticompetitive and violated Section 7 of the Clayton Act, and that MasterCard’s initial public offering constituted a fraudulent conveyance.
On January 14,In 2014, the district court entered a final judgment approving the terms of a class settlement providing for, among other things, a totalcash payment to the class of $6.05 billion; a rebate to merchants participating in the damages class settlement of 10 bps on interchange collected for a period of eight months by the Visa and MasterCard networks; and changes to certain network rules. Various objectors appealed from the final class settlement approval order to the United States Court of Appeals for the Second Circuit.
On June 30,In 2016, the Court of Appeals reversed the district court’s approval of the class settlement and remanded for further proceedings. Additional information concerning
these consolidated actionsThe district court thereafter appointed separate interim counsel for a putative class seeking damages and a putative class seeking injunctive relief. Amended or new complaints on behalf of the appeal is publicly available in court filings under the docket numbers MDL 05-1720 (E.D.N.Y.) (Brodie, J.), 12-4671 (2d Cir.)putative classes and 16-710 (U.S. Supreme Court).
various individual merchants were subsequently filed, including a further amended complaint on behalf of a putative damages class and a new complaint on behalf of a putative injunctive class, both of which named Citigroup and Related Parties. In addition, following the district court’s approval of the class settlement, and during the pendency of appeals from that approval, numerous merchants including large national merchants, requested exclusion from the portion of the now vacated settlement involving a settlement class certified with respect to damages claims for past conduct, and some of those opting outhave filed amended or new complaints against Visa, MasterCard, and in some instances one or more issuing banks. OneThree of these suits, suits—7-ELEVEN, INC., ET AL. v. VISA INC., ET AL.; ROUNDY’S SUPERMARKETS, INC. v. VISA INC. ET AL.; and LUBY’S FUDDRUCKERS RESTAURANTS, LLC, v. VISA INC., ET AL—brought on behalf of numerous individual merchants, namesname Citigroup and affiliates as defendants.
On December 13, 2019, the district court granted the damages class plaintiffs’ motion for final approval of a defendant.new settlement with the defendants. The settlement involves the damages class only and does not settle the claims of the injunctive relief class or any actions brought on a non-class basis by individual merchants. The settlement provides for a cash payment to the damages class of $6.24 billion, though that amount has been reduced by $700 million based on the transaction volume of class members that opted-out from the settlement. Several merchants and merchant groups have appealed the final approval order. Additional information concerning these consolidated actions is publicly available in

court filings under the docket number MDL 05-1720 (E.D.N.Y.) (Brodie, J.).


Interest Rate Swapsand Credit Default Swap Matters
Regulatory Actions: Actions: The Commodity Futures Trading Commission (CFTC) is conducting an investigation into alleged anticompetitive conduct in the trading and clearing of interest rate swaps (IRS) by investment banks. Citigroup is cooperating with the investigation.
Antitrust and Other Litigation: Litigation: Beginning in November 2015, numerous interest rate swap (IRS) market participants, including Citigroup, Citibank, CGMI, CGML, and CGML,numerous other parties were named as defendants in a number of industry-wide putative class actions.actions related to IRS trading. These actions have been consolidated in the United States District Court for the Southern District of New York under the caption IN RE INTEREST RATE SWAPS ANTITRUST LITIGATION. Plaintiffs in these actionsThe complaints allege that defendants colluded to prevent the development of exchange-like trading for IRS thereby causing the putative classes to suffer losses in connection with their IRS transactions. Plaintiffsand assert federal and state antitrust claims and claims for unjust enrichment. Also consolidated under the same caption are two individual actions filed by swap execution facilities, asserting federal and state antitrust claims, as well as claims for unjust enrichment and tortious interference with business relations. Plaintiffs in all of these actions seek treble damages, fees, costs, and injunctive relief.
On July 28, 2017, Lead plaintiffs in the district court grantedclass action moved for class certification in partFebruary 2019, and denied in part defendants’ motions to dismiss.subsequently filed a fourth amended complaint. Additional information concerning these actions is publicly available in court filings under the docket numbernumbers 18-CV-5361 (S.D.N.Y.) (Oetken, J.) and 16-MD-2704 (S.D.N.Y.) (Engelmayer,(Oetken, J.).

Money Laundering Inquiries
Regulatory Actions: In 2017, Citigroup, Citibank, has received subpoenas from the United States Attorney for the Eastern District of New YorkCGMI, CGML and numerous other parties were named as defendants in connection with its investigation of alleged bribery, corruption and money laundering associated with the Fédération Internationale de Football Association (FIFA), and the potential involvement of financial institutions in that activity. The subpoenas request information relating to, among other things, banking relationships and transactions at Citibank and its affiliates associated with certain individuals and entities identified as having had involvement with the alleged corrupt conduct. Citi is cooperating with the authorities in this matter.

Oceanografía Fraud and Related Matters
Regulatory Actions: As a result of Citigroup’s announcement in the first quarter of 2014 of a fraud discovered in a Petróleos Mexicanos (Pemex) supplier program involving Oceanografía S.A. de C.V. (OSA), a Mexican oil services company and a key supplier to Pemex, the SEC commenced a formal investigation and the U.S. Department of Justice requested information regarding Banamex’s dealings with OSA. The SEC inquiry has included requests for documents and witness testimony. Citi continues to cooperate fully with these inquiries.
Other Litigation: On February 26, 2016, a complaint wasan action filed against Citigroup in the United States District Court for the Southern District of Florida alleging that it conspired with Oceanografía, S.A. de C.V. (OSA) and others with respect to receivable financings and other financing arrangements related to OSA in a manner that injured bondholders and other creditors of OSA. The complaint asserts claims on behalf of 39 plaintiffs that are characterized in the complaint variously as trade creditors of, investors in, or lenders to OSA. Plaintiffs collectively claim to have lost $1.1 billion as a result of OSA’s bankruptcy. The complaint asserts claims under the federal civil RICO law and seeks treble damages and other relief pursuant to that statute. The complaint also asserts claims for fraud and breach of fiduciary duty.
On August 23, 2016, plaintiffs filed an amended complaint adding common law claims for fraud, aiding and abetting fraud, and conspiracy on behalf of all plaintiffs. Citigroup has moved to dismiss the amended complaint. On January 30, 2018, the court granted Citigroup’s motion to dismiss. Additional information concerning this action is publicly available in court filings under the docket number 16-20725 (S.D. Fla.) (Gayles, J.).
On February 27, 2017, a complaint was filed against Citigroup in the United States District Court for the Southern District of New York by Oceanografía S.A. de C.V. (OSA) and its controlling shareholder, Amado Yáñez Osuna.under the caption TERA GROUP, INC., ET AL. v. CITIGROUP, INC., ET AL. The complaint alleges that plaintiffs were injured when Citigroup made certain public statements about receivable financingsdefendants colluded to prevent the development of exchange-like trading for credit default swaps and other financing arrangements related to OSA. The complaint asserts federal and state antitrust claims for malicious prosecution and tortious interference with existing and prospective business relationships. On December 4, 2017,state law tort claims. In January 2020, plaintiffs filed an amended complaint adding CGMI, Citibank and Banco Nacional de México, or Banamex, as defendants and adding causes of action for fraud and breach of contract.  Citigroup has moved to dismiss the amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 1:17-cv-0143417-CV-4302 (S.D.N.Y.) (Sullivan, J.).


Parmalat Litigation
On July 29,In 2004, Dr. Enrico Bondi, the Extraordinary Commissioneran Italian commissioner appointed under Italian law to oversee the administration of various Parmalat companies filed a complaint in New Jersey state court against Citigroup and Related Parties alleging among other things, that the defendants “facilitated”facilitated a number of frauds by Parmalat
insiders. On October 20,In 2008, following trial, a jury rendered a verdict in Citigroup’s favor on Parmalat’s claims and in favor of Citibank on three counterclaims, awardingawarded Citi $431 million. ParmalatCitigroup has exhausted all appeals, andtaken steps to enforce the judgment is now final.in Italian court. In April 2019, the Italian Supreme Court affirmed the decision in the full amount of $431 million. Additional information concerning this action is publicly available in court filings under the docket number A-2654-08T2 (N.J. Sup. Ct.). Citigroup has taken steps to enforce that judgment in the Italian courts. On August 29, numbers 27618/2014 the Court of Appeal of Bologna affirmed the decision in the full amount of $431 million, to be paid in Parmalat shares. Parmalat appealed the judgment to the Italian Supreme Court.and 10540/2019.
On June 16,In 2015, Parmalat filed a claim in an Italian civil court in Milan claiming damages of €1.8 billion against Citigroup and Related Parties. On January 25, 2018, theThe Milan court dismissed Parmalat’s claim on grounds that it was duplicative of Parmalat’s previously
unsuccessful New Jersey claims.

Referral Hiring Practices Investigations
Government and regulatory agencies in In May 2019, the U.S., includingMilan Court of Appeal rejected Parmalat’s appeal against the SEC, are conducting investigations or making inquiries concerning compliance withdecision of the Foreign Corrupt Practices Act and other laws with respect to the hiring of candidates referred by or related to foreign government officials. Citigroup is cooperating with the investigations and inquiries.

Shareholder Derivative Litigation
On March 30, 2016, a derivative action captioned OKLAHOMA FIREFIGHTERS PENSION & RETIREMENT SYSTEM, ET AL. v. CORBAT, ET AL. was filed in the Delaware Chancery Court on behalf of Citigroup (as nominal defendant) against certain of Citigroup’s present and former directors and officers. Plaintiffs assert claims for breach of fiduciary duty and waste of corporate assets in connection with defendants’ alleged failure to exercise appropriate oversight and management of Bank Secrecy Act and anti-money laundering laws and regulations and related consent decrees concerning Citigroup subsidiaries, Banamex and Banamex USA (BUSA) as well as defendants’ alleged failures to implement adequate internal controls and exercise adequate oversight with respect to Citigroup subsidiaries’ participation in foreign exchange markets and credit card practices. On December 18, 2017, the court granted the defendants’ motion to dismiss plaintiffs’ amended supplemental complaint. On January 17, 2018, plaintiffsMilan court. In June 2019, Parmalat filed a motion to reopen the judgment and for leave to file a second amended complaint in the Delaware Chancery Court, as well as anfurther appeal with the DelawareItalian Supreme Court. Additional information concerning this action is publicly available in court filings under the docket numbers C.A. No. 12151-VCG (Del. Ch.) (Glasscock, Ch.)number 20598/2019.
On January 29, 2020, Parmalat, its three directors and 32,2018 (Del.).its sole shareholder, Sofil S.a.s., as co-plaintiffs, filed a claim before the Italian civil court in Milan seeking a declaratory judgment that they do not owe compensatory damages of €990 million to Citibank.


Payment Protection Insurance
Regulators and courts in the U.K. have scrutinized the selling of payment protection insurance (PPI) by financial institutions for several years. Citibank continues to review customer claims relating to the sale of PPI in the U.K., to grant redress in accordance with the requirements of the Financial Conduct Authority and to defend claims filed in U.K. courts. 

Sovereign Securities Matters
Regulatory Actions: Government and regulatory agencies in the U.S. and in other jurisdictions are conducting investigations or making inquiries regarding Citigroup’s sales and trading activities in connection with sovereign and other government-related securities. Citigroup is fully cooperating with these investigations and inquiries.

Antitrust and Other Litigation: Beginning in JulyIn 2015, CGMI and numerous other U.S. Treasury primary dealer banks were named as defendants in a number of substantially similar putative class actions involving allegations that they colluded to manipulate U.S. Treasury securities markets. In December 2015,filed against CGMI and other defendants were consolidated, under the cases were consolidatedcaption IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York by the Judicial Panel on Multidistrict Litigation. On August 23,York. In December 2017, the court appointed interim co-lead counsel.
Plaintiffs filed a consolidated amended complaint on November 16, 2017, which allegeswas filed, alleging that CGMI and other primary dealer defendants colluded to fix Treasury auction bids by sharing competitively sensitive information ahead of the auctions, in violation of the antitrust laws. The consolidated complaint also allegesand that CGMI and other primary dealer defendants colluded to boycott and prevent the emergence of an anonymous, all-to-all electronic trading platform in the Treasuries secondary market,market. The complaint asserts claims under antitrust laws, and seeks damages, including treble damages where authorized by statute, and injunctive relief. In February 2018, defendants moved to dismiss the complaint. Additional information relating toconcerning this action is publicly available in court filings under the docket number 15-MD-2673 (S.D.N.Y.) (Gardephe, J.).
Beginning in MayIn 2016 a numberand 2017, class actions by direct purchasers of substantially similar putative class action complaints were filed against a number of financial institutions and traders related to the supranational, sub-sovereign and agency (SSA) bond market. The actions are based upon defendants’ roles as market makersbonds filed against Citigroup, Citibank, CGMI, CGML and traders of SSA bonds and assert claims of alleged collusionother defendants were consolidated, under the antitrust laws and unjust enrichment and seek damages, including treble damages where authorized by statute, and disgorgement. In August 2016, these actions were consolidatedcaption IN RE SSA BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York, and interim co-lead counsel was appointed in December 2016.
Plaintiffs filedYork. In November 2018, a consolidated complaint on April 7, 2017 that names Citigroup, Citibank, CGMI and CGML among the defendants. Plaintiffs filed ansecond amended consolidated complaint on October 6, 2017,was filed, alleging that defendants, as market makers and defendants filed motionstraders of SSA bonds, colluded to fix the price at which they bought and sold SSA bonds in the secondary market. The complaint asserts claims under the antitrust laws and unjust enrichment, and seeks damages, including treble damages where authorized by statute, and disgorgement. In September 2019, the court granted defendants’ motion to dismiss on December 12, 2017.certain

defendants, including CGML. Additional information relating toconcerning this action is publicly available in court filings under the docket number 16-cv-0371116 Civ. 3711 (S.D.N.Y.) (Ramos, J.).
On NovemberFebruary 7, 2019, a putative class action, captioned STACHON v. BANK OF AMERICA N.A., ET AL., was filed against Citigroup, Citibank, CGMI, CGML and other defendants, captioned STACHON v. BANK OF AMERICA N.A., ET AL., in the United States District Court for the Southern District of New York. Plaintiffs assert claims under New York antitrust laws based on the same conduct alleged in IN RE SSA BONDS ANTITRUST LITIGATION and seek treble damages and injunctive relief. The action is currently stayed pending a decision on the remaining motion to dismiss in IN RE SSA BONDS ANTITRUST LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 01205 (S.D.N.Y.) (Swain, J.).
In 2017, a class action related to the SSA bond market was filed in the Ontario Court of Justice in Canada, against Citigroup, Citibank, CGMI, CGML, Citibank Canada, and Citigroup Global Markets Canada, Inc., among and other defendants, asserting plaintiff claims forunder breach of contract, breach of the competition act, breach of foreign law, unjust enrichment and civil conspiracy. Plaintiffs seek compensatory and punitive damages as well asand declaratory relief. Additional information relating toconcerning this action is publicly available in court filings under the docket number CV-17-586082-00CP (Ont. S.C.J.).
In 2017, purchasers of SSA bonds filed a similar action against Citigroup, Citibank, CGMI, CGML, Citibank Canada, Citigroup Global Markets Canada, Inc. and other defendants, captioned JOSEPH MANCINELLI, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., in the Federal Court in Canada. In October 2019, plaintiffs filed an amended claim. Plaintiffs allege that defendants manipulated, and colluded to manipulate, the SSA bonds market. Plaintiffs assert claims under breach of the competition law, breach of foreign law, civil conspiracy, unjust enrichment, waiver of tort and breach of contract. Additional information concerning this action is publicly available in court filings under the docket number T-1871-17 (Fed. Ct.).
On September 10, 2019, plaintiffs filed a third consolidated amended complaint against CGMI and other defendants, under the caption IN RE GSE BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants conspired to manipulate the market for bonds issued by U.S. government-sponsored agencies. Plaintiffs assert a claim under the Sherman Act, and seek treble damages and injunctive relief. In December 2019, plaintiffs moved for preliminary approval of a settlement with CGMI and 11 other defendants. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 1704 (S.D.N.Y.) (Rakoff, J.).
On September 23, 2019, the State of Louisiana filed an action against CGMI and other defendants, captioned STATE OF LOUISIANA v. BANK OF AMERICA, N.A., ET AL., in the United States District Court for the Middle District of Louisiana. Plaintiff alleges that defendants conspired to
manipulate the market for bonds issued by U.S. government-sponsored agencies. Plaintiff asserts a claim against defendants for a violation of the Sherman Act, and seeks treble damages and injunctive relief. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 638 (M.D. La.) (Dick, C.J.).
On October 21, 2019, the City of Baton Rouge and related plaintiffs filed a substantially similar action against CGMI and other defendants, captioned CITY OF BATON ROUGE, ET AL. v. BANK OF AMERICA, N.A., ET AL., in the United States District Court for the Middle District of Louisiana. Plaintiffs allege that defendants conspired to manipulate the market for U.S. government-sponsored agencies bonds. Plaintiffs assert a claim under the Sherman Act, and seek treble damages and injunctive relief. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 725 (M.D. La.) (Dick, C.J.).
In 2018, a putative class action was filed against Citigroup, CGMI, Citigroup Financial Products Inc., Citigroup Global Markets Holdings Inc., Citibanamex, Grupo Banamex and other banks, captioned IN RE MEXICAN GOVERNMENT BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants colluded in the Mexican sovereign bond market. In September 2019, the court granted defendants’ motion to dismiss. Subsequently, plaintiffs filed an amended complaint against Citibanamex and other market makers in the Mexican sovereign bond market. Plaintiffs no longer assert any claims against Citigroup and any other Citi affiliates. The amended complaint alleges a conspiracy to fix prices in the Mexican sovereign bond market from January 1, 2006 to April 19, 2017, and asserts antitrust and unjust enrichment claims, and seek treble damages, restitution and injunctive relief. Additional information concerning this consolidated action is publicly available in court filings under the docket number 18 Civ. 2830 (S.D.N.Y.) (Oetken, J.).

Transaction Tax Matters
Citigroup and Citibank are engaged in litigation or examinations with tax authorities in India and Germany concerning the payment of transaction taxes and other non-income tax matters.

Tribune Company Bankruptcy
Certain Citigroup affiliates (along with numerous other parties) have been named as defendants in adversary proceedings related to the Chapter 11 cases of Tribune Company (Tribune) filed in the United States Bankruptcy Court for the District of Delaware, asserting claims arising out of the approximately $11 billion leveraged buyout of Tribune in 2007. The actions were consolidated as IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION and transferred to the United States District Court for the Southern District of New York.
In the adversary proceeding captioned KIRSCHNER v. FITZSIMONS, ET AL., the litigation trustee, as successor plaintiff to the unsecured creditors committee, seeks to avoid and recover as actual fraudulent transfers the transfers of Tribune stock that occurred as a part of the leveraged buyout.

Several Citigroup affiliates, along with numerous other parties, were named as shareholder defendants and were alleged to have tendered Tribune stock to Tribune as a part of the buyout. In 2017, the United States District Court for the Southern District of New York dismissed the actual fraudulent transfer claim against the shareholder defendants, including the Citigroup affiliates. In July 2019, the litigation trustee filed an appeal to the United States Court of Appeals for the Second Circuit.
Several Citigroup affiliates, along with numerous other parties, are named as defendants in certain actions brought by Tribune noteholders, which seek to recover the transfers of Tribune stock that occurred as a part of the leveraged buyout, as state-law constructive fraudulent conveyances. The noteholders’ claims were previously dismissed and the dismissal was affirmed on appeal. In May 2018, the United States Court of Appeals for the Second Circuit withdrew its 2016 transfer of jurisdiction to the district court to reconsider its decision in light of a recent United States Supreme Court decision. In December 2019, the Court of Appeals issued an amended decision again affirming the dismissal. In January 2020, the noteholders filed a petition for rehearing.
Citigroup Global Markets Inc. (CGMI) was named as a defendant in a separate action in connection with its role as advisor to Tribune. In January 2019, the court dismissed the action, which the litigation trustee has appealed to the United States Court of Appeals for the Second Circuit.
Additional information concerning these actions is publicly available in court filings under the docket numbers 08-13141 (Bankr. D. Del.) (Carey, J.), 11 MD 02296 (S.D.N.Y.) (Cote, J.), 12 MC 2296 (S.D.N.Y.) (Cote, J.), 13-3992 (2d Cir.), 19-0449 (2d Cir.), 19-3049 (2d Cir.) and 16-317 (U.S.).

Variable Rate Demand Obligation Litigation
On May 31, 2019, plaintiffs in the consolidated actions CITY OF PHILADELPHIA v. BANK OF AMERICA CORP., ET AL. and MAYOR AND CITY COUNCIL OF BALTIMORE v. BANK OF AMERICA CORP., ET AL. filed a consolidated complaint naming as defendants Citigroup, Citibank, CGMI, CGML and numerous other industry participants. The consolidated complaint asserts violations of the Sherman Act, as well as claims for breach of contract, breach of fiduciary duty, and unjust enrichment, and seeks damages and injunctive relief based on allegations that defendants served as remarketing agents for municipal bonds called variable rate demand obligations (VRDOs) and colluded to set artificially high VRDO interest rates. In July 2019, defendants filed a motion to dismiss the consolidated complaint. Additional information concerning these actions is publicly available in court filings under the docket numbers 19-CV-1608 (S.D.N.Y.) (Furman, J.) and 19-CV-2667 (S.D.N.Y.) (Furman, J.).
Settlement Payments
Payments required in settlement agreements described above have been made or are covered by existing litigation accruals.











28.   CONDENSED CONSOLIDATING FINANCIAL STATEMENTS


Citigroup amended its Registration Statement on Form S-3 on file with the SEC (File No. 33-192302) to add its wholly owned subsidiary, Citigroup Global Markets Holdings Inc. (CGMHI), as a co-registrant. Any securities issued by CGMHI under the Form S-3 will be fully and unconditionally guaranteed by Citigroup.
The following are the Condensed Consolidating Statements of Income and Comprehensive Income for the years ended December 31, 2017, 20162019, 2018 and 2015,2017, Condensed Consolidating Balance Sheet as of December 31, 20172019 and 20162018 and Condensed Consolidating Statement of Cash Flows for the years ended December 31, 2017, 20162019, 2018 and 20152017 for Citigroup Inc., the parent holding company (Citigroup parent company), CGMHI, other Citigroup subsidiaries and eliminations and total consolidating adjustments. “Other Citigroup subsidiaries and eliminations” includes all other subsidiaries of Citigroup, intercompany eliminations and income (loss) from discontinued operations. “Consolidating adjustments” includes Citigroup parent company elimination of distributed and undistributed income of subsidiaries and investment in subsidiaries.
These Condensed Consolidating Financial Statements have been prepared and presented in accordance with SEC Regulation S-X Rule 3-10, “Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered.”
These Condensed Consolidating Financial Statements schedules are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole.




 



































































Condensed Consolidating Statements of Income and Comprehensive Income
 Year ended December 31, 2019
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Revenues     
Dividends from subsidiaries$23,347
$—
$—
$(23,347)$—
Interest revenue—
10,661
65,849
—
76,510
Interest revenue—intercompany5,091
1,942
(7,033)—
—
Interest expense4,949
7,010
17,204
—
29,163
Interest expense—intercompany1,038
4,243
(5,281)—
—
Net interest revenue$(896)$1,350
$46,893
$—
$47,347
Commissions and fees$—
$5,265
$6,481
$—
$11,746
Commissions and fees—intercompany(21)354
(333)—
—
Principal transactions(2,537)277
11,152
—
8,892
Principal transactions—intercompany1,252
2,464
(3,716)—
—
Other income767
832
4,702
—
6,301
Other income—intercompany(55)102
(47)—
—
Total non-interest revenues$(594)$9,294
$18,239
$—
$26,939
Total revenues, net of interest expense$21,857
$10,644
$65,132
$(23,347)$74,286
Provisions for credit losses and for benefits and claims$—
$—
$8,383
$—
$8,383
Operating expenses  
  
Compensation and benefits$32
$4,680
$16,721
$—
$21,433
Compensation and benefits—intercompany134
—
(134)—
—
Other operating(16)2,326
18,259
—
20,569
Other operating—intercompany20
2,410
(2,430)—
—
Total operating expenses$170
$9,416
$32,416
$—
$42,002
Equity in undistributed income of subsidiaries$(3,620)$—
$—
$3,620
$—
Income (loss) from continuing operations before income taxes$18,067
$1,228
$24,333
$(19,727)$23,901
Provision (benefit) for income taxes(1,334)176
5,588
—
4,430
Income (loss) from continuing operations$19,401
$1,052
$18,745
$(19,727)$19,471
Income (loss) from discontinued operations, net of taxes—
—
(4)—
(4)
Net income before attribution of noncontrolling interests$19,401
$1,052
$18,741
$(19,727)$19,467
Noncontrolling interests—
—
66
—
66
Net income (loss)$19,401
$1,052
$18,675
$(19,727)$19,401
Comprehensive income  

  
Add: Other comprehensive income (loss)$852
$(651)$1,600
$(949)$852
Total Citigroup comprehensive income (loss)$20,253
$401
$20,275
$(20,676)$20,253
Add: Other comprehensive income attributable to noncontrolling interests$—
$—
$—
$—
$—
Add: Net income attributable to noncontrolling interests—
—
66
—
66
Total comprehensive income (loss)$20,253
$401
$20,341
$(20,676)$20,319
 Year ended December 31, 2017
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$22,499
 $—
 $—
 $(22,499) $—
Interest revenue1
 5,274
 55,929
 —
 61,204
Interest revenue—intercompany3,972
 1,178
 (5,150) —
 —
Interest expense4,766
 2,340
 9,411
 —
 16,517
Interest expense—intercompany829
 2,297
 (3,126) —
 —
Net interest revenue$(1,622) $1,815
 $44,494
 $—
 $44,687
Commissions and fees$—
 $5,139
 $7,800
 $—
 $12,939
Commissions and fees—intercompany(2) 182
 (180) —
 —
Principal transactions1,654
 1,019
 6,495
 —
 9,168
Principal transactions—intercompany934
 1,200
 (2,134) —
 —
Other income(2,581) 855
 6,381
 —
 4,655
Other income—intercompany5
 158
 (163) —
 —
Total non-interest revenues$10
 $8,553
 $18,199
 $—
 $26,762
Total revenues, net of interest expense$20,887
 $10,368
 $62,693
 $(22,499) $71,449
Provisions for credit losses and for benefits and claims$—
 $—
 $7,451
 $—
 $7,451
Operating expenses
 
 
 
 
Compensation and benefits$(107) $4,403
 $16,885
 $—
 $21,181
Compensation and benefits—intercompany120
 —
 (120) —
 —
Other operating(318) 1,776
 18,598
 —
 20,056
Other operating—intercompany(35) 2,219
 (2,184) —
 —
Total operating expenses$(340) $8,398
 $33,179
 $—
 $41,237
Equity in undistributed income of subsidiaries$(18,847) $—
 $—
 $18,847
 $—
Income (loss) from continuing operations before income taxes$2,380
 $1,970
 $22,063
 $(3,652) $22,761
Provision (benefit) for income taxes$9,178
 $873
 $19,337
 $—
 $29,388
Income (loss) from continuing operations$(6,798) $1,097
 $2,726
 $(3,652) $(6,627)
Loss from discontinued operations, net of taxes—
 —
 (111) —
 (111)
Net income (loss) before attribution of noncontrolling interests$(6,798) $1,097
 $2,615
 $(3,652) $(6,738)
Noncontrolling interests—
 (1) 61
 —
 60
Net income (loss)$(6,798) $1,098
 $2,554
 $(3,652) $(6,798)
Comprehensive income

 

 

 

 

Add: Other comprehensive income (loss)$(2,791) $(117) $(5,969) $6,086
 $(2,791)
Total Citigroup comprehensive income (loss)$(9,589)
$981

$(3,415)
$2,434

$(9,589)
Add: Other comprehensive income (loss) attributable to noncontrolling interests$—

$—

$114

$—

$114
Add: Net income attributable to noncontrolling interests—

(1)
61

—

60
Total comprehensive income (loss)$(9,589)
$980

$(3,240)
$2,434

$(9,415)


Condensed Consolidating Statements of Income and Comprehensive Income
 Year ended December 31, 2018
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Revenues     
Dividends from subsidiaries$22,854
$—
$—
$(22,854)$—
Interest revenue67
8,732
62,029
—
70,828
Interest revenue—intercompany4,933
1,659
(6,592)—
—
Interest expense4,783
5,430
14,053
—
24,266
Interest expense—intercompany1,198
3,539
(4,737)—
—
Net interest revenue$(981)$1,422
$46,121
$—
$46,562
Commissions and fees$—
$5,146
$6,711
$—
$11,857
Commissions and fees—intercompany(2)237
(235)—
—
Principal transactions(1,310)1,599
8,616
—
8,905
Principal transactions—intercompany(929)1,328
(399)—
—
Other income1,373
710
3,447
—
5,530
Other income—intercompany(107)143
(36)—
—
Total non-interest revenues$(975)$9,163
$18,104
$—
$26,292
Total revenues, net of interest expense$20,898
$10,585
$64,225
$(22,854)$72,854
Provisions for credit losses and for benefits and claims$—
$(22)$7,590
$—
$7,568
Operating expenses     
Compensation and benefits$4
$4,484
$16,666
$—
$21,154
Compensation and benefits—intercompany115
—
(115)—
—
Other operating(192)2,224
18,655
—
20,687
Other operating—intercompany49
2,312
(2,361)—
—
Total operating expenses$(24)$9,020
$32,845
$—
$41,841
Equity in undistributed income of subsidiaries$(2,163)$—
$—
$2,163
$—
Income (loss) from continuing operations before income taxes$18,759
$1,587
$23,790
$(20,691)$23,445
Provision (benefit) for income taxes714
1,123
3,520
—
5,357
Income (loss) from continuing operations$18,045
$464
$20,270
$(20,691)$18,088
Income (loss) from discontinued operations, net of taxes—
—
(8)—
(8)
Net income (loss) before attribution of noncontrolling interests$18,045
$464
$20,262
$(20,691)$18,080
Noncontrolling interests—
—
35
—
35
Net income (loss)$18,045
$464
$20,227
$(20,691)$18,045
Comprehensive income  $—
  
Add: Other comprehensive income (loss)$(2,499)$257
$3,500
$(3,757)$(2,499)
Total Citigroup comprehensive income (loss)$15,546
$721
$23,727
$(24,448)$15,546
Add: Other comprehensive income attributable to noncontrolling interests
$—
$—
$(43)$—
$(43)
Add: Net income attributable to noncontrolling interests—
—
35
—
35
Total comprehensive income (loss)$15,546
$721
$23,719
$(24,448)$15,538

 Year ended December 31, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$15,570
 $—
 $—
 $(15,570) $—
Interest revenue7
 4,586
 53,022
 —
 57,615
Interest revenue—intercompany3,008
 545
 (3,553) —
 —
Interest expense4,419
 1,418
 6,674
 —
 12,511
Interest expense—intercompany209
 1,659
 (1,868) —
 —
Net interest revenue$(1,613) $2,054
 $44,663
 $—
 $45,104
Commissions and fees$—
 $4,340
 $7,598
 $—
 $11,938
Commissions and fees—intercompany(20) 246
 (226) —
 —
Principal transactions(1,025) 5,576
 3,034
 —
 7,585
Principal transactions—intercompany24
 (2,842) 2,818
 —
 —
Other income2,599
 183
 2,466
 —
 5,248
Other income—intercompany(2,095) 305
 1,790
 —
 —
Total non-interest revenues$(517) $7,808
 $17,480
 $—
 $24,771
Total revenues, net of interest expense$13,440
 $9,862
 $62,143
 $(15,570) $69,875
Provisions for credit losses and for benefits and claims$—
 $—
 $6,982
 $—
 $6,982
Operating expenses
 
 
 
 
Compensation and benefits$22
 $4,719
 $16,229
 $—
 $20,970
Compensation and benefits—intercompany36
 —
 (36) —
 —
Other operating482
 1,634
 18,330
 —
 20,446
Other operating—intercompany217
 1,333
 (1,550) —
 —
Total operating expenses$757
 $7,686
 $32,973
 $—
 $41,416
Equity in undistributed income of subsidiaries$871
 $—
 $—
 $(871) $—
Income (loss) from continuing operations before income taxes$13,554
 $2,176
 $22,188
 $(16,441) $21,477
Provision (benefit) for income taxes$(1,358) $746
 $7,056
 $—
 $6,444
Income (loss) from continuing operations$14,912
 $1,430
 $15,132
 $(16,441) $15,033
Loss from discontinued operations, net of taxes—
 —
 (58) —
 (58)
Net income (loss) before attribution of noncontrolling interests$14,912
 $1,430
 $15,074
 $(16,441) $14,975
Noncontrolling interests—
 (13) 76
 —
 63
Net income (loss)$14,912
 $1,443
 $14,998
 $(16,441) $14,912
Comprehensive income

 

 

 

 

Add: Other comprehensive income (loss)$(3,022) $(26) $2,364
 $(2,338) $(3,022)
Total Citigroup comprehensive income (loss)$11,890

$1,417

$17,362

$(18,779)
$11,890
Add: Other comprehensive income (loss) attributable to noncontrolling interests
$—

$—

$(56)
$—

$(56)
Add: Net income attributable to noncontrolling interests—

(13)
76

—

63
Total comprehensive income (loss)$11,890

$1,404

$17,382

$(18,779)
$11,897



Condensed Consolidating Statements of Income and Comprehensive Income
 Year ended December 31, 2017
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Revenues     
Dividends from subsidiaries$22,499
$—
$—
$(22,499)$—
Interest revenue1
5,279
56,299
—
61,579
Interest revenue—intercompany3,972
1,178
(5,150)—
—
Interest expense4,766
2,340
9,412
—
16,518
Interest expense—intercompany829
2,297
(3,126)—
—
Net interest revenue$(1,622)$1,820
$44,863
$—
$45,061
Commissions and fees$—
$5,366
$7,341
$—
$12,707
Commissions and fees—intercompany(2)182
(180)—
—
Principal transactions1,654
1,183
6,103
—
8,940
Principal transactions—intercompany934
1,200
(2,134)—
—
Other income(2,581)867
7,450
—
5,736
Other income—intercompany5
170
(175)—
—
Total non-interest revenues$10
$8,968
$18,405
$—
$27,383
Total revenues, net of interest expense$20,887
$10,788
$63,268
$(22,499)$72,444
Provisions for credit losses and for benefits and claims$—
$—
$7,451
$—
$7,451
Operating expenses     
Compensation and benefits$(107)$4,403
$16,885
$—
$21,181
Compensation and benefits—intercompany120
—
(120)—
—
Other operating(318)2,184
19,185
—
21,051
Other operating—intercompany(35)2,231
(2,196)—
—
Total operating expenses$(340)$8,818
$33,754
$—
$42,232
Equity in undistributed income of subsidiaries$(19,088)$—
$—
$19,088
$—
Income (loss) from continuing operations before income taxes$2,139
$1,970
$22,063
$(3,411)$22,761
Provision (benefit) for income taxes8,937
873
19,578
—
29,388
Income (loss) from continuing operations$(6,798)$1,097
$2,485
$(3,411)$(6,627)
Income (loss) from discontinued operations, net of taxes—
—
(111)—
(111)
Net income before attribution of noncontrolling interests$(6,798)$1,097
$2,374
$(3,411)$(6,738)
Noncontrolling interests—
(1)61
—
60
Net income (loss)$(6,798)$1,098
$2,313
$(3,411)$(6,798)
Comprehensive income  $—
  
Add: Other comprehensive income (loss)$(2,791)$(117)$(4,160)$4,277
$(2,791)
Total Citigroup comprehensive income (loss)$(9,589)$981
$(1,847)$866
$(9,589)
Add: Other comprehensive income attributable to noncontrolling interests
$—
$—
$114
$—
$114
Add: Net income attributable to noncontrolling interests—
(1)61
—
60
Total comprehensive income (loss)$(9,589)$980
$(1,672)$866
$(9,415)

 Year ended December 31, 2015
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$13,500
 $—
 $—
 $(13,500) $—
Interest revenue9
 4,389
 54,153
 —
 58,551
Interest revenue—intercompany2,880
 272
 (3,152) —
 —
Interest expense4,563
 988
 6,370
 —
 11,921
Interest expense—intercompany(475) 1,304
 (829) —
 —
Net interest revenue$(1,199) $2,369
 $45,460
 $—
 $46,630
Commissions and fees$—
 $4,872
 $9,613
 $—
 $14,485
Commissions and fees—intercompany—
 210
 (210) —
 —
Principal transactions1,012
 5,532
 (536) —
 6,008
Principal transactions—intercompany(1,733) (3,875) 5,608
 —
 —
Other income3,294
 403
 5,534
 —
 9,231
Other income—intercompany(3,054) 1,088
 1,966
 —
 —
Total non-interest revenues$(481) $8,230
 $21,975
 $—
 $29,724
Total revenues, net of interest expense$11,820
 $10,599
 $67,435
 $(13,500) $76,354
Provisions for credit losses and for benefits and claims$—
 $—
 $7,913
 $—
 $7,913
Operating expenses
 
 
 
 
Compensation and benefits$(58) $5,003
 $16,824
 $—
 $21,769
Compensation and benefits—intercompany59
 —
 (59) —
 —
Other operating271
 1,940
 19,635
 —
 21,846
Other operating—intercompany247
 1,173
 (1,420) —
 —
Total operating expenses$519
 $8,116
 $34,980
 $—
 $43,615
Equity in undistributed income of subsidiaries$4,601
 $—
 $—
 $(4,601) $—
Income (loss) from continuing operations before income taxes$15,902
 $2,483
 $24,542
 $(18,101) $24,826
Provision (benefit) for income taxes$(1,340) $537
 $8,243
 $—
 $7,440
Income (loss) from continuing operations$17,242
 $1,946
 $16,299
 $(18,101) $17,386
Loss from discontinued operations, net of taxes—
 —
 (54) —
 (54)
Net income (loss) before attribution of noncontrolling interests$17,242
 $1,946
 $16,245
 $(18,101) $17,332
Noncontrolling interests—
 9
 81
 —
 90
Net income (loss)$17,242
 $1,937
 $16,164
 $(18,101) $17,242
Comprehensive income

 

 

 

 

Add: Other comprehensive income (loss)$(6,128) $(125) $1,017
 $(892) $(6,128)
Total Citigroup comprehensive income (loss)$11,114

$1,812

$17,181

$(18,993)
$11,114
Add: Other comprehensive income (loss) attributable to noncontrolling interests
$—

$—

$(83)
$—

$(83)
Add: Net income attributable to noncontrolling interests—

9

81

—

90
Total comprehensive income (loss)$11,114

$1,821

$17,179

$(18,993)
$11,121





Condensed Consolidating Balance Sheet
December 31, 2017December 31, 2019
In millions of dollarsCitigroup parent company
 CGMHI
 Other Citigroup subsidiaries and eliminations
 Consolidating adjustments
 Citigroup consolidated
Citigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Assets            
Cash and due from banks$—
 $378
 $23,397
 $—
 $23,775
$—
$586
$23,381
$—
$23,967
Cash and due from banks—intercompany13
 3,750
 (3,763) —
 —
21
5,095
(5,116)—
—
Federal funds sold and resale agreements—
 182,685
 49,793
 —
 232,478
Federal funds sold and resale agreements—intercompany—
 16,091
 (16,091) —
 —
Deposits with banks—
4,050
165,902
—
169,952
Deposits with banks—intercompany3,000
6,710
(9,710)—
—
Securities borrowed and purchased under resale agreements—
195,537
55,785
—
251,322
Securities borrowed and purchased under resale agreements—intercompany—
21,446
(21,446)—
—
Trading account assets—
 139,462
 112,094
 —
 251,556
286
152,115
123,739
—
276,140
Trading account assets—intercompany38
 2,711
 (2,749) —
 —
426
5,858
(6,284)—
—
Investments27
 181
 352,082
 —
 352,290
1
541
368,021
—
368,563
Loans, net of unearned income—
 900
 666,134
 —
 667,034
—
2,497
696,986
—
699,483
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
—
—
—
—
Allowance for loan losses—
 —
 (12,355) —
 (12,355)—
—
(12,783)—
(12,783)
Total loans, net$—
 $900
 $653,779
 $—
 $654,679
$—
$2,497
$684,203
$—
$686,700
Advances to subsidiaries$139,722
 $—
 $(139,722) $—
 $—
$144,587
$—
$(144,587)$—
$—
Investments in subsidiaries210,537
 —
 —
 (210,537) —
202,116
—
—
(202,116)—
Other assets (1)
10,844
 61,647
 255,196
 —
 327,687
12,377
54,784
107,353
—
174,514
Other assets—intercompany14,428
 48,832
 (63,260) —
 —
2,799
45,588
(48,387)—
—
Total assets$375,609
 $456,637
 $1,220,756
 $(210,537) $1,842,465
$365,613
$494,807
$1,292,854
$(202,116)$1,951,158
Liabilities and equity

 
 
 
 
     
Deposits$—
 $—
 $959,822
 $—
 $959,822
$—
$—
$1,070,590
$—
$1,070,590
Deposits—intercompany—
 —
 —
 —
 —
—
—
—
—
—
Federal funds purchased and securities loaned or sold—
 134,888
 21,389
 —
 156,277
Federal funds purchased and securities loaned or sold—intercompany—
 18,597
 (18,597) —
 —
Securities loaned and sold under repurchase agreements—
145,473
20,866
—
166,339
Securities loaned and sold under repurchase agreements—intercompany—
36,581
(36,581)—
—
Trading account liabilities—
 80,801
 43,246
 —
 124,047
1
80,100
39,793
—
119,894
Trading account liabilities—intercompany15
 2,182
 (2,197) —
 —
379
5,109
(5,488)—
—
Short-term borrowings251
 3,568
 40,633
 —
 44,452
66
11,096
33,887
—
45,049
Short-term borrowings—intercompany—
 32,871
 (32,871) —
 —
—
17,129
(17,129)—
—
Long-term debt152,163
 18,048
 66,498
 —
 236,709
150,477
39,578
58,705
—
248,760
Long-term debt—intercompany—
 60,765
 (60,765) —
 —
—
66,791
(66,791)—
—
Advances from subsidiaries19,136
 —
 (19,136) —
 —
20,503
—
(20,503)—
—
Other liabilities2,673
 62,113
 54,700
 —
 119,486
937
51,777
53,866
—
106,580
Other liabilities—intercompany631
 9,753
 (10,384) —
 —
8
8,414
(8,422)—
—
Stockholders’ equity200,740
 33,051
 178,418
 (210,537) 201,672
193,242
32,759
170,061
(202,116)193,946
Total liabilities and equity$375,609
 $456,637
 $1,220,756
 $(210,537) $1,842,465
$365,613
$494,807
$1,292,854
$(202,116)$1,951,158


(1)
Other assets for Citigroup parent company at December 31, 20172019 included $29.7$35.1 billion of placements to Citibank and its branches, of which $18.9$24.9 billion had a remaining term of less than 30 days.







Condensed Consolidating Balance Sheet
December 31, 2016December 31, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Assets            
Cash and due from banks$—
 $870
 $22,173
 $—
 $23,043
$1
$689
$22,955
$—
$23,645
Cash and due from banks—intercompany142
 3,820
 (3,962) —
 —
19
3,545
(3,564)—
—
Federal funds sold and resale agreements—
 196,236
 40,577
 —
 236,813
Federal funds sold and resale agreements—intercompany—
 12,270
 (12,270) —
 —
Deposits with banks—
4,915
159,545
—
164,460
Deposits with banks—intercompany3,000
6,528
(9,528)—
—
Securities borrowed and purchased under resale agreements—
212,720
57,964
—
270,684
Securities borrowed and purchased under resale agreements—intercompany—
20,074
(20,074)—
—
Trading account assets6
 121,484
 122,435
 —
 243,925
302
146,233
109,582
—
256,117
Trading account assets—intercompany1,173
 907
 (2,080) —
 —
627
1,728
(2,355)—
—
Investments173
 335
 352,796
 —
 353,304
7
224
358,376
—
358,607
Loans, net of unearned income—
 575
 623,794
 —
 624,369
—
1,292
682,904
—
684,196
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
—
—
—
—
Allowance for loan losses—
 —
 (12,060) —
 (12,060)—
—
(12,315)—
(12,315)
Total loans, net$—
 $575
 $611,734
 $—
 $612,309
$—
$1,292
$670,589
$—
$671,881
Advances to subsidiaries$143,154
 $—
 $(143,154) $—
 $—
$143,119
$—
$(143,119)$—
$—
Investments in subsidiaries226,279
 —
 —
 (226,279) —
205,337
—
—
(205,337)—
Other assets(1)
23,734
 46,095
 252,854
 —
 322,683
9,861
59,734
102,394
—
171,989
Other assets—intercompany27,845
 38,207
 (66,052) —
 —
3,037
44,255
(47,292)—
—
Total assets$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077
$365,310
$501,937
$1,255,473
$(205,337)$1,917,383
Liabilities and equity
 
 
 
 

   
Deposits$—
 $—
 $929,406
 $—
 $929,406
$—
$—
$1,013,170
$—
$1,013,170
Deposits—intercompany—
 —
 —
 —
 —
—
—
—
—
—
Federal funds purchased and securities loaned or sold—
 122,320
 19,501
 —
 141,821
Federal funds purchased and securities loaned or sold—intercompany—
 25,417
 (25,417) —
 —
Securities loaned and sold under repurchase agreements—
155,830
21,938
—
177,768
Securities loaned and sold under repurchase agreements—intercompany—
21,109
(21,109)—
—
Trading account liabilities—
 87,714
 51,331
 —
 139,045
1
95,571
48,733
—
144,305
Trading account liabilities—intercompany1,006
 868
 (1,874) —
 —
410
1,398
(1,808)—
—
Short-term borrowings—
 1,356
 29,345
 —
 30,701
207
3,656
28,483
—
32,346
Short-term borrowings—intercompany—
 35,596
 (35,596) —
 —
—
11,343
(11,343)—
—
Long-term debt147,333
 8,128
 50,717
 —
 206,178
143,767
25,986
62,246
—
231,999
Long-term debt—intercompany—
 41,287
 (41,287) —
 —
—
73,884
(73,884)—
—
Advances from subsidiaries41,258
 —
 (41,258) —
 —
21,471
—
(21,471)—
—
Other liabilities3,466
 57,430
 57,887
 —
 118,783
3,011
66,732
50,978
—
120,721
Other liabilities—intercompany4,323
 7,894
 (12,217) —
 —
223
13,763
(13,986)—
—
Stockholders’ equity225,120
 32,789
 194,513
 (226,279) 226,143
196,220
32,665
173,526
(205,337)197,074
Total liabilities and equity$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077
$365,310
$501,937
$1,255,473
$(205,337)$1,917,383


(1)
Other assets for Citigroup parent company at December 31, 20162018 included $20.7$34.7 billion of placements to Citibank and its branches, of which $6.8$22.4 billion had a remaining term of less than 30 days.





Condensed Consolidating Statement of Cash Flows
 Year ended December 31, 2019
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$25,011
$(35,396)$(2,452)$—
$(12,837)
Cash flows from investing activities of continuing operations     
Purchases of investments$—
$—
$(274,491)$—
$(274,491)
Proceeds from sales of investments5
—
137,168
—
137,173
Proceeds from maturities of investments—
—
119,051
—
119,051
Change in loans—
—
(22,466)—
(22,466)
Proceeds from sales and securitizations of loans—
—
2,878
—
2,878
Change in securities borrowed and purchased under agreements to resell—
15,811
3,551
—
19,362
Changes in investments and advances—intercompany(1,847)(870)2,717
—
—
Other investing activities—
(64)(4,817)—
(4,881)
Net cash provided by (used in) investing activities of continuing operations$(1,842)$14,877
$(36,409)$—
$(23,374)
Cash flows from financing activities of continuing operations     
Dividends paid$(5,447)$—
$—
$—
$(5,447)
Issuance of preferred stock1,496
—
—
—
1,496
Redemption of preferred stock(1,980)—
—
—
(1,980)
Treasury stock acquired(17,571)—
—
—
(17,571)
Proceeds (repayments) from issuance of long-term debt, net1,666
10,389
(3,950)—
8,105
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
(7,177)7,177
—
—
Change in deposits—
—
57,420
—
57,420
Change in securities loaned and sold under agreements to repurchase—
5,115
(16,544)—
(11,429)
Change in short-term borrowings—
7,440
5,263
—
12,703
Net change in short-term borrowings and other advances—intercompany(968)5,843
(4,875)—
—
Capital contributions from (to) parent—
(74)74
—
—
Other financing activities(364)(253)253
—
(364)
Net cash provided by (used in) financing activities of continuing operations$(23,168)$21,283
$44,818
$—
$42,933
Effect of exchange rate changes on cash and due from banks$—
$—
$(908)$—
$(908)
Change in cash and due from banks and deposits with banks$1
$764
$5,049
$—
$5,814
Cash and due from banks and deposits with banks at
beginning of period
3,020
15,677
169,408
—
188,105
Cash and due from banks and deposits with banks at end of period$3,021
$16,441
$174,457
$—
$193,919
Cash and due from banks$21
$5,681
$18,265
$—
$23,967
Deposits with banks3,000
10,760
156,192
—
169,952
Cash and due from banks and deposits with banks at end of period$3,021
$16,441
$174,457
$—
$193,919
Supplemental disclosure of cash flow information for continuing operations     
Cash paid during the year for income taxes$(393)$418
$4,863
$—
$4,888
Cash paid during the year for interest3,820
12,664
12,198
—
28,682
Non-cash investing activities     
Transfers to loans HFS from loans$—
$—
$5,500
$—
$5,500
 Year ended December 31, 2017
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$34,940
 $(33,359) $(10,168) $—
 $(8,587)
Cash flows from investing activities of continuing operations         
Purchases of investments$—
 $(1) $(185,739) $—
 $(185,740)
Proceeds from sales of investments132
 —
 107,236
 —
 107,368
Proceeds from maturities of investments—
 —
 84,369
 —
 84,369
Change in deposits with banks—
 11,861
 (31,151) —
 (19,290)
Change in loans—
 —
 (58,062) —
 (58,062)
Proceeds from sales and securitizations of loans—
 —
 8,365
 —
 8,365
Proceeds from significant disposals—
 —
 3,411
 —
 3,411
Change in federal funds sold and resales—
 9,730
 (5,395) —
 4,335
Changes in investments and advances—intercompany(899) (2,790) 3,689
 —
 —
Other investing activities—
 (24) (2,960) —
 (2,984)
Net cash provided by (used in) investing activities of continuing operations$(767) $18,776
 $(76,237) $—
 $(58,228)
Cash flows from financing activities of continuing operations         
Dividends paid$(3,797) $—
 $—
 $—
 $(3,797)
Treasury stock acquired(14,541) —
 —
 —
 (14,541)
Proceeds (repayments) from issuance of long-term debt, net6,544
 4,909
 15,521
 —
 26,974
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (2,031) 2,031
 —
 —
Change in deposits—
 —
 30,416
 —
 30,416
Change in federal funds purchased and repos—
 5,748
 8,708
 —
 14,456
Change in short-term borrowings49
 2,212
 11,490
 —
 13,751
Net change in short-term borrowings and other advances—intercompany(22,152) 3,931
 18,221
 —
 —
Capital contributions from parent—
 (748) 748
 —
 —
Other financing activities(405) —
 —
 —
 (405)
Net cash provided by (used in) financing activities of continuing operations$(34,302) $14,021
 $87,135
 $—
 $66,854
Effect of exchange rate changes on cash and due from banks$—
 $—
 $693
 $—
 $693
Change in cash and due from banks$(129) $(562) $1,423
 $—
 $732
Cash and due from banks at beginning of period142
 4,690
 18,211
 —
 23,043
Cash and due from banks at end of period$13
 $4,128
 $19,634
 $—
 $23,775
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 

Cash paid during the year for income taxes$(3,730) $678
 $5,135
 $—
 $2,083
Cash paid during the year for interest4,151
 4,513
 7,011
 —
 15,675
Non-cash investing activities

 

 

 

 

Transfers to loans HFS from loans$—
 $—
 $5,900
 $—
 $5,900
Transfers to OREO and other repossessed assets—
 —
 113
 —
 113





Condensed Consolidating Statement of Cash Flows
 Year ended December 31, 2018
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$21,314
$13,287
$2,351
$—
$36,952
Cash flows from investing activities of continuing operations  

  
Purchases of investments$(7,955)$(18)$(144,514)$—
$(152,487)
Proceeds from sales of investments7,634
3
53,854
—
61,491
Proceeds from maturities of investments—
—
83,604
—
83,604
Change in loans—
—
(29,002)—
(29,002)
Proceeds from sales and securitizations of loans—
—
4,549
—
4,549
Proceeds from significant disposals—
—
314
—
314
Change in securities borrowed and purchased under agreements to resell—
(34,018)(4,188)—
(38,206)
Changes in investments and advances—intercompany(5,566)(832)6,398
—
—
Other investing activities556
(59)(3,878)—
(3,381)
Net cash provided by (used in) investing activities of continuing operations$(5,331)$(34,924)$(32,863)$—
$(73,118)
Cash flows from financing activities of continuing operations     
Dividends paid$(5,020)$—
$—
$—
$(5,020)
Redemption of preferred stock(793)—
—
—
(793)
Treasury stock acquired(14,433)—
—
—
(14,433)
Proceeds from issuance of long-term debt, net(5,099)10,278
(2,656)—
2,523
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
10,708
(10,708)—
—
Change in deposits—
—
53,348
—
53,348
Change in securities loaned and sold under agreements to repurchase—
23,454
(1,963)—
21,491
Change in short-term borrowings32
88
(12,226)—
(12,106)
Net change in short-term borrowings and other advances—intercompany1,819
(19,111)17,292
—
—
Capital contributions from parent—
(798)798
—
—
Other financing activities(482)—
—
—
(482)
Net cash provided by (used in) financing activities of continuing operations$(23,976)$24,619
$43,885
$—
$44,528
Effect of exchange rate changes on cash and due from banks$—
$—
$(773)$—
$(773)
Change in cash and due from banks and deposits with banks$(7,993)$2,982
$12,600
$—
$7,589
Cash and due from banks and deposits with banks at
beginning of period
11,013
12,695
156,808
—
180,516
Cash and due from banks and deposits with banks at end of period$3,020
$15,677
$169,408
$—
$188,105
Cash and due from banks$20
$4,234
$19,391
$—
$23,645
Deposits with banks3,000
11,443
150,017
—
164,460
Cash and due from banks and deposits with banks at end of period$3,020
$15,677
$169,408
$—
$188,105
Supplemental disclosure of cash flow information for continuing operations     
Cash paid (received) during the year for income taxes$(783)$458
$4,638
$—
$4,313
Cash paid during the year for interest3,854
8,671
10,438
—
22,963
Non-cash investing activities     
Transfers to loans HFS from loans$—
$—
$4,200
$—
$4,200
 Year ended December 31, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by operating activities of continuing operations$12,777
 $20,662
 $20,493
 $—
 $53,932
Cash flows from investing activities of continuing operations         
Purchases of investments$—
 $(4) $(211,398) $—
 $(211,402)
Proceeds from sales of investments3,024
 —
 129,159
 —
 132,183
Proceeds from maturities of investments234
 —
 65,291
 —
 65,525
Change in deposits with banks—
 (3,643) (21,668) —
 (25,311)
Change in loans—
 —
 (39,761) —
 (39,761)
Proceeds from sales and securitizations of loans—
 —
 18,140
 —
 18,140
Proceeds from significant disposals—
 —
 265
 —
 265
Change in federal funds sold and resales—
 (15,293) (1,845) —
 (17,138)
Changes in investments and advances—intercompany(18,083) (5,574) 23,657
 —
 —
Other investing activities—
 —
 (2,089) —
 (2,089)
Net cash used in investing activities of continuing operations$(14,825) $(24,514) $(40,249) $—
 $(79,588)
Cash flows from financing activities of continuing operations         
Dividends paid$(2,287) $—
 $—
 $—
 $(2,287)
Issuance of preferred stock2,498
 —
 —
 —
 2,498
Treasury stock acquired(9,290) —
 —
 —
 (9,290)
Proceeds (repayments) from issuance of long-term debt, net7,005
 5,916
 (4,575) —
 8,346
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (9,453) 9,453
 —
 —
Change in deposits—
 —
 24,394
 —
 24,394
Change in federal funds purchased and repos—
 3,236
 (7,911) —
 (4,675)
Change in short-term borrowings(164) 1,168
 8,618
 —
 9,622
Net change in short-term borrowings and other advances—intercompany4,620
 680
 (5,300) —
 —
Capital contributions from parent—
 5,000
 (5,000) —
 —
Other financing activities(316) —
 —
 —
 (316)
Net cash provided by financing activities of continuing operations$2,066
 $6,547
 $19,679
 $—
 $28,292
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(493) $—
 $(493)
Change in cash and due from banks$18
 $2,695
 $(570) $—
 $2,143
Cash and due from banks at beginning of period124
 1,995
 18,781
 —
 20,900
Cash and due from banks at end of period$142
 $4,690
 $18,211
 $—
 $23,043
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 

Cash paid during the year for income taxes$351
 $92
 $3,916
 $—
 $4,359
Cash paid during the year for interest4,397
 3,115
 4,555
 —
 12,067
Non-cash investing activities         
Transfers to loans held-for-sale from loans$—
 $—
 $13,900
 $—
 $13,900
Transfers to OREO and other repossessed assets—
 —
 165
 —
 165


Condensed Consolidating Statements of Cash Flows
 Year ended December 31, 2017
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$25,270
$(33,365)$(679)$—
$(8,774)
Cash flows from investing activities of continuing operations     
Purchases of investments$—
$(14)$(185,726)$—
$(185,740)
Proceeds from sales of investments132
18
107,218
—
107,368
Proceeds from maturities of investments—
—
84,369
—
84,369
Change in loans—
—
(58,062)—
(58,062)
Proceeds from sales and securitizations of loans—
—
8,365
—
8,365
Proceeds from significant disposals—
—
3,411
—
3,411
Change in securities borrowed and purchased under agreements to resell—
9,731
(5,396)—
4,335
Changes in investments and advances—intercompany(899)9,755
(8,856)—
—
Other investing activities—
(24)(2,773)—
(2,797)
Net cash provided by (used in) investing activities of continuing operations$(767)$19,466
$(57,450)$—
$(38,751)
Cash flows from financing activities of continuing operations     
Dividends paid$(3,797)$—
$—
$—
$(3,797)
Issuance of preferred stock—
—
—
—
—
Treasury stock acquired(14,541)—
—
—
(14,541)
Proceeds (repayments) from issuance of long-term debt, net6,544
4,909
15,521
—
26,974
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
(2,031)2,031
—
—
Change in deposits—
—
30,416
—
30,416
Change in securities loaned and sold under agreements to repurchase—
5,748
8,708
—
14,456
Change in short-term borrowings49
2,212
11,490
—
13,751
Net change in short-term borrowings and other advances—intercompany(22,152)(8,615)30,767
—
—
Capital contributions from parent—
(748)748
—
—
Other financing activities(405)—
—
—
(405)
Net cash provided by financing activities of continuing operations$(34,302)$1,475
$99,681
$—
$66,854
Effect of exchange rate changes on cash and due from banks$—
$—
$693
$—
$693
Change in cash and due from banks and deposits with banks$(9,799)$(12,424)$42,245
$—
$20,022
Cash and due from banks and deposits with banks at
beginning of period
20,812
25,119
114,563
—
160,494
Cash and due from banks and deposits with banks at end of period$11,013
$12,695
$156,808
$—
$180,516
Cash and due from banks$13
$4,128
$19,634
$—
$23,775
Deposits with banks11,000
8,567
137,174
—
156,741
Cash and due from banks and deposits with banks at end of period$11,013
$12,695
$156,808
$—
$180,516
Supplemental disclosure of cash flow information for continuing operations     
Cash paid during the year for income taxes$(3,730)$678
$5,135
$—
$2,083
Cash paid during the year for interest4,151
4,513
7,011
—
15,675
Non-cash investing activities     
Transfers to loans held-for-sale from loans$—
$—
$5,900
$—
$5,900

 Year ended December 31, 2015
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$27,825
 $12,336
 $(424) $—
 $39,737
Cash flows from investing activities of continuing operations         
Purchases of investments$—
 $(4) $(242,358) $—
 $(242,362)
Proceeds from sales of investments—
 53
 141,417
 —
 141,470
Proceeds from maturities of investments237
 —
 81,810
 —
 82,047
Change in deposits with banks—
 (8,414) 23,902
 —
 15,488
Change in loans—
 —
 1,353
 —
 1,353
Proceeds from sales and securitizations of loans—
 —
 9,610
 —
 9,610
Change in federal funds sold and resales—
 8,037
 14,858
 —
 22,895
Proceeds from significant disposals—
 —
 5,932
 —
 5,932
Payments due to transfers of net liabilities associated with significant disposals—
 —
 (18,929) —
 (18,929)
Changes in investments and advances—intercompany(35,548) 1,044
 34,504
 —
 —
Other investing activities3
 (101) (2,523) —
 (2,621)
Net cash provided by (used in) investing activities of continuing operations$(35,308) $615
 $49,576
 $—
 $14,883
Cash flows from financing activities of continuing operations         
Dividends paid$(1,253) $—
 $—
 $—
 $(1,253)
Issuance of preferred stock6,227
 —
 —
 —
 6,227
Treasury stock acquired(5,452) —
 —
 —
 (5,452)
Proceeds (repayments) from issuance of long-term debt, net127
 (139) (8,212) —
 (8,224)
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 12,557
 (12,557) —
 —
Change in deposits—
 —
 8,555
 —
 8,555
Change in federal funds purchased and repos—
 (27,442) 500
 —
 (26,942)
Change in short-term borrowings(845) (1,737) (34,674) —
 (37,256)
Net change in short-term borrowings and other advances—intercompany9,106
 4,054
 (13,160) —
 —
Other financing activities(428) —
 —
 —
 (428)
Net cash provided by (used in) financing activities of continuing operations$7,482
 $(12,707) $(59,548) $—
 $(64,773)
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(1,055) $—
 $(1,055)
Change in cash and due from banks$(1) $244
 $(11,451) $—
 $(11,208)
Cash and due from banks at beginning of period125
 1,751
 30,232
 —
 32,108
Cash and due from banks at end of period$124
 $1,995
 $18,781
 $—
 $20,900
Supplemental disclosure of cash flow information for continuing operations         
Cash paid during the year for income taxes$111
 $175
 $4,692
 $—
 $4,978
Cash paid during the year for interest4,916
 2,346
 4,769
 —
 12,031

Non-cash investing activities         
Decrease in net loans associated with significant disposals reclassified to HFS$—
 $—
 $(9,063) $—
 $(9,063)
Decrease in investments associated with significant disposals reclassified to HFS—
 —
 (1,402) —
 (1,402)
Decrease in goodwill and intangible assets associated with significant disposals reclassified to HFS—
 —
 (223) —
 (223)
Decrease in deposits with banks with significant disposals reclassified to HFS—
 —
 (404) —
 (404)
Transfers to loans held-for-sale from loans—
 —
 28,600
 —
 28,600
Transfers to OREO and other repossessed assets—
 —
 276
 —
 276
Non-cash financing activities         
Decrease in long-term debt associated with significant disposals
reclassified to HFS
$—
 $—
 $(4,673) $—
 $(4,673)


29. SELECTED QUARTERLY FINANCIAL DATA (UNAUDITED)


2017201620192018
In millions of dollars, except per share amounts
Fourth(1)
ThirdSecondFirstFourthThirdSecondFirstFourthThirdSecondFirstFourthThirdSecondFirst
Revenues, net of interest expense$17,255
$18,173
$17,901
$18,120
$17,012
$17,760
$17,548
$17,555
$18,378
$18,574
$18,758
$18,576
$17,124
$18,389
$18,469
$18,872
Operating expenses10,083
10,171
10,506
10,477
10,120
10,404
10,369
10,523
10,454
10,464
10,500
10,584
9,893
10,311
10,712
10,925
Provisions for credit losses and for benefits and claims2,073
1,999
1,717
1,662
1,792
1,736
1,409
2,045
2,222
2,088
2,093
1,980
1,925
1,974
1,812
1,857
Income from continuing operations before income taxes$5,099
$6,003
$5,678
$5,981
$5,100
$5,620
$5,770
$4,987
$5,702
$6,022
$6,165
$6,012
$5,306
$6,104
$5,945
$6,090
Income taxes(1)23,864
1,866
1,795
1,863
1,509
1,733
1,723
1,479
703
1,079
1,373
1,275
1,001
1,471
1,444
1,441
Income (loss) from continuing operations$(18,765)$4,137
$3,883
$4,118
$3,591
$3,887
$4,047
$3,508
Income from continuing operations$4,999
$4,943
$4,792
$4,737
$4,305
$4,633
$4,501
$4,649
Income (loss) from discontinued operations, net of taxes(109)(5)21
(18)(3)(30)(23)(2)(4)(15)17
(2)(8)(8)15
(7)
Net income before attribution of noncontrolling interests$(18,874)$4,132
$3,904
$4,100
$3,588
$3,857
$4,024
$3,506
$4,995
$4,928
$4,809
$4,735
$4,297
$4,625
$4,516
$4,642
Noncontrolling interests19
(1)32
10
15
17
26
5
16
15
10
25
(16)3
26
22
Citigroup’s net income (loss)$(18,893)$4,133
$3,872
$4,090
$3,573
$3,840
$3,998
$3,501
Citigroup’s net income$4,979
$4,913
$4,799
$4,710
$4,313
$4,622
$4,490
$4,620
Earnings per share(2)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Basic 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Income (loss) from continuing operations$(7.33)$1.42
$1.27
$1.36
$1.14
$1.25
$1.25
$1.11
Net income (loss)(7.38)1.42
1.28
1.35
1.14
1.24
1.24
1.10
Income from continuing operations$2.16
$2.09
$1.94
$1.88
$1.65
$1.74
$1.62
$1.68
Net income2.16
2.09
1.95
1.88
1.65
1.73
1.63
1.68
Diluted 
 
 
 
 
 
 
 
    
Income (loss) from continuing operations(7.33)1.42
1.27
1.36
1.14
1.25
1.25
1.11
Net income (loss)(7.38)1.42
1.28
1.35
1.14
1.24
1.24
1.10
Common stock price per share 
 
 
 
 
 
 
 
High close during the quarter77.10
72.74
66.98
61.54
61.09
47.90
47.33
51.13
Low close during the quarter71.33
65.95
57.72
55.68
47.03
40.78
38.48
34.98
Quarter end74.41
72.74
66.88
59.82
59.43
47.23
42.39
41.75
Dividends per share of common stock0.32
0.32
0.16
0.16
0.16
0.16
0.05
0.05
Income from continuing operations2.15
2.08
1.94
1.87
1.65
1.74
1.62
1.68
Net income2.15
2.07
1.95
1.87
1.64
1.73
1.63
1.68


This Note to the Consolidated Financial Statements is unaudited due to the Company’s individual quarterly results not being subject to an audit.

(1)The fourth quarter of 20172019 includes the impactdiscrete tax items of Tax Reform. See Notes 1 and 9roughly $540 million including an approximate $430 million benefit of a reduction in Citi’s valuation allowance related to the Consolidated Financial Statements.its DTAs. The third quarter of 2019 includes discrete tax items of roughly $230 million, including an approximate $180 million benefit of a reduction in Citi’s valuation allowance related to its DTAs.
(2)Due to averaging of shares, quarterly earnings per share may not sum to the totals reported for the full year.




[End of Consolidated Financial Statements and Notes to Consolidated Financial Statements]Statements




FINANCIAL DATA SUPPLEMENT


RATIOS
201720162015201920182017
Citigroup’s net income to average assets(1)
0.84%0.82%0.95%0.98%0.94%0.84%
Return on average common stockholders’ equity(1)(2)
7.0
6.6
8.1
10.3
9.4
7.0
Return on average total stockholders’ equity(1)(3)
7.0
6.5
7.9
9.9
9.1
7.0
Total average equity to average assets(4)
12.1
12.6
11.9
9.9
10.3
12.1
Dividend payout ratio(1)(5)
18.0
8.9
3.0
23.9
23.1
18.0
(1)2017 excludes the one-time impact of Tax Reform. See “Impact of Tax Reform”“Significant Accounting Policies and Estimates—Income Taxes” above.
(2)Based on Citigroup’s net income less preferred stock dividends as a percentage of average common stockholders’ equity.
(3)Based on Citigroup’s net income as a percentage of average total Citigroup stockholders’ equity.
(4)Based on average Citigroup stockholders’ equity as a percentage of average assets.
(5)Dividends declared per common share as a percentage of net income per diluted share.




AVERAGE DEPOSIT LIABILITIES IN OFFICES OUTSIDE THE U.S.(1) 
 2017 2016 2015 2019 2018 2017
In millions of dollars at year end except ratiosAverage
interest rate		Average
balance		Average
interest rate		Average
balance		Average
interest rate		Average
balance
In millions of dollars at year end, except ratiosAverage
interest rate		Average
balance		Average
interest rate		Average
balance		Average
interest rate		Average
balance
Banks0.49%$36,063
0.34%$36,983
0.44%$46,664
1.71%$52,235
1.35%$44,426
0.49%$36,063
Other demand deposits0.52
293,389
0.49
278,745
0.44
249,498
1.05
300,101
0.61
287,665
0.52
293,389
Other time and savings deposits(2)
1.23
191,363
1.16
189,049
1.24
198,733
1.05
217,944
1.31
209,410
1.23
191,363
Total0.78%$520,815
0.73%$504,777
0.76%$494,895
1.11%$570,280
0.94%$541,501
0.78%$520,815
(1)Interest rates and amounts include the effects of risk management activities and also reflect the impact of the local interest rates prevailing in certain countries.
(2)Primarily consists of certificates of deposit and other time deposits in denominations of $100,000 or more.


 




MATURITY PROFILE OF TIME DEPOSITSIN U.S. OFFICES
  
In millions of dollars at December 31, 2017Under 3
months		Over 3 to 6
months		Over 6 to 12
months		Over 12
months
In millions of dollars at December 31, 2019Under 3
months		Over 3 to 6
months		Over 6 to 12
months		Over 12
months
Over $100,000  
Certificates of deposit$13,087
$2,956
$795
$1,471
$15,866
$8,152
$9,008
$694
Other time deposits4,221
603
15
280
3,924
29
38
1,556
Over $250,000  
Certificates of deposit$12,692
$2,633
$412
$951
$14,026
$5,008
$4,953
$539
Other time deposits4,219
603
15
9
3,923
29
2
11








SUPERVISION, REGULATION AND OTHER


SUPERVISION AND REGULATION
Citi is subject to regulation under U.S. federal and state laws, as well as applicable laws in the other jurisdictions in which it does business.


General
Citigroup is a registered bank holding company and financial holding company and is regulated and supervised by the Federal Reserve Board. Citigroup’s nationally chartered subsidiary banks, including Citibank, are regulated and supervised by the Office of the Comptroller of the Currency (OCC) and its state-chartered depository institution by the relevant state’s banking department and the. The Federal Deposit Insurance Corporation (FDIC). The FDIC also has examination authority for banking subsidiaries whose deposits it insures. Overseas branches of Citibank are regulated and supervised by the Federal Reserve Board and OCC and overseas subsidiary banks by the Federal Reserve Board. These overseas branches and subsidiary banks are also regulated and supervised by regulatory authorities in the host countries. In addition, the Consumer Financial Protection Bureau (CFPB) regulates consumer financial products and services. Citi is also subject to laws and regulations concerning the collection, use, sharing and disposition of certain customer, employee and other personal and confidential information, including those imposed by the Gramm-Leach-Bliley Act, the Fair Credit Reporting Act and the EU General Data Protection Directive.Regulation. For more information on U.S. and foreign regulation affecting or potentially affecting Citi, and its subsidiaries, see “Risk Factors” above.


Other Bank and Bank Holding Company Regulation
Citi, including its banking subsidiaries, is subject to regulatory limitations, including requirements for banks to maintain reserves against deposits, requirements as to liquidity, risk-based capital and leverage (see “Capital Resources” above and Note 18 to the Consolidated Financial Statements), restrictions on the types and amounts of loans that may be made and the interest that may be charged, and limitations on investments that can be made and services that can be offered. The Federal Reserve Board may also expect Citi to commit resources to its subsidiary banks in certain circumstances. Citi is also subject to anti-money laundering and financial transparency laws, including standards for verifying client identification at account opening and obligations to monitor client transactions and report suspicious activities.


Securities and Commodities Regulation
Citi conducts securities underwriting, brokerage and dealing activities in the U.S. through Citigroup Global Markets Inc. (CGMI), its primary broker-dealer, and other broker-dealer subsidiaries, which are subject to regulations of the U.S. Securities and Exchange Commission (SEC), the Financial Industry Regulatory Authority and certain exchanges. Citi conducts similar securities activities outside the U.S., subject to local requirements, through various subsidiaries and affiliates, principally Citigroup Global Markets Limited in
London (CGML), which is regulated principally by the U.K. Financial Conduct Authority (FCA), and Citigroup Global
Markets Japan Inc. in Tokyo, which is regulated principally by the Financial Services Agency of Japan.
Citi also has subsidiaries that are members of futures exchanges. In the U.S., CGMI is a member of the principal U.S. futures exchanges, and Citi has subsidiaries that are registered as futures commission merchants and commodity pool operators with the Commodity Futures Trading Commission (CFTC). Citibank, CGMI, Citigroup Energy Inc., Citigroup Global Markets Europe AG and CGML are also are registered as swap dealers with the CFTC. CGMI is also subject to SEC and CFTC rules that specify uniform minimum net capital requirements. Compliance with these rules could limit those operations of CGMI that require the intensive use of capital and also limits the ability of broker-dealers to transfer large amounts of capital to parent companies and other affiliates. See also “Capital Resources” and Note 18 to the Consolidated Financial Statements for a further discussion of capital considerations of Citi’s non-banking subsidiaries.


Transactions with Affiliates
Transactions between Citi’s U.S. subsidiary depository institutions and their non-bank affiliates are regulated by the Federal Reserve Board, and are generally required to be on arm’s-length terms. See also “Managing Global Risk—Liquidity Risk” above.


COMPETITION
The financial services industry is highly competitive. Citi’s competitors include a variety of financial services and advisory companies. Citi competes for clients and capital (including deposits and funding in the short- and long-term debt markets) with some of these competitors globally and with others on a regional or product basis. Citi’s competitive position depends on many factors, including, among others, the value of Citi’s brand name, reputation, the types of clients and geographies served; the quality, range, performance, innovation and pricing of products and services; the effectiveness of and access to distribution channels, technology advances, customer service and convenience; the effectiveness of transaction execution, interest rates and lending limits; and regulatory constraints. Citi’s ability to compete effectively also depends upon its ability to attract new employees and retain and motivate existing employees, while managing compensation and other costs. For additional information on competitive factors and uncertainties impacting Citi’s businesses, see “Risk Factors—Operational Risks” above.


PROPERTIESCLIMATE CHANGE
Climate change presents immediate and long-term risks to Citi and to its clients and customers, with the risks potentially increasing over time. Climate risk can arise from physical risks (risks related to the physical effects of climate change) and transition risks (risks related to regulatory, legal, technological and market changes from a transition to a low-carbon economy).
Citi’s principal executive offices are currently in New York City at 388 Greenwich StreetEnvironmental and are ownedSocial Risk Management Policy incorporates climate risk assessment for credit underwriting purposes and fully occupied by Citi.
Citigroup Global Markets Holdings Inc.’s principal executive offices are in New York City at 388 Greenwich Street and 390 Greenwich Street. Both locations are owned and fully occupied by Citi.reporting criteria for certain corporate obligors

Citigroup’s principal executive offices in EMEA are at 25 and 33 Canada Square in London’s Canary Wharf, with both buildings subjecttransactions. Factors evaluated include consideration of climate risk to long-term leases.an obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas (GHG) emissions. Citi engages clients to support their low-carbon transition, including through Citi’s growing environmental finance offerings.
In Asia, Citi’s principal executive offices are in leased premises at Champion Tower in Hong Kong. Citi has other significant leased premises, including in Singapore, Kuala Lumpur, Manila and Japan. Citi has major or full ownership interests in country headquarter locations in Shanghai, Seoul and Mumbai.
Citi’s principal executive offices in Mexico, which also serve asTo manage the headquartersrisks of Citibanamex, are in Mexico City. Citi’s principal executive offices for Latin America (other than Mexico) are in leased premises in Miami.
Citi also owns or leases over 55 million square feet of real estate in 95 countries, consisting of over 7,700 properties.
Citi continues to evaluate its global real estate footprint and space requirements and may determine from time to time that certain of its premises are no longer necessary. There is no assurance that Citi will be able to dispose of any excess premises or that it will not incur charges in connection with such dispositions, which could be materialclimate change to Citi’s operating results in a given period.
own operations and facilities, Citi assesses its exposure to climate hazards to inform business continuity and resilience planning. In addition, Citi has developed programs for its properties to achieve long-term energy efficiency objectives and reduce its greenhouse gasGHG emissions to lessen its impact on climate change. These activities could help
Citi has adopted the Taskforce on Climate-related Financial Disclosures (TCFD) recommendations and published its first TCFD report, Finance for a Climate Resilient Future, in 2018. As detailed in that report, Citi participated in the United Nations Environment Finance Initiative Banking Sector TCFD Project in 2017–2018 and piloted climate scenario analyses on Citi’s North America oil and gas exploration and production and U.S. power portfolios, to mitigate, but will not eliminate, Citi’sunderstand their exposure to climate risk under select scenarios. Citi continues to participate in financial industry collaborations to develop and pilot new methodologies and approaches for measuring and assessing the potential financial risks of climate change. Citi is also closely monitoring regulatory developments on climate risk from future climate change regulatory requirements.and sustainable finance, and actively engaging with regulators on these topics.
For further information concerning leases,on Citi’s environmental and social policies and priorities, see Note 26 to the Consolidated FinancialCiti’s website at www.citigroup.com. Click on “About Us” and then “Corporate Governance” and “Citizenship Report” or “Environmental and Social Information.” For information on Citi’s citizenship and sustainability governance, see Citi’s 2019 Annual Meeting Proxy Statement available at www.citigroup.com. Click on “Investors” and then “Annual Reports & Proxy Statements.”






 
DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT
Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012 (Section 219), which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with individuals or entities that are subject to sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law. Citi, in its related quarterly reportreports on Form 10-Q, previously disclosed reportable activities pursuant to Section 219 for the first, second and third quarters of 2017.2019.
 DuringCiti had no reportable activities pursuant to Section 219 for the fourth quarter of 2017, Bank Handlowy w Warszawie S.A., a Citibank subsidiary located in Poland, processed two funds transfers involving the Iranian Embassy in Poland.  The value of both funds transfers was EUR 60 each for a total of EUR 120 (approximately $70.48 per transfer for a total of $140.96).  These payments were for visa-related fees, which are permissible under the travel exemption in the Iranian Transactions and Sanctions Regulations.  Bank Handlowy w Warszawie realized EUR 2.36 (approximately $2.93) in fees for processing a foreign currency payment.2019.

 






UNREGISTERED SALES OF EQUITY PURCHASESSECURITIES, REPURCHASES OF EQUITY SECURITIES AND DIVIDENDS


Unregistered Sales of Equity Securities
None.


Equity Security Repurchases
The following table summarizes Citi’s equity security repurchases, which consisted entirely of common stock repurchases during the three months ended December 31, 2017:2019:


In millions, except per share amounts
Total shares
purchased
Average
price paid
per share
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
Total shares
purchased
Average
price paid
per share
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
October 2017  
October 2019  
Open market repurchases(1)
24.0
$73.69
$8,342
21.6
$69.77
$10,473
Employee transactions(2)
—
—
N/A
—
—
N/A
November 2017  
November 2019  
Open market repurchases(1)
25.3
72.63
6,504
21.0
74.80
8,902
Employee transactions(2)
—
—
N/A
—
—
N/A
December 2017  
December 2019  
Open market repurchases(1)
24.9
75.50
4,625
26.6
77.03
6,855
Employee transactions(2)
—
—
N/A
—
—
N/A
Total for 4Q17 and remaining program balance as of December 31, 201774.2
$73.94
$4,625
Total for 4Q19 and remaining program balance as of December 31, 201969.2
$74.09
$6,855
(1)Represents repurchases under the $15.6$17.1 billion 20172019 common stock repurchase program (2017(2019 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on June 28, 2017.27, 2019. The 20172019 Repurchase Program was part of the planned capital actions included by Citi in its 2017as part of the 2019 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 20172019 Repurchase Program were added to treasury stock. The 2019 Repurchase Program expires on June 30, 2020.
(2)Consisted of shares added to treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programsshare rewards where shares are withheld to satisfy tax requirements.
N/A Not applicable


Dividends
In addition to Board of Directors’ approval, Citi’s ability to pay common stock dividends substantially depends on regulatory approval, including an annual regulatory review of the results of the CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act. For additional information regarding Citi’s capital planning and stress testing, see “Capital Resources—Current Regulatory Capital Standards—Stress Testing Component of Capital Planning” and “Risk Factors—Strategic Risks” above. Any dividend on Citi’s outstanding common stock would also need to be made in compliance with Citi’s obligations toon its outstanding preferred stock.
For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 18 to the Consolidated Financial Statements.





 



PERFORMANCE GRAPH


Comparison of Five-Year Cumulative Total Return
The following graph and table compare the cumulative total return on Citi’s common stock which is listed on the NYSE under the ticker symbol “C” and held by X common stockholders of record as of January 31, 2018, with the cumulative total return of the S&P 500 Index and the S&P FinancialFinancials Index over the five-year period through December 31, 2017.2019. The graph and table assume that $100 was invested on December 31, 20122014 in Citi’s common stock, the S&P 500 Index and the S&P FinancialFinancials Index, and that all dividends were reinvested.


Comparison of Five-Year Cumulative Total Return
For the years ended
chart-d93e2dd479fc52ddbc7.jpg


DATECITIS&P 500S&P FINANCIALSCitigroup
S&P 500 Index
S&P Financials Index
31-Dec-2012100.0
100.0
100.0
31-Dec-2013131.8
132.4
135.6
31-Dec-2014137.0
150.5
156.2
100.0
100.0
100.0
31-Dec-2015131.4
152.6
153.9
95.9
101.4
98.5
31-Dec-2016152.3
170.8
188.9
111.2
113.5
120.9
31-Dec-2017

193.5
208.1
230.9
141.2
138.3
147.7
31-Dec-2018

101.0
132.2
128.5
31-Dec-2019159.4
173.9
169.8





Note: Citi’s common stock is listed on the NYSE under the ticker symbol “C” and held by 66,990 common stockholders of record as of January 31, 2020.




CORPORATE INFORMATION


CITIGROUP EXECUTIVE OFFICERS
Citigroup’s executive officers as of February 23, 201821, 2020 are:
NameAgePosition and office held
Raja J. Akram4547Controller and Chief Accounting Officer
Francisco AristeguietaPeter Babej5256CEO, Asia Pacific
Stephen BirdMichael L. Corbat5159Chief Executive Officer
Jane Fraser52President; CEO, Global Consumer Banking
Don CallahanBradford Hu61Head of Operations and Technology
Michael L. Corbat5756Chief ExecutiveRisk Officer
James C. CowlesDavid Livingstone6256CEO, Europe, Middle East and Africa
Barbara DesoerMark A. L. Mason6550Chief Financial Officer
Mary McNiff49CEO, Citibank, N.A.
James A. ForeseErnesto Torres Cantú55
President;
CEO, Institutional Clients Group
Jane Fraser50CEO, Latin America
John C. GerspachSara Wechter64Chief Financial Officer
Bradford Hu54Chief Risk Officer
William J. Mills62CEO, North America
J. Michael Murray5339Head of Human Resources
Rohan Weerasinghe6769General Counsel and Corporate Secretary
Mike Whitaker56Head of Operations and Technology
Paco Ybarra58CEO, Institutional Clients Group


Each executive officer has held senior executive or management positions with Citigroup for at least five years, except that:


Mr. Akram joined Citi in 2006 and assumed his current position in November 2017. Previously, he had served as Deputy Controller since April 2017. He held a number of other roles in Citi Finance, including Lead Finance Officer for Treasury and Trade Solutions, Brazil Country Controller, Brazil Country Finance Officer and headHead of the Corporate Accounting Policy team supporting M&A activities.activities;
•
Mr. Babej joined Citi in 2010 and assumed his current position in October 2019. Previously, he served as ICG’s Global Head of the Financial Institutions Group (FIG) from January 2017 to October 2019 and Global Co-Head of FIG from 2010 to January 2017. Prior to joining Citi, Mr. Babej served as Co-Head, Financial Institutions— Americas at Deutsche Bank, among other roles;  
Ms. DesoerFraser joined Citibank, N.A. as Chief Operating OfficerCiti in October 20132004 and assumed her current position in April 2014. PriorOctober 2019. Previously, she served as CEO of Citi Latin America from June 2015 to joining Citi, Ms. Desoer hadOctober 2019. She held a 35-year career atnumber of other roles across the organization, including CEO of U.S. Consumer and Commercial Banking and CitiMortgage, CEO of Citi’s Global Private Bank and Global Head of America, where she was President, Bank of America Home Loans, a Global Technology & Operations Executive,Strategy and President, Consumer Products, among other roles.M&A;

•
Mr. Livingstone joined Citi in 2016 and assumed his current position in March 2019. Previously, he served as Citi Country Officer for Australia and New Zealand since June 2016. Prior to joining Citi, he had a nine-year career at Credit Suisse, where he was Vice Chairman of the Investment Banking and Capital Markets Division for the EMEA region, Head of M&A and CEO of Credit Suisse Australia;
 
•
Mr. Mason joined Citi in 2001 and assumed his current position in February 2019. Previously, he served as CFO of ICG since September 2014. He held a number of other senior operational, strategic and financial executive roles across the organization, including CEO of Citi Private Bank, CEO of Citi Holdings and CFO and Head of Strategy and M&A for Citi’s Global Wealth Management Division;
•
Ms. McNiff joined Citi in 2012 and assumed her current position in April 2019. Previously, she served as Chief Auditor since February 2017. She held a number of other roles across the organization, including Chief Auditor of GCB, Chief Administrative Officer for Citi Latin America & Mexico and interim Chief Auditor, ICG. She also previously led the Global Transformation initiative within Internal Audit;
•
Mr. Torres Cantú joined Citi in 1989 and assumed his current position in October 2019. Previously, he served as CEO of Citibanamex since October 2014. He served as CEO of GCB in Mexico from 2006 to 2011 and CEO of Crédito Familiar from 2003 to 2006. In addition, he previously held roles in Citibanamex, including Regional Director and Divisional Director;
•
Ms. Wechter joined Citi in 2004 and assumed her current position in July 2018. Previously, she served as Citi's Head of Talent and Diversity as well as Chief of Staff to Citi CEO Michael Corbat. She served as Chief of Staff to both Michael O'Neill and Richard Parsons during their terms as Chairman of Citi's Board of Directors. In addition, she held roles in Citi's ICG, including Corporate M&A and Strategy and Investment Banking;
•
Mr. Whitaker joined Citi in 2009 and assumed his current position in November 2018. Previously, he served as Head of Operations & Technology for ICG since September 2014 and held various other roles at Citi, including Head of Securities & Banking Operations & Technology, Head of ICG Technology and Regional Chief Information Officer; and
•
Mr. Ybarra joined Citi in 1987 and assumed his current position in May 2019. Previously, he served as ICG’sGlobal Head of Markets and Securities Services since November 2013. In addition, he has held a number of other roles across ICG, including Deputy Head of ICG, Global Head of Markets and Co-Head of Global Fixed Income.

Code of Conduct, Code of Ethics
Citi has a Code of Conduct that maintains its commitment to the highest standards of conduct. The Code of Conduct is supplemented by a Code of Ethics for Financial Professionals (including accounting, controllers, financial reporting operations, financial planning and analysis, treasury, tax, strategy and M&A, investor relations and regional/product finance professionals and administrative staff) that applies worldwide. The Code of Ethics for Financial Professionals applies to Citi’s principal executive officer, principal financial officer and principal accounting officer. Amendments and waivers, if any, to the Code of Ethics for Financial

Professionals will be disclosed on Citi’s website, www.citigroup.com.
Both the Code of Conduct and the Code of Ethics for Financial Professionals can be found on the Citi website by clicking on “About Us,” and then “Corporate Governance.” Citi’s Corporate Governance Guidelines can also be found there, as well as the charters for the Audit Committee, the Ethics and Culture Committee, the Nomination, Governance and Public Affairs Committee, the Operations and Technology Committee, the Personnel and Compensation Committee and the Risk Management Committee of the Board. These materials are also available by writing to Citigroup Inc., Corporate Governance, 601 Lexington Avenue, 19th388 Greenwich Street, 17th Floor, New York, New York 10022.10013.






















CITIGROUP BOARD OF DIRECTORS
Michael L. Corbat
Chief Executive Officer
Citigroup Inc.


Ellen M. Costello
Former President and CEO
BMO Financial Corporation and Former U.S. Country Head
BMO Financial Group


Grace E. Dailey
Former Senior Deputy Comptroller for Bank Supervision Policy and Chief National Bank Examiner
Office of the Comptroller of the Currency (OCC)

Barbara Desoer
Former Chief Executive Officer Citibank, N.A.

John C. Dugan
Former ChairmanChair
Financial Institutions GroupCitigroup Inc.
Covington & Burling LLP



Duncan P. Hennes
Co-Founder and Partner of
Atrevida Partners, LLC



Peter Blair Henry
Dean Emeritus and W. R. Berkley Professor of Economics and Finance
New York University
Leonard N. Stern School of Business

Franz B. Humer
Former Chairman
Roche Holding Ltd.


S. Leslie Ireland
Former Assistant Secretary for Intelligence and Analysis
U.S. Department of the Treasury


Lew W. (Jay) Jacobs, IV
Former President and Managing Director
Pacific Investment Management Company LLC (PIMCO)



Renée J. James
Chairman and CEO
Ampere Computing and
Operating Executive
The Carlyle Group



Eugene (Gene) M. McQuade
Former Vice Chairman
Citigroup Inc. and
Former Chief Executive Officer Citibank, N.A. and

Michael E. O’Neill
Former Vice Chairman
Citigroup Inc.


Gary M. Reiner
Operating Partner
General Atlantic LLC


Anthony M. Santomero
Former President
Federal Reserve Bank of
Philadelphia



Diana L. Taylor
Vice ChairFormer Superintendent of Banks
Solera Capital, LLCState of New York






James S. Turley
Former Chairman and CEO
Ernst & Young


Deborah C. Wright
Former Chairman
Carver Bancorp, Inc.


Alexander Wynaendts
Chief Executive Officer and Chairman of the Management and Executive Boards
Aegon N.V.

Ernesto Zedillo Ponce de Leon
Director, Center for the
Study of Globalization and
Professor in the Field
of International
Economics and Politics
Yale University








Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on the 23rd21st day of February, 2018.2020.


Citigroup Inc.
(Registrant)


/s/ John C. GerspachMark A. L. Mason


John C. GerspachMark A. L. Mason
Chief Financial Officer


Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities indicated on the 23rd21st day of February, 2018.2020.


Citigroup’s Principal Executive Officer and a Director:


/s/ Michael L. Corbat


Michael L. Corbat




Citigroup’s Principal Financial Officer:


/s/ John C. GerspachMark A. L. Mason


John C. GerspachMark A. L. Mason




Citigroup’s Principal Accounting Officer:


/s/ Raja J. Akram


Raja J. Akram


 
The Directors of Citigroup listed below executed a power of attorney appointing John C. GerspachMark A. L. Mason their attorney-in-fact, empowering him to sign this report on their behalf.


Ellen M. CostelloMichaelRenée J. James
Grace E. O’NeillDaileyEugene M. McQuade
Barbara DesoerGary M. Reiner
John C. DuganAnthony M. SantomeroDiana L. Taylor
Duncan P. Hennes
Diana L. Taylor

James S. Turley
Peter Blair HenryJames S. Turley
Franz B. HumerDeborah C. Wright
S. Leslie IrelandAlexander Wynaendts
Lew W. (Jay) Jacobs, IVErnesto Zedillo Ponce de Leon
Eugene M. McQuade




/s/ John C. GerspachMark A. L. Mason


John C. GerspachMark A. L. Mason





EXHIBIT INDEX
 
Exhibit  
Number Description of Exhibit
3.013.01+
 
Restated Certificate of Incorporation of the Company,Citigroup, as amended, as in effect on the date hereof, incorporated by reference to Exhibit 3.01 to the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2016 (File No. 1-9924).hereof.
   
3.02
 
By-Laws of the Company,Citigroup, as amended, as in effect on the date hereof, incorporated by reference to the Company’s Current Report on Form 8-K filed October 27, 2015on December 18, 2019 (File No. 001-09924).
   
4.01
 
Form of Senior Indenture between the CompanyCitigroup and The Bank of New York Mellon, as trustee, incorporated by reference to Exhibit 4.8 to the Company’s Registration Statement on Form S-3 filed on November 13, 2013 (File No. 333-192302).
   
4.02
 
First Supplemental Indenture, dated as of February 1, 2016, between Citigroup and The Bank of New York Mellon, as trustee, incorporated by reference to Exhibit 4.01 to the Company’s Current Report on Form 8-K filed on February 1, 2016 (File No. 001-9924).
   
4.03
 
Second Supplemental Indenture, dated as of December 29, 2016, between Citigroup and The Bank of New York Mellon, as trustee, incorporated by reference to Exhibit 4.01 to the Company’s Current Report on Form 8-K filed on December 29, 2016 (File No. 001-9924).
   
4.04
 
Third Supplemental Indenture dated as of June 26, 2017 among Citigroup Global Markets Holdings Inc., the Company and The Bank of New York Mellon, as trustee, to Indenture dated as of November 13, 2013, incorporated by reference to Exhibit 4.01 to the Company’s Quarterly Report on Form 10-Q filed on August 1, 2017 (File No. 001-09924).
   
4.05
 
Subordinated Debt Indenture, dated as of April 12, 2001, between the Company and The Bank of New York Mellon, as successor to JP MorganJPMorgan Chase Bank (formerly Bank One Trust Company, N.A.), as trustee, incorporated by reference to Exhibit 4.1 to the Company’s Registration Statement on Form S-3 filed on February 4, 2013 (No. 333-186425).
   
4.06
 
First Supplemental Indenture, dated as of August 2, 2004, between the Company and J.P. Morgan Trust Company, N.A. (formerly Bank One Trust Company, N.A.), as trustee, incorporated by reference to Exhibit 4.13 to the Company’s Registration Statement on Form S-3/A filed on August 31, 2004 (No. 333-117615).
   
4.07
 
Second Supplemental Indenture, dated as of May 18, 2016, between Citigroup and The Bank of New York Mellon, as successor to J.P. Morgan Trust Company, N.A. (formerly Bank One Trust Company, N.A.), as trustee, incorporated by reference to Exhibit 4.2 to the Company’s Current Report on Form 8-K filed on May 20, 2016 (No. 001-9924).
   
4.08
 
Third Supplemental Indenture, dated as of March 1, 2017, between Citigroup and The Bank of New York Mellon, as successor to J.P. Morgan Trust Company, N.A. (formerly Bank One Trust Company, N.A.), as trustee, incorporated by reference to Exhibit 4.11 to the Company’s Registration Statement on Form S-3 filed on March 1, 2017 (No. 333-216372).
   
4.09 Indenture, dated as of March 15, 1987, between Primerica Corporation, a New Jersey corporation, and The Bank of New York, as trustee, incorporated by reference to Exhibit 4.01 to the Company’s Registration Statement on Form S-3 filed on December 8, 1992 (No. 03355542).
   
4.10 First Supplemental Indenture, dated as of December 15, 1988, among Primerica Corporation, Primerica Holdings, Inc. and The Bank of New York, as trustee, incorporated by reference to Exhibit 4.02 to the Company’s Registration Statement on Form S-3 filed on December 8, 1992 (No. 03355542).
   

4.11 Second Supplemental Indenture, dated as of January 31, 1991, between Primerica Holdings, Inc. and The Bank of New York, as trustee, incorporated by reference to Exhibit 4.03 to the Company’s Registration Statement on Form S-3 filed on December 8, 1992 (No. 03355542).
   
4.12 Third Supplemental Indenture, dated as of December 9, 1992, among Primerica Holdings, Inc., Primerica Corporation and The Bank of New York, as trustee, incorporated by reference to Exhibit 5 to the Company’s Form 8-A dated December 21, 1992, with respect to its 7 3/4% Notes Due June 15, 1999 (No. 001-09924).
   
4.13
 
Fourth Supplemental Indenture, dated as of November 2, 1998, between the Company and The Bank of New York, as trustee, incorporated by reference to Exhibit 4.01 to the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 1998 (No. 001-09924).
   
4.14
 
Fifth Supplemental Indenture, dated as of December 9, 2008, between the Company and The Bank of New York Mellon, as trustee, incorporated by reference to Exhibit 4.04 to the Company’s Current Report on Form 8-K filed on December 11, 2008 (No. 001-09924).
   
4.15
 
Sixth Supplemental Indenture, dated as of December 20, 2012, between the Company and The Bank of New York Mellon, as trustee, providing for the issuance of debt securities, incorporated by reference to Exhibit 4.5 to the Company’s Current Report on Form 8-K filed on December 21, 2012 (No. 001-09924).
   
4.16
 
Seventh Supplemental Indenture, dated as of May 18, 2016, between Citigroup Inc. and The Bank of New York Mellon, as trustee, incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K filed on May 20, 2016 (No. 001-9924).
   
4.17
 
Senior Debt Indenture, dated as of June 1, 2005, among Citigroup Funding Inc., the Company and The Bank of New York Mellon, as successor trustee to JPMorgan Chase Bank, N.A., incorporated by reference to Exhibit 4(b) to the Company’s Registration Statement on Form S-3 filed on March 13, 2006 (No. 333-132370-01).
   
4.18
 
Second Supplemental Indenture, dated as of December 20, 2012, among Citigroup Funding Inc., the Company and The Bank of New York Mellon, as successor trustee to JPMorgan Chase Bank, N.A., incorporated by reference to Exhibit 4.2 to the Company’s Current Report on Form 8-K filed on December 21, 2012 (No. 001-09924).
   
4.19
 
Indenture, dated as of July 23, 2004, between the Company and The Bank of New York Mellon, as successor trustee to JPMorgan Chase Bank, as trustee, incorporated by reference to Exhibit 4.28 to the Company’s Registration Statement on Form S-3 filed on July 23, 2004 (No. 333-117615).
   
4.20
 
Warrant Agreement (relating to Warrants (expiring January 4, 2019)), dated asForm of January 25, 2011,Indenture, between the Company and ComputershareThe Bank of New York Mellon, as successor trustee to JPMorgan Chase Bank, incorporated by reference to Exhibit 4.01 to the Company’s Post-Effective Amendment No. 2 to the Registration Statement on Form S-3 filed on May 4, 2007 (File No. 333-135163).
4.21
Form of Indenture, between the Company and The Bank of New York Mellon, as successor trustee to JPMorgan Chase Bank (formerly known as The Chase Manhattan Bank), incorporated by reference to Exhibit 4.11 to the Travelers Group Inc. Registration Statement on Form S-3 filed on September 20, 1996 (File No. 333-12439).
4.22
Senior Debt Indenture, dated as of March 8, 2016, between Citigroup Global Markets Holdings Inc., the Company and Computershare Trust Company, N.A.,The Bank of New York Mellon, as Warrant Agent,trustee, incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-A8-K filed January 26, 2011on March 9, 2016 (File No. 001-09924)1-9924).
   
4.214.23
 
Specimen Warrant for 255,033,142 Warrants, incorporated by reference to Exhibit 4.2 to the Company’s Form 8-A filed January 26, 2011 (File No. 001-09924).
4.22
Warrant Agreement (relating to Warrants (expiring October 28, 2018)), dated as of January 25, 2011, between the Company and Computershare Inc. and Computershare Trust Company, N.A., as Warrant Agent, incorporated by reference to Exhibit 4.1 to the Company’s Form 8-A filed January 26, 2011 (File No. 001-09924).
4.23
Specimen Warrant for 210,084,034 Warrants, incorporated by reference to Exhibit 4.2 to the Company’s Form 8-A filed January 26, 2011 (File No. 001-09924).
4.24
Form of Capital Securities Guarantee Agreement between the Company, as Guarantor, and The Bank of New York Mellon, as Guarantee Trustee, incorporated by reference to Exhibit 4.32 to the Company’s Registration Statement on Form S-3 filed on July 2, 2004 (File No. 333-117615).
4.24
Amended and Restated Declaration of Trust for Citigroup Capital XIII, incorporated by reference to Exhibit 4.02 to the Company’s Current Report on Form 8-K filed on September 30, 2010 (File No. 1-9924).
   

4.25
 
Form of Amended and Restated Declaration of Trust for Citigroup Capital XVIII, incorporated by reference to Exhibit 4.07 to the Registrant’s Post-Effective Amendment No. 2 to the Registration Statement on Form S-3 (No. 333-135163).
4.26Form of Amended and Restated Declaration of Trust for Citigroup Capital III (previously known as Travelers Capital III), incorporated by reference to Exhibit 4.8 to Travelers Group Inc.’s Registration Statement on Form S-3 (File No. 333-12439).
4.27
Specimen Physical Common Stock Certificate of the Company,Citigroup, incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K filed on May 9, 2011 (File No. 001-09924).
   
10.01*4.28+
 
Description of Citigroup’s Securities Registered Pursuant to Section 12 of the Securities Exchange Act of 1934.
10.01*
Citi Discretionary Incentive and Retention Award Plan (as Amended and Restated Effective as of January 1, 2015), incorporated by reference to Exhibit 10.01 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2014 (File No. 001-09924) (the “Company’s 2014 10-K”).
   
10.02.1*
 
Citigroup 1999 Stock Incentive Plan (as amended and restated effective January 1, 2009), incorporated by reference to Exhibit 10.15 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008 (File No. 001-09924) (the “Company’s 2008 10-K”).
10.02.2*
Citigroup 2009 Stock Incentive Plan (as amended and restated effective April 24, 2013), incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed on April 26, 2013 (File No. 001-09924).
   
10.02.3*10.02.2*
 
Citigroup 2014 Stock Incentive Plan (as amended and restated effective April 26, 2016)24, 2018), incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed on April 29, 201630, 2018 (File No. 333-211479)001-09924).
   
10.03*10.02.3*
 
Citigroup 2019 Stock Incentive Plan, incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed on April 17, 2019 (File No. 001-09924).
10.03*
Citigroup Inc. Deferred Cash Award Plan (as Amended and Restated Effective as of January 1, 2015), incorporated by reference to Exhibit 10.03 to the Company’s 2014 10-K.
   
10.04.1*
 
Form of Citigroup Inc. 2014 CAP/DCAP Agreement, incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2013 (File No. 001-09924).
10.04.2*
Form of Citigroup Inc. 2015 CAP/DCAP Agreement, incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2014 (File No. 001-09924).
10.04.3*
Form of Citigroup Inc. CAP/DCAP Agreement, incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015 (File No. 001-09924).
   
10.05*10.04.2*
 
Form of Citigroup Executive Premium Price OptionInc. CAP/DCAP Agreement (for awards granted on February 14, 2019 and in future years), incorporated by reference to Exhibit 10.02 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2019 (File No. 001-09924).

10.05*
Form of Citigroup Inc. CAP Agreement, incorporated by reference to Exhibit 99.210.01 to the Company’s CurrentQuarterly Report on Form 8-K filed January 21, 200910-Q for the quarterly period ended September 30, 2019 (File No. 001-09924).
   
10.06*
 
The Amended and Restated 2011 Citigroup Executive Performance Plan (as amended and restated as of January 1, 2016, and as further amended on February 16, 2017), incorporated by reference to Exhibit 10.2 to the Company’s Current Report on Form 10-Q filed for the quarterly period ended March 31, 2017 (File No. 001-09924).
   
10.07.1*
 
Form of Citigroup Inc. Performance Share Unit Award Agreement (awards dated February 18, 2015), incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2015 (File No. 001-09924).
10.07.2*
Form of Citigroup Inc. Performance Share Unit Award Agreement (awards dated February 16, 2016 and in future years), incorporated by reference to Exhibit 10.02 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2016 (File No. 001-09924).
10.07.3
Form of Citigroup Inc. Performance Share Unit Award Agreement (awards dated February 16, 2017 and in future years), incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2017 (File No. 001-09924).
   
10.07.2*

Form of Citigroup Inc. Performance Share Unit Award Agreement (awards dated February 14, 2019 and in future years), incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2019 (File No. 001-09924).
10.08*
 
Citigroup Management Committee Termination Notice and Non-Solicitation Policy, effective October 2, 2006, incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed on October 6, 2006 (File No. 001-09924).
   
10.09.1*
 
Citicorp Deferred Compensation Plan, effective October 1995, incorporated by reference to Exhibit 10 to Citicorp’s Registration Statement on Form S-8 filed on February 15, 1996 (File No. 333-00983).

10.09.2*
 
Amendment to the Citicorp Deferred Compensation Plan, incorporated by reference to Exhibit 10.18.2 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 1999 (File No. 001-09924) (the “Company’s 1999 10-K”).
   
10.09.3*
 
Amendment to the Citicorp Deferred Compensation Plan, effective as of September 28, 2001, incorporated by reference to Exhibit 10.17.3 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2001 (File No. 001-09924).
   
10.09.4*
 
Nonqualified Plan Amendment to the Citicorp Deferred Compensation Plan, adoptedeffective November 19,22, 2009, incorporated by reference to Exhibit 10.01.5 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2009 (File No. 001-09924) (the “Company’s 2009 10-K”).
   
10.10.1*
 
Supplemental ERISA Compensation Plan of Citibank, N.A. and Affiliates, as amended and restated (the “Citibank Supplemental ERISA Plan”), incorporated by reference to Exhibit 10.(G) to Citicorp’s Annual Report on Form 10-K for the fiscal year ended December 31, 1997 (File No. 001-05378).
   
10.10.2*
 
Amendment to the Citibank Supplemental ERISA Plan, (the “1999 Amended Citibank Supplemental ERISA Plan”),effective January 1, 2000, incorporated by reference to Exhibit 10.21.2 to the Company’s 1999 10-K.
   
10.10.3*
 
Amendment toResolution Amending the 1999 Amended Citibank Supplemental ERISA Plan, (the “2005 Amended Citibank Supplemental ERISA Plan”), incorporated by reference to Exhibit 10.04.1 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2005 (File No. 001-09924).
   
10.10.4*
 
Amendment to the 2005 Amended Citibank Supplemental ERISA Plan, as amendedeffective January 1, 2009 (the “2009 Amended Citibank Supplemental ERISA Plan”), incorporated by reference to Exhibit 10.01.4 to the Company’s 2009 10-K.
10.10.5*
Nonqualified Plan Amendment to the 2009 Amended Citibank Supplemental ERISA Plan, approved November 19, 2009, incorporated by reference to Exhibit 10.01.4 to the Company’s 2009 10-K.
   
10.10.6*10.10.5*
 
Amendment No. 4 to the 2009 Amended Citibank Supplemental ERISA Plan, approvedeffective November 22, 2009, incorporated by reference to Exhibit 10.01.5 to the Company’s 2009 10-K.
10.10.6*
Amendment to the Citibank Supplemental ERISA Plan, effective December 21,31, 2012, incorporated by reference to Exhibit 10.01.6 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012 (File No. 001-09924).
   
10.11*10.10.7*
 
Amendment to the Citibank Supplemental ERISA Plan, effective December 31, 2018, incorporated by reference to Exhibit 10.09.7 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2018 (File No. 001-09924).
10.11*
Citigroup Inc. Omnibus Non-Qualified Plan Amendment, effective as of June 2, 2014, incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2014 (File No. 001-09924).
   
10.12*
 
Letter Agreement, dated December 21, 2011, between Citigroup Inc. and Michael Corbat, incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed on December 22, 2011 (File No. 001-09924).
   
10.13*
 
Citigroup Inc. Non-Employee Directors Compensation Plan (effective as of January 1, 2008), incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2007 (File No. 001-09924).
   
10.14*10.14+*
 
Expatriate LocalizationCitigroup Inc. Off-Cycle Award Agreement for Deferred Stock Award and Deferred Cash Award granted to U.S. Memorandum, dated December 2, 2016, for Stephen Bird, incorporated by reference to Exhibit 10.1 to the Company’s Report on Form 8-K filed December 2, 2016 (File No. 001-09924)Jane Fraser (dated November 25, 2019).
   
12.01+10.15+*
 
Calculation of Ratio of Income to Fixed Charges.Agreement between Stephen Bird and Citibank, N.A. (dated November 8, 2019).
   
12.02+21.01+
 
Calculation of Ratio of Income to Fixed Charges Including Preferred Stock Dividends.
21.01+
Subsidiaries of the Company.Citigroup.
   

23.01+
 
Consent of KPMG LLP, Independent Registered Public Accounting Firm.
   
24.01+
 
Powers of Attorney.
   
31.01+
 
Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   
31.02+
 
Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   
32.01+
 
Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
   
99.01+
 
List of Securities Registered Pursuant to Section 12(b) of the Securities Exchange Act of 1934.1934, formatted in inline XBRL.
   
101.01+
 
Financial statements from the Annual Report on Form 10-K of the CompanyCitigroup for the fiscal year ended December 31, 2017,2019, filed on February 23, 2018,21, 2020, formatted in inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to Consolidated Financial Statements.
104
The cover page of this Current Report on Form 10-K, formatted in inline XBRL.


The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.


Copies of any of the exhibits referred to above will be furnished at a cost of $0.25 per page (although no charge will be made for the 20172019 Annual Report on Form 10-K) to security holders who make written request to Citigroup Inc., Corporate Governance, 153 East 53rd388 Greenwich Street, 19th Floor, New York, New York 10022.NY 10013.


* Denotes a management contract or compensatory plan or arrangement.
+ Filed herewith.






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