0000831001c:DefinedBenefitPlanOtherInvestmentsMemberus-gaap:FairValueInputsLevel3Memberus-gaap:ForeignPlanMember2020-12-310000831001us-gaap:AociDerivativeQualifyingAsHedgeExcludedComponentParentMember2020-01-012020-12-310000831001c:OtherFinancialAssetsIncludingNonTradingDerivativesMember2021-01-012021-12-31

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
☒
ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT
OF 1934
For the fiscal year ended December 31, 20172021

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.
(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 YorkNY
10013
(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 oNo x
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 o No x
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. Yes x 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). Yes x 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 company, or an emerging growth company. See the definitions of "large“large accelerated filer," "accelerated filer"” “accelerated filer,” “smaller reporting company” and "smaller reporting company"“emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filerx
☒
Accelerated filero
☐
Non-accelerated filero
 (Do not check if a smaller reporting company)
☐
Smaller reporting companyo
☐
Emerging growth company☐
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 has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report. ☒
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, 20172021 was approximately $123.0$143.2 billion.
Number of shares of Citigroup Inc. common stock outstanding on January 31, 2018: 2,570,065,7482022: 1,980,894,613
Documents Incorporated by Reference: Portions of the registrant’s proxy statement for the annual meeting of stockholders scheduled to be held on April 24, 2018,26, 2022 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, 121–125,28, 124–130,
128, 153,133, 161,
303–304316–317
1A.Risk Factors56–6445–61
1B.Unresolved Staff CommentsNot Applicable
2.Properties303–304Not Applicable
3.Legal Proceedings—See Note 27 to the Consolidated Financial Statements283–290296–303
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, 305–306142–143, 167–169, 318–319
6.Selected Financial Data[Reserved]10–11
7.Management’s Discussion and Analysis of Financial Condition and Results of Operations6–32,7–28, 66–120123
7A.Quantitative and Qualitative Disclosures About Market Risk66–120, 154–156, 178–215, 222–275123, 162–166, 187–227, 234–288
8.Financial Statements and Supplementary Data132–302138–315
9.Changes in and Disagreements with Accountants on Accounting and Financial DisclosureNot Applicable
9A.Controls and Procedures126–127131–132
9B.Other InformationNot Applicable
9C.Disclosure Regarding Foreign Jurisdictions that Prevent InspectionsNot Applicable
Part III
Part III10.
10.Directors, Executive Officers and Corporate Governance307–309*320–322*
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 Accountant Fees and Services*****
Part IV
15.ExhibitsExhibit 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, 2018,26, 2022, 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 “2021 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”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”Accountants” in the Proxy Statement, incorporated herein by reference.



2

CITIGROUP’S 20172021 ANNUAL REPORT ON FORM 10-K

OVERVIEW
4
  Citigroup Segments
MANAGEMENT'S5
  Strategic Refresh
6
MANAGEMENT’S DISCUSSION AND

ANALYSIS OF FINANCIAL CONDITION AND

RESULTS OF OPERATIONS
67
Executive Summary
67
Impact of Tax ReformCiti’s Consent Order Compliance
9
Summary of Selected Financial Data
10
SEGMENT AND BUSINESS—INCOME (LOSS)

AND REVENUES
12
SEGMENT BALANCE SHEET
1413
Institutional Clients Group
14
Global Consumer Banking
1620
North America GCB
1822
Latin America GCB
2024
Asia GCB
2226
Institutional Clients GroupCorporate/Other
2428
Corporate/OtherCAPITAL RESOURCES
29
RISK FACTORS
45
SUSTAINABILITY AND OTHER ESG MATTERS
60
OFF-BALANCE SHEETHUMAN CAPITAL RESOURCES AND
  ARRANGEMENTSMANAGEMENT
3162
CONTRACTUAL OBLIGATIONS
32
CAPITAL RESOURCES
33
RISK FACTORS
56
Managing Global Risk Table of Contents
65
MANAGING GLOBAL RISK
66
SIGNIFICANT ACCOUNTING POLICIES AND

SIGNIFICANT ESTIMATES
121124
FUTURE APPLICATION OF ACCOUNTING
  STANDARDS
DISCLOSURE CONTROLS AND
PROCEDURES
124131
DISCLOSURE CONTROLS AND
  PROCEDURES
126
MANAGEMENT’S ANNUAL REPORT ON

INTERNAL CONTROL OVER FINANCIAL

REPORTING
127132
FORWARD-LOOKING STATEMENTS
128133
REPORT OF INDEPENDENT REGISTERED

PUBLIC ACCOUNTING FIRM—INTERNAL
  CONTROL OVER FINANCIAL REPORTING
FIRM
129134
REPORT OF INDEPENDENT REGISTERED
  PUBLIC ACCOUNTING FIRM—
  CONSOLIDATED FINANCIAL STATEMENTS
130
FINANCIAL STATEMENTS AND NOTES

TABLE OF CONTENTS
131137
CONSOLIDATED FINANCIAL STATEMENTS
132138
NOTES TO CONSOLIDATED FINANCIAL

STATEMENTS
140146
FINANCIAL DATA SUPPLEMENT
301315
SUPERVISION, REGULATION AND OTHER
302316
CORPORATE INFORMATION
306320
Citigroup Executive Officers
306320
Citigroup Board of Directors
307321
GLOSSARY OF TERMS AND ACRONYMS
323










3

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, 2017,2021, Citi had approximately 209,000223,400 full-time employees, compared to approximately 219,000210,000 full-time employees at December 31, 2016.
Citigroup currently operates, for management reporting purposes, via two primary business segments: Global Consumer Banking2020. For additional information, see “Human Capital Resources and Institutional Clients Group, 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.Management” below.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.
For a list of terms and acronyms used in this Annual Report on Form 10-K and other Citigroup presentations, see “Glossary of Terms and Acronyms” at the end of this report.

Additional Information
Additional information about Citigroup is available on Citi’s website at www.citigroup.com.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.www.sec.gov.
For a discussion of 2020 versus 2019 results of operations of ICG, GCB in North America, Latin America and Asia, and Corporate/Other, see each respective business’s results of operations in Citi’s 2020 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 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 significantmaterial risks and uncertainties that could impact Citigroup’sCiti’s businesses, financial condition and results of operations.
operations and financial condition.















































4



As described above,of December 31, 2021, Citigroup iswas managed pursuant to two business segments: Global Consumer Banking and operating segments—Institutional Clients Group, and Global Consumer Banking—with the remaining operations in Corporate/Other. (For information on Citi’s planned revision to its reporting structure effective for the first quarter of 2022, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” below.)
For a further description of the operating segments and the products and services they provide, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations” and Note 3 to the Consolidated Financial Statements.
Citigroup Operating Segments
Institutional
Clients Group
(ICG)		Global
Consumer Banking
(GCB)
•Banking
–Investment banking
–Treasury and trade solutions
–Corporate lending
–Private bank
•Markets and securities services
–Fixed income markets
–Equity markets
–Securities services
•North America
•Latin America(1)
•Asia(2)
Consisting of:
•Retail banking and wealth management, including
–Residential real estate
–Small business banking
•Branded cards in all regions
•Retail services in North America

Corporate/Other
•Corporate Treasury
•Operations and technology
•Global staff functions and other corporate expenses
•Legacy non-core assets:
–Consumer loans
–Certain portfolios of securities, loans and other assets
•Discontinued operations

The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment and Corporate/Otherresults above.

(1)
Latin America GCB consists of Citi’s consumer banking businessin Mexico.Citigroup Regions(3)
(2)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(3)North
America
North America includes the U.S., Canada Europe,
Middle East
and Puerto Rico, Africa
(EMEA)
Latin
America includes Mexico and 		Asia includes Japan.


(1)    Latin America GCB consists of Citi’s consumer banking business in 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.

5

Strategic Refresh—Market Exits and Planned Revision to Reporting Structure
As part of its strategic refresh, Citi is making management reporting changes to align with its vision and strategy, including to assist Citi in decisions about resources and capital allocation and to assess business performance. In the first quarter of 2022, Citi will revise its financial reporting structure to align with these management reporting changes to enable investors and others to better understand the performance of Citi’s businesses (see the table below for additional information on the revised financial reporting structure):

•First, Citi is creating a Personal Banking and Wealth Management segment. It will consist of two distinct reporting units: U.S. Personal Banking businesses and a Global Wealth Management business, which will include the private bank.
•Second, with respect to Institutional Clients Group (ICG), Citi will begin reporting under three reporting units: Services, Banking and Markets. Services will include treasury and trade solutions and securities services, reflecting the importance of these businesses to Citi’s future.
•Finally, Citi is creating Legacy Franchises, a segment that will consist of all the businesses Citi intends to exit (see below), including its remaining Legacy Holdings assets.


In conjunction with the strategic refresh, in 2021 Citi announced that it will focus its consumer banking franchises in Asia and EMEA on four wealth centers: Singapore, Hong Kong, the United Arab Emirates (UAE) and London. As a result, Citi is pursuing exits of its consumer franchises in the remaining 13 markets across these two regions.
In 2021 and early 2022, Citi announced sale agreements for or exit of a majority of the 13 markets (for additional information, see “Executive Summary” and “Asia GCB” below). ICG will continue to serve clients, including its commercial banking clients, in all of these markets.
In addition, in January 2022, Citi announced that it intends to exit the consumer, small business and middle-market banking operations of Citibanamex. The businesses in the intended exit include the Mexico consumer and small business banking operations, reported as part of Citi’s GCB segment, as well as the Mexico middle-market banking business, reported in Citi’s ICG segment. These operations represent the entirety of the Latin America GCB unit. Citiwill continue to operate a locally licensed banking business in Mexico through its global ICG (for additional information, see “Executive Summary” and “Latin America GCB” below).
For additional information regarding the exit markets, see Note 2 to the Consolidated Financial Statements. For information regarding risks related to the exit markets, see “Risk Factors” below.

The following table summarizes both Citi’s reporting structure during 2021 and its planned 2022 financial reporting structure:

c-20211231_g1.jpg
Corporate/OtherCorporate/Other


6

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


EXECUTIVE SUMMARY

As described further throughout this Executive Summary, Citi reported balanced operating resultsdemonstrated continued progress across the franchise during 2021:

•Citi’s earnings increased significantly versus the prior year, largely reflecting an allowance for full-year 2017, reflectingcredit loss (ACL) release of approximately $8.8 billion as a result of continued momentum across businessesimprovement in both the macroeconomic environment and geographies, notably manyportfolio credit quality.
•Citi’s revenues declined 5% from the prior year. Excluding a pretax loss of those where Citi has been making investments.
During 2017, Citi had revenueapproximately $0.7 billion (approximately $0.6 billion after-tax) related to Citi’s agreement to sell its Australia consumer banking business in Asia Global Consumer Banking (GCB) (see “Citigroup” below), Citi’s revenues declined 4%, as strength in investment banking, equity markets, the private bank and loan growth and positive operating leverage as well as operating margin expansionsecurities services in the Institutional Clients Group (ICG)and every region was more than offset by normalization in Global Consumer Banking (GCB). Citi also continued to demonstrate strong expense discipline, resultingmarket activity 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 to the impact of the Tax Cuts and Jobs Act (Tax Reform), which impacted the tax linefixed income markets within Corporate/OtherICG,as well as the tax linesimpact of lower deposit spreads and card loans across GCB.
•Citi’s expenses included pretax costs of approximately $1.2 billion ($1.1 billion after-tax) primarily related to charges incurred from the voluntary early retirement program (VERP) in North America GCB and ICGconnection with the wind-down of the Korea consumer banking business (for additional information, on this updated estimate, see “Impact of Tax Reform”“Asia GCB” below).
In 2017, •Citi increased the amount of capital returnedcontinued to shareholders, while each ofinvest in its key regulatory capital metrics remained strong (see “Capital” below). During the year, transformation, including infrastructure supporting its risk and control environment, and make business-led investments.
•Citi had broad-based deposit growth across ICG and GCB (up 3% and 5%, respectively), reflecting continued engagement across both corporate and consumer clients.
•Citi returned approximately $17.1$11.8 billion of capital to its common shareholders in the form of common stock repurchases and$4.2 billion in dividends and repurchased$7.6 billion in common share repurchases, totaling approximately 214105 million common shares, while maintaining robust regulatory capital ratios.
•In addition to the sale announcements related to Asia GCB, Citi also announced it intends to exit the consumer, small business and middle-market banking operations of Citibanamex in Mexico. Citi’s planned divestitures of its consumer businesses across Mexico, Asia and EMEA are aligned with the repositioning of its consumer operations to focus on global wealth centers, as outstanding common shares declined 7%well as payments and lending and a targeted retail presence in the U.S. (For additional information on the exit markets and Citi’s revised reporting structure effective for the first quarter of 2022, see “Strategic Refresh—Market Exits and Revised Reporting Strategy” above and “Latin America GCB” and “Asia GCB” below.)

Although economic growth and employment rates have continued to recover from pandemic-related lows, particularly in the prior year.U.S., various macroeconomic and other challenges and uncertainties related to, among other things, the duration and
Going into 2018, while economic sentiment has improved
severity of the pandemic-related public health crisis, disruptions of global supply chains, inflationary pressures, increasing interest rates and the macroeconomic environment remains largely positive, theregeopolitical tensions involving Eastern Europe, will continue to be various economic, political and other risks and uncertainties that could impactcreate uncertainty around Citi’s businesses and future results.
For a more detailed discussion of thetrends, uncertainties and risks and uncertainties that will or could impact Citi’s businesses, results of operations and financial condition during 2018,2022, see “2021 Results Summary,” “Risk Factors,” 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 2017 with a focus on further optimizing its performance to benefit shareholders.


20172021 Results Summary Results


Citigroup
Citigroup reported a net lossincome of $6.8$22.0 billion, or $2.98$10.14 per share, compared to net income of $14.9$11.0 billion, or $4.72 per share, in the prior year. Excluding the impact of Tax Reform, CitigroupThe increase in net income was driven by lower cost of $15.8 billion increased 6% compared to the prior year, reflecting higher revenues,credit, partially offset by higher cost of credit, while earningsexpenses and lower revenues. Citigroup’s effective tax rate was 20%, up modestly from 19% in the prior year. Earnings per share increased 13%significantly, primarily driven by net income.
Citigroup revenues of $71.9 billion decreased 5% from the prior year. Excluding the Australia loss on sale, Citigroup revenues decreased 4%, includingprimarily driven by lower revenues in both ICG and GCB, partially offset by higher revenues in Corporate/Other.
As discussed above, Citi’s 2021 results include the impacts of divestitures of Citi’s consumer banking businesses in Asia. Reported revenues include the Australia loss on sale (approximately $0.7 billion pretax, $0.6 billion after-tax), primarily reflecting the impact of a 7% reductioncurrency translation adjustment (CTA) loss (net of hedges) already reflected in average shares outstanding. (Citi’sthe Accumulated other comprehensive income (AOCI) component of equity. Upon closing, the CTA balance will be removed from the AOCI component of equity, resulting in a neutral impact to Citi’s Common Equity Tier 1 Capital.
Reported expenses include the impact of the Korea VERP of approximately $1.1 billion (approximately $0.8 billion after-tax) and contract modification costs related to the Asia divestitures of approximately $119 million (approximately $98 million after-tax). (As used throughout this Form 10-K, Citi’s results of operations and financial condition excluding the impact of Tax Reformthe Australia loss on sale, Korea VERP and other Asia divestiture-related costs are non-GAAP financial measures. Citi believes the presentation of its results of operations and financial condition excluding the impact of Tax Reformdivestiture-related impacts described above provides a meaningful depiction for investors of the underlying fundamentals of its businesses.broader results and Asia GCB businesses’ results for investors, industry analysts and others.) For additional information regarding the impact of Tax Reform, see “Impact of Tax Reform,” “Risk Factors,”
“Significant Accounting Policies and Significant Estimates—Income Taxes” below and Notes 1 and 9 to the Consolidated Financial Statements.
Citigroup revenues of $71.4 billion in 2017 increased 2%, driven by 6% aggregate growth in ICG and GCB, partially offset by a 40% decrease in Corporate/Other, primarily due to the continued wind-down of legacy assets.
Citigroup’s end-of-period loans increased 7%decreased 1% from the prior year to $667 billion versus the prior-year period.$668 billion. Excluding the impact of foreign currency translation ininto U.S. dollars for reporting purposes (FX translation), Citigroup’s end-of-period loans grew 5%,were largely unchanged, as 9% growth in ICG was offset by lower loans in GCB and Corporate/Other. Citigroup’s end-of-period deposits
7

increased 3% to $1.3 trillion. Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 4%, reflecting growth in both GCB was partially offset by the continued wind-down of legacy assets in Corporate/Other (Citi’s and ICG. (As used throughout this Form 10-K, Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures. Citi believes the presentation of its results of operations and financial condition excluding the impact of FX translation provides a meaningful depiction for investors of the underlying fundamentals of its businesses). Citigroup’s end-of-period depositsbusinesses for investors, industry analysts and others.)

Expenses
Citigroup operating expenses of $48.2 billion increased 3% to $960 billion9% versus the prior year. Excluding the impact of FX translation, Citigroup’s deposits were up 1%the Asia divestitures, expenses of $47.0 billion increased 6%, as a 2% increaseprimarily reflecting investments in ICG deposits wasCiti’s transformation, including infrastructure supporting its risk and control environment, business-led investments and revenue- and transaction-related expenses, partially offset by a declineproductivity savings. Citi expects expenses in Corporate/ Other deposits,2022 to continue to be impacted by its transformation-related and GCB deposits were largely unchanged.business-led investments.


Expenses
Citigroup operating expenses 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 operating expenses were up 3% and GCB operating 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 were a benefit of $7.5$3.8 billion, increased 7% fromcompared to a cost of $17.5 billion in the prior year.year primarily related to the pandemic. The increasedecreased cost of credit was mostly driven by a $515 million increase in net credit losses, primarily in North America GCB, partially offset byACL reserve release of $8.8 billion (versus 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$9.8 billion in the prior year. The increase was mostly due to volume growth and seasoning,year) as well as the impact of loan loss reserve builds related to forward-lookinglower net credit loss expectations, alllosses. Citi’s net ACL release primarily reflected improvement in Citi’s macroeconomic outlook and portfolio credit quality. Citi could experience higher credit costs in 2022, as the North America cards portfolios, partially offset by a higher net reserve release in ICG.level of ACL releases from 2021 are unlikely to continue, and Citi expects to build ACL reserves for new lending volumes.
For further information on the drivers of Citi’s ACL, see “Significant Accounting Policies and Significant Estimates—Citi’s Allowance for Credit Losses (ACL)” below.
Net credit losses of $7.1$4.9 billion increased 8% versusdeclined 36% from the prior year. Consumer net credit losses increased 11% to
$6.7of $4.5 billion mostlydecreased 32%, primarily reflecting volume growthlower loan volumes and seasoningimproved delinquencies in the North Americacards 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$395 million decreased 60%, primarily reflecting improvements in Corporate/Other. Corporate netportfolio credit losses

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


Capital
Citigroup’s Common Equity Tier 1 Capital and Tier 1 Capital ratios, on a fully implemented basis, were 12.4% and 14.1%ratio was 12.2% as of December 31, 2017 (based2021, based on the Basel III Standardized Approach framework for determining risk-weighted assets), respectively,assets, compared to 12.6% and 14.2%11.5% as of December 31, 2016 (based2020, based on the Basel III Advanced Approaches for determining risk-weighted assets).assets. The declineincrease in regulatory capitalthe ratio primarily reflected actions to reduce risk-weighted assets (RWA) and a temporary pause in common share repurchases in the returnfourth quarter of capital to2021, in preparation for the implementation of the Standardized Approach for Counterparty Credit Risk (SA-CCR) on January 1, 2022. Citi resumed common shareholders and an approximately $6 billion reductionshare repurchases in Common Equity Tier 1 (CET1) Capital due to the impact of Tax Reform, partially offset by earnings growth. January 2022.
Citigroup’s Supplementary Leverage ratio was 5.7% as of December 31, 2017, on a fully implemented basis, was 6.7%,2021, compared to 7.2%7.0% as of December 31, 2016.2020. The decrease was primarily driven by the expiration of temporary relief granted by the Federal Reserve Board (FRB) as of the end of the first quarter of 2021. For additional information on Citi’s capital ratiosSA-CCR and related components, including the impact of Tax Reform on itsCiti’s capital ratios, see “Capital Resources” below.


Global Consumer BankingInstitutional Clients Group
GCB ICG net income decreased 21%. Excluding the impact of Tax Reform, GCB net income decreased 6%$15.7 billionincreased 36%, as higher revenues were more thanreflecting lower cost of credit, partially offset by higher expenses and higher cost of credit. Operatinglower revenues. ICG operating expenses were $17.8increased 8% to $26.5 billion, up 2%, as higher volume-related expenses andreflecting continued investments werein Citi’s transformation, business-led investments and revenue- and transaction-related expenses, partially offset by efficiencyproductivity savings.
GCB ICGrevenues of $32.7$43.9 billion increased 4% versus the prior year, driven by growth across all regions. North America GCB decreased 3%, as a 7% increase in Banking revenues increased 3% to $20.3 billion, driven by higher revenues across all businesses. Citi-branded cards revenues of $8.6 billion were up 5% versus the prior year, mostly reflecting the addition of the Costco portfolio as well as modest growth in interest-earning balances, partiallywas more than offset by the continued run-off of non-core portfolios as well as a higher cost to fund growthan 11% decline 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. 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% from the prior year, driven by continued growth in loans and assets under management, as well as a benefit from higher interest rates.
North America GCB average deposits of $184 billion increased 1% year-over-year, average retail loans of $56 billion grew 3% and assets under management of $60 billion grew 14%. Average Citi-branded card loans of $85 billion increased 15%, while Citi-branded card purchase sales of $320 billion increased 28% versus the prior year. Average Citi retail services loans of $46 billion increased 4% versus the prior
year, while retail services purchase sales of $81 billion were up 2%. For additional information on the results of operations of North America GCB for 2017, 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)) increased 6% versus the prior year to $12.4 billion. Excluding the impact of FX translation, international GCB revenues increased 5% versus the prior year. Latin America GCB revenues increased 6% versus the prior year, 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 revenues, partially offset by lower retail lending revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for 2017, including the impact of FX translation,see “Global Consumer Banking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below.
Year-over-year, international GCB average deposits of $122 billion increased 5%, average retail loans of $87 billion were largely unchanged, assets under management of $101 billion increased 14%, average card loans of $24 billion increased 5% and card purchase sales of $98 billion increased 7%, all excluding the impact of FX translation.

Institutional Clients Group
ICG net incomedecreased 5%. Excluding the impact of Tax Reform, ICG net income increased 16%, driven by higher revenues and a small benefit to cost of credit (compared to a $486 million cost of credit in the prior year), partially offset by higher operating expenses. ICG operating expenses increased 3% to $19.6 billion, as higher compensation, investments and volume-related expenses were partially offset by efficiency savings.
ICG revenues were $35.7 billion in 2017, up 7% from the prior year, primarily driven by a 16% increase in Banking revenues. Markets and securities services were largely unchanged versus the prior year.revenues. The increase in Banking revenues included the impact of $133$144 million of losses on loan hedges withinrelated to corporate lending and the private bank, compared to losses of $594$51 million in the prior year.
Banking revenues of $18.7$23.3 billion (excluding the impact of losses on loan hedges withinhedges) increased 7%, as higher revenues in investment banking and the private bank were partially offset by lower revenues in treasury and trade solutions and corporate lending) increased 12%, driven by solid growth across all products.lending. Investment banking revenues of $5.2$7.5 billion increased 20% versus the prior year,30%, reflecting wallet share gainsgrowth across all products.products, particularly in advisory and equity underwriting. Advisory revenues increased 11%78% to $1.1$1.8 billion, equity underwriting revenues increased 68%53% to $1.1$2.4 billion and debt underwriting revenues increased 13%3% to $3.0$3.3 billion.
Treasury and trade solutions revenues of $9.4 billion all versusdeclined 4%, as higher fee revenues, including a recovery in commercial card revenues, as well as growth in trade were more than offset by the prior year.
impact of lower deposit spreads. Private bank revenues increased 14% from5%. Excluding the prior year,impact of gains on loan hedges, private bank revenues of $4.0 billion increased 6%, driven by growth in clients, loans,higher loan volumes and spreads, as well as higher managed investments and deposits, as well as improvedpartially offset by lower deposit spreads. Corporate lending revenues increased 59% to $1.8 billion.decreased 3%. Excluding the impact of losses on loan hedges, corporate lending revenues increased 12% versus the prior year, primarily drivenof $2.3 billion decreased 1%, as lower cost of funds was more than offset by lower hedging costs,
loan volumes.

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$20.8 billion were largely unchanged from the prior year, as a decline 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. decreased 11%.Fixed income markets revenues of $12.1$13.7 billion decreased 6% from the prior year,22%, reflecting low volatility, as well as the comparison to higher revenues from a more robust trading environmentnormalization 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.market activity across rates and spread products. Equity markets revenues of $2.7$4.5 billion decreased 2% from the prior year, driven by an episodic loss in derivatives of roughly $130 million related to a single client event. Excluding this item, equity markets revenues increased 2% from the prior year,25%, driven by growth inacross all products, reflecting solid client balancesactivity and higher investor client revenue.favorable market conditions. Securities services revenues of $2.3$2.7 billion increased 8%6%, as strong fee revenues, driven by growth in clienthigher settlement volumes and higher interest revenue.assets under custody, were partially offset by lower deposit spreads. For additional information on the results of operations of ICG for 2017, in 2021, see “Institutional Clients Group” below.

8

Corporate/Other
Global Consumer Banking
Corporate/OtherGCB net lossincome was $19.7$6.1 billion, in 2017, compared to net income of $498$667 million in the prior year, reflecting lower cost of credit, partially offset by lower revenues and higher expenses. GCB operating expenses of $20.0 billion increased 12%. Excluding the impact of FX translation and the Asia divestitures, expenses increased 5%, reflecting continued investments in Citi’s transformation, as well as business-led investments and volume-related expenses, partially offset by productivity savings.
GCB revenues of $27.3 billion decreased 10% from the prior year. Excluding the impact of Tax Reform, Corporate/Other net income declined 69% to $153 million, reflecting lowerFX translation and the Australia loss on sale, revenues partiallydecreased 9%, as continued solid deposit growth and growth in assets under management were more than offset by lower operating expensescard loans and lower costdeposit spreads. For additional information on GCB’s results of credit. Operating expensesoperations, including the impact of $3.8FX translation, see “Global Consumer Banking” below.
North America GCB revenues of $17.5 billion declined 24% from the prior-year period,decreased 9%, with lower revenues across branded cards, retail services and retail banking. Branded cards revenues of $8.2 billion decreased 7%, reflecting the wind-downcontinued higher payment rates. Retail servicesrevenues of legacy assets$5.1 billion decreased 15%, reflecting continued higher payment rates and lower legal expenses.
Corporate/Other revenues were $3.1 billion, down 40% from the prior year, primarily reflecting the wind-down of legacy assetsaverage loans as well as the absencehigher partner payments. Retail banking revenues of gains related to debt buybacks in 2016.
Corporate/Other end-of-period assets of $77$4.2 billion decreased 25%7%, as the benefit of stronger deposit volumes was more than offset by lower deposit spreads and lower mortgage revenues.
North America GCB average deposits of $206 billion increased 17% year-over-year and average retail banking loans of $50 billion decreased 4% year-over-year, while assets under management of $87 billion increased 8%. Average branded cards loans of $81 billion decreased 4% and average retail services loans decreased 7%, reflecting higher payment rates. Branded cards spend volume of $411 billion increased 21% and retail services spend volume of $92 billion increased 18%, reflecting a recovery in sales activity from the pandemic-driven low levels in the prior year, reflecting the continued wind-down of legacy assets as well as the impact of Tax Reform, which reduced assets by approximately $20 billion.year. For additional information on the results of operations of Corporate/Other for 2017, 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 in 2021, see “Global Consumer Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCBand ICG related toAsia GCB (which includes the enactmentresults of Tax Reform, which was signed into law on December 22, 2017. This updated estimate resultedoperations in a downward adjustment to fourth-quarter and full-year 2017 financial results, as well as changes incertain EMEA countries)) of $9.8 billion declined 11% versus 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 toprior year. Excluding 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 rateFX translation and the changeAustralia loss on sale, international GCB revenues declined 7%. Excluding the impact of FX translation, Latin America GCB revenues decreased 9%, driven by lower average loans and lower deposit spreads. Excluding the impact of FX translation and the Australia loss on sale, Asia GCB revenues decreased 6%, reflecting lower spreads, partially offset by higher investment revenues. For additional information on the results of operations of Latin America GCB and Asia GCB in 2021, including the impacts of FX translation,see “Global Consumer Banking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below. For additional information on Citi’s consumer banking business in Australia, see “Global Consumer Banking—Asia GCB” below.
Year-over-year, excluding the impact of FX translation, international GCB average deposits of $146 billion increased 5%, average retail banking loans of $72 billion decreased 3% and assets under management of $145 billion increased 5%. On this basis, international GCB average card loans of $20 billion decreased 13%, while credit card spend volumes of $100 billion increased 9%, reflecting a continued recovery in credit card spend activity from the pandemic-related low levels in the prior year.

Corporate/Other
Corporate/Other net income was $215 million, compared to a quasi-territorial tax system (see “Significant Accounting Policiesnet loss of $1.1 billion in the prior year, reflecting higher revenues, lower expenses, lower cost of credit, and Estimates—Income Taxes” below),the release of a $7.9 billion valuation allowance against Citi’s foreign tax credit (FTC) carry-forwardsvaluation allowance. Operating expenses of $1.6 billion decreased 14%, reflecting the absence of the prior year’s civil money penalty and its U.S. residual DTAsthe wind-down of legacy assets, partially offset by increases related to its non-U.S. branches,Citi’s transformation.
Corporate/Other revenues of $667 million compared to $71 million in the prior year, primarily driven by higher net revenue from the investment portfolio. For additional information on the results of operations of Corporate/Other in 2021, see “Corporate/Other” below.

CITI’S CONSENT ORDER COMPLIANCE
Citi has embarked on a multiyear transformation, with the target outcome to change Citi’s business and a $2.3 billion reduction inoperating models such that they simultaneously strengthen risk and controls and improve Citi’s FTC carry-forwards relatedvalue to customers, clients and shareholders.
This includes efforts to effectively implement the October 2020 FRB and Office of the Comptroller of the Currency (OCC) consent orders issued to Citigroup and Citibank, respectively. In the second quarter of 2021, Citi made an initial submission to the deemed repatriationOCC, and submitted its plans to address the consent orders to both regulators during the third quarter of undistributed earnings2021. Citi continues to work constructively with the regulators, and will continue to reflect their feedback in its project plans and execution efforts.
As discussed above, Citi’s efforts include continued investments in its transformation, including the remediation of non-U.S. subsidiaries.its consent orders. Citi's CEO has made the strengthening of Citi's risk and control environment a strategic priority and has
The financial results inestablished a Chief Administrative Officer organization to centralize program management. In addition, the tableCitigroup and Citibank Boards of Directors each formed a Transformation Oversight Committee, an ad hoc committee of each Board, to provide oversight of management’s remediation efforts under the consent orders.
For additional information about the consent orders, see “Risk Factors—Compliance Risks” 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 AnnualCurrent Report on Form 10-K, unless otherwise noted.8-K filed with the SEC on October 7, 2020.
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.



























9
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
 

(1) Excludes the impact of Tax Reform.


RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1DATA

Citigroup Inc. and Consolidated Subsidiaries
In millions of dollars, except per share amounts20212020201920182017
Net interest income(1)
$42,494 $44,751 $48,128 $46,562 $45,061 
Non-interest revenue29,390 30,750 26,939 27,474 28,632 
Revenues, net of interest expense$71,884 $75,501 $75,067 $74,036 $73,693 
Operating expenses(1)
48,193 44,374 42,783 43,023 43,481 
Provisions for credit losses and for benefits and claims(3,778)17,495 8,383 7,568 7,451 
Income from continuing operations before income taxes$27,469 $13,632 $23,901 $23,445 $22,761 
Income taxes(2)
5,451 2,525 4,430 5,357 29,388 
Income (loss) from continuing operations$22,018 $11,107 $19,471 $18,088 $(6,627)
Income (loss) from discontinued operations, net of taxes7 (20)(4)(8)(111)
Net income (loss) before attribution of noncontrolling interests$22,025 $11,087 $19,467 $18,080 $(6,738)
Net income attributable to noncontrolling interests
73 40 66 35 60 
Citigroup’s net income (loss)(2)
$21,952 $11,047 $19,401 $18,045 $(6,798)
Earnings per share
Basic
Income (loss) from continuing operations$10.21 $4.75 $8.08 $6.69 $(2.94)
Net income (loss)10.21 4.74 8.08 6.69 (2.98)
Diluted
Income (loss) from continuing operations$10.14 $4.73 $8.04 $6.69 $(2.94)
Net income (loss)
10.14 4.72 8.04 6.68 (2.98)
Dividends declared per common share2.04 2.04 1.92 1.54 0.96 
Common dividends$4,196 $4,299 $4,403 $3,865 $2,595 
Preferred dividends1,040 1,095 1,109 1,174 1,213 
Common share repurchases7,600 2,925 17,875 14,545 14,538 
In millions of dollars, except per-share amounts and ratios20172016201520142013
Net interest revenue$44,687
$45,104
$46,630
$47,993
$46,793
Non-interest revenue26,762
24,771
29,724
29,226
29,931
Revenues, net of interest expense$71,449
$69,875
$76,354
$77,219
$76,724
Operating expenses41,237
41,416
43,615
55,051
48,408
Provisions for credit losses and for benefits and claims7,451
6,982
7,913
7,467
8,514
Income from continuing operations before income taxes$22,761
$21,477
$24,826
$14,701
$19,802
Income taxes(1)
29,388
6,444
7,440
7,197
6,186
Income (loss) from continuing operations$(6,627)$15,033
$17,386
$7,504
$13,616
Income (loss) from discontinued operations, net of taxes(2)
(111)(58)(54)(2)270
Net income (loss) before attribution of noncontrolling interests$(6,738)$14,975
$17,332
$7,502
$13,886
Net income attributable to noncontrolling interests
60
63
90
192
227
Citigroup’s net income (loss)(1)
$(6,798)$14,912
$17,242
$7,310
$13,659
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
$4.26
Net income (loss)(2.98)4.72
5.41
2.21
4.35
Diluted     
Income (loss) from continuing operations$(2.94)$4.74
$5.42
$2.20
$4.25
Net income (loss)
(2.98)4.72
5.40
2.20
4.34
Dividends declared per common share0.96
0.42
0.16
0.04
0.04


Table continues on the next page, including footnotes.

10

SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2DATA
(Continued)
 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
Citigroup Inc. and Consolidated Subsidiaries
(1)2017 includes the impact of Tax Reform. See “Impact of Tax Reform” above.
(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.
(4)Citi’s regulatory capital ratios reflect full implementation of the U.S. Basel III rules. 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. 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)Citi’s Supplementary Leverage ratio reflects full implementation of the U.S. Basel III rules.
In millions of dollars, except per share amounts, ratios and direct staff20212020201920182017
At December 31:
Total assets$2,291,413 $2,260,090 $1,951,158 $1,917,383 $1,842,465 
Total deposits1,317,230 1,280,671 1,070,590 1,013,170 959,822 
Long-term debt254,374 271,686 248,760 231,999 236,709 
Citigroup common stockholders’ equity(2)
182,977 179,962 175,262 177,760 181,487 
Total Citigroup stockholders’ equity(2)
201,972 199,442 193,242 196,220 200,740 
Average assets2,347,709 2,226,454 1,978,805 1,920,242 1,875,438 
Direct staff (in thousands)
223 210 200 204 209 
Performance metrics
Return on average assets0.94 %0.50 %0.98 %0.94 %(0.36)%
Return on average common stockholders’ equity(2)(3)
11.5 5.7 10.3 9.4 (3.9)
Return on average total stockholders’ equity(2)(3)
10.9 5.7 9.9 9.1 (3.0)
Return on tangible common equity (RoTCE)(2)(4)
13.4 6.6 12.1 11.0 8.1 
Efficiency ratio (total operating expenses/total revenues, net)67.0 58.8 57.0 58.1 59.0 
Basel III ratios(2)(5)
Common Equity Tier 1 Capital(6)
12.25 %11.51 %11.79 %11.86 %12.36 %
Tier 1 Capital(6)
13.91 13.06 13.33 13.43 14.06 
Total Capital(6)
16.04 15.33 15.87 16.14 16.30 
Supplementary Leverage ratio5.73 6.99 6.20 6.40 6.68 
Citigroup common stockholders’ equity to assets(2)
7.99 %7.96 %8.98 %9.27 %9.85 %
Total Citigroup stockholders’ equity to assets(2)
8.81 8.82 9.90 10.23 10.90 
Dividend payout ratio(7)
20 43 24 23 NM
Total payout ratio(8)
56 73 122 109 NM
Book value per common share(2)
$92.21 $86.43 $82.90 $75.05 $70.62 
Tangible book value (TBV) per share(2)(4)
79.16 73.67 70.39 63.79 60.16 

(1)    Revenue previously referred to as net interest revenue is now referred to as net interest income. During the fourth quarter of 2021, Citi reclassified deposit insurance expenses from Interest expense to Other operating expenses for all periods presented. Amounts reclassified for each year were $1,207 million for 2021, $1,203 million for 2020, $781 million for 2019, $1,182 million for 2018 and $1,249 million for 2017. See Note 1 to the Consolidated Financial Statements.
(2)    2017 includes the one-time impact related to enactment of the Tax Cuts and Jobs Act (Tax Reform). 2020, 2019 and 2018 reflect the tax rate structure post Tax Reform. RoTCE for 2017 excludes the one-time impact from Tax Reform and is a non-GAAP financial measure. For additional information, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below.
(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.
(4)    RoTCE and TBV are non-GAAP financial measures. 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.
(5)    Citi’s risk-based capital and leverage ratios for 2017 are non-GAAP financial measures, which reflect full implementation of regulatory capital adjustments and deductions prior to the effective date of January 1, 2018.
(6)    Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach, and the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework as of December 31, 2021 and December 31, 2019 to 2017. 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 as of December 31, 2020.
(7)    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. See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 10 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.
(8)    For information on TBV, see “Capital Resources—Tangible CommonTotal common dividends declared plus common share repurchases as a percentage of net income available to common shareholders (Net income, less preferred dividends). See “Consolidated Statement of Changes in Stockholders’ Equity, Tangible Book Value Per Share, Book Value Per Share” Note 10 to the Consolidated Financial Statements and Returns on Equity” below.“Equity Security Repurchases” below for the component details.
NM    Not meaningful





11

SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES

CITIGROUP INCOME

In millions of dollars
2017(1)
20162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015		In millions of dollars202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Income (loss) from continuing operations  Income (loss) from continuing operations
Global Consumer Banking  
North America$2,043
$3,238
$4,188
(37)%(23)%
Latin America590
633
826
(7)(23)
Asia(2)
1,260
1,083
1,200
16
(10)
Total$3,893
$4,954
$6,214
(21)%(20)%
Institutional Clients Group  Institutional Clients Group
North America$2,449
$3,495
$3,316
(30)%5 %North America$5,781 $3,310 $3,407 75 %(3)%
EMEA2,804
2,365
2,230
19
6
EMEA4,347 3,280 3,836 33 (14)
Latin America1,513
1,454
1,351
4
8
Latin America2,429 1,390 2,101 75 (34)
Asia2,300
2,211
2,213
4
—
Asia(2)
3,206 3,573 3,432 (10)4 
TotalTotal$15,763 $11,553 $12,776 36 %(10)%
Global Consumer BankingGlobal Consumer Banking
North AmericaNorth America$5,934 $(46)$3,157 NMNM
Latin AmericaLatin America798 241 885 NM(73)%
Asia(1)
Asia(1)
(686)468 1,537 NM(70)
Total$9,066
$9,525
$9,110
(5)%5 %Total$6,046 $663 $5,579 NM(88)%
Corporate/Other$(19,586)$554
$2,062
NM
(73)%Corporate/Other209 (1,109)1,116 NMNM
Income (loss) from continuing operations$(6,627)$15,033
$17,386
NM
(14)%
Income from continuing operationsIncome from continuing operations$22,018 $11,107 $19,471 98 %(43)%
Discontinued operations$(111)$(58)$(54)(91)%(7)%Discontinued operations$7 $(20)$(4)NMNM
Net income (loss) attributable to noncontrolling interests60
63
90
(5)(30)
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
NM
(14)%
Less: Net income attributable to noncontrolling interestsLess: Net income attributable to noncontrolling interests73 40 66 83 %(39)%
Citigroup’s net incomeCitigroup’s net income$21,952 $11,047 $19,401 99 %(43)%


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


CITIGROUP REVENUES

In millions of dollars202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Institutional Clients Group
North America$16,748 $17,476 $13,603 (4)%28 %
EMEA13,094 13,041 12,157 — 7 
Latin America4,946 4,981 5,275 (1)(6)
Asia9,099 9,590 8,789 (5)9 
Total$43,887 $45,088 $39,824 (3)%13 %
Global Consumer Banking
North America$17,481 $19,284 $20,460 (9)%(6)%
Latin America4,250 4,466 5,334 (5)(16)
Asia(1)
5,599 6,592 7,427 (15)(11)
Total$27,330 $30,342 $33,221 (10)%(9)%
Corporate/Other667 71 2,022 NM(96)
Total Citigroup net revenues$71,884 $75,501 $75,067 (5)%1 %

(1)    Asia GCB includes the results of operations of GCB activities in certain EMEA countries.
NM Not meaningful

12
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)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.




SEGMENT BALANCE SHEET(1)—DECEMBER 31, 2021
In millions of dollarsInstitutional
Clients
Group		Global
Consumer
Banking
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, net of allowance$90,714 $7,953 $163,366 $— $262,033 
Securities borrowed and purchased under agreements to resell, net of allowance326,937 118 233 — 327,288 
Trading account assets318,495 1,186 12,264 — 331,945 
Investments, net of allowance132,357 1,218 379,247 — 512,822 
Loans, net of unearned income and allowance for credit losses on loans393,681 253,721 3,910 — 651,312 
Other assets, net of allowance112,901 51,480 41,632 — 206,013 
Net inter-segment liquid assets(4)
386,448 116,728 (503,176)— — 
Total assets$1,761,533 $432,404 $97,476 $— $2,291,413 
Liabilities and equity    
Total deposits$949,522 $361,808 $5,900 $— $1,317,230 
Securities loaned and sold under agreements to repurchase188,784 2,498 3 — 191,285 
Trading account liabilities160,353 763 413 — 161,529 
Short-term borrowings27,309 109 555 — 27,973 
Long-term debt(3)
89,720 482 (773)164,945 254,374 
Other liabilities, net of allowance88,443 32,325 15,582 — 136,350 
Net inter-segment funding (lending)(3)
257,402 34,419 75,096 (366,917)— 
Total liabilities$1,761,533 $432,404 $96,776 $(201,972)$2,088,741 
Total stockholders’ equity(5)
— — 700 201,972 202,672 
Total liabilities and equity$1,761,533 $432,404 $97,476 $— $2,291,413 

(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment. The respective segment information depicts the assets and liabilities managed by each segment.
(2)Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.
(3)Total stockholders’ equity and the majority of long-term debt of Citigroup are reflected on the Citigroup parent company 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 liquid 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.

13
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
Assets     
Cash and deposits with banks$11,446
$65,916
$103,154
$—
$180,516
Federal funds sold and securities borrowed or purchased under agreements to resell242
231,806
430
—
232,478
Trading account assets5,885
243,916
1,755
—
251,556
Investments10,786
109,231
232,273
—
352,290
Loans, net of unearned income and    
allowance for loan losses301,729
330,826
22,124
—
654,679
Other assets38,037
96,266
36,643
—
170,946
Liquidity assets(4)
60,755
258,342
(319,097)—
—
Total assets$428,880
$1,336,303
$77,282
$—
$1,842,465
Liabilities and equity    
Total deposits$307,244
$639,487
$13,091
$—
$959,822
Federal funds purchased and securities loaned or sold under agreements to repurchase4,705
151,563
9
—
156,277
Trading account liabilities20
123,933
94
—
124,047
Short-term borrowings576
20,075
23,801
—
44,452
Long-term debt(3)
2,143
35,297
47,106
152,163
236,709
Other liabilities19,745
80,383
19,358
—
119,486
Net inter-segment funding (lending)(3)
94,447
285,565
(27,109)(352,903)—
Total liabilities$428,880
$1,336,303
$76,350
$(200,740)$1,640,793
Total equity(5)
—
—
932
200,740
201,672
Total liabilities and equity$428,880
$1,336,303
$77,282
$—
$1,842,465


(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of December 31, 2017. The respective segment information depicts the assets and liabilities managed by each segment as of such date.
(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 total stockholders’ equity and the majority of long-term debt of Citigroup reside in the Citigroup parent company Consolidated 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 liquidity assets (primarily consisting of cash and available-for-sale securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.
(5)
Corporate/Other equity represents noncontrolling interests.

INSTITUTIONAL CLIENTS GROUP
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GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB) consistsAs of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico)December 31, 2021, Institutional Clients Group (ICG) included Banking and Asia. GCB provides traditional bankingMarkets and securities 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). GCBICG provided 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 transacted with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.
For information on Citi’s planned revision to its reporting structure, including the reporting of the private bank as part of a new reporting segment, Personal Banking and Wealth Management, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.
ICG revenue is focusedgenerated primarily from fees and spreads associated with these activities. ICG earns fee income for assisting clients with transactional services and clearing 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 assets under custody and 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. 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 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, is recorded as Net interest income.
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 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 evaluation of the above factors at the trading desk as well as the country level.
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 (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 95 countries and jurisdictions. At December 31, 2021, ICG had $1.8 trillion in assets and $950 billion in deposits. Securities services and issuer services managed $24.0 trillion in assets under custody and administration at December 31, 2021, of which Citi provides both custody and administrative services to certain clients related to $1.9 trillion of such assets. Managed assets under trust were $3.8 trillion at December 31, 2021. For additional information on these operations, see “Administration and Other Fiduciary Fees” in Note 5 to the Consolidated Financial Statements.
14

In millions of dollars, except as otherwise noted202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Commissions and fees$4,750 $4,412 $4,462 8 %(1)%
Administration and other fiduciary fees3,351 2,877 2,756 16 4 
Investment banking6,741 5,009 4,440 35 13 
Principal transactions10,064 13,308 8,562 (24)55 
Other(1)
1,384 1,149 1,829 20 (37)
Total non-interest revenue$26,290 $26,755 $22,049 (2)%21 %
Net interest income (including dividends)17,597 18,333 17,775 (4)3 
Total revenues, net of interest expense$43,887 $45,088 $39,824 (3)%13 %
Total operating expenses(2)
$26,513 $24,617 $22,961 8 %7 %
Net credit losses on loans$396 $987 $394 (60)%NM
Credit reserve build (release) for loans(2,533)3,172 71 NMNM
Provision for credit losses on unfunded lending commitments(777)1,435 98 NMNM
Provisions for credit losses on HTM debt securities and other assets1 21 — (95)100 %
Provisions for credit losses$(2,913)$5,615 $563 NMNM
Income from continuing operations before taxes$20,287 $14,856 $16,300 37 %(9)%
Income taxes4,524 3,303 3,524 37 (6)
Income from continuing operations$15,763 $11,553 $12,776 36 %(10)%
Noncontrolling interests83 50 40 66 25 
Net income$15,680 $11,503 $12,736 36 %(10)%
Balance Sheet data and ratios
EOP assets (in billions of dollars)
$1,762 $1,730 $1,447 2 %20 %
Average assets (in billions of dollars)
1,812 1,706 1,493 6 14 
Return on average assets0.87 %0.67 %0.85 %
Efficiency ratio60 55 58 
Revenues by region
North America$16,748 $17,476 $13,603 (4)%28 %
EMEA13,094 13,041 12,157 — 7 
Latin America4,946 4,981 5,275 (1)(6)
Asia9,099 9,590 8,789 (5)9 
Total$43,887 $45,088 $39,824 (3)%13 %
Income from continuing operations by region 
North America$5,781 $3,310 $3,407 75 %(3)%
EMEA4,347 3,280 3,836 33 (14)
Latin America2,429 1,390 2,101 75 (34)
Asia3,206 3,573 3,432 (10)4 
Total$15,763 $11,553 $12,776 36 %(10)%
Average loans by region (in billions of dollars)
 
North America$202 $201 $188 — %7 %
EMEA89 88 87 1 1 
Latin America32 39 40 (18)(3)
Asia73 71 73 3 (3)
Total$396 $399 $388 (1)%3 %
EOP deposits by business (in billions of dollars)
Treasury and trade solutions$636 $651 $536 (2)%21 %
All other ICG businesses
314 273 232 15 18 
Total$950 $924 $768 3 %20 %

(1)    2019 includes an approximate $350 million gain on Citi’s investment in Tradeweb.
(2)    2020 includes an approximate $390 million operational loss related to certain legal matters.
NM Not meaningful

15

ICG Revenue Details

In millions of dollars202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Investment banking revenue details
Advisory$1,796 $1,010 $1,259 78 %(20)%
Equity underwriting2,434 1,593 973 53 64 
Debt underwriting3,283 3,184 2,984 3 7 
Total investment banking$7,513 $5,787 $5,216 30 %11 %
Treasury and trade solutions9,444 9,824 10,513 (4)(7)
Corporate lending—excluding gains (losses) on loan hedges(1)
2,291 2,310 2,985 (1)(23)
Private bank—excluding gains (losses) on loan hedges(1)
4,005 3,794 3,487 6 9 
Total Banking revenues (ex-gains (losses) on loan hedges)(1)
$23,253 $21,715 $22,201 7 %(2)%
  Losses on loan hedges(1)
$(144)$(51)$(432)NM88 %
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense
$23,109 $21,664 $21,769 7 %— %
Fixed income markets(2)
$13,720 $17,588 $13,074 (22)%35 %
Equity markets4,545 3,624 2,908 25 25 
Securities services2,720 2,562 2,642 6 (3)
Other(207)(352)(569)41 38 
Total Markets and securities services revenues, net
of interest expense
$20,778 $23,424 $18,055 (11)%30 %
Total revenues, net of interest expense$43,887 $45,088 $39,824 (3)%13 %
Commissions and fees$793 $677 $782 17 %(13)%
Principal transactions(3)
7,692 11,518 7,661 (33)50 
Other(2)
831 579 1,117 44 (48)
Total non-interest revenue$9,316 $12,774 $9,560 (27)%34 %
Net interest income4,404 4,814 3,514 (9)37 
Total fixed income markets(4)
$13,720 $17,588 $13,074 (22)%35 %
Rates and currencies$8,903 $12,162 $9,242 (27)%32 %
Spread products/other fixed income4,817 5,426 3,832 (11)42 
Total fixed income markets$13,720 $17,588 $13,074 (22)%35 %
Commissions and fees$1,231 $1,245 $1,121 (1)%11 %
Principal transactions(3)
1,986 1,281 775 55 65 
Other191 322 172 (41)87 
Total non-interest revenue$3,408 $2,848 $2,068 20 %38 %
Net interest income1,137 776 840 47 (8)
Total equity markets(4)
$4,545 $3,624 $2,908 25 %25 %

(1)    Credit derivatives are used to economically hedge a portion of the private bank and corporate loan portfolio that includes both accrual loans and loans at fair value. Gains (losses) on loan hedges include 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 private bank and corporate lending revenues to reflect the cost of credit protection. Gains (losses) on loan hedges include $(131) million and $(74) million related to the corporate loan portfolio and $(13) million and $23 million related to the private bank for the years ended December 31, 2021 and 2020, respectively. All of gains (losses) on loan hedges are related to the corporate loan portfolio for the year ended December 31, 2019. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.
(2)    2019 includes an approximate $350 million gain on Citi’s investment in Tradeweb.
(3)    Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(4)    Citi assesses its priorityMarkets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net interest income may be risk managed by derivatives that are recorded in Principal transactions revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6 to the Consolidated Financial Statements.
NM Not meaningful
16

The discussion of the results of operations for ICG below excludes (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.

2021 vs. 2020
Net income of $15.7 billion increased 36% versus the prior year, primarily driven by lower cost of credit, partially offset by higher expenses and lower revenues.
Revenues decreased 3%, reflecting lower Markets and securities services revenues, partially offset by higher Banking revenues. Banking revenues were up 7% (both including and excluding the impact of losses on loan hedges), driven by higher revenues in investment banking and the private bank, partially offset by lower revenues in treasury and trade solutions and corporate lending. Markets and securities services revenues were down 11%, primarily reflecting a normalization in fixed income markets revenues, partially offset by growth in equity markets and securities services.
Citi expects that revenues in its markets and investment banking businesses will continue to reflect the overall market environment during 2022.

Within Banking:

•Investment banking revenues were up 30%, reflecting growth in the overall market wallet. Advisory revenues increased 78%, reflecting strength in North America and EMEA, driven by growth in the market wallet as well as wallet share gains. Equity underwriting revenues increased 53%, reflecting strength in North America and EMEA, driven by growth in the market wallet, as well as wallet share gains. Debt underwriting revenues increased 3%, reflecting strength in EMEA, as growth in the market wallet was partially offset by a decline in wallet share.
•Treasury and trade solutions revenues decreased 4% (both including and excluding the impact of FX translation), reflecting a decline in revenues in the cash business, partially offset by an increase in trade revenues. Cash revenues decreased, driven by the ongoing impact of lower deposit spreads. The decrease was partially offset by strong growth in fee revenues reflecting solid client engagement and growth in transaction volumes, including growth in USD clearing, commercial cards and cross-border solutions. The increase in trade revenues was driven by improved trade spreads and growth in loans, reflecting an increase in trade flows and originations, primarily in Asia and EMEA. Average trade loans increased 5% (both including and excluding the impact of FX translation).
•Corporate lending revenues decreased 3%, including the impact of losses on loan hedges. Excluding the impact of losses on loan hedges, revenues decreased 1%, as lower cost of funds was more than offset by lower loan volumes, reflecting muted demand given strong client liquidity positions. Average loans decreased 20% during the current year.
•Private bank revenues increased 5%. Excluding the impact of gains (losses) on loan hedges, revenues increased 6%, driven by strong performance in North America and EMEA. The higher revenues reflected continued momentum with new and existing clients,
resulting in higher loan volumes and spreads, higher managed investments revenues and higher deposit volumes. The increase in revenues was partially offset by lower deposit spreads due to the ongoing low interest rate environment and lower capital markets revenue.

Within Markets and securities services:

•Fixed income markets revenues decreased 22%, reflecting lower revenues across all regions, largely driven by a comparison to a strong prior year, as well as a normalization in market activity, particularly in rates and currencies, and spread products. Non-interest revenues decreased, reflecting lower investor client activity across rates and currencies and spread products. Net interest income also decreased, largely reflecting a change in the mix of trading positions.
Rates and currencies revenues decreased 27%, driven by the normalization in market activity, and a comparison to a strong prior year that included elevated levels of volatility related to the pandemic. Spread products and other fixed income revenues decreased 11%, driven by a comparison to a strong prior year and the normalization in market activity, particularly in flow trading and structured products, reflecting lower volatility and spreads, partially offset by strong securitization activity.
•Equity markets revenues increased 25%, driven by growth across all products. Equity derivatives revenues increased reflecting higher client activity, particularly in EMEA and North America. Prime finance revenues increased due to favorable market conditions as well as growth in client balances. Cash equities revenues increased modestly, reflecting higher client activity. Non-interest revenues increased, primarily due to higher principal transactions revenues, reflecting higher client activity.
•Securities services revenues increased 6%. Excluding the impact of FX translation, revenues increased 7%, as an increase in fee revenues with both new and existing clients, driven by growth in assets under custody and settlement volumes, was partially offset by lower deposit spreads.

Expenses were up 8%, primarily driven by continued investments in Citi’s transformation, business-led investments and higher incentive compensation, as well as transactional related expenses, partially offset by productivity savings.
Provisions reflected a benefit of $2.9 billion compared to costs of $5.6 billion in the prior year, driven by an ACL release and lower net credit losses.
Net credit losses declined to $396 million from $987 million in the prior year, driven by improvements in portfolio credit quality.
The ACL release was $3.3 billion compared to a build of $4.6 billion in the prior year. The release was primarily driven by improvements in portfolio credit quality as well as Citi’s improved macroeconomic outlook. For additional information
17

on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on trends in ICG’s deposits and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
For additional information on ICG’scorporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information about trends, uncertainties and risks related to ICG’s future results, see “Managing Global Risk—Other Risks—Country Risk—Argentina” and “Risk Factors” below.



18













































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19

GLOBAL CONSUMER BANKING

As of December 31, 2021, Global Consumer Banking (GCB) consisted of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provided traditional banking services to retail customers through retail banking, branded cards and, in the U.S., retail services (for information on consumer market exits related to Latin America GCB and Asia GCB as well as Citi’s planned revision to its reporting structure, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above).
GCB’s markets in the U.S., Mexico and Asia with 2,451 had a combined 2,154 branches in 19 countries and jurisdictions as of December 31, 2017.2021. At December 31, 2017, 2021, GCB had approximately $429$267 billion in assetsloans and $307$362 billion in deposits.retail banking deposits (excluding approximately $10 billion of loans and $8 billion of deposits reclassified to held-for-sale as a result of Citi’s agreements to sell its consumer banking businesses in Australia and the Philippines).
GCB’s overall strategy is to leverage Citi’s global footprint and be the pre-eminent bank for the emerging affluent and 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 noted202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Net interest income$24,238 $26,551 $28,455 (9)%(7)%
Non-interest revenue3,092 3,791 4,766 (18)(20)
Total revenues, net of interest expense$27,330 $30,342 $33,221 (10)%(9)%
Total operating expenses$20,035 $17,834 $18,039 12 %(1)%
Net credit losses on loans$4,582 $6,646 $7,382 (31)%(10)%
Credit reserve build (release) for loans(5,174)4,951 439 NMNM
Provision for credit losses on unfunded lending commitments— — 1 — 100 
Provisions for benefits and claims, and other assets96 105 73 (9)44 
Provisions for credit losses and for benefits and claims (PBC)$(496)$11,702 $7,895 NM48 %
Income from continuing operations before taxes$7,791 $806 $7,287 NM(89)%
Income taxes1,745 143 1,708 NM(92)
Income from continuing operations$6,046 $663 $5,579 NM(88)%
Noncontrolling interests(11)(4)6 NMNM
Net income$6,057 $667 $5,573 NM(88)%
Balance Sheet data and ratios
EOP assets (in billions of dollars)
$432 $434 $407 — %7 %
Average assets (in billions of dollars)
440 426 389 3 10 
Return on average assets1.38 %0.16 %1.43 %
Efficiency ratio73 59 54 
Average retail banking deposits (in billions of dollars)
$352 $311 $277 13 12 
Net credit losses as a percentage of average loans1.72 %2.39 %2.60 %
Revenue by business
Retail banking$10,776 $11,996 $12,758 (10)%(6)%
Cards(1)
16,554 18,346 20,463 (10)(10)
Total$27,330 $30,342 $33,221 (10)%(9)%
Income from continuing operations by business
Retail banking$(830)$557 $1,741 NM(68)%
Cards(1)
6,876 106 3,838 NM(97)
Total$6,046 $663 $5,579 NM(88)%
In millions of dollars except as otherwise noted201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Net interest revenue$27,187
$26,025
$25,752
4 %1 %
Non-interest revenue5,510
5,494
6,499
—
(15)
Total revenues, net of interest expense$32,697
$31,519
$32,251
4 %(2)%
Total operating expenses$17,843
$17,483
$17,199
2 %2 %
Net credit losses$6,562
$5,610
$5,752
17 %(2)%
Credit reserve build (release)965
708
(395)36
NM
Provision (release) for unfunded lending commitments(2)3
4
NM
(25)
Provision for benefits and claims116
106
108
9
(2)
Provisions for credit losses and for benefits and claims$7,641
$6,427
$5,469
19 %18 %
Income from continuing operations before taxes$7,213
$7,609
$9,583
(5)%(21)%
Income taxes3,320
2,655
3,369
25
(21)
Income from continuing operations$3,893
$4,954
$6,214
(21)%(20)%
Noncontrolling interests$9
$7
$10
29 %(30)%
Net income$3,884
$4,947
$6,204
(21)%(20)%
Balance Sheet data (in billions of dollars)
     
Total EOP assets$429
$412
$381
4 %8 %
Average assets418
396
378
6
5
Return on average assets0.93%1.25%1.64%  
Efficiency ratio55
55
53
  
Average deposits$306
$298
$295
3
1
Net credit losses as a percentage of average loans2.21%2.01%2.12%  
Revenue by business     
Retail banking$13,378
$12,916
$13,654
4 %(5)%
Cards(1)
19,319
18,603
18,597
4
—
Total$32,697
$31,519
$32,251
4 %(2)%
Income from continuing operations by business     
Retail banking$1,673
$1,566
$1,875
7 %(16)%
Cards(1)
2,220
3,388
4,339
(34)(22)
Total$3,893
$4,954
$6,214
(21)%(20)%

Table continues on the next page, including footnotes.


20

Foreign currency (FX) translation impact  Foreign currency (FX) translation impact
Total revenue—as reported$32,697
$31,519
$32,251
4 %(2)%Total revenue—as reported$27,330 $30,342 $33,221 (10)%(9)%
Impact of FX translation(2)
—
66
(924) 
Impact of FX translation(2)
— 323 (157)
Total revenues—ex-FX(3)
$32,697
$31,585
$31,327
4 %1 %
Total revenues—ex-FX(3)
$27,330 $30,665 $33,064 (11)%(7)%
Total operating expenses—as reported$17,843
$17,483
$17,199
2 %2 %Total operating expenses—as reported$20,035 $17,834 $18,039 12 %(1)%
Impact of FX translation(2)
—
54
(401) 
Impact of FX translation(2)
— 212 (80)
Total operating expenses—ex-FX(3)
$17,843
$17,537
$16,798
2 %4 %
Total operating expenses—ex-FX(3)
$20,035 $18,046 $17,959 11 %— %
Total provisions for LLR & PBC—as reported$7,641
$6,427
$5,469
19 %18 %
Total provisions for credit losses and PBC—as reportedTotal provisions for credit losses and PBC—as reported$(496)$11,702 $7,895 NM48 %
Impact of FX translation(2)
—
(1)(214) 
Impact of FX translation(2)
— 87 (51)
Total provisions for LLR & PBC—ex-FX(3)
$7,641
$6,426
$5,255
19 %22 %
Total provisions for credit losses and PBC—ex-FX(3)
Total provisions for credit losses and PBC—ex-FX(3)
$(496)$11,789 $7,844 NM50 %
Net income—as reported$3,884
$4,947
$6,204
(21)%(20)%Net income—as reported$6,057 $667 $5,573 NM(88)%
Impact of FX translation(2)
—
7
(236) 
Impact of FX translation(2)
— 12 (11)
Net income—ex-FX(3)
$3,884
$4,954
$5,968
(22)%(17)%
Net income—ex-FX(3)
$6,057 $679 $5,562 NM(88)%
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the 2017 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.

(1)Includes both branded cards and retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the 2021 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful






21

NORTH AMERICA GCB

As of December 31, 2021, North America GCB provides provided traditional retail banking including commercial banking, Citi-branded cards products and Citibranded and 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 includesincluded its proprietary portfolio (including the Citi Double(Double Cash, Thank YouCustom Cash, ThankYou and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Citi-brandedbranded cards, as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Sears, Best Buy and Macy’s) within Citi retail services. For information on Citi’s planned revision to its reporting structure, including the reporting of North America GCB’s consumer banking businesses as part of a new reporting segment, Personal Banking and Wealth Management, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.
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 2021, North America GCB’s quarterly comparisons in 2018.
As of December 31, 2017, North America GCB’s 694 had 658 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, 2021, North America GCB had approximately 9.2 million retail banking customer accounts, $56.0$48.1 billion in retail banking loans and $182.5$219.3 billion in retail banking deposits. In addition, North America GCB had approximately 121 million Citi-branded and Citi retail services credit card accounts with $139.7$133.9 billion in outstanding card loan balances.

In millions of dollars, except as otherwise noted201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015		In millions of dollars, except as otherwise noted202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Net interest revenue$18,881
$18,131
$17,409
4 %4 %
Net interest incomeNet interest income$17,393 $18,938 $19,931 (8)%(5)%
Non-interest revenue1,381
1,628
2,106
(15)(23)Non-interest revenue88 346 529 (75)(35)
Total revenues, net of interest expense$20,262
$19,759
$19,515
3 %1 %Total revenues, net of interest expense$17,481 $19,284 $20,460 (9)%(6)%
Total operating expenses$10,160
$10,058
$9,369
1 %7 %Total operating expenses$10,832 $10,237 $10,305 6 %(1)%
Net credit losses$4,796
$3,919
$3,751
22 %4 %
Credit reserve build (release)869
653
(339)33
NM
Provision for unfunded lending commitments4
6
8
(33)(25)
Provision for benefits and claims33
34
39
(3)(13)
Net credit losses on loansNet credit losses on loans$2,937 $4,990 $5,583 (41)%(11)%
Credit reserve build for loansCredit reserve build for loans(3,974)4,115 469 NMNM
Provision for credit losses on unfunded lending commitmentsProvision for credit losses on unfunded lending commitments— — 1 — 100 
Provisions for benefits and claims, and other assetsProvisions for benefits and claims, and other assets19 17 19 12 (11)
Provisions for credit losses and for benefits and claims$5,702
$4,612
$3,459
24 %33 %Provisions for credit losses and for benefits and claims$(1,018)$9,122 $6,072 NM50 %
Income from continuing operations before taxes$4,400
$5,089
$6,687
(14)%(24)%Income from continuing operations before taxes$7,667 $(75)$4,083 NMNM
Income taxes2,357
1,851
2,499
27
(26)Income taxes1,733 (29)926 NMNM
Income from continuing operations$2,043
$3,238
$4,188
(37)%(23)%Income from continuing operations$5,934 $(46)$3,157 NMNM
Noncontrolling interests(1)(2)3
50
NM
Noncontrolling interests— — — — %— %
Net income$2,044
$3,240
$4,185
(37)%(23)%Net income$5,934 $(46)$3,157 NMNM
Balance Sheet data (in billions of dollars)
  
 
 
Average assets$248
$228
$208
9 %10 %
Balance Sheet data and ratiosBalance Sheet data and ratios 
Average assets (in billions of dollars)
Average assets (in billions of dollars)
$266 $266 $232 — %15 %
Return on average assets0.82%1.42%2.01% Return on average assets2.23 %(0.02)%1.36 %
Efficiency ratio50
51
48
 Efficiency ratio62 53 50 
Average deposits$184.4
$183.2
$180.7
1
1
Average retail banking deposits (in billions of dollars)
Average retail banking deposits (in billions of dollars)
$206 $176 $153 17 15 
Net credit losses as a percentage of average loans2.58%2.29%2.39% Net credit losses as a percentage of average loans1.69 %2.72 %2.97 %
Revenue by business  
 
 Revenue by business 
Retail banking$5,257
$5,222
$5,312
1 %(2)%Retail banking$4,211 $4,519 $4,558 (7)%(1)%
Citi-branded cards8,578
8,150
7,781
5
5
Citi retail services6,427
6,387
6,422
1
(1)
Branded cardsBranded cards8,189 8,800 9,184 (7)(4)
Retail servicesRetail services5,081 5,965 6,718 (15)(11)
Total$20,262
$19,759
$19,515
3 %1 %Total$17,481 $19,284 $20,460 (9)%(6)%
Income from continuing operations by business  
 
 
Income (loss) from continuing operations by businessIncome (loss) from continuing operations by business 
Retail banking$455
$533
$616
(15)%(13)%Retail banking$(453)$(232)$145 (95)%NM
Citi-branded cards1,019
1,441
2,057
(29)(30)
Citi retail services569
1,264
1,515
(55)(17)
Branded cardsBranded cards3,903 12 1,734 NM(99)%
Retail servicesRetail services2,484 174 1,278 NM(86)
Total$2,043
$3,238
$4,188
(37)%(23)%Total$5,934 $(46)$3,157 NMNM


NM Not meaningful






201722

2021 vs. 20162020
Net income decreased 37% and was impacted by an estimated $750$5.9 billion, compared to a net loss of $46 million 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 decreased 14% due to higherprior year, reflecting significantly lower cost of credit, partially offset by lower revenues and slightly higher expenses.
Revenues decreased 9%, reflecting lower revenues in retail banking, branded cards and retail services.
Retail banking revenues decreased 7%, as the benefit of strong deposit growth and growth in assets under management (increase of 8%, reflecting favorable market conditions and strong client engagement) was more than offset by lower deposit spreads, as well as lower mortgage revenues. Average deposits increased 17%, driven by higher levels of consumer liquidity due to government stimulus, as well as continued strategic efforts to drive organic growth.
Cards revenues decreased 10%. Branded cards revenues decreased 7%, primarily driven by continued higher payment rates, reflecting increased customer liquidity from government stimulus and relief programs, partially offset by higher spending-related revenues. Credit card spend volume increased 21%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior year.
Retail services revenues decreased 15%, primarily driven by lower average loans (down 7%), reflecting higher payment rates from the increased customer liquidity from government stimulus and relief programs, as well as higher partner payments, reflecting higher income sharing as a result of lower net credit losses. For additional information on partner payments, see Note 5 to the Consolidated Financial Statements. Credit card spend volume increased 18%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior year.
Expenses increased 6%, primarily driven by continued investments in Citi’s transformation, as well as business-led investments and higher volume-related expenses, partially offset by higher revenues.productivity savings.
Revenues increased 3%,Provisions reflected a benefit of $1.0 billion, compared to costs of $9.1 billion in the prior year, primarily driven by higher revenues across all businesses.
Retail banking revenues increased 1%. Excludinga net ACL release compared to a net ACL build in the decline in mortgage revenues (down of 32%), retail banking revenues were up 9%, driven by growth in checking deposits, continued growth in loans (average loans up 3%) and assets under management (up 14%) and increased commercial banking activity,prior year, as well as a benefit from higher interest rates. The decline in mortgage revenues was driven by lower origination activity and higher cost of funds, reflecting the higher interest rate environment, as well as the impact of the previously announced sale of a portion of Citi’s mortgage servicing rights.
Cards revenues increased 3%. In Citi-branded cards, revenues increased 5%, primarily reflecting the acquisition of the Costco portfolio (completed June 17, 2016), as well as modest 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. Average loans grew 15% and purchase sales grew 28%. 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%, as continued loan growth was partially offset by the impact of the previously disclosed renewal and extension of certain partnerships within the portfolio, as well as the absence of gains on sales of two cards portfolios in 2016. Average loans grew 4% and purchase sales grew 2%.
Expenses increased 1%, driven by the addition of the Costco portfolio, 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).
Provisions increased 24% from the prior year, driven by higher net credit losses and a higher net loan loss reserve build.
losses. Net credit losses increased 22% to $4.8 billion, largely driven by higherdecreased 41%, consisting of lower net credit losses in Citi-brandedboth branded cards (up 28%(down 39% to $2.4$1.7 billion) and Citi retail services (up 19%(down 46% to $2.2$1.2 billion). The increase in net credit losses, primarily reflected volume growthdriven by lower loan volumes and seasoning in both cards portfolios,improved delinquencies, primarily as well asa result of the impact of acquiring the Costco portfolio in Citi-branded cards.higher payment rates.
The net loan loss reserve build in 2017ACL release was $873 million (compared$4.0 billion, compared to a net build of $659 million$4.1 billion in the prior year), driven by volume growthyear, reflecting improvement in portfolio credit quality and seasoningthe continued improvement in both cards portfolios, as
well as the increase in net flow rates in later delinquency buckets leading to higher inherent credit loss expectations, primarily in Citi retail services.
macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on North America GCB’s retail banking, portfolios, including commercial banking, and its Citi-brandedbranded 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 creditFor additional information about trends, uncertainties 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 gain 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 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 revenues 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 savings and lower legal and related costs.
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 increaserisks related to Citi’s energyNorth America GCB’s future results, see “Executive Summary” above 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.“Risk Factors—Strategic Risks” below.








23

LATIN AMERICA GCB

As of December 31, 2021, Latin America GCB provides provided traditional retail banking including commercial banking, and its Citi-brandedbranded card products to retail customersconsumer and small to mid-size businessesbusiness customers in Mexico through Citibanamex, oneCitibanamex.
As discussed above, Citi intends to exit its consumer, small business and middle-market banking operations in Mexico. For additional information, see Citi’s Current Report on Form 8-K filed with the SEC on January 11, 2022. For information on Citi’s planned revision to its reporting structure, including the reporting of Mexico’s largest banks.the Mexico consumer, small business and middle-market banking operations as part of a new reporting segment, Legacy Franchises, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.
At December 31, 2017, 2021, Latin America GCB had 1,4791,276 retail branches in Mexico, with approximately 27.7 million retail banking customer accounts, $19.9$8.6 billion in retail banking loans and $27.1$24.8 billion in deposits. In addition, the business had approximately 5.6 million Citi-branded card accounts with $5.4$4.7 billion in outstanding card loan balances.
On November 27, 2017, Citi entered
In millions of dollars, except as otherwise noted202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Net interest income$2,874 $3,172 $3,735 (9)%(15)%
Non-interest revenue1,376 1,294 1,599 6 (19)
Total revenues, net of interest expense$4,250 $4,466 $5,334 (5)%(16)%
Total operating expenses$2,949 $2,871 $3,001 3 %(4)%
Net credit losses on loans$920 $866 $1,109 6 %(22)%
Credit reserve build (release) for loans(825)316 (38)NMNM
Provision for credit losses on unfunded lending commitments— — — — — 
Provisions for benefits and claims, and other assets80 87 54 (8)61 
Provisions for credit losses and for benefits and claims (PBC)$175 $1,269 $1,125 (86)%13 %
Income from continuing operations before taxes$1,126 $326 $1,208 NM(73)%
Income taxes328 85 323 NM(74)
Income from continuing operations$798 $241 $885 NM(73)%
Noncontrolling interests— — — — %— 
Net income$798 $241 $885 NM(73)%
Balance Sheet data and ratios  
Average assets (in billions of dollars)
$35 $32 $35 9 %(9)%
Return on average assets2.28 %0.75 %2.53 %
Efficiency ratio69 64 56 
Average deposits (in billions of dollars)
$24 $23 $23 4 — 
Net credit losses as a percentage of average loans6.87 %5.97 %6.45 %
Revenue by business
Retail banking$3,119 $3,103 $3,681 1 %(16)%
Branded cards1,131 1,363 1,653 (17)(18)
Total$4,250 $4,466 $5,334 (5)%(16)%
Income from continuing operations by business  
Retail banking$435 $120 $586 NM(80)%
Branded cards363 121 299 NM(60)
Total$798 $241 $885 NM(73)%
FX translation impact  
Total revenues—as reported$4,250 $4,466 $5,334 (5)%(16)%
Impact of FX translation(1)
— 211 (246)
Total revenues—ex-FX(2)
$4,250 $4,677 $5,088 (9)%(8)%
Total operating expenses—as reported$2,949 $2,871 $3,001 3 %(4)%
Impact of FX translation(1)
— 129 (132)
Total operating expenses—ex-FX(2)
$2,949 $3,000 $2,869 (2)%5 %
Provisions for credit losses and PBC—as reported$175 $1,269 $1,125 (86)%13 %
Impact of FX translation(1)
— 66 (58)
Provisions for credit losses and PBC—ex-FX(2)
$175 $1,335 $1,067 (87)%25 %
Net income—as reported$798 $241 $885 NM(73)%
Impact of FX translation(1)
— 9 (37)
Net income—ex-FX(2)
$798 $250 $848 NM(71)%

(1)Reflects the impact of FX translation into an agreement to sell its Mexico asset management business reported within Latin America GCB. For additional information on this sale, see Note 2 toU.S. dollars at the Consolidated Financial Statements.2021 average exchange rates for all periods presented.
24

In millions of dollars, except as otherwise noted201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Net interest revenue$3,638
$3,431
$3,849
6 %(11)%
Non-interest revenue1,514
1,491
1,873
2
(20)
Total revenues, net of interest expense$5,152
$4,922
$5,722
5 %(14)%
Total operating expenses$2,920
$2,838
$3,251
3 %(13)%
Net credit losses$1,117
$1,040
$1,280
7 %(19)%
Credit reserve build (release)125
83
33
51
NM
Provision (release) for unfunded lending commitments(1)1
(2)NM
NM
Provision for benefits and claims83
72
69
15
4
Provisions for credit losses and for benefits and claims (LLR & PBC)$1,324
$1,196
$1,380
11 %(13)%
Income from continuing operations before taxes$908
$888
$1,091
2 %(19)%
Income taxes318
255
265
25
(4)
Income from continuing operations$590
$633
$826
(7)%(23)%
Noncontrolling interests5
5
3
—
67
Net income$585
$628
$823
(7)%(24)%
Balance Sheet data (in billions of dollars)
  
 
  
Average assets$45
$49
$53
(8)%(8)%
Return on average assets1.30%1.28%1.55%  
Efficiency ratio57
58
57
  
Average deposits$27.4
$25.7
$26.7
7
(4)
Net credit losses as a percentage of average loans4.42%4.32%4.87%  
Revenue by business     
Retail banking$3,690
$3,447
$3,933
7 %(12)%
Citi-branded cards1,462
1,475
1,789
(1)(18)
Total$5,152
$4,922
$5,722
5 %(14)%
Income from continuing operations by business  
 
  
Retail banking$410
$355
$520
15 %(32)%
Citi-branded cards180
278
306
(35)(9)
Total$590
$633
$826
(7)%(23)%
FX translation impact  
 
  
Total revenues—as reported$5,152
$4,922
$5,722
5 %(14)%
Impact of FX translation(1)
—
(45)(906)  
Total revenues—ex-FX(2)
$5,152
$4,877
$4,816
6 %1 %
Total operating expenses—as reported$2,920
$2,838
$3,251
3 %(13)%
Impact of FX translation(1)
—
(21)(376)  
Total operating expenses—ex-FX(2)
$2,920
$2,817
$2,875
4 %(2)%
Provisions for LLR & PBC—as reported$1,324
$1,196
$1,380
11 %(13)%
Impact of FX translation(1)
—
(10)(211)  
Provisions for LLR & PBC—ex-FX(2)
$1,324
$1,186
$1,169
12 %1 %
Net income—as reported$585
$628
$823
(7)%(24)%
Impact of FX translation(1)
—
(10)(244)  
Net income—ex-FX(2)
$585
$618
$579
(5)%7 %
(1)Reflects the impact of FX translation into U.S. dollars at the 2017 average exchange rates for all periods presented.
(2)Presentation of this metric excluding FX translation is a non-GAAP financial measure.

(2)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.


20172021 vs. 20162020
Net income decreased 5%, primarily driven by higher credit costs 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%), as well as improved deposit spreads, driven by higher interest rates. Cards revenues were largely unchanged, as continued improvement in full-rate revolving loans was $798 million, compared to $250 million in the second halfprior year, reflecting significantly lower cost of 2017 was offset by a higher cost to fund non-revolving loans. Purchase sales grew 8%credit 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.
Provisions increased 12%, primarily driven by higher net credit losses (8%) and a $42 million increase in the net loan loss reserve build, largely reflecting volume growth and seasoning. The increase in the loan loss reserve build was also driven by a Mexico earthquake-related loan loss reserve build in the third quarter of 2017 (approximately $25 million).
For additional information on LatinAmerica GCB’s retail banking portfolios, including commercial banking, and its Citi-branded cards portfolio, see “Credit Risk—Consumer Credit” below.
For additional information on potential macroeconomic
and geopolitical challenges and other risks facing Latin
America GCB, see “Risk Factors—Strategic Risks” below.




2016 vs. 2015
Net income increased 7%, driven by higher revenues andmodestly lower expenses, partially offset by higher credit costs.lower revenues.
Revenues increased 1% decreased 9%, reflecting lower cards and retail banking revenues, largely due to the continued impact of the pandemic.
Retail banking revenues decreased 4%, primarily driven by overall volume growth, largely offset by the absence of a $160 million gain on sale related 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,lower loan volumes and deposit spreads, partially offset by lower revenuesgrowth in cards. Retail banking revenuesassets under management. Average loans decreased 13%, reflecting the impact of the pandemic on customer activity. Assets under management increased 3%. Excluding the gain on sale related to the merchant acquiring business, revenues increased 9%8%, driven by volume growth. reflecting favorable market conditions, as well as strong client engagement.
Cards revenues decreased 4%21%, primarily driven by the impact oflower average loans (down 11%), reflecting higher payment rates, partially offset byrates. Credit card spend volume increased purchase sales.16%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior year.
Expenses decreased 2%, as lower legal and related expenses, the impactproductivity savings more than offset continued investments in Citi’s transformation.
Provisions of business divestitures and ongoing efficiency savings were partially offset by higher repositioning charges and ongoing investment spending.
Provisions increased 1%$174 million decreased 87%, primarily driven by a higher net loan loss reserveACL release compared to a net ACL 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,prior year, partially offset by higher net credit losses resulting from pandemic-related charge-offs.
The net ACL release was $826 million, compared to a build of $329 million in the personalprior year. The release reflected an improvement in portfolio credit quality, as well as continued improvement in the macroeconomic outlook and lower loan portfolio.volumes. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on LatinAmerica GCB’s retail banking and its branded cards portfolios, see “Credit Risk—Consumer Credit” below.

For additional information about trends, uncertainties and risks related to Latin America GCB’s future results, see “Executive Summary” above and “Risk Factors—Strategic Risks” below.







25


ASIA GCBINSTITUTIONAL CLIENTS GROUP
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’s most significant revenues in2021, Institutional Clients Group (ICG) included Banking and Markets and securities services (for additional information on these businesses, see “Citigroup Segments” above). ICG provided corporate, institutional, public sector and high-net-worth clients around the region were from Singapore, Hong Kong, Korea, Australia, India, Taiwan, Indonesia, Philippines, Thailandworld with a full range of wholesale banking products and Malaysia. Included within Asia GCB, traditional retailservices, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and Citi-branded card productsadvisory services, private banking, cash management, trade finance and securities services. ICG transacted with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.
For information on Citi’s planned revision to its reporting structure, including the reporting of the private bank as part of a new reporting segment, Personal Banking and Wealth Management, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.
ICG revenue is generated primarily from fees and spreads associated with these activities. ICG earns fee income for assisting clients with transactional services and clearing 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 assets under custody and 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. Mark-to-market gains and losses on certain credit derivatives (used to hedge the corporate loan portfolio) are also providedrecorded in Principal transactions (for additional information on Principal transactions revenue, see Note 6 to retailthe Consolidated Financial Statements). Other primarily includes 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, is recorded as Net interest income.
The amount and types of Markets revenues are impacted by a variety of interrelated factors, including market liquidity; changes in certain EMEA countries, primarilymarket variables such as interest rates, foreign exchange rates, equity prices, commodity prices and credit spreads, as well as their implied volatilities; investor confidence and other macroeconomic conditions. Assuming all other market conditions do not change, increases in Poland, Russiaclient 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 United Arab Emirates.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 evaluation of the above factors at the trading desk as well as the country level.
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 (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 95 countries and jurisdictions. At December 31, 2017, on a combined basis, the businesses2021, ICG had 278 retail branches, approximately 16.0 million retail banking customer accounts, $70.0 billion$1.8 trillion in retail banking loansassets and $97.7$950 billion in deposits. In addition,Securities services and issuer services managed $24.0 trillion in assets under custody and administration at December 31, 2021, of which Citi provides both custody and administrative services to certain clients related to $1.9 trillion of such assets. Managed assets under trust were $3.8 trillion at December 31, 2021. For additional information on these operations, see “Administration and Other Fiduciary Fees” in Note 5 to the businesses had approximately 16.4 million Citi-branded card accounts with $19.8 billion in outstanding loan balances.Consolidated Financial Statements.

14

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 noted202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Commissions and fees$4,750 $4,412 $4,462 8 %(1)%
Administration and other fiduciary fees3,351 2,877 2,756 16 4 
Investment banking6,741 5,009 4,440 35 13 
Principal transactions10,064 13,308 8,562 (24)55 
Other(1)
1,384 1,149 1,829 20 (37)
Total non-interest revenue$26,290 $26,755 $22,049 (2)%21 %
Net interest income (including dividends)17,597 18,333 17,775 (4)3 
Total revenues, net of interest expense$43,887 $45,088 $39,824 (3)%13 %
Total operating expenses(2)
$26,513 $24,617 $22,961 8 %7 %
Net credit losses on loans$396 $987 $394 (60)%NM
Credit reserve build (release) for loans(2,533)3,172 71 NMNM
Provision for credit losses on unfunded lending commitments(777)1,435 98 NMNM
Provisions for credit losses on HTM debt securities and other assets1 21 — (95)100 %
Provisions for credit losses$(2,913)$5,615 $563 NMNM
Income from continuing operations before taxes$20,287 $14,856 $16,300 37 %(9)%
Income taxes4,524 3,303 3,524 37 (6)
Income from continuing operations$15,763 $11,553 $12,776 36 %(10)%
Noncontrolling interests83 50 40 66 25 
Net income$15,680 $11,503 $12,736 36 %(10)%
Balance Sheet data and ratios
EOP assets (in billions of dollars)
$1,762 $1,730 $1,447 2 %20 %
Average assets (in billions of dollars)
1,812 1,706 1,493 6 14 
Return on average assets0.87 %0.67 %0.85 %
Efficiency ratio60 55 58 
Revenues by region
North America$16,748 $17,476 $13,603 (4)%28 %
EMEA13,094 13,041 12,157 — 7 
Latin America4,946 4,981 5,275 (1)(6)
Asia9,099 9,590 8,789 (5)9 
Total$43,887 $45,088 $39,824 (3)%13 %
Income from continuing operations by region 
North America$5,781 $3,310 $3,407 75 %(3)%
EMEA4,347 3,280 3,836 33 (14)
Latin America2,429 1,390 2,101 75 (34)
Asia3,206 3,573 3,432 (10)4 
Total$15,763 $11,553 $12,776 36 %(10)%
Average loans by region (in billions of dollars)
 
North America$202 $201 $188 — %7 %
EMEA89 88 87 1 1 
Latin America32 39 40 (18)(3)
Asia73 71 73 3 (3)
Total$396 $399 $388 (1)%3 %
EOP deposits by business (in billions of dollars)
Treasury and trade solutions$636 $651 $536 (2)%21 %
All other ICG businesses
314 273 232 15 18 
Total$950 $924 $768 3 %20 %


(1)    2019 includes an approximate $350 million gain on Citi’s investment in Tradeweb.
(2)    2020 includes an approximate $390 million operational loss related to certain legal matters.
NM Not meaningful

15

FX translation impact     
Total revenues—as reported$7,283
$6,838
$7,014
7 %(3)%
Impact of FX translation(2)
—
111
(18)  
Total revenues—ex-FX(3)
$7,283
$6,949
$6,996
5 %(1)%
Total operating expenses—as reported$4,763
$4,587
$4,579
4 %— %
Impact of FX translation(2)
—
75
(25)  
Total operating expenses—ex-FX(3)
$4,763
$4,662
$4,554
2 %2 %
Provisions for credit losses—as reported$615
$619
$630
(1)%(2)%
Impact of FX translation(2)
—
9
(3)  
Provisions for credit losses—ex-FX(3)
$615
$628
$627
(2)%— %
Net income—as reported$1,255
$1,079
$1,196
16 %(10)%
Impact of FX translation(2)
—
17
8
  
Net income—ex-FX(3)
$1,255
$1,096
$1,204
15 %(9)%
ICG Revenue Details

(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 2017 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.



In millions of dollars202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Investment banking revenue details
Advisory$1,796 $1,010 $1,259 78 %(20)%
Equity underwriting2,434 1,593 973 53 64 
Debt underwriting3,283 3,184 2,984 3 7 
Total investment banking$7,513 $5,787 $5,216 30 %11 %
Treasury and trade solutions9,444 9,824 10,513 (4)(7)
Corporate lending—excluding gains (losses) on loan hedges(1)
2,291 2,310 2,985 (1)(23)
Private bank—excluding gains (losses) on loan hedges(1)
4,005 3,794 3,487 6 9 
Total Banking revenues (ex-gains (losses) on loan hedges)(1)
$23,253 $21,715 $22,201 7 %(2)%
  Losses on loan hedges(1)
$(144)$(51)$(432)NM88 %
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense
$23,109 $21,664 $21,769 7 %— %
Fixed income markets(2)
$13,720 $17,588 $13,074 (22)%35 %
Equity markets4,545 3,624 2,908 25 25 
Securities services2,720 2,562 2,642 6 (3)
Other(207)(352)(569)41 38 
Total Markets and securities services revenues, net
of interest expense
$20,778 $23,424 $18,055 (11)%30 %
Total revenues, net of interest expense$43,887 $45,088 $39,824 (3)%13 %
Commissions and fees$793 $677 $782 17 %(13)%
Principal transactions(3)
7,692 11,518 7,661 (33)50 
Other(2)
831 579 1,117 44 (48)
Total non-interest revenue$9,316 $12,774 $9,560 (27)%34 %
Net interest income4,404 4,814 3,514 (9)37 
Total fixed income markets(4)
$13,720 $17,588 $13,074 (22)%35 %
Rates and currencies$8,903 $12,162 $9,242 (27)%32 %
Spread products/other fixed income4,817 5,426 3,832 (11)42 
Total fixed income markets$13,720 $17,588 $13,074 (22)%35 %
Commissions and fees$1,231 $1,245 $1,121 (1)%11 %
Principal transactions(3)
1,986 1,281 775 55 65 
Other191 322 172 (41)87 
Total non-interest revenue$3,408 $2,848 $2,068 20 %38 %
Net interest income1,137 776 840 47 (8)
Total equity markets(4)
$4,545 $3,624 $2,908 25 %25 %

(1)    Credit derivatives are used to economically hedge a portion of the private bank and corporate loan portfolio that includes both accrual loans and loans at fair value. Gains (losses) on loan hedges include 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 private bank and corporate lending revenues to reflect the cost of credit protection. Gains (losses) on loan hedges include $(131) million and $(74) million related to the corporate loan portfolio and $(13) million and $23 million related to the private bank for the years ended December 31, 2021 and 2020, respectively. All of gains (losses) on loan hedges are related to the corporate loan portfolio for the year ended December 31, 2019. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.
(2)    2019 includes an approximate $350 million gain on Citi’s investment in Tradeweb.
(3)    Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(4)    Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net interest income may be risk managed by derivatives that are recorded in Principal transactions revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6 to the Consolidated Financial Statements.
NM Not meaningful
16

The discussion of the results of operations for ICG below excludes (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.

2021 vs. 2020
Net income of $15.7 billion increased 36% versus the prior year, primarily driven by lower cost of credit, partially offset by higher expenses and lower revenues.
Revenues decreased 3%, reflecting lower Markets and securities services revenues, partially offset by higher Banking revenues. Banking revenues were up 7% (both including and excluding the impact of losses on loan hedges), driven by higher revenues in investment banking and the private bank, partially offset by lower revenues in treasury and trade solutions and corporate lending. Markets and securities services revenues were down 11%, primarily reflecting a normalization in fixed income markets revenues, partially offset by growth in equity markets and securities services.
Citi expects that revenues in its markets and investment banking businesses will continue to reflect the overall market environment during 2022.

Within Banking:

•Investment banking revenues were up 30%, reflecting growth in the overall market wallet. Advisory revenues increased 78%, reflecting strength in North America and EMEA, driven by growth in the market wallet as well as wallet share gains. Equity underwriting revenues increased 53%, reflecting strength in North America and EMEA, driven by growth in the market wallet, as well as wallet share gains. Debt underwriting revenues increased 3%, reflecting strength in EMEA, as growth in the market wallet was partially offset by a decline in wallet share.
•Treasury and trade solutions revenues decreased 4% (both including and excluding the impact of FX translation), reflecting a decline in revenues in the cash business, partially offset by an increase in trade revenues. Cash revenues decreased, driven by the ongoing impact of lower deposit spreads. The decrease was partially offset by strong growth in fee revenues reflecting solid client engagement and growth in transaction volumes, including growth in USD clearing, commercial cards and cross-border solutions. The increase in trade revenues was driven by improved trade spreads and growth in loans, reflecting an increase in trade flows and originations, primarily in Asiaand EMEA. Average trade loans increased 5% (both including and excluding the impact of FX translation).
•Corporate lending revenues decreased 3%, including the impact of losses on loan hedges. Excluding the impact of losses on loan hedges, revenues decreased 1%, as lower cost of funds was more than offset by lower loan volumes, reflecting muted demand given strong client liquidity positions. Average loans decreased 20% during the current year.
•Private bank revenues increased 5%. Excluding the impact of gains (losses) on loan hedges, revenues increased 6%, driven by strong performance in North America and EMEA. The higher revenues reflected continued momentum with new and existing clients,
resulting in higher loan volumes and spreads, higher managed investments revenues and higher deposit volumes. The increase in revenues was partially offset by lower deposit spreads due to the ongoing low interest rate environment and lower capital markets revenue.

Within Markets and securities services:

•Fixed income markets revenues decreased 22%, reflecting lower revenues across all regions, largely driven by a comparison to a strong prior year, as well as a normalization in market activity, particularly in rates and currencies, and spread products. Non-interest revenues decreased, reflecting lower investor client activity across rates and currencies and spread products. Net interest income also decreased, largely reflecting a change in the mix of trading positions.
Rates and currencies revenues decreased 27%, driven by the normalization in market activity, and a comparison to a strong prior year that included elevated levels of volatility related to the pandemic. Spread products and other fixed income revenues decreased 11%, driven by a comparison to a strong prior year and the normalization in market activity, particularly in flow trading and structured products, reflecting lower volatility and spreads, partially offset by strong securitization activity.
•Equity markets revenues increased 25%, driven by growth across all products. Equity derivatives revenues increased reflecting higher client activity, particularly in EMEA and North America. Prime finance revenues increased due to favorable market conditions as well as growth in client balances. Cash equities revenues increased modestly, reflecting higher client activity. Non-interest revenues increased, primarily due to higher principal transactions revenues, reflecting higher client activity.
•Securities services revenues increased 6%. Excluding the impact of FX translation, revenues increased 7%, as an increase in fee revenues with both new and existing clients, driven by growth in assets under custody and settlement volumes, was partially offset by lower deposit spreads.

Expenses were up 8%, primarily driven by continued investments in Citi’s transformation, business-led investments and higher incentive compensation, as well as transactional related expenses, partially offset by productivity savings.
Provisions reflected a benefit of $2.9 billion compared to costs of $5.6 billion in the prior year, driven by an ACL release and lower net credit losses.
Net credit losses declined to $396 million from $987 million in the prior year, driven by improvements in portfolio credit quality.
The ACL release was $3.3 billion compared to a build of $4.6 billion in the prior year. The release was primarily driven by improvements in portfolio credit quality as well as Citi’s improved macroeconomic outlook. For additional information
17

on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on trends in ICG’s deposits and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
For additional information on ICG’scorporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information about trends, uncertainties and risks related to ICG’s future results, see “Managing Global Risk—Other Risks—Country Risk—Argentina” and “Risk Factors” below.



18













































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19

GLOBAL CONSUMER BANKING

As of December 31, 2021, Global Consumer Banking (GCB) consisted of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provided traditional banking services to retail customers through retail banking, branded cards and, in the U.S., retail services (for information on consumer market exits related to Latin America GCB and Asia GCB as well as Citi’s planned revision to its reporting structure, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above).
GCB’s markets in the U.S., Mexico and Asia had a combined 2,154 branches in 19 countries and jurisdictions as of December 31, 2021. At December 31, 2021, GCB had $267 billion in loans and $362 billion in retail banking deposits (excluding approximately $10 billion of loans and $8 billion of deposits reclassified to held-for-sale as a result of Citi’s agreements to sell its consumer banking businesses in Australia and the Philippines).

In millions of dollars, except as otherwise noted202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Net interest income$24,238 $26,551 $28,455 (9)%(7)%
Non-interest revenue3,092 3,791 4,766 (18)(20)
Total revenues, net of interest expense$27,330 $30,342 $33,221 (10)%(9)%
Total operating expenses$20,035 $17,834 $18,039 12 %(1)%
Net credit losses on loans$4,582 $6,646 $7,382 (31)%(10)%
Credit reserve build (release) for loans(5,174)4,951 439 NMNM
Provision for credit losses on unfunded lending commitments— — 1 — 100 
Provisions for benefits and claims, and other assets96 105 73 (9)44 
Provisions for credit losses and for benefits and claims (PBC)$(496)$11,702 $7,895 NM48 %
Income from continuing operations before taxes$7,791 $806 $7,287 NM(89)%
Income taxes1,745 143 1,708 NM(92)
Income from continuing operations$6,046 $663 $5,579 NM(88)%
Noncontrolling interests(11)(4)6 NMNM
Net income$6,057 $667 $5,573 NM(88)%
Balance Sheet data and ratios
EOP assets (in billions of dollars)
$432 $434 $407 — %7 %
Average assets (in billions of dollars)
440 426 389 3 10 
Return on average assets1.38 %0.16 %1.43 %
Efficiency ratio73 59 54 
Average retail banking deposits (in billions of dollars)
$352 $311 $277 13 12 
Net credit losses as a percentage of average loans1.72 %2.39 %2.60 %
Revenue by business
Retail banking$10,776 $11,996 $12,758 (10)%(6)%
Cards(1)
16,554 18,346 20,463 (10)(10)
Total$27,330 $30,342 $33,221 (10)%(9)%
Income from continuing operations by business
Retail banking$(830)$557 $1,741 NM(68)%
Cards(1)
6,876 106 3,838 NM(97)
Total$6,046 $663 $5,579 NM(88)%

Table continues on the next page, including footnotes.
20

Foreign currency (FX) translation impact
Total revenue—as reported$27,330 $30,342 $33,221 (10)%(9)%
Impact of FX translation(2)
— 323 (157)
Total revenues—ex-FX(3)
$27,330 $30,665 $33,064 (11)%(7)%
Total operating expenses—as reported$20,035 $17,834 $18,039 12 %(1)%
Impact of FX translation(2)
— 212 (80)
Total operating expenses—ex-FX(3)
$20,035 $18,046 $17,959 11 %— %
Total provisions for credit losses and PBC—as reported$(496)$11,702 $7,895 NM48 %
Impact of FX translation(2)
— 87 (51)
Total provisions for credit losses and PBC—ex-FX(3)
$(496)$11,789 $7,844 NM50 %
Net income—as reported$6,057 $667 $5,573 NM(88)%
Impact of FX translation(2)
— 12 (11)
Net income—ex-FX(3)
$6,057 $679 $5,562 NM(88)%

(1)Includes both branded cards and retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the 2021 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful




21

NORTH AMERICA GCB

As of December 31, 2021, North America GCB provided traditional retail banking and branded and retail services card products to retail and small business customers in the U.S. North America GCB’s U.S. cards product portfolio included its proprietary portfolio (Double Cash, Custom Cash, ThankYou and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within branded cards, as well as its co-brand and private label relationships (including, among others, The Home Depot, Sears, Best Buy and Macy’s) within retail services. For information on Citi’s planned revision to its reporting structure, including the reporting of North America GCB’s consumer banking businesses as part of a new reporting segment, Personal Banking and Wealth Management, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.
At December 31, 2021, North America GCB had 658 retail bank branches 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, 2021, North America GCB had $48.1 billion in retail banking loans and $219.3 billion in retail banking deposits. In addition, North America GCB had $133.9 billion in outstanding card loan balances.

In millions of dollars, except as otherwise noted202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Net interest income$17,393 $18,938 $19,931 (8)%(5)%
Non-interest revenue88 346 529 (75)(35)
Total revenues, net of interest expense$17,481 $19,284 $20,460 (9)%(6)%
Total operating expenses$10,832 $10,237 $10,305 6 %(1)%
Net credit losses on loans$2,937 $4,990 $5,583 (41)%(11)%
Credit reserve build for loans(3,974)4,115 469 NMNM
Provision for credit losses on unfunded lending commitments— — 1 — 100 
Provisions for benefits and claims, and other assets19 17 19 12 (11)
Provisions for credit losses and for benefits and claims$(1,018)$9,122 $6,072 NM50 %
Income from continuing operations before taxes$7,667 $(75)$4,083 NMNM
Income taxes1,733 (29)926 NMNM
Income from continuing operations$5,934 $(46)$3,157 NMNM
Noncontrolling interests— — — — %— %
Net income$5,934 $(46)$3,157 NMNM
Balance Sheet data and ratios  
Average assets (in billions of dollars)
$266 $266 $232 — %15 %
Return on average assets2.23 %(0.02)%1.36 %
Efficiency ratio62 53 50 
Average retail banking deposits (in billions of dollars)
$206 $176 $153 17 15 
Net credit losses as a percentage of average loans1.69 %2.72 %2.97 %
Revenue by business  
Retail banking$4,211 $4,519 $4,558 (7)%(1)%
Branded cards8,189 8,800 9,184 (7)(4)
Retail services5,081 5,965 6,718 (15)(11)
Total$17,481 $19,284 $20,460 (9)%(6)%
Income (loss) from continuing operations by business  
Retail banking$(453)$(232)$145 (95)%NM
Branded cards3,903 12 1,734 NM(99)%
Retail services2,484 174 1,278 NM(86)
Total$5,934 $(46)$3,157 NMNM

NM Not meaningful




22

2021 vs. 2020
Net income was $5.9 billion, compared to a net loss of $46 million in the prior year, reflecting significantly lower cost of credit, partially offset by lower revenues and higher expenses.
Revenues decreased 9%, reflecting lower revenues in retail banking, branded cards and retail services.
Retail banking revenues decreased 7%, as the benefit of strong deposit growth and growth in assets under management (increase of 8%, reflecting favorable market conditions and strong client engagement) was more than offset by lower deposit spreads, as well as lower mortgage revenues. Average deposits increased 17%, driven by higher levels of consumer liquidity due to government stimulus, as well as continued strategic efforts to drive organic growth.
Cards revenues decreased 10%. Branded cards revenues decreased 7%, primarily driven by continued higher payment rates, reflecting increased customer liquidity from government stimulus and relief programs, partially offset by higher spending-related revenues. Credit card spend volume increased 21%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior year.
Retail services revenues decreased 15%, primarily driven by lower average loans (down 7%), reflecting higher payment rates from the increased customer liquidity from government stimulus and relief programs, as well as higher partner payments, reflecting higher income sharing as a result of lower net credit losses. For additional information on partner payments, see Note 5 to the Consolidated Financial Statements. Credit card spend volume increased 18%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior year.
Expenses increased 6%, primarily driven by continued investments in Citi’s transformation, as well as business-led investments and higher volume-related expenses, partially offset by productivity savings.
Provisions reflected a benefit of $1.0 billion, compared to costs of $9.1 billion in the prior year, primarily driven by a net ACL release compared to a net ACL build in the prior year, as well as lower net credit losses. Net credit losses decreased 41%, consisting of lower net credit losses in both branded cards (down 39% to $1.7 billion) and retail services (down 46% to $1.2 billion), primarily driven by lower loan volumes and improved delinquencies, primarily as a result of the higher payment rates.
The net ACL release was $4.0 billion, compared to a net build of $4.1 billion in the prior year, reflecting improvement in portfolio credit quality and the continued improvement in the macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on North America GCB’s retail banking, and its branded cards and retail services portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to North America GCB’s future results, see “Executive Summary” above and “Risk Factors—Strategic Risks” below.





23

LATIN AMERICA GCB

As of December 31, 2021, Latin America GCB provided traditional retail banking and branded card products to consumer and small business customers in Mexico through Citibanamex.
As discussed above, Citi intends to exit its consumer, small business and middle-market banking operations in Mexico. For additional information, see Citi’s Current Report on Form 8-K filed with the SEC on January 11, 2022. For information on Citi’s planned revision to its reporting structure, including the reporting of the Mexico consumer, small business and middle-market banking operations as part of a new reporting segment, Legacy Franchises, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.
At December 31, 2021, Latin America GCB had 1,276 retail branches in Mexico, with $8.6 billion in retail banking loans and $24.8 billion in deposits. In addition, the business had $4.7 billion in outstanding card loan balances.

In millions of dollars, except as otherwise noted202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Net interest income$2,874 $3,172 $3,735 (9)%(15)%
Non-interest revenue1,376 1,294 1,599 6 (19)
Total revenues, net of interest expense$4,250 $4,466 $5,334 (5)%(16)%
Total operating expenses$2,949 $2,871 $3,001 3 %(4)%
Net credit losses on loans$920 $866 $1,109 6 %(22)%
Credit reserve build (release) for loans(825)316 (38)NMNM
Provision for credit losses on unfunded lending commitments— — — — — 
Provisions for benefits and claims, and other assets80 87 54 (8)61 
Provisions for credit losses and for benefits and claims (PBC)$175 $1,269 $1,125 (86)%13 %
Income from continuing operations before taxes$1,126 $326 $1,208 NM(73)%
Income taxes328 85 323 NM(74)
Income from continuing operations$798 $241 $885 NM(73)%
Noncontrolling interests— — — — %— 
Net income$798 $241 $885 NM(73)%
Balance Sheet data and ratios  
Average assets (in billions of dollars)
$35 $32 $35 9 %(9)%
Return on average assets2.28 %0.75 %2.53 %
Efficiency ratio69 64 56 
Average deposits (in billions of dollars)
$24 $23 $23 4 — 
Net credit losses as a percentage of average loans6.87 %5.97 %6.45 %
Revenue by business
Retail banking$3,119 $3,103 $3,681 1 %(16)%
Branded cards1,131 1,363 1,653 (17)(18)
Total$4,250 $4,466 $5,334 (5)%(16)%
Income from continuing operations by business  
Retail banking$435 $120 $586 NM(80)%
Branded cards363 121 299 NM(60)
Total$798 $241 $885 NM(73)%
FX translation impact  
Total revenues—as reported$4,250 $4,466 $5,334 (5)%(16)%
Impact of FX translation(1)
— 211 (246)
Total revenues—ex-FX(2)
$4,250 $4,677 $5,088 (9)%(8)%
Total operating expenses—as reported$2,949 $2,871 $3,001 3 %(4)%
Impact of FX translation(1)
— 129 (132)
Total operating expenses—ex-FX(2)
$2,949 $3,000 $2,869 (2)%5 %
Provisions for credit losses and PBC—as reported$175 $1,269 $1,125 (86)%13 %
Impact of FX translation(1)
— 66 (58)
Provisions for credit losses and PBC—ex-FX(2)
$175 $1,335 $1,067 (87)%25 %
Net income—as reported$798 $241 $885 NM(73)%
Impact of FX translation(1)
— 9 (37)
Net income—ex-FX(2)
$798 $250 $848 NM(71)%

(1)Reflects the impact of FX translation into U.S. dollars at the 2021 average exchange rates for all periods presented.
24

(2)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.


20172021 vs. 20162020
Net income increased 15%, was $798 million, compared to $250 million in the prior year, reflecting higher revenues andsignificantly lower cost of credit and modestly lower expenses, partially offset by higher expenses.lower revenues.
Revenues increased 5% decreased 9%, driven by improvement inreflecting lower cards and wealth managementretail banking revenues, partially offset bylargely due to the continued lower retail lending revenues.impact of the pandemic.
Retail banking revenues increased 3%decreased 4%, primarily due to the continued improvement in wealth management revenues,driven by lower loan volumes and deposit spreads, partially offset by the repositioning of the retail loan portfolio. Wealth management revenues increased due to improvement in investor sentiment, stronger equity markets and increasesgrowth in assets under management (18%) and investment sales (38%).management. Average deposits increased 5%. The increase in revenues was partially offset by the lower retail lending revenues (down 4%)loans decreased 13%, reflecting continuedthe impact of the pandemic on customer activity. Assets under management increased 8%, reflecting favorable market conditions, as well as strong client engagement.
Cards revenues decreased 21%, primarily driven by lower average loans (1%(down 11%) due to the continued optimization of this portfolio away from lower yielding mortgage loans to focus on growing higher-return personal loans.
Cards revenues increased 8%, reflecting 5% growthhigher payment rates. Credit card spend volume increased 16%, reflecting a continued recovery in average loans and 7% growth in purchase sales both of which benefitedactivity from the previously disclosed portfolio acquisitionpandemic-driven low levels in Australiathe prior year.
Expenses decreased 2%, as productivity savings more than offset continued investments in 2017, as well as modest gains in 2017 related to salesCiti’s transformation.
Provisions of merchant acquiring businesses in certain countries.
Expenses increased 2%, resulting from volume growth and ongoing investment spending, partially offset by efficiency savings.
Provisions$174 million decreased 2%87%, primarily driven by a decreasenet ACL release compared to a net ACL build in the prior year, partially offset by higher net credit losses.losses resulting from pandemic-related charge-offs.
The net ACL release was $826 million, compared to a build of $329 million in the prior year. The release reflected an improvement in portfolio credit quality, as well as continued improvement in the macroeconomic outlook and lower loan volumes. For additional information on AsiaCiti’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on LatinAmerica GCB’s retail banking portfolios, including commercial banking, and its Citi-brandedbranded cards portfolio,portfolios, see “Credit Risk—Consumer Credit” below.

For additional information about trends, uncertainties and risks related to Latin America GCB’s future results, see “Executive Summary” above and “Risk Factors—Strategic Risks” 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 net credit losses, primarily in the commercial portfolio.


25


INSTITUTIONAL CLIENTS GROUP
As of December 31, 2021, Institutional Clients Group (ICG) includes included Banking and Markets and securities services (for additional information on these businesses, see “Citigroup Segments” above). ICG provides provided 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 transacted with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.
For information on Citi’s planned revision to its reporting structure, including the reporting of the private bank as part of a new reporting segment, Personal Banking and Wealth Management, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.
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 revenueincome.
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 9895 countries and jurisdictions. At December 31, 2017, 2021, ICG had approximately $1.3$1.8 trillion ofin assets and $640$950 billion of deposits, while two of its businesses—securitiesin deposits. Securities services and issuer services—services managed approximately $17.4$24.0 trillion ofin assets under custody comparedand administration at December 31, 2021, of which Citi provides both custody and administrative services to $15.2certain clients related to $1.9 trillion of such assets. Managed assets under trust were $3.8 trillion at December 31, 2021. For additional information on these operations, see “Administration and Other Fiduciary Fees” in Note 5 to the end of the prior-year period.Consolidated Financial Statements.
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 %

Noncontrolling interests57
58
51
(2)14
Net income$9,009
$9,467
$9,059
(5)%5 %
Average assets (in billions of dollars)
$1,358
$1,298
$1,272
5 %2 %
Return on average assets0.66%0.73%0.71%  
Efficiency ratio55
57
57
  
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)%
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 %— %
Income from continuing operations by region  
   
North America$2,449
$3,495
$3,316
(30)%5 %
EMEA2,804
2,365
2,230
19
6
Latin America1,513
1,454
1,351
4
8
Asia2,300
2,211
2,213
4
—
Total$9,066
$9,525
$9,110
(5)%5 %
Average loans by region (in billions of dollars)
  
   
North America$151
$145
$130
4 %12 %
EMEA69
66
62
5
6
Latin America34
35
37
(3)(5)
Asia62
57
59
9
(3)
Total$316
$303
$288
4 %5 %
EOP deposits by business (in billions of dollars)
     
Treasury and trade solutions$432
$412
$394
5 %5 %
All other ICG businesses
208
200
195
4
3
Total$640
$612
$589
5 %4 %

14
(1)2017 includes the $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.

In millions of dollars, except as otherwise noted202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Commissions and fees$4,750 $4,412 $4,462 8 %(1)%
Administration and other fiduciary fees3,351 2,877 2,756 16 4 
Investment banking6,741 5,009 4,440 35 13 
Principal transactions10,064 13,308 8,562 (24)55 
Other(1)
1,384 1,149 1,829 20 (37)
Total non-interest revenue$26,290 $26,755 $22,049 (2)%21 %
Net interest income (including dividends)17,597 18,333 17,775 (4)3 
Total revenues, net of interest expense$43,887 $45,088 $39,824 (3)%13 %
Total operating expenses(2)
$26,513 $24,617 $22,961 8 %7 %
Net credit losses on loans$396 $987 $394 (60)%NM
Credit reserve build (release) for loans(2,533)3,172 71 NMNM
Provision for credit losses on unfunded lending commitments(777)1,435 98 NMNM
Provisions for credit losses on HTM debt securities and other assets1 21 — (95)100 %
Provisions for credit losses$(2,913)$5,615 $563 NMNM
Income from continuing operations before taxes$20,287 $14,856 $16,300 37 %(9)%
Income taxes4,524 3,303 3,524 37 (6)
Income from continuing operations$15,763 $11,553 $12,776 36 %(10)%
Noncontrolling interests83 50 40 66 25 
Net income$15,680 $11,503 $12,736 36 %(10)%
Balance Sheet data and ratios
EOP assets (in billions of dollars)
$1,762 $1,730 $1,447 2 %20 %
Average assets (in billions of dollars)
1,812 1,706 1,493 6 14 
Return on average assets0.87 %0.67 %0.85 %
Efficiency ratio60 55 58 
Revenues by region
North America$16,748 $17,476 $13,603 (4)%28 %
EMEA13,094 13,041 12,157 — 7 
Latin America4,946 4,981 5,275 (1)(6)
Asia9,099 9,590 8,789 (5)9 
Total$43,887 $45,088 $39,824 (3)%13 %
Income from continuing operations by region 
North America$5,781 $3,310 $3,407 75 %(3)%
EMEA4,347 3,280 3,836 33 (14)
Latin America2,429 1,390 2,101 75 (34)
Asia3,206 3,573 3,432 (10)4 
Total$15,763 $11,553 $12,776 36 %(10)%
Average loans by region (in billions of dollars)
 
North America$202 $201 $188 — %7 %
EMEA89 88 87 1 1 
Latin America32 39 40 (18)(3)
Asia73 71 73 3 (3)
Total$396 $399 $388 (1)%3 %
EOP deposits by business (in billions of dollars)
Treasury and trade solutions$636 $651 $536 (2)%21 %
All other ICG businesses
314 273 232 15 18 
Total$950 $924 $768 3 %20 %

(1)    2019 includes an approximate $350 million gain on Citi’s investment in Tradeweb.
(2)    2020 includes an approximate $390 million operational loss related to certain legal matters.
NM Not meaningful


15

ICG Revenue Details



In millions of dollars202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Investment banking revenue details
Advisory$1,796 $1,010 $1,259 78 %(20)%
Equity underwriting2,434 1,593 973 53 64 
Debt underwriting3,283 3,184 2,984 3 7 
Total investment banking$7,513 $5,787 $5,216 30 %11 %
Treasury and trade solutions9,444 9,824 10,513 (4)(7)
Corporate lending—excluding gains (losses) on loan hedges(1)
2,291 2,310 2,985 (1)(23)
Private bank—excluding gains (losses) on loan hedges(1)
4,005 3,794 3,487 6 9 
Total Banking revenues (ex-gains (losses) on loan hedges)(1)
$23,253 $21,715 $22,201 7 %(2)%
  Losses on loan hedges(1)
$(144)$(51)$(432)NM88 %
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense
$23,109 $21,664 $21,769 7 %— %
Fixed income markets(2)
$13,720 $17,588 $13,074 (22)%35 %
Equity markets4,545 3,624 2,908 25 25 
Securities services2,720 2,562 2,642 6 (3)
Other(207)(352)(569)41 38 
Total Markets and securities services revenues, net
of interest expense
$20,778 $23,424 $18,055 (11)%30 %
Total revenues, net of interest expense$43,887 $45,088 $39,824 (3)%13 %
Commissions and fees$793 $677 $782 17 %(13)%
Principal transactions(3)
7,692 11,518 7,661 (33)50 
Other(2)
831 579 1,117 44 (48)
Total non-interest revenue$9,316 $12,774 $9,560 (27)%34 %
Net interest income4,404 4,814 3,514 (9)37 
Total fixed income markets(4)
$13,720 $17,588 $13,074 (22)%35 %
Rates and currencies$8,903 $12,162 $9,242 (27)%32 %
Spread products/other fixed income4,817 5,426 3,832 (11)42 
Total fixed income markets$13,720 $17,588 $13,074 (22)%35 %
Commissions and fees$1,231 $1,245 $1,121 (1)%11 %
Principal transactions(3)
1,986 1,281 775 55 65 
Other191 322 172 (41)87 
Total non-interest revenue$3,408 $2,848 $2,068 20 %38 %
Net interest income1,137 776 840 47 (8)
Total equity markets(4)
$4,545 $3,624 $2,908 25 %25 %
ICG Revenue Details—Excluding CVA/DVA
(1)    Credit derivatives are used to economically hedge a portion of the private bank and corporate loan portfolio that includes both accrual loans and loans at fair value. Gains (Losses)(losses) on Loan Hedgesloan hedges include 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 private bank and corporate lending revenues to reflect the cost of credit protection. Gains (losses) on loan hedges include $(131) million and $(74) million related to the corporate loan portfolio and $(13) million and $23 million related to the private bank for the years ended December 31, 2021 and 2020, respectively. All of gains (losses) on loan hedges are related to the corporate loan portfolio for the year ended December 31, 2019. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.
(2)    2019 includes an approximate $350 million gain on Citi’s investment in Tradeweb.
In millions of dollars201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Investment banking revenue details
     
Advisory$1,108
$1,000
$1,093
11 %(9)%
Equity underwriting1,053
628
906
68
(31)
Debt underwriting3,011
2,674
2,558
13
5
Total investment banking$5,172
$4,302
$4,557
20 %(6)%
Treasury and trade solutions8,473
7,897
7,482
7
6
Corporate lending—excluding gains (losses) on loan hedges(1)1,922
1,718
1,827
12
(6)
Private bank3,088
2,709
2,582
14
5
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)%
Fixed income markets$12,127
$12,853
$11,277
(6)%14 %
Equity markets2,747
2,812
3,101
(2)(9)
Securities services2,329
2,152
2,114
8
2
Other(3)
(58)(622)(201)91
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 revenues, net of interest expense$35,667
$33,227
$33,332
7 %— %
    Commissions and fees$625
$474
$467
32 %1 %
    Principal transactions(4)
6,826
6,538
5,374
4
22
    Other590
591
330
—
79
    Total non-interest revenue$8,041
$7,603
$6,171
6 %23 %
    Net interest revenue4,086
5,250
5,106
(22)3
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)%

(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 includes 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/DVA in 2015, consistent with current presentation. For additional information, see Notes 1 and 24 to the Consolidated Financial Statements.
(3)2017 includes the $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.
(4)    Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(4)    Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net interest income may be risk managed by derivatives that are recorded in Principal transactions revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6 to the Consolidated Financial Statements.
NM Not meaningful

16


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.


2021 vs. 2020
2017 vs. 2016
Net income decreased 5% and was impacted by an estimated $2.0 of $15.7 billion non-cash charge recorded inincreased 36% versus 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%,prior year, primarily driven by higher revenues and lower cost of credit, partially offset by higher expenses.expenses and lower revenues.

Revenues increased 7% decreased 3%, reflecting a 16% increase in lower Markets and securities services revenues, partially offset by higher Banking( revenues. Banking revenues were up 7% (both including and excluding the impact of losses on loan hedges). Excluding the impact of the losses on loan hedges, Banking revenues increased 12%, driven by solid growth across all products. higher revenues in investment banking and the private bank, partially offset by lower revenues in treasury and trade solutions and corporate lending. Markets and securities services revenues were largely unchanged, as growth in securities services revenues (increase of 8%) as well as the $580 million gain on the sale ofdown 11%, primarily reflecting a fixed income analytics business were offset by a 6% decreasenormalization in fixed income markets and a 2% decreaserevenues, partially offset by growth in equity markets revenues.
and securities services.

Citi expects that revenues in its markets and investment banking businesses will continue to reflect the overall market environment during 2022.

Within Banking:


•Investment banking revenues were up 30%, reflecting growth in the overall market wallet. Advisory revenues increased 20%78%, largely reflecting gainsstrength in wallet share across productsNorth America and regionsEMEA, driven by growth in the market wallet 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.gains. Equity underwriting revenues increased 68%53%, reflecting strength in North America and EMEA, driven by strengthgrowth in North America and EMEA, due to significantthe market wallet, share gains as well as the increase in overall market activity.wallet share gains. Debt underwriting revenues increased 13%3%, reflecting strength across regions, primarily drivenin EMEA, as growth in the market wallet was partially offset by a decline in wallet share gains.
share.
•Treasury and trade solutions revenues increased 7%, reflecting growth across all regions that was balanced across both net interestdecreased 4% (both including 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), reflecting a decline in revenues in the cash business, partially offset by an increase in trade revenues. Cash revenues decreased, driven by the ongoing impact of lower deposit spreads. The decrease was partially offset by strong growth in fee revenues reflecting solid client engagement and growth in transaction volumes, including growth in USD clearing, commercial cards and cross-border solutions. The increase in trade revenues was driven by improved trade spreads and growth in loans, reflecting an increase in trade flows and originations, primarily in Asia and EMEA.
Average trade loans increased 5% (both including and excluding the impact of FX translation).
•Corporate lendingrevenues increased 59%.decreased 3%, including the impact of losses on loan hedges. Excluding the impact of losses on loan hedges, revenues decreased 1%, as lower cost of funds was more than offset by lower loan volumes, reflecting muted demand given strong client liquidity positions. Average loans decreased 20% during the current year.
•Private bank revenues increased 5%. Excluding the impact of gains (losses) on loan hedges, revenues increased 12%6%, driven by lower hedging costsstrong performance in North Americaand the absence of a prior-year adjustment to the residual value of a lease financing transaction.EMEA. The higher revenues reflected continued momentum with new and existing clients,
Private bank
resulting in higher loan volumes and spreads, higher managed investments revenues increased 14%, reflecting strength across all regions and products.higher deposit volumes. The increase in revenues was primarilypartially offset by lower deposit spreads due to higher loanthe ongoing low interest rate environment and deposit volumes,


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


Within Markets and securities services:


•Fixed income marketsrevenues decreased 6%22%, withreflecting lower revenues inacross all regions, primarily duelargely driven by a comparison to low volatilitya strong prior year, as well as the comparison to highera normalization in market activity, particularly in rates and currencies, and spread products. Non-interest 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 bydecreased, reflecting lower netinvestor client activity across rates and currencies and spread products. Net interest revenue (decreased 22%),income also decreased, largely due to higher funding costs andreflecting 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.
positions.
Rates and currencies revenues decreased 5%27%, driven by lower G10 ratesthe normalization in market activity, and currencies revenues. Despitea comparison to a strong prior year that included elevated levels of volatility related to the challenging trading environment, corporate client revenues in rates and currencies across the global network remained strong.pandemic. Spread products and other fixed income revenues decreased 6%11%, duedriven by a comparison to a difficult trading environmentstrong prior year and the normalization in the current year given low volatility, driving lower credit markets and commodities revenues,market activity, particularly in North America,flow trading and structured products, reflecting lower volatility and spreads, partially offset by strong securitization activity.
•Equity markets revenues increased 25%, driven by growth across all products. Equity derivatives revenues increased reflecting higher municipalsclient activity, particularly in EMEA and North America. Prime finance revenues increased due to favorable market conditions 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.balances. Cash equities revenues wereincreased 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% including the gains (losses) on loan hedges). Excluding the impact of the gains (losses) on loan hedges, Banking client activity. Non-interest revenues increased, 1%, driven by treasury and trade solutions and the private bank.

Within Banking:

Investment banking 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 increased 5%, primarily due to higher market activityprincipal transactions revenues, reflecting a favorable interest rate environment.
higher client activity.
Treasury and trade solutions•Securities services revenues increased 6%. Excluding the impact of FX translation, revenues increased 8%7%, reflecting growth across most regions. Theas an increase was primarily due to continuedin fee revenues with both new and existing clients, driven by growth in transactionassets under custody and settlement volumes, was partially offset by lower deposit spreads.

Expenses were up 8%, primarily driven by continued investments in Citi’s transformation, business-led investments and deposit balances and improved spreads in certain regions. Trade revenues increased modestly due to loan growthhigher incentive compensation, as well as spread improvements. End-of-periodtransactional related expenses, partially offset by productivity savings.
Provisions reflected a benefit of $2.9 billion compared to costs of $5.6 billion in the prior year, driven by an ACL release and lower net credit losses.
Net credit losses declined to $396 million from $987 million in the prior year, driven by improvements in portfolio credit quality.
The ACL release was $3.3 billion compared to a build of $4.6 billion in the prior year. The release was primarily driven by improvements in portfolio credit quality as well as Citi’s improved macroeconomic outlook. For additional information
17

on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on trends in ICG’s deposits and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
For additional information on ICG’scorporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information about trends, uncertainties and risks related to ICG’s future results, see “Managing Global Risk—Other Risks—Country Risk—Argentina” and “Risk Factors” below.



18













































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19

GLOBAL CONSUMER BANKING

As of December 31, 2021, Global Consumer Banking (GCB) consisted of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provided traditional banking services to retail customers through retail banking, branded cards and, in the U.S., retail services (for information on consumer market exits related to Latin America GCB and Asia GCB as well as Citi’s planned revision to its reporting structure, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above).
GCB’s markets in the U.S., Mexico and Asia had a combined 2,154 branches in 19 countries and jurisdictions as of December 31, 2021. At December 31, 2021, GCB had $267 billion in loans and $362 billion in retail banking deposits (excluding approximately $10 billion of loans and $8 billion of deposits reclassified to held-for-sale as a result of Citi’s agreements to sell its consumer banking businesses in Australia and the Philippines).

In millions of dollars, except as otherwise noted202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Net interest income$24,238 $26,551 $28,455 (9)%(7)%
Non-interest revenue3,092 3,791 4,766 (18)(20)
Total revenues, net of interest expense$27,330 $30,342 $33,221 (10)%(9)%
Total operating expenses$20,035 $17,834 $18,039 12 %(1)%
Net credit losses on loans$4,582 $6,646 $7,382 (31)%(10)%
Credit reserve build (release) for loans(5,174)4,951 439 NMNM
Provision for credit losses on unfunded lending commitments— — 1 — 100 
Provisions for benefits and claims, and other assets96 105 73 (9)44 
Provisions for credit losses and for benefits and claims (PBC)$(496)$11,702 $7,895 NM48 %
Income from continuing operations before taxes$7,791 $806 $7,287 NM(89)%
Income taxes1,745 143 1,708 NM(92)
Income from continuing operations$6,046 $663 $5,579 NM(88)%
Noncontrolling interests(11)(4)6 NMNM
Net income$6,057 $667 $5,573 NM(88)%
Balance Sheet data and ratios
EOP assets (in billions of dollars)
$432 $434 $407 — %7 %
Average assets (in billions of dollars)
440 426 389 3 10 
Return on average assets1.38 %0.16 %1.43 %
Efficiency ratio73 59 54 
Average retail banking deposits (in billions of dollars)
$352 $311 $277 13 12 
Net credit losses as a percentage of average loans1.72 %2.39 %2.60 %
Revenue by business
Retail banking$10,776 $11,996 $12,758 (10)%(6)%
Cards(1)
16,554 18,346 20,463 (10)(10)
Total$27,330 $30,342 $33,221 (10)%(9)%
Income from continuing operations by business
Retail banking$(830)$557 $1,741 NM(68)%
Cards(1)
6,876 106 3,838 NM(97)
Total$6,046 $663 $5,579 NM(88)%

Table continues on the next page, including footnotes.
20

Foreign currency (FX) translation impact
Total revenue—as reported$27,330 $30,342 $33,221 (10)%(9)%
Impact of FX translation(2)
— 323 (157)
Total revenues—ex-FX(3)
$27,330 $30,665 $33,064 (11)%(7)%
Total operating expenses—as reported$20,035 $17,834 $18,039 12 %(1)%
Impact of FX translation(2)
— 212 (80)
Total operating expenses—ex-FX(3)
$20,035 $18,046 $17,959 11 %— %
Total provisions for credit losses and PBC—as reported$(496)$11,702 $7,895 NM48 %
Impact of FX translation(2)
— 87 (51)
Total provisions for credit losses and PBC—ex-FX(3)
$(496)$11,789 $7,844 NM50 %
Net income—as reported$6,057 $667 $5,573 NM(88)%
Impact of FX translation(2)
— 12 (11)
Net income—ex-FX(3)
$6,057 $679 $5,562 NM(88)%

(1)Includes both branded cards and retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the 2021 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful




21

NORTH AMERICA GCB

As of December 31, 2021, North America GCB provided traditional retail banking and branded and retail services card products to retail and small business customers in the U.S. North America GCB’s U.S. cards product portfolio included its proprietary portfolio (Double Cash, Custom Cash, ThankYou and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within branded cards, as well as its co-brand and private label relationships (including, among others, The Home Depot, Sears, Best Buy and Macy’s) within retail services. For information on Citi’s planned revision to its reporting structure, including the reporting of North America GCB’s consumer banking businesses as part of a new reporting segment, Personal Banking and Wealth Management, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.
At December 31, 2021, North America GCB had 658 retail bank branches 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, 2021, North America GCB had $48.1 billion in retail banking loans and $219.3 billion in retail banking deposits. In addition, North America GCB had $133.9 billion in outstanding card loan balances.

In millions of dollars, except as otherwise noted202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Net interest income$17,393 $18,938 $19,931 (8)%(5)%
Non-interest revenue88 346 529 (75)(35)
Total revenues, net of interest expense$17,481 $19,284 $20,460 (9)%(6)%
Total operating expenses$10,832 $10,237 $10,305 6 %(1)%
Net credit losses on loans$2,937 $4,990 $5,583 (41)%(11)%
Credit reserve build for loans(3,974)4,115 469 NMNM
Provision for credit losses on unfunded lending commitments— — 1 — 100 
Provisions for benefits and claims, and other assets19 17 19 12 (11)
Provisions for credit losses and for benefits and claims$(1,018)$9,122 $6,072 NM50 %
Income from continuing operations before taxes$7,667 $(75)$4,083 NMNM
Income taxes1,733 (29)926 NMNM
Income from continuing operations$5,934 $(46)$3,157 NMNM
Noncontrolling interests— — — — %— %
Net income$5,934 $(46)$3,157 NMNM
Balance Sheet data and ratios  
Average assets (in billions of dollars)
$266 $266 $232 — %15 %
Return on average assets2.23 %(0.02)%1.36 %
Efficiency ratio62 53 50 
Average retail banking deposits (in billions of dollars)
$206 $176 $153 17 15 
Net credit losses as a percentage of average loans1.69 %2.72 %2.97 %
Revenue by business  
Retail banking$4,211 $4,519 $4,558 (7)%(1)%
Branded cards8,189 8,800 9,184 (7)(4)
Retail services5,081 5,965 6,718 (15)(11)
Total$17,481 $19,284 $20,460 (9)%(6)%
Income (loss) from continuing operations by business  
Retail banking$(453)$(232)$145 (95)%NM
Branded cards3,903 12 1,734 NM(99)%
Retail services2,484 174 1,278 NM(86)
Total$5,934 $(46)$3,157 NMNM

NM Not meaningful




22

2021 vs. 2020
Net income was $5.9 billion, compared to a net loss of $46 million in the prior year, reflecting significantly lower cost of credit, partially offset by lower revenues and higher expenses.
Revenues decreased 9%, reflecting lower revenues in retail banking, branded cards and retail services.
Retail banking revenues decreased 7%, as the benefit of strong deposit balancesgrowth and growth in assets under management (increase of 8%, reflecting favorable market conditions and strong client engagement) was more than offset by lower deposit spreads, as well as lower mortgage revenues. Average deposits increased 5% (6%17%, driven by higher levels of consumer liquidity due to government stimulus, as well as continued strategic efforts to drive organic growth.
Cards revenues decreased 10%. Branded cards revenues decreased 7%, primarily driven by continued higher payment rates, reflecting increased customer liquidity from government stimulus and relief programs, partially offset by higher spending-related revenues. Credit card spend volume increased 21%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior year.
Retail services revenues decreased 15%, primarily driven by lower average loans (down 7%), reflecting higher payment rates from the increased customer liquidity from government stimulus and relief programs, as well as higher partner payments, reflecting higher income sharing as a result of lower net credit losses. For additional information on partner payments, see Note 5 to the Consolidated Financial Statements. Credit card spend volume increased 18%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior year.
Expenses increased 6%, primarily driven by continued investments in Citi’s transformation, as well as business-led investments and higher volume-related expenses, partially offset by productivity savings.
Provisions reflected a benefit of $1.0 billion, compared to costs of $9.1 billion in the prior year, primarily driven by a net ACL release compared to a net ACL build in the prior year, as well as lower net credit losses. Net credit losses decreased 41%, consisting of lower net credit losses in both branded cards (down 39% to $1.7 billion) and retail services (down 46% to $1.2 billion), primarily driven by lower loan volumes and improved delinquencies, primarily as a result of the higher payment rates.
The net ACL release was $4.0 billion, compared to a net build of $4.1 billion in the prior year, reflecting improvement in portfolio credit quality and the continued improvement in the macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on North America GCB’s retail banking, and its branded cards and retail services portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to North America GCB’s future results, see “Executive Summary” above and “Risk Factors—Strategic Risks” below.





23

LATIN AMERICA GCB

As of December 31, 2021, Latin America GCB provided traditional retail banking and branded card products to consumer and small business customers in Mexico through Citibanamex.
As discussed above, Citi intends to exit its consumer, small business and middle-market banking operations in Mexico. For additional information, see Citi’s Current Report on Form 8-K filed with the SEC on January 11, 2022. For information on Citi’s planned revision to its reporting structure, including the reporting of the Mexico consumer, small business and middle-market banking operations as part of a new reporting segment, Legacy Franchises, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.
At December 31, 2021, Latin America GCB had 1,276 retail branches in Mexico, with $8.6 billion in retail banking loans and $24.8 billion in deposits. In addition, the business had $4.7 billion in outstanding card loan balances.

In millions of dollars, except as otherwise noted202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Net interest income$2,874 $3,172 $3,735 (9)%(15)%
Non-interest revenue1,376 1,294 1,599 6 (19)
Total revenues, net of interest expense$4,250 $4,466 $5,334 (5)%(16)%
Total operating expenses$2,949 $2,871 $3,001 3 %(4)%
Net credit losses on loans$920 $866 $1,109 6 %(22)%
Credit reserve build (release) for loans(825)316 (38)NMNM
Provision for credit losses on unfunded lending commitments— — — — — 
Provisions for benefits and claims, and other assets80 87 54 (8)61 
Provisions for credit losses and for benefits and claims (PBC)$175 $1,269 $1,125 (86)%13 %
Income from continuing operations before taxes$1,126 $326 $1,208 NM(73)%
Income taxes328 85 323 NM(74)
Income from continuing operations$798 $241 $885 NM(73)%
Noncontrolling interests— — — — %— 
Net income$798 $241 $885 NM(73)%
Balance Sheet data and ratios  
Average assets (in billions of dollars)
$35 $32 $35 9 %(9)%
Return on average assets2.28 %0.75 %2.53 %
Efficiency ratio69 64 56 
Average deposits (in billions of dollars)
$24 $23 $23 4 — 
Net credit losses as a percentage of average loans6.87 %5.97 %6.45 %
Revenue by business
Retail banking$3,119 $3,103 $3,681 1 %(16)%
Branded cards1,131 1,363 1,653 (17)(18)
Total$4,250 $4,466 $5,334 (5)%(16)%
Income from continuing operations by business  
Retail banking$435 $120 $586 NM(80)%
Branded cards363 121 299 NM(60)
Total$798 $241 $885 NM(73)%
FX translation impact  
Total revenues—as reported$4,250 $4,466 $5,334 (5)%(16)%
Impact of FX translation(1)
— 211 (246)
Total revenues—ex-FX(2)
$4,250 $4,677 $5,088 (9)%(8)%
Total operating expenses—as reported$2,949 $2,871 $3,001 3 %(4)%
Impact of FX translation(1)
— 129 (132)
Total operating expenses—ex-FX(2)
$2,949 $3,000 $2,869 (2)%5 %
Provisions for credit losses and PBC—as reported$175 $1,269 $1,125 (86)%13 %
Impact of FX translation(1)
— 66 (58)
Provisions for credit losses and PBC—ex-FX(2)
$175 $1,335 $1,067 (87)%25 %
Net income—as reported$798 $241 $885 NM(73)%
Impact of FX translation(1)
— 9 (37)
Net income—ex-FX(2)
$798 $250 $848 NM(71)%

(1)Reflects the impact of FX translation into U.S. dollars at the 2021 average exchange rates for all periods presented.
24

(2)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), while average trade loans decreased 2% (1% excluding the impacttranslation, are non-GAAP financial measures. For a reconciliation of FX translation).
Corporate lending revenues decreased 48%. Excluding the impactcertain 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 adjustmentthese metrics to the residual valuereported results, see the table above.

2021 vs. 2020
Net income was $798 million, compared to $250 million in the prior year, reflecting significantly lower cost of a lease financing transaction, spread compressioncredit and higher hedging costs,modestly lower expenses, partially offset by higher average loans.
lower revenues.
Private bank revenues increased 5%Revenues decreased 9%, reflecting growth inlower cards and retail banking revenues, largely due to the continued impact of the pandemic.
Retail banking revenues decreased 4%, primarily driven by lower loan volumes and improved deposit spreads, partially offset by lower capital markets activity and lower managed investments revenues.

Within Markets and securities services:

Fixed income markets revenues increased 14%growth in assets under management. Average loans decreased 13%, 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 rates and currencies revenues and higher spread products revenues. Other revenues increased mainly due to foreign currency losses in 2015. 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. Spread products and other fixed income revenues decreased 3%, due to lower securitized products revenues, driven byreflecting the impact of significantly lower liquidity in the market in the first quarter of 2016.
Equity markets revenues declined 9%. Equityderivatives and prime finance revenues declined 13%pandemic on customer activity. Assets under management increased 8%, reflecting both a challenging trading environment across all regionsfavorable market conditions, as well as strong client engagement.
Cards revenues decreased 21%, primarily driven by lower volatility compared to 2015, and a comparison to a more favorable trading environment in 2015 in Asia. The decline in equity markets revenue was also due to lower equity cash commissions driven byaverage loans (down 11%), reflecting higher payment rates. Credit card spend volume increased 16%, reflecting a continued shift to electronic trading and passive investing by clients acrossrecovery in sales activity from 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
businesspandemic-driven low levels in the first quarterprior year.
Expenses decreased 2%, as productivity savings more than offset continued investments in Citi’s transformation.
Provisions of 2016, higher deposit
volumes and improved spreads. The increase in revenues
was partially offset by the absence of revenues from
divestitures. Excluding the impact of FX translation and
divestitures, revenues increased 6%.
Expenses$174 million decreased 1% as a benefit from FX translation and efficiency savings were partially offset by higher compensation expense and higher repositioning charges.
Provisions decreased 49%87%, primarily driven by a net loan loss reserveACL release of $30 million (comparedcompared to a net ACL build of $748 million in the prior year). The significant decline in 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 cost of credit wasyear, partially offset by higher net credit losses resulting from pandemic-related charge-offs.
The net ACL release was $826 million, compared to a build of $516 million (compared to $214$329 million in the prior year) mostlyyear. The release reflected an improvement in portfolio credit quality, as well as continued improvement in the macroeconomic outlook and lower loan volumes. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on LatinAmerica GCB’s retail banking and its branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to Latin America GCB’s future results, see “Executive Summary” above and “Risk Factors—Strategic Risks” below.

25

ASIA GCB

As of December 31, 2021, Asia GCB provided traditional retail banking and branded card products to retail and small business customers. Included within Asia GCB were traditional retail banking and branded card products provided to retail customers in certain EMEA countries, primarily the UAE, Poland and Russia.
As discussed above, Citi is pursuing exits of its consumer franchises in 13 markets across Asia and EMEA and will focus its consumer banking franchise in the two regions on four wealth centers: Singapore, Hong Kong, the UAE and London. In 2021, Citi entered into agreements to sell its consumer banking businesses in Australia and the Philippines, and made a decision to wind down and close its Korea consumer banking business (for additional information, see Note 2 to the Consolidated Financial Statements).
In addition, in January 2022, Citi entered into agreements to sell its consumer banking businesses in Indonesia, Malaysia, Taiwan, Thailand and Vietnam. For information on Citi’s planned revision to its reporting structure, including the reporting of the 13 exit markets as part of a new reporting segment, Legacy Franchises, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.
At December 31, 2021, on a combined basis, the businesses had 220 retail branches, $58.9 billion in retail banking loans and $117.7 billion in deposits. In addition, the businesses had $13.1 billion in outstanding card loan balances. These amounts exclude approximately $10 billion of loans ($7 billion of retail banking loans and $3 billion of credit card loan balances) and $8 billion of deposits reclassified to held-for-sale (HFS) as a result of Citi’s agreements to sell its consumer banking businesses in Australia and the Philippines. Australia and the Philippines are the only consumer businesses reclassified as HFS at December 31, 2021. For additional information, see Note 2 to the Consolidated Financial Statements.

In millions of dollars, except as otherwise noted(1)
202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Net interest income$3,971 $4,441 $4,789 (11)%(7)%
Non-interest revenue1,628 2,151 2,638 (24)(18)
Total revenues, net of interest expense$5,599 $6,592 $7,427 (15)%(11)%
Total operating expenses$6,254 $4,726 $4,733 32 %— %
Net credit losses on loans$725 $790 $690 (8)%14 %
Credit reserve build for loans(375)520 8 NMNM
Provisions for other assets(3)1 — NM— 
Provisions for credit losses$347 $1,311 $698 (74)%88 %
Income (loss) from continuing operations before taxes$(1,002)$555 $1,996 NM(72)%
Income taxes (benefits)(316)87 459 NM(81)
Income (loss) from continuing operations$(686)$468 $1,537 NM(70)%
Noncontrolling interests(11)(4)6 NMNM
Net income (loss)$(675)$472 $1,531 NM(69)%
Balance Sheet data and ratios  
Average assets (in billions of dollars)
$139 $129 $122 8 %6 %
Return on average assets(0.49)%0.37 %1.25 %
Efficiency ratio112 72 64 
Average deposits (in billions of dollars)
$122 $113 $101 8 12 
Net credit losses as a percentage of average loans0.92 %0.99 %0.88 %
Revenue by business
Retail banking$3,446 $4,374 $4,519 (21)%(3)%
Branded cards2,153 2,218 2,908 (3)(24)
Total$5,599 $6,592 $7,427 (15)%(11)%
Income (loss) from continuing operations by business
Retail banking$(812)$669 $1,010 NM(34)%
Branded cards126 (201)527 NMNM
Total$(686)$468 $1,537 NM(70)%
FX translation impact
Total revenues—as reported$5,599 $6,592 $7,427 (15)%(11)%
Impact of FX translation(2)
— 112 89 
Total revenues—ex-FX(3)
$5,599 $6,704 $7,516 (16)%(11)%
26

Total operating expenses—as reported$6,254 $4,726 $4,733 32 %— %
Impact of FX translation(2)
— 83 52 
Total operating expenses—ex-FX(3)
$6,254 $4,809 $4,785 30 %1 %
Provisions for credit losses—as reported$347 $1,311 $698 (74)%88 %
Impact of FX translation(2)
— 21 7 
Provisions for credit losses—ex-FX(3)
$347 $1,332 $705 (74)%89 %
Net income (loss)—as reported$(675)$472 $1,531 NM(69)%
Impact of FX translation(2)
— 3 26 
Net income (loss)—ex-FX(3)
$(675)$475 $1,557 NM(69)%

(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 2021 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.

2021 vs. 2020
Net loss was $675 million, compared to net income of $475 million in the prior year. The net loss included the following items related to the energy13 exit markets: (i) approximately $1.1 billion (approximately $0.8 billion after-tax) related to charges incurred from the voluntary early retirement program (VERP) in connection with the wind-down of the Korea consumer banking business; (ii) an approximate $0.7 billion pretax loss ($0.6 billion after-tax) related to the agreement to sell the Australia consumer banking business, largely reflecting the impact of a CTA loss (net of hedges); and energy-related exposures, with a vast majority(iii) contract modification costs related to the Asia divestitures of $119 million ($98 million after-tax).     
Excluding the above items, net income was $807 million compared to net income of $475 million in the prior year, reflecting significantly lower cost of credit, partially offset by higher expenses and lower revenues.
Revenues decreased 16%, including the Australia loss on sale. Excluding the Australia loss on sale, revenues declined 6%, reflecting lower retail banking and cards revenues, largely due to the continued impact of the pandemic, including lower interest rates.
Retail banking revenues decreased 22%, including the Australia loss on sale. Excluding the Australia loss on sale, revenues decreased 7%, as growth in both investment revenues and deposits was more than offset by lower deposit spreads due to lower interest rates and lower FX and insurance revenues. Assets under management increased 3%, reflecting the impact of improved market conditions, as well as client engagement. Average deposits increased 6% and average loans decreased 2%. The decline in retail banking revenues was also impacted by a 3% decrease in retail lending revenues, reflecting a decline in personal loans driven by spread compression.
Cards revenues decreased 5%, as lower average loans (down 14%, including the reclassification to held-for-sale related to Australia and the Philippines and higher payment rates) were partially offset by higher spending-related revenues (credit card spend volume up 8%), reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior year.
Expenses increased 30%, including approximately $1.2 billion of costs related to the Asia divestitures. Excluding the costs related to the Asia divestitures, expenses increased 6%, primarily driven by continued investments in Citi’s transformation, as well as business-led investments, partially offset by productivity savings.
Provisions decreased 74%, primarily driven by a net ACL release compared to a net ACL build in the prior year, as well as lower net credit losses. Net credit losses decreased 10%, primarily reflecting lower cards loan volumes and improved delinquencies.
The net ACL release was $376 million, compared to a build of previously established loan loss reserves.$528 million in the prior year. The release reflected an improvement in portfolio credit quality. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on Asia GCB’s retail banking portfolios and its branded cards portfolios, see “Credit Risk—Consumer Credit” below.

For additional information about trends, uncertainties and risks related to Asia GCB’s future results, see “Executive Summary” above and “Risk Factors—Strategic Risks” and “Significant Accounting Policies and Significant Estimates” below.



27

CORPORATE/OTHER

Activities not assigned to the operating segments (ICG and GCB) are included in Corporate/Other. As of December 31, 2021, Corporate/Other includes included certain unallocated costs of global staff functions (including certain finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as results of Corporate Treasury, certain North America and international legacy consumer loan portfolios, discontinued operations and other legacy assets. For information on Citi’s planned revision to its reporting structure, including the reporting of the North America legacy consumer loan portfolios, discontinued operations and other legacy assets and discontinued operations (for additional information on Corporate/Otheras part of a new reporting segment, Legacy Franchises, see “Citigroup Segments” above).“Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above. At December 31, 2017, 2021, 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		In millions of dollars202120202019% Change
2021 vs. 2020		% Change
2020 vs. 2019
Net interest revenue$1,963
$2,985
$5,210
(34)%(43)%
Net interest incomeNet interest income$659 $(133)$1,898 NMNM
Non-interest revenue1,122
2,144
5,561
(48)(61)Non-interest revenue8 204 124 (96)%65 %
Total revenues, net of interest expense$3,085
$5,129
$10,771
(40)%(52)%Total revenues, net of interest expense$667 $71 $2,022 NM(96)%
Total operating expenses$3,786
$4,977
$7,329
(24)%(32)%Total operating expenses$1,645 $1,923 $1,783 (14)%8 %
Net credit losses149
435
1,336
(66)%(67)%
Credit reserve build (release)(317)(456)(453)30 %(1)%
Provision (release) for unfunded lending commitments—
(8)(24)100 %67 %
Provision for benefits and claims(7)98
623
NM
(84)%
Provisions for loan losses and for benefits and claims$(175)$69
$1,482
NM
(95)%
Net credit losses (recoveries) on loansNet credit losses (recoveries) on loans$(83)$(22)$(8)NMNM
Credit reserve build (release) for loansCredit reserve build (release) for loans(291)188 (60)NMNM
Provision (release) for credit losses on unfunded lending commitmentsProvision (release) for credit losses on unfunded lending commitments(11)11 (7)NMNM
Provisions (releases) for benefits and claims, HTM debt securities and other assetsProvisions (releases) for benefits and claims, HTM debt securities and other assets16 1 — 100 %— %
Provisions (releases) for credit losses and for benefits and claimsProvisions (releases) for credit losses and for benefits and claims$(369)$178 $(75)NMNM
Income (loss) from continuing operations before taxes$(526)$83
$1,960
NM
(96)%Income (loss) from continuing operations before taxes$(609)$(2,030)$314 70 %NM
Income taxes (benefits)19,060
(471)(102)NM
NM
Income taxes (benefits)(818)(921)(802)11 (15)%
Income (loss) from continuing operations$(19,586)$554
$2,062
NM
(73)%Income (loss) from continuing operations$209 $(1,109)$1,116 NMNM
Income (loss) from discontinued operations, net of taxes(111)(58)(54)(91)%(7)
(Loss) from discontinued operations, net of taxes(Loss) from discontinued operations, net of taxes7 (20)(4)NMNM
Net income (loss) before attribution of noncontrolling interests$(19,697)$496
$2,008
NM
(75)%Net income (loss) before attribution of noncontrolling interests$216 $(1,129)$1,112 NMNM
Noncontrolling interests(6)(2)29
NM
NM
Noncontrolling interests1 (6)20 NMNM
Net income (loss)$(19,691)$498
$1,979
NM
(75)%Net income (loss)$215 $(1,123)$1,092 NMNM

NM Not meaningful


2021 vs. 2020
2017 vs. 2016
The Net income was $215 million, compared to a net loss was $19.7 of $1.1 billion in 2017,the prior year, reflecting higher revenues, lower expenses and lower cost of credit.
Revenues of $667 million compared to net income of $498$71 million in the prior year, primarily driven by higher net revenue from the estimated $19.8 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 declined 69% to $153 million,investment portfolio.
Expenses decreased 14%, reflecting lower revenues, partially offset by lower expenses and lower cost of credit.
Revenues declined 40%, primarily reflecting the continued wind-down of legacy assets and the absence of gains related to debt buybacks in 2016. Revenues included approximately $750 million in gains on asset salesa civil money penalty in 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%, reflectingprior year and the wind-down of legacy assets, and lower legal expenses, partially offset by approximately $100 million in episodic expenses primarilyincreases 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.
transformation.
Provisions decreased $244 million to reflected a net benefit of $175$369 million, compared to costs of $178 million in the prior year, primarily due to lower net credit losses and a lower provision for benefits and claims, partially offsetdriven by a lower net loan loss reserve release. Net credit losses declined 66%ACL release in the current year ($286 million compared to $149a net build of $200 million primarily reflectingin the impact of ongoing divestiture activity and the continued wind-down of the North America mortgage portfolio.prior year). The provision for benefits and claims declined 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 Japanimprovement in the fourth quarter of 2015.macroeconomic outlook.
Expenses decreased 32%, reflecting the sales
For additional information on Citi’s ACL, see “Significant Accounting Policies and run-off of assets, lower legalSignificant Estimates” below.
For additional information about trends, uncertainties and risks related expensesto Corporate/Other’s future results, see “Executive Summary” above and lower repositioning costs.“Risk Factors—Strategic Risks” below.



28

Provisions decreased 95% due to lower net credit losses and a lower provision for benefits 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.

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;
providing guarantees, indemnifications, loan commitments, letters of credit and representations and warranties; and
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 
In millions of dollars20182019202020212022ThereafterTotal
Long-term debt obligations—principal(1)
$53,478
$36,289
$23,188
$21,019
$12,364
$90,371
$236,709
Long-term debt obligations—interest payments(2)
7,496
5,894
4,832
4,043
3,447
33,955
59,667
Operating and capital lease obligations968
837
676
568
469
2,593
6,111
Purchase obligations(3)
407
347
358
318
316
1,147
2,893
Other liabilities(4)
34,180
498
93
87
80
1,794
36,732
Total$96,529
$43,865
$29,147
$26,035
$16,676
$129,860
$342,112

(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 2018–2022 are calculated by applying the December 31, 2017 weighted-average interest rate (3.57%) 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 (2023–2098) are calculated by applying current interest rates on the remaining contractual obligations on long-term debt for each of those years.
(3)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, 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)
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 and 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. For additional information on capital-related trends, uncertainties and risks related to Citi’s legacy and exit businesses, including the impact of CTA losses, see “Executive Summary” above and “Risk Factors—Strategic Risks” and “—Operational Risks” below.
During 2017,2021, Citi returned a total of $17.1$11.8 billion of capital to common shareholders in the form of $4.2 billion in dividends and $7.6 billion in share repurchases (approximately 214totaling approximately 105 million common shares) and dividends.shares.


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.
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.
TheUnder the U.S. Basel III rules, establishboth Citi and Citibank, N.A. (Citibank) are required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios for substantially all U.S. banking organizations, including Citiof 4.5%, 6.0% and Citibank, N.A. (Citibank). Moreover, these rules provide for both a fixed 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, the Federal Reserve Board voted to affirm the Countercyclical Capital Buffer amount at the current level of 0%.
8.0%, respectively. 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 lowermore binding 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.
Under the Federal Reserve Board’s rule, identification of a GSIB 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, and (v) complexity. With the exception of size, each of the other categories are 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 be 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. 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, 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, the 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, 2017 will be based on 2016 systemic indicator data). Generally, the surcharge derived under method 2 will result in a higher surcharge than derived 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, 2018 would not become effective until January 1, 2020). 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, 2018 would become effective January 1, 2019).






The following table sets forth Citi’s GSIB surcharge as derived under method 1 and method 2 for 2017 and 2016.
 20172016
Method 12.0%2.0%
Method 23.0
3.5

Citi’s GSIB surcharge effective for 2017 and 2016 was 3.0% and 3.5%, respectively, as derived under the higher method 2 result. Citi’s GSIB surcharge effective for 2018 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 such Citi’s GSIB surcharge effective for 2019 will not exceed 3.0%, and Citi’s GSIB surcharge effective for 2020 is not expected to exceed 3.0%.
Transition Provisions
The U.S. Basel III rules contain several differing, largely multi-year transition provisions (i.e., “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 non-grandfathered trust preferred securities and certain subordinated debt issuances). Moreover, the GSIB surcharge, Capital Conservation Buffer, and any Countercyclical Capital Buffer (currently 0%), commenced phase-in on January 1, 2016, becoming 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.

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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 periodend-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. TheThese 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,this requirement, it will be subject to increasingly onerous restrictions (depending upon the extent of the shortfall) regarding capital distributions and discretionary executive bonus payments.

Temporary Supplementary Leverage Ratio Relief
In April 2020, the Federal Reserve Board issued an interim final rule that temporarily changed the calculation of the Supplementary Leverage ratio for bank holding companies, including Citigroup, by excluding U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure.
The interim final rule was effective for Citigroup’s Supplementary Leverage ratio, as well as for Citigroup’s leverage-based total loss absorbing capacity (TLAC) and long-term debt (LTD) requirements, and expired as scheduled on March 31, 2021. Citigroup’s reported Supplementary Leverage ratio of 7.0% during the fourth quarter of 2020 benefited 109 basis points, as a result of the temporary relief.

Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology
In September 2020, the U.S. banking agencies issued a final rule (substantially unchanged from a March 2020 interim final rule) that modified the regulatory capital transition provision related to the current expected credit losses (CECL) methodology. The September 2020 final rule does not have any impact on U.S. GAAP accounting.
The final rule permitted banks to delay for two years the “Day One” adverse regulatory capital effects resulting from adoption of the CECL methodology on January 1, 2020 until January 1, 2022, followed by a three-year transition to phase out the regulatory capital benefit provided by the delay.
In addition, for the ongoing impact of CECL, the agencies utilized a 25% scaling factor as an approximation of the increased reserve build under CECL compared to the previous incurred loss model and, therefore, allowed banks to add back to Common Equity Tier 1 Capital an amount equal to 25% of the change in CECL-based allowances in each quarter between January 1, 2020 and December 31, 2021. Beginning January 1, 2022, the cumulative 25% change in CECL-based allowances
between January 1, 2020 and December 31, 2021 will be phased in to regulatory capital (i) at 25% per year on January 1 of each year over the three-year transition period, and (ii) along with the delayed “Day One” impact.
Citigroup and Citibank elected the modified CECL transition provision provided by the rule beginning with the quarter ended March 31, 2020. Accordingly, the Day One regulatory capital effects resulting from adoption of the CECL methodology, as well as the ongoing adjustments for 25% of the change in CECL-based allowances in each quarter between January 1, 2020 and December 31, 2021, started to be phased in on January 1, 2022 and will be fully reflected in Citi’s regulatory capital as of January 1, 2025.
As of December 31, 2021, Citigroup’s reported Common Equity Tier 1 Capital ratio of 12.2% benefited from the deferrals of the CECL transition provision by 24 basis points (bps), which resulted in an approximate 6 bps decrease to Citigroup’s Common Equity Tier 1 Capital ratio upon commencement of the phase-in on January 1, 2022. In addition, this phase-in is expected to result in an additional 6 bps decrease to Citigroup’s Common Equity Tier 1 Capital ratio on January 1 of each year through January 1, 2025. For additional information on Citigroup’s and Citibank’s regulatory capital ratios excluding the impact of the CECL transition provision, see “Capital Resources (Full Adoption of CECL)” below.

TLAC Holdings
As previously disclosed, in January 2021, the U.S. GSIBsbanking agencies issued a final rule that created a new regulatory capital deduction applicable to Advanced Approaches banking organizations for certain investments in covered debt instruments issued by GSIBs. The final rule became effective for Citigroup and Citibank on April 1, 2021, and did not have a significant impact on either Citigroup’s or Citibank’s regulatory capital.

Regulatory Capital Buffers
Citi and Citibank are effectivelyrequired to maintain several regulatory capital buffers above stated minimum capital requirements. These capital buffers would be available to absorb losses in advance of any potential impairment of regulatory capital below the stated minimum regulatory capital ratio requirements.
Banking organizations that fall below their regulatory capital buffers are subject to limitations on capital distributions and discretionary bonus payments to executive officers based on a percentage of “Eligible Retained Income” (ERI), with increasing restrictions based upon the severity of the breach. ERI is equal to the greater of (i) the bank’s net income for the four calendar quarters preceding the current calendar quarter, net of any distributions and tax effects not already reflected in net income, and (ii) the average of the bank’s net income for the four calendar quarters preceding the current calendar quarter.
As of December 31, 2021, Citi’s regulatory capital ratios exceeded effective regulatory minimum requirements. Accordingly, Citi is not subject to payout limitations as a result of Basel III requirements.

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Stress Capital Buffer
Citigroup is subject to the Federal Reserve Board’s Stress Capital Buffer (SCB) rule, which integrates the annual stress testing requirements with ongoing regulatory capital requirements. The SCB equals the peak-to-trough Common Equity Tier 1 Capital ratio decline under the Supervisory Severely Adverse scenario used in the Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST), plus four quarters of planned common stock dividends, subject to a 5.0%floor of 2.5%. SCB-based minimum Supplementary Leverage ratio requirement. Citicapital requirements will be reviewed and updated annually by the Federal Reserve Board as part of the CCAR process. For additional information regarding CCAR and DFAST, see “Stress Testing Component of Capital Planning” below. The fixed 2.5% Capital Conservation Buffer (for additional information, see below) will continue to apply under the Advanced Approaches.
In August 2021, the Federal Reserve Board finalized and announced Citi’s SCB requirement of 3.0%. Accordingly, effective October 1, 2021, Citigroup is required to be compliant with this highermaintain a 10.5% effective minimum Common Equity Tier 1 Capital ratio requirementunder the Standardized Approach. Previously, from October 1, 2020 through September 30, 2021, Citi had been subject to a 2.5% SCB, and a 10.0% effective minimum Common Equity Tier 1 Capital ratio under the Standardized Approach.

Capital Conservation Buffer and Countercyclical Capital Buffer
Citigroup is subject to a fixed 2.5% Capital Conservation Buffer under the Advanced Approaches. Citibank is subject to the fixed 2.5% Capital Conservation Buffer under both the Advanced Approaches and the Standardized Approach.
In addition, Advanced Approaches banking organizations, such as Citigroup and Citibank, are subject to a discretionary Countercyclical Capital Buffer. The Federal Reserve Board last voted to affirm the Countercyclical Capital Buffer amount at the current level of 0% in December 2020.

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 SCB, Capital Conservation Buffer and, if invoked, any Countercyclical Capital Buffer.
A U.S. bank holding company that is designated a GSIB 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 Basel Committee’s GSIB methodology. Under the second method (“method 2”), the substitutability category under the Basel Committee’s GSIB methodology is replaced with a quantitative measure intended to assess a GSIB’s reliance on short-term wholesale funding. 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. The 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 calculated during 2021 will be based on 2020 systemic indicator data). Generally, Citi’s surcharge determined under method 2 will result in a higher surcharge than its surcharge determined under method 1.
Should a GSIB’s systemic importance increase for more than one year, such that it becomes subject to a higher GSIB surcharge, the higher surcharge would not become effective for a full year after the second consecutive higher score (e.g., a higher surcharge calculated using data as of December 31, 2020 and December 30, 2021 would not become effective until January 1, 2018.2023). However, if after two consecutive years of a higher score, 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 in the calendar year commencing one year later (e.g., a lower surcharge calculated using data as of December 31, 2022 would become effective January 1, 2024).

The following table sets forth Citi’s effective GSIB surcharge as determined under method 1 and method 2 during 2021 and 2020:

20212020
Method 12.0 %2.0 %
Method 23.0 3.0 

Citi’s GSIB surcharge effective during both 2021 and 2020 was 3.0%, as derived under the higher method 2 result. Citi’s GSIB surcharge effective for 2022 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. Accordingly, based on Citi’s method 2 result as of December 31, 2020, and its estimated method 2 result as of December 31, 2021, Citi’s GSIB surcharge is expected to increase to 3.5% effective January 1, 2023. Citi’s GSIB surcharge effective for 2024 will likely be based on the lower of its method 2 scores for year-end 2021 and 2022, and therefore is not expected to exceed 3.5%.
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
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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, 2021.
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.

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 a qualitative evaluation of a firm’s abilities to determine its capital needs on a forward-looking basis. In conducting the qualitative assessment, the Federal Reserve Board evaluates firms’ capital planning practices, focusing on six areas of capital planning—namely, governance, risk management, internal controls, capital policies, incorporating stressful conditions and events, and estimating impact on capital positions. 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 stockshare 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
All CCAR firms, including Citi, are subject to a rigorous evaluation of their capital planning process. Firms with weak practices may objectbe subject to Citi’s annual capital plan based on either quantitative or qualitative grounds. If the Federal Reserve Board objectsa deficient supervisory rating, and potentially an enforcement action, for failing 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.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.

Citigroup and Citibank are required to disclose the results of their company-run stress tests.

Temporary Federal Reserve Board Limitations on Capital Distributions
From the third quarter of 2020 to the second quarter of 2021, the Federal Reserve Board placed temporary limitations on capital distributions for Citi and other large banking organizations, to ensure that large banks maintained a high level of capital resilience throughout the COVID-19 pandemic. Commencing July 1, 2021, Citi’s common
stock dividends and share repurchases were no longer subject to limitations based on the average of Citi’s net income for the
four preceding calendar quarters.
All large banks, including Citi, remain subject to limitations on capital distributions in the event of a breach of
any regulatory capital buffers, including the Stress Capital
Buffer, with the degree of such restrictions based on the extent
to which the buffers are breached. For additional information,
see “Regulatory Capital Buffers” above, and “Risk Factors—Strategic Risks” below.





32

Citigroup’s Capital Resources
The following table sets forth Citi’s effective minimum risk-based capital requirements as of December 31, 2021, September 30, 2021 and December 31, 2020:

Advanced ApproachesStandardized Approach
December 31, 2021September 30, 2021December 31, 2020December 31, 2021September 30, 2021December 31, 2020
Common Equity Tier 1 Capital ratio(1)
10.0 %10.0 %10.0 %10.5 %10.0 %10.0 %
Tier 1 Capital ratio(1)
11.5 11.5 11.5 12.0 11.5 11.5 
Total Capital ratio(1)
13.5 13.5 13.5 14.0 13.5 13.5 

(1)Beginning October 1, 2021, Citi’s effective minimum risk-based capital requirements include the 3.0% SCB and 3.0% GSIB surcharge under the Standardized Approach, and the 2.5% Capital Conservation Buffer and 3.0% GSIB surcharge under the Advanced Approaches (all of which must be composed of Common Equity Tier 1 Capital). For prior periods presented, Citi’s effective minimum risk-based capital requirements included a 2.5% SCB and 3.0% GSIB surcharge under the Standardized Approach, and the 2.5% Capital Conservation Buffer and 3.0% GSIB surcharge under the Advanced Approaches.

The following tables set forth Citi’s capital components and ratios as of December 31, 2021, September 30, 2021 and December 31, 2020:

Advanced Approaches(5)
Standardized Approach(5)
In millions of dollars, except ratiosDecember 31, 2021September 30, 2021December 31, 2020December 31, 2021September 30, 2021December 31, 2020
Common Equity Tier 1 Capital(1)
$149,305 $149,631 $147,274 $149,305 $149,631 $147,274
Tier 1 Capital169,568 168,902 167,053 169,568 168,902 167,053
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
194,006 194,423 196,051 203,838 204,288 205,002
Total Risk-Weighted Assets1,209,374 1,265,297 1,278,977 1,219,175 1,284,316 1,242,381
   Credit Risk(1)
$840,483 $871,668 $859,698 $1,135,906 $1,187,516 $1,121,871
   Market Risk78,634 93,376 116,181 83,269 96,800 120,510
   Operational Risk290,257 300,253 303,098 — — — 
Common Equity Tier 1 Capital ratio(2)
12.35 %11.83 %11.51 %12.25 %11.65 %11.85 %
Tier 1 Capital ratio(2)
14.02 13.35 13.06 13.91 13.15 13.45 
Total Capital ratio(2)
16.04 15.37 15.33 16.72 15.91 16.50 
In millions of dollars, except ratiosEffective Minimum RequirementDecember 31, 2021September 30, 2021December 31, 2020
Quarterly Adjusted Average Total Assets(1)(3)
$2,351,434 $2,311,830 $2,265,615 
Total Leverage Exposure(1)(4)
2,957,764 2,911,050 2,391,033 
Tier 1 Leverage ratio4.0%7.21 %7.31 %7.37 %
Supplementary Leverage ratio5.05.73 5.80 6.99 

(1)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences, and the ACL upon the January 1, 2020 CECL adoption date were deferred and have commenced phase-in to regulatory capital at 25% per year beginning January 1, 2022. For the ongoing impact of CECL, Citigroup was allowed to adjust retained earnings and the ACL in an amount equal to 25% of the change in the ACL (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the ACL between January 1, 2020 and December 31, 2021 commenced phase-in to regulatory capital at 25% per year beginning January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. Additionally, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date were deducted from risk-weighted assets (RWA) and commenced phase-in to RWA at 25% per year beginning January 1, 2022.
(2)Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach as of December 31, 2021 and September 30, 2021, and under the Basel III Advanced Approaches framework as of December 31, 2020, whereas Citi’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches 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. Commencing with the second quarter of 2020 and continuing through the first quarter of 2021, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.
(5)Certain of the above prior-period amounts have been revised to conform with enhancements made in the current period.

33

Common Equity Tier 1 Capital Ratio
As set forth in the table above, Citi’s Common Equity Tier 1 Capital ratio at December 31, 2021 increased from September 30, 2021, primarily due to a decrease in risk-weighted assets and a temporary pause in common share repurchases in the fourth quarter of 2021 in preparation for the implementation of the Standardized Approach for Counterparty Credit Risk (SA-CCR) on January 1, 2022. Citi’s Common Equity Tier 1
Capital ratio increased from year-end 2020, largely driven by net income of $22.0 billion, a net decrease in risk-weighted assets and a temporary pause in common share repurchases in the fourth quarter of 2021 in preparation for the implementation of SA-CCR, partially offset by the return of $11.8 billion of capital to common shareholders in the form of share repurchases and dividends, as well as adverse net movements in AOCI.
Components of Citigroup Capital
In millions of dollarsDecember 31,
2021		December 31,
2020
Common Equity Tier 1 Capital
Citigroup common stockholders’ equity(1)
$183,108 $180,118 
Add: Qualifying noncontrolling interests143 141 
Regulatory capital adjustments and deductions:
Add: CECL transition and 25% provision deferral(2)
3,028 5,348 
Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax101 1,593 
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax(896)(1,109)
Less: Intangible assets:
  Goodwill, net of related DTLs(3)
20,619 21,124 
   Identifiable intangible assets other than MSRs, net of related DTLs3,800 4,166 
Less: Defined benefit pension plan net assets; other2,080 921 
Less: DTAs arising from net operating loss, foreign tax credit and general business credit
carry-forwards(4)
11,270 11,638 
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$149,305 $147,274 
Additional Tier 1 Capital
Qualifying noncumulative perpetual preferred stock(1)
$18,864 $19,324 
Qualifying trust preferred securities(5)
1,399 1,393 
Qualifying noncontrolling interests34 35 
Regulatory capital deductions:
Less: Permitted ownership interests in covered funds(6)
— 917 
Less: Other34 56 
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$20,263 $19,779 
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
(Standardized Approach and Advanced Approaches)
$169,568 $167,053 
Tier 2 Capital
Qualifying subordinated debt$20,064 $23,481 
Qualifying trust preferred securities(7)
248 331 
Qualifying noncontrolling interests42 41 
Eligible allowance for credit losses(2)(8)
14,209 14,127 
Regulatory capital deduction:
Less: Other293 31 
Total Tier 2 Capital (Standardized Approach)$34,270 $37,949 
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$203,838 $205,002 
Adjustment for excess of eligible credit reserves over expected credit losses(2)(8)
$(9,832)$(8,951)
Total Tier 2 Capital (Advanced Approaches)$24,438 $28,998 
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$194,006 $196,051 

Footnotes continue on the following page.

34

(1)Issuance costs of $131 million and $156 million related to noncumulative perpetual preferred stock outstanding at December 31, 2021 and 2020, 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)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax) and the ACL upon the January 1, 2020 CECL adoption date were deferred and commenced phase-in to regulatory capital at 25% per year beginning January 1, 2022. For the ongoing impact of CECL, Citigroup was allowed to adjust retained earnings and the ACL in an amount equal to 25% of the change in the ACL (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the ACL between January 1, 2020 and December 31, 2021 have also commenced phase in to regulatory capital at 25% per year beginning January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date.
(3)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
(4)Of Citi's $24.8 billion of net DTAs at December 31, 2021, $15.3 billion was included in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $9.5 billion was excluded. Excluded from Citi's Common Equity Tier 1 Capital as of December 31, 2021 was $11.3 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards. The amount excluded was reduced by $1.8 billion of net DTLs primarily associated with goodwill and certain other intangible assets that are separately deducted from capital. DTAs arising from tax carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from capital only if these DTAs exceed 10%/15% limitation under the U.S. Basel III rules. Citi’s DTAs do not currently exceed this limitation and, therefore, are not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.
(5)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(6)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. Commencing January 1, 2021, Citi no longer deducts permitted market-making positions in third-party covered funds from Tier 1 Capital, in accordance with the revised Volcker Rule 2.0 issued by the U.S. agencies in November 2019. Upon the removal of the capital deduction, permitted market-making positions in third-party covered funds are included in risk-weighted assets.
(7)Represents the amount of non-grandfathered trust preferred securities that were previously eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules. Commencing January 1, 2022, non-grandfathered trust preferred securities have been fully phased out of Tier 2 Capital.
(8)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 $4.4 billion and $5.2 billion at December 30, 2021 and December 31, 2020, respectively.













35

Citigroup Capital Rollforward
In millions of dollarsThree months ended December 31, 2021Twelve months ended
December 31, 2021
Common Equity Tier 1 Capital, beginning of period$149,631 $147,274 
Net income3,173 21,952 
Common and preferred dividends declared(1,249)(5,236)
Net change in treasury stock6 (7,111)
Net increase in common stock and additional paid-in capital87 132 
Net change in foreign currency translation adjustment net of hedges, net of tax(462)(2,525)
Net change in unrealized gains (losses) on debt securities AFS, net of tax(1,396)(3,934)
Net decrease in defined benefit plans liability adjustment, net of tax76 1,012 
Net change in adjustment related to change in fair value of financial liabilities
attributable to own creditworthiness, net of tax
(3)19 
Net decrease in excluded component of fair value hedges12 — 
Net decrease in goodwill, net of related DTLs70 505 
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs99 366 
Net increase in defined benefit pension plan net assets(133)(936)
Net change in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards(373)368 
Net decrease in CECL 25% provision deferral(361)(2,320)
Other128 (261)
Net change in Common Equity Tier 1 Capital$(326)$2,031 
Common Equity Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$149,305 $149,305 
Additional Tier 1 Capital, beginning of period$19,271 $19,779 
Net change in qualifying perpetual preferred stock994 (460)
Net increase in qualifying trust preferred securities1 6 
Net decrease in permitted ownership interests in covered funds— 917 
Other(3)21 
Net increase in Additional Tier 1 Capital$992 $484 
Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$169,568 $169,568 
Tier 2 Capital, beginning of period (Standardized Approach)$35,386 $37,949 
Net decrease in qualifying subordinated debt(392)(3,417)
Net change in eligible allowance for credit losses(651)82 
Other(73)(344)
Net decrease in Tier 2 Capital (Standardized Approach)$(1,116)$(3,679)
Tier 2 Capital, end of period (Standardized Approach)$34,270 $34,270 
Total Capital, end of period (Standardized Approach)$203,838 $203,838 
Tier 2 Capital, beginning of period (Advanced Approaches)$25,521 $28,998 
Net decrease in qualifying subordinated debt(392)(3,417)
Net decrease in excess of eligible credit reserves over expected credit losses(618)(799)
Other(73)(344)
Net decrease in Tier 2 Capital (Advanced Approaches)$(1,083)$(4,560)
Tier 2 Capital, end of period (Advanced Approaches)$24,438 $24,438 
Total Capital, end of period (Advanced Approaches)$194,006 $194,006 



36

Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
In millions of dollarsThree months ended December 31, 2021Twelve months ended
December 31, 2021
Total Risk-Weighted Assets, beginning of period$1,284,316 $1,242,381 
Changes in Credit Risk-Weighted Assets
General credit risk exposures(1,475)(1,775)
Repo-style transactions(1)
(15,160)(9,737)
Securitization exposures(2)
(1,306)3,593 
Equity exposures(340)494 
Over-the-counter (OTC) derivatives(3)
(22,954)3,224 
Other exposures(4)
(7,167)15,112 
Off-balance sheet exposures(3,208)3,124 
Net change in Credit Risk-Weighted Assets$(51,610)$14,035 
Changes in Market Risk-Weighted Assets
Risk levels$(4,108)$(21,499)
Model and methodology updates(9,423)(15,742)
Net decrease in Market Risk-Weighted Assets(5)
$(13,531)$(37,241)
Total Risk-Weighted Assets, end of period$1,219,175 $1,219,175 

(1)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 months and 12 months ended December 31, 2021, primarily due to exposure-driven decreases.
(2)Securitization exposures increased during the 12 months ended December 31, 2021, primarily due to increases in new deals.
(3)OTC derivatives decreased during the three months ended December 31, 2021, primarily due to decreases in mark-to-market and notional movement. OTC derivatives increased during the 12 months ended December 31, 2021, primarily due to increases in mark-to-market for bilateral derivatives.
(4)Other exposures include cleared transactions, unsettled transactions, and other assets. Other exposures decreased during the three months ended December 31, 2021 primarily due to decreases in cleared transactions. Other exposures increased during the 12 months ended December 31, 2021 primarily due to increases in various other assets.
(5)Market risk-weighted assets decreased during the three months and 12 months ended December 31, 2021, primarily due to exposure changes.





37

Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
In millions of dollarsThree months ended December 31, 2021Twelve months ended
December 31, 2021
Total Risk-Weighted Assets, beginning of period$1,265,297 $1,278,977 
Changes in Credit Risk-Weighted Assets
Retail exposures(1)
(8,043)(13,426)
Wholesale exposures(2)
(8,408)(10,630)
Repo-style transactions2,516 (3,861)
Securitization exposures(3)
528 5,816 
Equity exposures(253)206 
Over-the-counter (OTC) derivatives(4)
(8,465)(510)
Derivatives CVA(5)
(5,988)(2,715)
Other exposures(6)
(1,646)7,003 
Supervisory 6% multiplier(1,426)(1,098)
Net decrease in Credit Risk-Weighted Assets$(31,185)$(19,215)
Changes in Market Risk-Weighted Assets
Risk levels$(5,320)$(21,805)
Model and methodology updates(9,422)(15,742)
Net decrease in Market Risk-Weighted Assets(7)
$(14,742)$(37,547)
Net decrease in Operational Risk-Weighted Assets(8)
$(9,996)$(12,841)
Total Risk-Weighted Assets, end of period$1,209,374 $1,209,374 

(1)Retail exposures decreased during the three months ended December 31, 2021, primarily driven by model recalibrations. Retail exposures decreased during the 12 months ended December 31, 2021, primarily driven by seasonal holiday spending repayments, less spending on qualifying revolving (card) exposures and model recalibrations.
(2)Wholesale exposures decreased during the three months and 12 months ended December 31, 2021, primarily due to reductions in commercial loans and wholesale loan commitments.
(3)Securitization exposures increased during the 12 months ended December 31, 2021, primarily due to increases in new deals.
(4)OTC derivatives decreased during the three months ended December 31,2021, primarily due to decreases in mark-to-market and notional movement.
(5)Derivatives CVA decreased during the three months ended December 31, 2021, primarily due to decreases in exposure and volatility, as well as lower credit spreads and sensitivity.
(6)Other exposures increased during the 12 months ended December 31, 2021, primarily due to increases in various other assets.
(7)Market risk-weighted assets decreased during the three months and 12 months ended December 31, 2021, primarily due to exposure changes.
(8)Operational risk-weighted assets decreased during the three months and 12 months ended December 31, 2021, primarily due to changes in operational loss severity and frequency.
38

Supplementary Leverage Ratio
The following table sets forth Citi’s Supplementary Leverage ratio and related components as of December 31, 2021, September 30, 2021 and December 31, 2020:

In millions of dollars, except ratiosDecember 31, 2021September 30, 2021December 31, 2020
Tier 1 Capital$169,568 $168,902 $167,053 
Total Leverage Exposure
On-balance sheet assets(1)(2)(3)
$2,389,237 $2,349,414 $1,864,374 
Certain off-balance sheet exposures:(4)
Potential future exposure on derivative contracts222,241 222,157 186,959 
Effective notional of sold credit derivatives, net(5)
23,788 21,987 32,640 
Counterparty credit risk for repo-style transactions(6)
25,775 21,174 20,965 
Unconditionally cancelable commitments70,196 70,541 71,163 
Other off-balance sheet exposures264,330 263,361 253,754 
Total of certain off-balance sheet exposures$606,330 $599,220 $565,481 
Less: Tier 1 Capital deductions37,803 37,584 38,822 
Total Leverage Exposure(3)
$2,957,764 $2,911,050 $2,391,033 
Supplementary Leverage ratio5.73 %5.80 %6.99 %

(1)Represents the daily average of on-balance sheet assets for the quarter.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in DTAs arising from temporary differences and the ACL upon the January 1, 2020 CECL adoption date were deferred and commenced phase-in to regulatory capital at 25% per year beginning January 1, 2022. For the ongoing impact of CECL, Citigroup was allowed to adjust the ACL in an amount equal to 25% of the change in the ACL (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to the ACL between January 1, 2020 and December 31, 2021 have also commenced phase in to regulatory capital at 25% per year beginning January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in Total Leverage Exposure.
(3)Commencing with the second quarter of 2020 and continuing through the first quarter of 2021, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.
(4)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(5)Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(6)Repo-style transactions include repurchase or reverse repurchase transactions as well as securities borrowing or securities lending transactions.

As set forth in the table above, Citigroup’s Supplementary Leverage ratio was 5.7% at December 31, 2021, compared to 5.8% at September 30, 2021 and 7.0% at December 31, 2020. The quarter-over-quarter decrease was primarily driven by an increase in Total Leverage Exposure, primarily driven by an increase in average on-balance sheet assets, as well as adverse net movements in AOCI,partially offset by net income in the quarter. The year-over-year decrease was primarily driven by an increase in Total Leverage Exposure, largely due to an approximate 100 basis point impact from the expiration of the Federal Reserve Board’s temporary Supplementary Leverage ratio relief. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.



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 bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
39

The following tables set forth the capital components and ratios for Citibank, Citi’s primary subsidiary U.S. depository institution, as of December 31, 2021, September 30, 2021 and December 31, 2020:





Advanced Approaches(8)
Standardized Approach(8)
In millions of dollars, except ratios
Effective Minimum Requirement(1)
December 31, 2021September 30, 2021December 31, 2020December 31, 2021September 30, 2021December 31, 2020
Common Equity Tier 1 Capital(2)
$148,548 $147,459 $142,854 $148,548 $147,459 $142,854 
Tier 1 Capital150,679 149,588 144,962 150,679 149,588 144,962 
Total Capital (Tier 1 Capital + Tier 2 Capital)(2)(3)
166,921 166,196 161,447 175,427 174,745 169,449 
Total Risk-Weighted Assets1,017,774 1,067,406 1,047,088 1,066,015 1,107,021 1,054,056 
Credit Risk(2)
$737,802 $761,259 $737,953 $1,016,293 $1,048,581 $989,222 
Market Risk48,089 55,566 63,984 49,722 58,440 64,834 
Operational Risk231,883 250,581 245,151 — — — 
Common Equity Tier 1 Capital ratio(4)(5)
7.0 %14.60 %13.81 %13.64 %13.93 %13.32 %13.55 %
Tier 1 Capital ratio(4)(5)
8.5 14.80 14.01 13.84 14.13 13.51 13.75 
Total Capital ratio(4)(5)
10.5 16.40 15.57 15.42 16.46 15.79 16.08 
In millions of dollars, except ratiosEffective Minimum RequirementDecember 31, 2021September 30, 2021December 31, 2020
Quarterly Adjusted Average Total Assets(2)(6)
$1,716,596 $1,682,993 $1,667,105 
Total Leverage Exposure(2)(7)
2,236,839 2,205,471 2,172,052 
Tier 1 Leverage ratio(5)
5.0%8.78 %8.89 %8.70 %
Supplementary Leverage ratio(5)
6.06.74 6.78 6.67 

(1)For all periods presented, Citibank’s effective minimum risk-based capital requirements are inclusive of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)Citibank has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences, and the ACL upon the January 1, 2020 CECL adoption date were deferred and have commenced phase-in to regulatory capital at 25% per year beginning on January 1, 2022. For the ongoing impact of CECL, Citibank was allowed to adjust retained earnings and the ACL in an amount equal to 25% of the change in the ACL (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the ACL between January 1, 2020 and December 31, 2021 have also commenced phase-in to regulatory capital at 25% per year beginning January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. Additionally, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date were deducted from risk-weighted assets (RWA) and commenced phase-in to RWA at 25% per year beginning January 1, 2022.
(3)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 ACL is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess ACL being deducted in arriving at credit risk-weighted assets.
(4)Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented.
(5)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.”
(6)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(7)Supplementary Leverage ratio denominator.
(8)Certain of the above prior-period amounts have been revised to conform with enhancements made in the current period.


As indicated in the table above, Citibank’s capital ratios at December 31, 2021 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, 2021.


40

Impact of Changes on Citigroup and Citibank Capital Ratios Under Current Regulatory Capital Standards
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, 2017.2021. 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 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 Approaches0.81.00.81.20.81.3
Standardized Approach0.81.00.81.10.81.4
Citibank
Advanced Approaches1.01.41.01.51.01.6
Standardized Approach0.91.30.91.30.91.5
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
Citigroup0.40.30.30.2
Citibank0.60.50.40.3
 
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, 2017,2021, 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$13 billion, which exceeded the minimum requirement by $9.0$8 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$28 billion at December 31, 2017,2021, which exceeded the PRA'sPRA’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,operate, 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, 2017.











2021.

Basel III (Full Implementation)41


Total Loss-Absorbing Capacity (TLAC)
Citigroup’s Capital Resources Under Basel IIIU.S. GSIBs, including Citi, are required to maintain minimum
(Full Implementation)levels of TLAC and eligible long-term debt (LTD), each set by
reference to the GSIB’s consolidated risk-weighted assets
(RWA) and total leverage exposure.

Minimum External TLAC Requirement
The minimum external 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 leverage-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 currently estimates thatfor 2021). Accordingly, Citi’s
total current minimum TLAC requirement was 22.5% of RWA for 2021.

Minimum LTD Requirement
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 for 2021), for a total current requirement of 9% of RWA for Citi, and (ii) 4.5% of the GSIB’s total leverage exposure.


The table below details Citi’s eligible external TLAC and
LTD amounts and ratios, and each effective minimum Common Equity Tier 1 Capital, Tier 1 CapitalTLAC and Total CapitalLTD ratio requirements under the U.S. Basel III rules, on a fully implemented basis, inclusive of the 2.5% Capital Conservation Buffer and the Countercyclical Capital Buffer at its current level of 0%,requirement, as well as an expected 3.0%the surplus amount in dollars in excess of each requirement.

December 31, 2021
In billions of dollars, except ratiosExternal TLACLTD
Total eligible amount$318 $143 
% of Standardized Approach risk-
weighted assets		26.1 %11.7 %
Effective minimum requirement(1)(2)
22.5 9.0 
Surplus amount$44 $33 
% of Total Leverage Exposure10.8 %4.8 %
Effective minimum requirement9.5 4.5 
Surplus amount$37 $10 

(1)    External TLAC includes Method 1 GSIB surcharge may be 10.0%, 11.5%of 2.0%.
(2)    LTD includes Method 2 GSIB surcharge of 3.0%.

As of December 31, 2021, Citi exceeded each of the
minimum TLAC and 13.5%, respectively.LTD requirements, resulting in a $10
Further, under the U.S. Basel III rules, Citi must also comply with billion surplus above its binding TLAC requirement of LTD as
a 4.0% minimum Tier 1percentage of Total Leverage ratio requirementExposure.
For additional information on Citi’s TLAC-related requirements, see “Risk Factors—Compliance Risks” and an effective 5.0% minimum Supplementary Leverage ratio requirement.“Liquidity Risk—Total Loss-Absorbing Capacity (TLAC)” below.

Capital Resources (Full Adoption of CECL)(1)
The following tables set forth Citigroup’s and Citibank’s capital components and ratios had 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, assuming full implementation under the U.S. Basel III rules, for Citiimpact of CECL been adopted as of December 31, 2017 and2021:

CitigroupCitibank
Effective Minimum Requirement, Advanced Approaches
Effective Minimum Requirement, Standardized Approach(2)
Advanced ApproachesStandardized Approach
Effective Minimum Requirement(3)
Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital ratio10.0 %10.5 %12.10 %12.01 %7.0 %14.32 %13.68 %
Tier 1 Capital ratio11.5 12.0 13.78 13.68 8.5 14.53 13.88 
Total Capital ratio13.5 14.0 15.86 16.49 10.5 16.15 16.21 
Effective Minimum RequirementCitigroupEffective Minimum RequirementCitibank
Tier 1 Leverage ratio4.0 %7.09 %5.0 %8.62 %
Supplementary Leverage ratio5.0 5.646.0 6.61

(1)See footnote 2 on the “Components of Citigroup Capital” table above.
(2)The effective minimum requirements were applicable as of December 31, 2016.2021. See “Stress Capital Buffer” above for additional information.
At December 31, 2017, Citi’s constraining Common Equity Tier 1 Capital and Tier 1 Capital ratios(3)Citibank’s effective minimum requirements were those derivedthe same under the Basel III Standardized Approach whereas Citi’s binding Total Capital ratio was that resulting from applicationand the Advanced Approaches Framework.


42

Adoption of the Basel IIIStandardized Approach for Counterparty Credit Risk
In January 2020, the U.S. banking agencies issued a final rule to introduce the Standardized Approach for Counterparty Credit Risk (SA-CCR). SA-CCR replaced the Current Exposure Method (CEM), which was the previous methodology used to calculate exposure for all derivative contracts under the Standardized Approach, as well as RWA for derivative contracts under the Advanced Approaches framework. Further,in cases where internal models are not used. In addition, SA-CCR replaced CEM in numerous other instances throughout the regulatory framework, including but not limited to the Supplementary Leverage Ratio, certain components of the GSIB score, single counterparty credit limits and legal lending limits.
Under SA-CCR, a banking organization calculates the exposure amount of its derivative contracts at the netting set level. Multiple derivative contracts are generally considered to be under the same netting set as long as each derivative contract is subject to the same qualifying master netting agreement. SA-CCR also introduced the concept of Citi’s risk-based capital ratios was constrainedhedging sets, which allows a banking organization to fully or partially net derivative contracts within the same netting set that share similar risk factors. Moreover, SA-CCR incorporated updated supervisory and maturity factors to calculate the potential future exposure of a derivative contract, and provides for improved recognition of collateral. Under the final rule, the exposure amount of a netting set is equal to an alpha factor of 1.4 multiplied by the Basel III Advanced Approaches framework for all periods priorsum of the replacement cost and potential future exposure of the netting set.
Citi adopted SA-CCR as of the mandatory compliance date of January 1, 2022. Adoption of SA-CCR increased Citigroup’s Standardized RWA by approximately $51 billion, which resulted in a 49 bps decrease to June 30, 2017.


Citigroup Capital Components and Ratios Under Basel III (Full Implementation)
 December 31, 2017 December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$142,822
$142,822
 $149,516
$149,516
Tier 1 Capital162,377
162,377
 169,390
169,390
Total Capital (Tier 1 Capital + Tier 2 Capital)187,877
199,989
 193,160
205,975
Total Risk-Weighted Assets1,152,644
1,155,099
 1,189,680
1,147,956
   Credit Risk$767,102
$1,089,372
 $796,399
$1,083,428
   Market Risk65,003
65,727
 64,006
64,528
   Operational Risk320,539
—
 329,275
���
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

In millions of dollars, except ratiosDecember 31, 2017 December 31, 2016
Quarterly Adjusted Average Total Assets(3)
 $1,868,326
  $1,761,923
Total Leverage Exposure(4) 
 2,432,491
  2,345,391
Tier 1 Leverage ratio(2)
 8.69%  9.61%
Supplementary Leverage ratio(2)
 6.68
  7.22

(1)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.
(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.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.

Common Equity Tier 1 Capital Ratio
Citi’sCitigroup’s Common Equity Tier 1 Capital ratio was 12.4% atunder the Standardized Approaches on January 1, 2022. Citigroup’s reported CET1 Capital ratio under the Standardized Approach as of December 31, 2017, compared2021 was 12.25%, 75 bps above its 11.5% CET1 Capital target, and 175 bps above its 10.5% effective regulatory minimum CET1 Capital requirement under the Standardized Approach.
Adoption of SA-CCR also increased Citigroup’s Advanced RWA by approximately $29 billion, which resulted in a 29 bps decrease to 13.0% at September 30, 2017 and 12.6% at December 31, 2016. The ratio declined quarter-over-quarter and year-over-year, primarily due to a reduction inCitigroup’s Common Equity Tier 1 Capital resulting fromratio under the returnAdvanced Approaches on January 1, 2022. Citigroup’s reported CET1 Capital ratio under the Advanced Approaches as of capital to common shareholders as well asDecember 31, 2021 was 12.35%, 85 bps above its 11.5% CET1 Capital target, and 235 bps above its 10.0% effective regulatory minimum CET1 Capital requirement under the impact of Tax Reform.

Components of Citigroup Capital Under Basel III (Full Implementation)
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 interests153
129
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)
Less: Intangible assets:  
  Goodwill, net of related DTLs(4)
22,052
20,858
    Identifiable intangible assets other than MSRs, net of related DTLs4,401
4,876
Less: Defined benefit pension plan net assets896
857
Less: DTAs arising from net operating loss, foreign tax credit and general business credit
   carry-forwards(5)
13,072
21,337
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
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$19,069
$19,069
Qualifying trust preferred securities(7)
1,377
1,371
Qualifying noncontrolling interests61
28
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
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$19,555
$19,874
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
   (Standardized Approach and Advanced Approaches)
$162,377
$169,390
Tier 2 Capital  
Qualifying subordinated debt$23,673
$22,818
Qualifying trust preferred securities(10)
329
317
Qualifying noncontrolling interests50
36
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
Total Tier 2 Capital (Standardized Approach)$37,612
$36,585
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$199,989
$205,975
Adjustment for excess of eligible credit reserves over expected credit losses(11)
$(12,112)$(12,815)
Total Tier 2 Capital (Advanced Approaches)$25,500
$23,770
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$187,877
$193,160

(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. 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 billion of net DTAs at December 31, 2017, $10.2 billion were includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $12.3 billion were excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of December 31, 2017 was $13.1 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, 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 entirely deducted from Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted from Common Equity Tier 1 Capital if in excess of 10%/15% limitations.
(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)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.
(9)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)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)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 Basel III (Full Implementation)
In millions of dollarsThree Months Ended December 31, 2017Twelve Months Ended 
 December 31, 2017
Common Equity Tier 1 Capital, beginning of period$153,534
$149,516
Net loss(18,893)(6,798)
Common and preferred stock dividends declared(1,160)(3,808)
 Net increase in treasury stock(5,480)(14,666)
Net change in common stock and additional paid-in capital112
(35)
Net increase in foreign currency translation adjustment net of hedges, net of tax(2,381)(202)
Net increase in unrealized losses on securities AFS, net of tax(990)(359)
Net increase in defined benefit plans liability adjustment, net of tax(843)(1,019)
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
3
91
Net increase in goodwill, net of related DTLs(520)(1,194)
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs9
475
Net increase in defined benefit pension plan net assets(176)(39)
 Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards6,996
8,265
Net decrease in excess over 10%/15% limitations for other DTAs, certain common stock
    investments and MSRs
9,298
9,357
Other3,313
3,238
Net decrease in Common Equity Tier 1 Capital$(10,712)$(6,694)
Common Equity Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$142,822
$142,822
Additional Tier 1 Capital, beginning of period$19,315
$19,874
Net increase in qualifying trust preferred securities3
6
Net change in permitted ownership interests in covered funds228
(367)
Other9
42
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
Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$162,377
$162,377
Tier 2 Capital, beginning of period (Standardized Approach)$37,490
$36,585
Net increase in qualifying subordinated debt95
855
Net increase in eligible allowance for credit losses14
137
Other13
35
Net increase in Tier 2 Capital (Standardized Approach)$122
$1,027
Tier 2 Capital, end of period (Standardized Approach)$37,612
$37,612
Total Capital, end of period (Standardized Approach)$199,989
$199,989
   
Tier 2 Capital, beginning of period (Advanced Approaches)$25,346
$23,770
Net increase in qualifying subordinated debt95
855
Net increase in excess of eligible credit reserves over expected credit losses46
840
Other13
35
Net increase in Tier 2 Capital (Advanced Approaches)$154
$1,730
Tier 2 Capital, end of period (Advanced Approaches)$25,500
$25,500
Total Capital, end of period (Advanced Approaches$187,877
$187,877




Advanced Approaches.
Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach with Full Implementation)
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

(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases.
(2)Other exposures include cleared transactions, unsettled transactions, and other assets.

Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches with Full Implementation)
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

(1)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories, and non-material portfolios.
(2)Supervisory 6% multiplier does not apply to derivatives CVA.


Total risk-weighted assets under 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.
Total risk-weighted assets under the Basel III Advanced Approaches decreased from year-end 2016, driven by substantially lower credit and operational risk-weighted assets. The decrease in credit risk-weighted assets was primarily due to a reduction in Citi’s deferred tax assets as a result of Tax Reform, changes in fair value and improved portfolio credit quality of OTC derivatives, residential mortgage loan sales and repayments, and divestitures of certain legacy assets. Operational risk-weighted assets decreased from year-end 2016 primarily due to assessed improvements in the business environment and risk controls, as well as changes in operational loss severity and frequency.

Supplementary Leverage Ratio
Citigroup’s Supplementary Leverage ratio was 6.7% forvoluntarily suspended share repurchases during the fourth quarter of 2017, compared to 7.1% for2021, in anticipation of 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 Capitaladverse impact resulting from the return of $6.3 billion of capital toSA-CCR adoption. Citi resumed common shareholders as well as the impact of Tax Reform. The declineshare repurchases 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 toJanuary 2022.


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 ended December 31, 2017 and December 31, 2016.


Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)
In millions of dollars, except ratiosDecember 31, 2017December 31, 2016
Tier 1 Capital$162,377
$169,390
Total Leverage Exposure (TLE)  
On-balance sheet assets(1)
$1,909,699
$1,819,802
Certain off-balance sheet exposures:(2)
  
   Potential future exposure on derivative contracts191,555
211,009
   Effective notional of sold credit derivatives, net(3)
59,207
64,366
   Counterparty credit risk for repo-style transactions(4)
27,005
22,002
   Unconditionally cancelable commitments67,644
66,663
   Other off-balance sheet exposures218,754
219,428
Total of certain off-balance sheet exposures$564,165
$583,468
Less: Tier 1 Capital deductions41,373
57,879
Total Leverage Exposure$2,432,491
$2,345,391
Supplementary Leverage ratio6.68%7.22%

(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 TLE 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 and securities borrowing or securities lending transactions.

Citibank’s Supplementary Leverage ratio, assuming full implementation under the U.S. Basel III rules, was 6.6% for the fourth quarter of 2017, compared to 6.7% for the third quarter of 2017 and 6.6% for the fourth quarter of 2016. The quarter-over-quarter decrease was primarily driven by a reduction in Tier 1 Capital resulting from the impact of Tax Reform, partially offset by capital contributions from Citibank’s parent, Citicorp, as well as a decrease in Total Leverage Exposure primarily due to a decline in potential future exposure on derivative contracts. The ratio remained unchanged from the fourth quarter of 2016, as an increase in Tier 1 Capital was offset by an increase in Total Leverage Exposure.




Regulatory Capital Standards Developments
The
Basel III Revisions
As previously disclosed, the Basel Committee on Banking Supervision (Basel Committee) issued several proposed and final rules during 2017, the most significant of which was designed to address final revisions or enhancements to the Basel III capital framework.

Basel III: Finalizing Post-Crisis Regulatory Capital Reforms
In December 2017, the Basel Committee issued a rule that finalizes several outstandinghas finalized certain Basel III post-crisis regulatory capital reforms. The reforms which generally become effective in 2022, relate to the methodologies in deriving credit, market and operational risk-weighted assets, the imposition of a new aggregate output floor for risk-weighted assets, and revisions to the leverage ratio framework.
The final rule, in part, revises 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 requirements in the calculation of credit risk-weighted assets for exposures to banks and corporates, while also providing alternative approaches for jurisdictions that do not allow 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, 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 practices 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 introducing the Standardized Measurement Approach (SMA). Operational risk capital is derived under the SMA through the combination of two components: a so-called “Business Indicator Component” and a “Loss Component.” The Business Indicator Component, primarily reflective of various income statement elements (i.e., a modified gross income indicator), is calculated as the sum of the three-year average of its components. The Loss Component reflects the operational loss exposure of a banking organization that can be inferred from internal loss experience, and is based on a 10-year average.
To reduce excessive variability with respect to risk-weighted assets, and to therefore enhance the comparability of risk-based capital ratios, the final rule establishes a floor requirement that is to be applied to total risk-weighted assets. More specifically, the risk-weighted assets that banks must use to determine compliance with risk-based capital requirements
must be calculated as the maximum of (i) total risk-weighted assets calculated using the approaches that the bank has supervisory approval to use in accordance with the Basel III capital framework (including both standardized and internally-modeled based approaches), and (ii) 72.5% of the total risk-weighted assets, calculated using only standardized approaches.
Lastly, the final rule revises the design and calibration of the Basel III leverage ratio (similar 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.
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 Framework
In March 2017, the Basel Committee issued a final rule
that adopts further revisions arising from the second phase of its 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.
The final rule consolidates all existing Basel Committee disclosure requirements into the Pillar 3 framework, with these constituting the disclosure requirements regarding the composition of capital, leverage ratio, Liquidity Coverage Ratio, Net Stable Funding Ratio, indicators for measuring the global systemic importance of banks, Countercyclical Capital Buffer, 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 market risk, under the U.S. Basel III rules. 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 revisionsresponse 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 modificationsBasel III post-crisis regulatory reforms. For information about risks related 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 to 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.

Revisions to the Securitization Framework
In July 2017, the Basel Committee issued two consultative documents: one which establishes criteria for identifying “simple, transparent, and comparable” (STC) short-term securitizations, and another which provides 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.requirements, see “Risk Factors—Strategic Risks.” below.


The U.S. banking agencies may revise the regulatory capital treatment of STC short-term securitizations 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.


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Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share Book Value Per Share and ReturnsReturn on Equity
Tangible common equity (TCE), as defined by Citi, represents common stockholders’ equity less goodwill and otheridentifiable intangible assets (other than MSRs)mortgage servicing rights (MSRs)). RoTCE represents net income available to common shareholders as a percentage of average TCE. Tangible book value (TBV) per share represents TCE divided by common shares outstanding. These measures are non-GAAP financial measures. Other companies may calculate TCEthese measures in a different manner. TCE, tangible book value per share and returns on average TCE are non-GAAP financial measures. Citi believes these capital metricsTCE, TBV and RoTCE provide alternativealternate measures of capital strength and performance for investors, industry analysts and are commonly used by investors and industry analysts.others.

At December 31,
In millions of dollars or shares, except per share amounts20212020201920182017
Total Citigroup stockholders’ equity$201,972 $199,442 $193,242 $196,220 $200,740 
Less: Preferred stock18,995 19,480 17,980 18,460 19,253 
Common stockholders’ equity$182,977 $179,962 $175,262 $177,760 $181,487 
Less:
Goodwill21,299 22,162 22,126 22,046 22,256 
Identifiable intangible assets (other than MSRs)4,091 4,411 4,327 4,636 4,588 
Goodwill and identifiable intangible assets
(other than MSRs) related to assets held-for-sale (HFS)
510 — — — 32 
Tangible common equity (TCE)$157,077 $153,389 $148,809 $151,078 $154,611 
Common shares outstanding (CSO)1,984.4 2,082.1 2,114.1 2,368.5 2,569.9 
Book value per share (common stockholders’ equity/CSO)$92.21 $86.43 $82.90 $75.05 $70.62 
Tangible book value per share (TCE/CSO)79.16 73.67 70.39 63.79 60.16 
For the year ended December 31,
In millions of dollars2021202020192018
2017(1)
Net income available to common shareholders$20,912 $9,952 $18,292 $16,871 $14,583 
Average common stockholders’ equity182,421 175,508 177,363 179,497 207,747 
Average TCE156,253 149,892 150,994 153,343 180,458 
Return on average common stockholders’ equity11.5 %5.7 %10.3 %9.4 %7.0 %
Return on average TCE (RoTCE)13.4 6.6 12.1 11.0 8.1 

(1)Year ended December 31, 2017 excludes the one-time impact of Tax Reform. For a reconciliation of these amounts, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below.





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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 impact of Tax Reform. For a reconciliation of these measures, see “Impact of Tax Reform” above.
(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)ROTCE 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 significantmaterial 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 that Citi may face. For additional information about risks and uncertainties that could impact Citi, see “Executive Summary” and each respective business’ results of operations above and “Managing Global Risk” below. The following risk factors are categorized to improve the readability and usefulness of the risk factor disclosure, and, while the headings and risk factors generally align with Citi’s risk categorization, in certain instances the risk factors may not directly correspond with how Citi categorizes or manages its risks.


MARKET-RELATED RISKS
Macroeconomic, Geopolitical and Other Challenges and Uncertainties Globally Could Have a Negative Impact on Citi’s Businesses and Results of Operations.
In addition to the significant macroeconomic challenges posed by the pandemic (see the pandemic-related risk factor below), Citi has experienced, and could experience in the future, negative impacts to its businesses and results of operations as a result of other macroeconomic, geopolitical and other challenges, uncertainties and volatility.
For example, the recent action of Russian military forces and support personnel in Ukraine has escalated tensions between Russia and the U.S., NATO, the EU and the U.K. The U.S. has imposed, and is likely to impose material additional, financial and economic sanctions and export controls against certain Russian organizations and/or individuals, with similar actions either implemented or planned by the EU and the U.K. and other jurisdictions. During the week of February 21, 2022, the U.S., the U.K., and the EU each imposed packages of financial and economic sanctions that, in various ways, constrain transactions with numerous Russian entities and individuals; transactions in Russian sovereign debt; and investment, trade, and financing to, from, or in certain regions of Ukraine. Citi’s ability to engage in activity with certain consumer and institutional businesses in Russia and Ukraine or involving certain Russian or Ukrainian businesses and customers is dependent in part upon whether such engagement is restricted under any current or expected U.S., EU and other countries or U.K. sanctions and laws. Sanctions and export controls, as well as any actions by Russia, could adversely affect Citi’s business activities and customers in and from Russia and Ukraine. Moreover, actions by Russia, and any further measures taken by the U.S. or its allies, could have negative impacts on regional and global financial markets and economic conditions. For additional information about these and other related risks, see the operational processes and systems, cybersecurity and emerging markets risk factors below. For additional information about Citi’s exposures in
Russia, see “Managing Global Risk—Other Risks—Country Risk—Russia” below.
Additionally, 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 global capital flows. Further, it remains uncertain to what extent central banks may keep interest rates low or whether central banks might raise interest rates or reduce the size of their balance sheets, particularly as inflationary pressures continue and the U.S. and global economies continue to improve. While earlier in the pandemic the Federal Reserve Board (FRB) and other central banks took actions to support the global economy, including by further reducing their benchmark interest rates, mismatches between supply and demand of goods and services contributed to a rise in inflation in 2021, prompting the FRB to announce the approaching end of the period of extraordinarily low interest rates.
Interest rates on loans Citi makes are typically based off or set at a spread over a benchmark interest rate, and would likely decline or rise as benchmark rates decline or rise, respectively. While the interest rates at which Citi pays depositors are already low and unlikely to decline much further, declining or continued low interest rates for loans could further compress Citi’s net interest income. Citi’s net interest income 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 based on longer-term interest rates.
In contrast, an abrupt and sustained increase in interest rates could interfere with the global macroeconomic recovery, whether due to continued or increased inflationary pressures or otherwise. And while Citi estimates its overall net interest income 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. For additional information on Citi’s interest rate risk, see “Managing Global Risk—Market Risk—Net Interest Income at Risk” below.
Additional areas of uncertainty include, among others, an elevated level of inflation resulting in adverse spill-over effects; the ability of Congress to raise the federal debt ceiling; slowing of the Chinese economy, including negative economic impacts associated with such slowdown or any policy actions; significant disruptions and volatility in financial markets; other geopolitical tensions and conflicts; protracted or widespread trade tensions; financial market, other economic and political disruption driven by anti-establishment movements; natural disasters; other pandemics; and election outcomes. For example, Citi’s market-making businesses can suffer losses resulting from the widening of credit spreads due to unanticipated changes in financial markets. 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.
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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 across ICG and GCB and AOCI (which would in turn negatively impact Citi’s book and tangible book value).

STRATEGIC RISKS

Rapidly Evolving Challenges and Uncertainties Related to the COVID-19 Pandemic in the U.S. and Globally Will Likely Continue to Have Negative Impacts on Citi’s Businesses and Results of Operations and Financial Condition.
The COVID-19 pandemic has affected all of the countries and jurisdictions in which Citi operates, including severely impacting global health, financial markets, consumer and business spending and economic conditions. The extent of the future pandemic impacts remain uncertain and will likely evolve by region, country or state, largely depending on the duration and severity of the public health consequences, including the duration and further spread of the coronavirus as well as any variants becoming more prevalent and impactful; further production, distribution, acceptance and effectiveness of vaccines; availability and efficiency of testing; the public response; and government actions. The future impacts to global economic conditions may include, among others:

•further disruption of global supply chains;
•higher inflation;
•higher interest rates;
•significant disruption and volatility in financial markets;
•additional closures, reduced activity and failures of many businesses, leading to loss of revenues and net losses;
•further institution of social distancing and restrictions on businesses and the movement of the public in and among the U.S. and other countries; and
•reduced U.S. and global economic output.

The pandemic has had, and may continue to have, negative impacts on Citi’s businesses and overall results of operations and financial condition, which could be material. The extent of the impact on Citi’s operations and financial performance, including its ability to execute its business strategies and initiatives, will continue to depend significantly on future developments in the U.S. and globally. Such developments are uncertain and cannot be predicted, including the course of the coronavirus, as well as any weakness or slowing in the economic recovery or a further economic downturn, whether due to further supply chain disruptions, inflation trends, higher interest rates or otherwise.
The pandemic may not be sufficiently contained for an extended period of time. A prolonged health crisis could reduce economic activity in the U.S. and other countries, resulting in additional declines or weakness in employment trends and business and consumer confidence. These factors could negatively impact global economic activity and markets; cause a continued decline in the demand for Citi’s products and services and in its revenues; further increase Citi’s credit and other costs; and may result in impairment of long-lived
assets or goodwill. These factors could also cause an increase in Citi’s balance sheet, risk-weighted assets and ACL, resulting in a decline in regulatory capital ratios or liquidity measures, as well as regulatory demands for higher capital levels and/or limitations or reductions in capital distributions (such as common share repurchases and dividends). Moreover, any disruption or failure of Citi’s performance of, or its ability to perform, key business functions, as a result of the continued spread of COVID-19 or otherwise, could adversely affect Citi’s operations.
The impact of the pandemic on Citi’s consumer and corporate borrowers will vary by sector or industry, with some borrowers experiencing greater stress levels, particularly as credit and customer assistance support further winds down, which could lead to increased pressure on their results of operations and financial condition, increased borrowings or credit ratings downgrades, thus likely leading to higher credit costs for Citi. These borrowers include, among others, businesses that are more directly impacted by the institution of social distancing, the movement of the public and store closures. In addition, stress levels ultimately experienced by Citi’s borrowers may be different from and more intense than assumptions made in prior estimates or models used by Citi, resulting in an increase in Citi’s ACL or net credit losses, particularly as the benefits of fiscal stimulus and government support programs diminish.
Ongoing legislative and regulatory changes in the U.S. and globally to address the economic impact from the pandemic could further affect Citi’s businesses, operations and financial performance. Citi could also face challenges, including legal and reputational, and scrutiny in its efforts to provide relief measures. Such efforts have resulted in, and may continue to result in, litigation, including class actions, and regulatory and government actions and proceedings. Such actions may result in judgments, settlements, penalties and fines adverse to Citi. In addition, the different types of government actions could vary in scale and duration across jurisdictions and regions with varying degrees of effectiveness.
Citi has taken measures to maintain the health and safety of its colleagues; however, these measures could result in additional expenses, and illness of employees could negatively affect staffing for a period of time. In addition, Citi’s ability to recruit, hire and onboard colleagues in key areas could be negatively impacted by pandemic restrictions as well as Citi’s COVID-19 vaccination requirement (see the qualified colleagues risk factor below).
Further, it is unclear how the macroeconomic or business environment or societal norms may be impacted after the pandemic. The post-pandemic environment may undergo unexpected developments or changes in financial markets, fiscal, monetary, tax and regulatory environments and consumer customer and corporate client behavior. These developments and changes could have an adverse impact on Citi’s results of operations and financial condition. Ongoing business and regulatory uncertainties and changes may make Citi’s longer-term business, balance sheet and strategic and budget planning more difficult or costly. Citi and its management and businesses may also experience increased or different competitive and other challenges in this environment.
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To the extent that it is not able to adapt or compete effectively, Citi could experience loss of business and its results of operations and financial condition could suffer (see the competitive challenges risk factor below).

Citi’s Ability to Return Capital to Common Shareholders Consistent with Its Capital OptimizationPlanning Efforts and Targets Substantially Depends on Regulatory Capital Requirements, Including the Results of 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,capital requirements, including throughthe Stress Capital Buffer (SCB), which is based upon the results of the CCAR process required by the Federal Reserve Board andFRB as well as the supervisory stress tests required under the Dodd-Frank Act.Dodd- Frank Act (as described in more detail below).
Citi’s ability to return capital also depends on its results of operations and financial condition, the capital impact related to divestitures, forecasts of macroeconomic conditions, its implementation and maintenance of an effective capital planning process and management framework, and effectiveness in planning, managing and calculating its level of risk-weighted assets under both the Advanced Approaches and the Standardized Approach, Supplementary Leverage Ratio (SLR) and global systemically important bank holding company (GSIB) surcharge, which has been made more challenging due to elevated levels of liquidity in the financial system related to the pandemic (see the macroeconomic challenges and uncertainties risk factor above).
Changes in regulatory capital rules, requirements or interpretations could have a material impact on Citi’s regulatory capital, both as a result of changes in Citi’s reported regulatory capital and integration into the CCAR process and regulatory stress tests. For example, Citi was required to adopt the Standardized Approach for Counterparty Credit Risk (SA-CCR) as of January 1, 2022, which resulted in an approximate $51 billion increase in Citi’s risk-weighted assets under the Standardized Approach. Citi voluntarily suspended common share repurchases during the fourth quarter of 2021, in anticipation of the adverse impact resulting from the adoption of SA-CCR. Citi will be required to adopt SA-CCR for purposes of the supervisory stress test during the 2023 cycle and SA-CCR may be considered by management during the 2022 cycle for purposes of management’s own capital adequacy assessment. In addition, the U.S. banking agencies may potentially consider a number of changes to the U.S. regulatory capital framework in the future, including, but not limited to, revisions to the U.S. Basel III rules, recalibration of the GSIB surcharge and SLR, and enactment of the discretionary Countercyclical Capital Buffer. All of these potential changes could negatively impact Citi’s regulatory capital position or increase Citi’s regulatory capital requirements.
All CCAR firms, including Citi, will continue to be subject to a rigorous regulatory evaluation of capital planning practices, including, but not limited to, governance, risk management and internal controls. Citi’s ability to return
capital may be adversely impacted if such an evaluation of Citi resulted in negative findings. In addition, Citi’s ability to accurately predict, interpret or explain to stakeholders the results of the CCAR process, and thus to address any market or investor perceptions, may be limited as the FRB’s assessment of Citi’s capital adequacy is conducted using the FRB’s proprietary stress test models. For additional information on limitations on Citi’s ability to return of capital to common shareholders, in 2017 as well as the CCAR process, and supervisory stress test requirements and GSIB surcharge, see “Capital Resources—Overview” and “Capital Resources—Stress Testing Component of Capital Planning” above.above and the risk management risk factor below.
Citi’s ability to accurately predict, interpret or explain to stakeholders the outcome of the CCAR process, and thus address any such market or investor perceptions, is difficult as the Federal Reserve Board’s assessment of Citi’s capital adequacy is conducted using the Board’s proprietary stress test models, as well as a number of qualitative factors, including a detailed assessment of Citi’s “capital adequacy process,” as defined by the Board. 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, pre-provision net revenue (PPNR) and stress losses, and the addition of components deemed important by the Federal Reserve Board (e.g.,FRB.
Beginning January 1, 2022, Citi was required to phase into regulatory capital at 25% per year the changes in retained earnings, deferred tax assets and ACL determined upon the January 1, 2020 CECL adoption date, as well as subsequent changes in the ACL between January 1, 2020 and December 31, 2021. The FRB has stated that it plans to maintain its current framework for calculating allowances on loans in the supervisory stress test through the 2023 supervisory stress test cycle, while continuing to evaluate appropriate future enhancements to this framework. The impacts on Citi’s capital adequacy of the FRB’s incorporation of CECL in its supervisory stress tests 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 fundinginformation regarding the CECL methodology, including the transition provisions related to the adverse regulatory capital effects resulting from adoption of the CECL methodology, see “Capital Resources—Current Regulatory Capital Standards—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” above and liquidity shocks).Note 1 to the Consolidated Financial Statements.
Moreover, in 2016, senior officials atIn addition, the Federal Reserve Board indicated that the Board was considering integration ofFRB has integrated the annual stress testing requirements with ongoing regulatory capital requirements. While there has been no formal proposal fromFor Citigroup, the Federal Reserve Board to date, changes to the stress testing regime being discussed, among others, include introduction of a firm-specific “stress capital buffer” (SCB), which would be equal toSCB equals the maximum decline in a firm’sCiti’s Common Equity Tier 1 Capital ratio under athe supervisory severely adverse
scenario over a nine-quarter CCAR measurement period, plus four quarters of planned common stock dividends, subject to a minimum requirement of 2.5%. Effective October 1, 2021, Citi’s SCB was 3.0%. The SCB is calculated by the FRB using its proprietary data and modeling of each firm’s results. Accordingly, a firm’sCiti’s SCB wouldmay change annually, or possibly more frequently, based on itsthe supervisory stress test results, thus potentially resulting in volatility in the prior year. Officials discussedcalculation of the idea thatSCB. Similar to the SCB would replace the capital conservation buffer in both the firm’s ongoingother regulatory capital requirements and as part of the floor for capital distributions in the CCAR process. Federal Reserve Board senior officials also noted that introductionbuffers, a breach of the SCB would haveresult in graduated limitations on capital distributions. For additional
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information on the effect of incorporating a firm’s then-effective GSIB surcharge intoSCB, including its post-stress test minimum capital requirements, which the Board has previously indicated it is considering.calculation, see “Capital Resources—Regulatory Capital Buffers” 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 regulatory capital, stress testing and CCAR regimes, these changes would likelycould increase the level of capital Citi is required or elects to hold, including as part of Citi’s management buffer, thus potentially impacting the extent to which Citi is able to return capital to shareholders.


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, tax and regulatoryother changes arising from the U.S. Presidentialfederal government and other governments, including as a result of the differing priorities of the current U.S. presidential administration, changes in regulatory leadership or focus and Congress;actions of Congress or in response to the pandemic; (ii) potential changes to various aspects of the regulatory capital framework and requirements applicable to Citi (see the CCARcapital return risk factor and “Capital Resources—Regulatory Capital Standards Developments” above); and (iii) future legislative and regulatory requirements in the terms ofU.S. and other uncertainties resulting from the U.K.’s potential exit from the European Union (EU)globally related to climate change, including any new disclosure requirements (see the macroeconomic challenges and uncertaintiesclimate change risk factor below). When referring to “regulatory,” Citi is including both formal regulation and the views and expectations of its regulators in their supervisory roles.
Ongoing regulatory 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 discussed 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, itthe 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.
Moreover, ongoing regulatory and legislative uncertainties and changes make Citi’s and its management’s long-term business, balance sheet and strategic budget
planning difficult, subject to change and potentially more costly. U.S. and 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. For example, while the Basel III post-crisis regulatory reforms and revised market risk framework have been finalized at the international level, there remain significant uncertainties with respect to the integration of these revisions into the U.S. regulatory capital framework. 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.
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). and can adversely affect Citi’s businesses, results of operations and financial condition.


Citi’s Continued Investment and Other Initiatives as Part of Its Transformation and Strategic Refresh May Not Be as Successful as It Projects or Expects.
As part of its transformation initiatives, Citi continues to make significant investments to improve its infrastructure, risk management and controls and further enhance safety and soundness (for additional information, see the legal and regulatory proceedings risk factor below). Citi also continues to execute on its strategic refresh that includes, among other things, its exit of certain consumer banking businesses (see below) and its investments to deepen client relationships and enhance client offerings and capabilities in order to simplify the Company and enhance its allocation of resources.
For example, Citi continues to invest in its technology and digital capabilities across the franchise, including digital platforms and mobile and cloud-based solutions. In addition, Citi has been making other investments across the Company, such as in Citi’s wealth management business, commercial banking business, treasury and trade solutions, securities services and other businesses, including implementing new capabilities and partnerships. Citi has also been pursuing productivity improvements through various technology and digital initiatives, organizational simplification and location strategies. Failure to properly invest in and upgrade Citi’s technology and processes could result in an inability to be sufficiently competitive, serve clients effectively and avoid operational errors (for additional information, see the operational processes and systems risk factor below). There is no guarantee that these or other initiatives Citi may pursue will be as productive or effective as Citi expects, or at all.
Furthermore, Citi’s strategic refresh necessitates further changes in and exits of certain businesses, which involve significant execution complexity, and could result in additional losses, charges or other negative financial impacts. For example, Citi may not be able to achieve its objectives related to its exits of 13 consumer markets in Asia and EMEA or exit of the consumer, small business and middle-market banking operations in Mexico. These exits may not be as productive, effective or timely as Citi expects and may result
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in additional foreign currency translation adjustments (CTA) or other losses, charges or other negative financial or strategic impacts, which could be material. For additional information on CTA losses, see the incorrect assumptions or estimates risk factor below.
Citi’s investment and other initiatives may continue to evolve as its business strategies, the market environment and regulatory expectations 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, including, among others, interest rates; inflation; impacts related to the pandemic; customer, client and competitor actions; and ongoing regulatory changes.

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,2021, Citi’s net DTAs were $22.5$24.8 billion, net of a valuation allowance of $9.4$4.2 billion, of which $12.3$9.5 billion was excludeddeducted from Citi’s Common Equity Tier 1 Capital on a fully implemented basis, under the U.S. Basel III rules, primarily relating to net operating losses, foreign tax credit and general business credit carry-forwards (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, $7.62021, $2.8 billion related to foreign tax credit (FTC) 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, 20172021 expire over the period of 2018–2027.2022–2029. 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. Forecasts of future taxable earnings will depend upon various factors, including, among others, the continued impact of the pandemic and other macroeconomic conditions. In addition, any future increase in U.S. corporate tax rates could result in an increase in Citi’s DTA, which may subject more of Citi’s existing DTA to exclusion from regulatory capital while improving Citi’s ability to utilize its FTC carry-forwards.
Citi’s overall ability to realize its DTAs including the FTC components, will primarily be dependent upon Citi’sits 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.income and financial returns.
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-forwardshas not been 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.
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 Litigation or Examinations and the Payment of Additional Taxes, Penalties or Interest.
Citi is subject to the various 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. In addition, Citi is subject to litigation or examinations with U.S. and non-U.S. tax authorities regarding non-income-based tax matters. Citi’s interpretations andor 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 ofrequirement to pay additional taxes, penalties or interest, which could be material. For additional information on the litigation and examinations involving non-U.S. tax authorities, see Note 27 to the Consolidated Financial Statements.


A Deterioration in or Failure to Maintain Citi’s Ongoing Investments and Efficiency Initiatives May Not Be as Successful as It ProjectsCo-Branding 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 RelationshipsIncluding as a Result of Early Termination, Bankruptcy or Liquidation, Could Have a Negative Impact on Citi’s Results of Operations or Financial Condition.Condition.
Citi has co-branding and private label relationships through its Citi-brandedbranded cards and Citi retail services credit card businesses with various retailers and merchants globally, whereby in the ordinary course of business whereby Citi issues credit cards to customers of the retailers or merchants. The five largest relationships across both businesses in North America GCB constituted an aggregate of approximately 9% of Citi’s revenues in 2021 (for additional information, see “Global Consumer Banking—North America GCB” above). 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 U.S. retailers in the U.S. have continued to experience declining sales due to the pandemic or otherwise, 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.reorganize. 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.
Citi’s co-branding and private label relationships could be negatively impacted by, among other things, the general economic environment; changes in consumer sentiment, spending patterns and credit card usage behaviors; a decline in sales and revenues, partner store closures, government
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imposed restrictions, reduced air and business travel, or other operational difficulties of the retailer or merchant; early termination due to a contractual breach or exercise of other early termination right; or other factors, including bankruptcies, liquidations, restructurings, consolidations or other similar events, whether due to the ongoing impact of the pandemic or otherwise (see the pandemic-related risk factor above).
While various mitigating factors could be available to Citi if any of thesethe above events were to occur—such as by replacing the retailer or merchant or offering other card products—suchthese events, particularly early termination and bankruptcies or liquidations, could negatively impact Citi’sthe results of operations or financial condition of branded cards, 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).

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, emerging markets revenues accounted for approximately 36% of Citi’s total revenues (Citi generally defines emerging markets as countries in Latin America, Asia (other than Japan, Australia and New Zealand), Central and Eastern Europe, the Middle East and Africa).
Citi’s presence in the emerging markets subjects it to a number of risks, including sovereign volatility, political events, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyper-inflation), 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 the country. In prior years, Citi has also discovered fraud in certain emerging markets in which it operates. Political turmoil and other instability have occurred in certain regions and countries, including Asia, the Middle East and Latin America, which have required management time and attention in prior years (e.g., monitoring the impact of sanctions on the Venezuelan and other countries’ economies as well as Citi’s businesses and results of operations).
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-

border transactions on behalf of its clients, subject it to higher compliance risks under U.S. regulations 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-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, any of which could negatively impact Citi’s results of operations and reputation.


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. The eight U.S. GSIBs, including Citi, submitted itsfiled their most recent resolution plan in July 2017. On December 19, 2017,plans with the Federal ReserveFRB 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 dueon July 1, 2019.2021. 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 regulatorsCiti to resolve Citibe resolved 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 such 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 HireEffectively Compete for, Retain and RetainMotivate Highly Qualified Employees for Any Reason.Colleagues.
Recent employment conditions have made the competition to hire and retain qualified employees significantly more challenging. Citi’s performance and the performance of its individual businesses largely dependsdepend on the talents and efforts of its diverse and highly skilled employees.qualified colleagues. Specifically, Citi’s continued ability to compete in each of its businesses,lines of business, to manage its businesses effectively and to continue to execute its overall global strategy depends on its ability to attract new employeescolleagues and to retain and motivate its existing employees.colleagues. If Citi is unable to continue to attract, retain and retainmotivate the most highly qualified employees for any reason,colleagues, 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, retain and retain employeesmotivate colleagues depends on numerous factors, some of which are outside of its control. For example, the competition for talent recently has been particularly intense because of economic conditions associated with the pandemic. Also, 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.compensation, which can make it unusually challenging for Citi often competesto compete in the market for talent with entitieslabor markets against businesses that are not subject to such significant regulatory restrictions on the structure of incentive compensation.regulation. Citi often competes for talent with such businesses, including, among others, technology companies. Further, Citi’s vaccination requirement for its U.S.-based employees could make it more difficult to compete for or retain colleagues. Other factors that could impact Citi’sits ability to attract, retain and retain employeesmotivate colleagues include, its culture, compensation, and the management and leadership of the company as well as its individual businesses,among other things, Citi’s presence in thea particular market or region, at issue and the professional opportunities it offers.offers and its reputation. For information on Citi’s colleagues and workforce management, see “Human Capital Resources and Management” below.


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 evolving and competitive business 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, reach, quality and type of products and services offered, price, technology and reputation. Certain competitors may be subject to different and, in some cases, less stringent legal and regulatory requirements, placing Citi at a competitive disadvantage.
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.Citi, and have sought bank charters to provide these services. These firms attempt to use technology and mobile platforms to enhance the ability of companies and individuals to borrow, money, save and invest. invest money.
Moreover, emerging technologies have the potential to intensify competition and accelerate disruption in the financial services industry. For example, there is increasing interest
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from clients and investors in digital assets such as cryptocurrencies. Financial services firms and other market participants have begun to offer services related to those assets such as custody and trading. However, Citi may not be able to provide the same or similar services for legal or regulatory reasons and such services increase compliance risk. In addition, changes in the payments space (e.g., instant and 24x7 payments) are accelerating, and, as a result, certain of Citi’s products and services could become less competitive.
In addition, as discussed above, it is unclear how the macroeconomic business environment or societal norms may be impacted as a result of the pandemic. Citi may experience increased or different competitive and other challenges in a post-pandemic environment. Increased competition and emerging technologies have required and could require Citi to change or adapt its products and services to attract and retain customers or clients or to compete more effectively with competitors, including new market entrants. Simultaneously, as Citi develops new products and services leveraging emerging technologies, new risks may emerge that, if not designed and governed adequately, may result in control gaps and in Citi operating outside of its risk appetite. For example, instant and 24x7 payments products could be accompanied by challenges to forecasting and managing liquidity, as well as increased operational and compliance risks.
To the extent itthat Citi is not able to compete effectively compete with thesefinancial technology companies 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 and qualified colleagues risk factorfactors above and “Supervision, Regulation and Other—Competition” below.


OPERATIONAL RISKS
A Failure or Disruption of Citi’s Operational Processes or Systems Could Negatively Impact Citi’s Reputation, Customers, Clients, Businesses or Results of Operations and Financial Condition.
Citi’s global operations rely heavily on its technology, including the accurate, timely and secure processing, management, storage and transmission of confidential transactions, data and other information as well as the monitoring of a substantial amount of data and complex transactions in real time. For example, Citi obtains and stores an extensive amount of personal and client-specific information for its consumer and institutional customers and clients, and must accurately record and reflect their extensive account transactions. Citi’s operations must also comply with complex and evolving laws and regulations in the countries in which it operates.
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 ever-increasing risk of operational loss, failure or disruption, including as a result of cyber or information security incidents. These risks have been exacerbated during the pandemic, when a substantial portion
of Citi’s colleagues have worked remotely and customers and clients have increased their use of online banking and other platforms (for additional information, see the pandemic-related risk factor above and the cybersecurity risk factor below).
Although Citi has continued to upgrade its technology, including systems to automate processes and enhance efficiencies, operational incidents are unpredictable and can arise from numerous sources, not all of which are fully within Citi’s control. These include, among others, human error, such as manual transaction processing errors; fraud or malice on the part of employees or third parties; accidental system or technological failure; electrical or telecommunication outages; failures of or cyber incidents involving computer servers or infrastructure; or other similar losses or damage to Citi’s property or assets (see also the climate change risk factor below). For example, Citi has experienced and could experience further losses associated with manual transaction processing errors (for additional information, see “Revlon-Related Wire Transfer Litigation” in Note 27 to the Consolidated Financial Statements).
Irrespective of the sophistication of the technology utilized by Citi, there will always be some room for human error. In view of the large transactions in which Citi engages, such errors could result in significant loss.
Operational incidents 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 follow procedures or processes, safeguard their systems or prevent system disruptions or cyber attacks.
Incidents that impact information security and/or technology operations may cause disruptions and/or malfunctions within Citi’s businesses (e.g., 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. In addition, operational incidents could involve the failure or ineffectiveness of internal processes or controls.
Given Citi’s global footprint and the high volume of transactions processed by Citi, certain failures, errors or actions may be repeated or compounded before they are discovered and rectified, which would further increase the consequences and costs. Operational incidents could result in financial losses as well as misappropriation, corruption or loss of confidential and other information or assets, which could significantly negatively impact Citi’s reputation, customers, clients, businesses or results of operations and financial condition. Cyber-related and other operational incidents can also result in legal and regulatory proceedings, fines and other costs (see the legal and regulatory proceedings risk factor below).
For information on Citi’s management of operational risk, see “Managing Global Risk—Operational Risk” below.



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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 derivatives reforms over the last few years, Citi has increased exposure to cyber attacks through third parties. While many of Citi’s agreements with 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 attempted and sometimes successful cyber attacks from external sources over the last several years, including (i) denial of service attacks, which attempt to interrupt service to clients and customers, (ii) hacking and malicious software installations, intended to gain unauthorized access to information systems or to disrupt those systems, (iii) data breaches due to unauthorized access to customer account data and (iv) malicious software attacks on client systems, in an attempt to gain unauthorized access to Citi systems or client data under the guise of normal client transactions. 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 become apparent for a substantial period of time following discovery of the incident. 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 processes and 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 and may not take into account reputational harm, the cost of which could be immeasurable.
For additional information about Citi’s management of cybersecurity risk, see “Managing Global Risk—Operational Risk—Cybersecurity Risk” below.

Changes to or the Application of 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, among other items, the estimate of the ACL; reserves related to litigation, regulatory and tax matters exposures; valuation of DTAs; the fair values of certain assets and liabilities; and the assessment of goodwill or other assets for impairment. If Citi’s assumptions, judgments or estimates underlying its financial statements are incorrect or differ from actual or subsequent events, Citi could experience unexpected
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losses or other adverse impacts, some of which could be significant.
For example, the CECL methodology requires that Citi provide reserves for a current estimate of lifetime expected credit losses for its loan portfolios and other financial assets, as applicable, at the time those assets are originated or acquired. This estimate is adjusted each period for changes in expected lifetime credit losses. Citi’s ACL estimate depends upon its CECL models and assumptions, forecasted macroeconomic conditions, including, among other things, U.S. unemployment rate and U.S. Real GDP, and the credit indicators, composition and other characteristics of Citi’s loan and other applicable financial assets. These model assumptions and forecasted macroeconomic conditions will change over time, whether due to the pandemic or otherwise, resulting in greater variability in Citi’s ACL compared to its provision for loan losses under the previous GAAP methodology, and, thus, impact its results of operations and financial condition, as well as regulatory capital due to the CECL phase-in beginning January 1, 2022.
Moreover, Citi has incurred losses related to its foreign operations that are reported in the CTA components of Accumulated other comprehensive income (loss) (AOCI). In accordance with U.S. GAAP, a sale, substantial liquidation or any other deconsolidation event of any foreign operations, such as those related to Citi’s legacy or exit 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 example, Citi incurred a pretax loss of approximately $680 million ($580 million after-tax) in the third quarter of 2021 related to the sale of Citi’s Australia consumer banking business in Asia GCB, primarily reflecting the impact of a CTA loss. 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. For additional information on the key areas for which assumptions and estimates are used in preparing Citi’s financial statements, including those related to Citi’s ACL, 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 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. 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. For additional information on Citi’s accounting
policies and changes in accounting, including the expected impacts on Citi’s results of operations and financial condition, see Note 1 to the Consolidated Financial Statements.

If Citi’s Risk Management Processes, Strategies or Models Are Deficient or Ineffective, Citi May Incur Significant Losses and Its Regulatory Capital and Capital Ratios Could Be Negatively Impacted.
Citi utilizes a broad and diversified set of risk management and mitigation processes and strategies, including use of models in enacting processes and strategies as well as 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 the Company. 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 unintentionally from untimely, inaccurate or incomplete processes.
In addition, in October 2020, Citigroup and Citibank entered into consent orders with the FRB and OCC that require Citigroup and Citibank to make improvements in various aspects of enterprise-wide risk management, compliance, data quality management and governance and internal controls (see “Citi’s Consent Order Compliance” above and the legal and regulatory proceedings risk factor below).
Citi’s risk management 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.


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CREDIT RISKS

Credit Risk and Concentrations of Risk Can Increase the Potential for Citi to Incur Significant Losses.
Credit risk primarily arises from Citi’s lending and other businesses in both ICG and GCB. Citi has credit exposures to consumer, corporate and public sector borrowers and other counterparties in the U.S. and various countries and jurisdictions globally, including end-of-period consumer loans of $271 billion and end-of-period corporate loans of $397 billion at year-end 2021.
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, particularly for certain sectors, industries or countries (for additional information, see the pandemic-related, co-branding and private label credit card and macroeconomic challenges and uncertainties risk factors above and the emerging markets risk factor below). For example, a weakening of economic conditions, including higher unemployment levels, can adversely affect borrowers’ ability to repay their obligations. In addition, weakening economic conditions may result in Citi being unable to liquidate its collateral, as well as disputes with counterparties regarding the valuation of collateral Citi holds and Citi being unable to realize the fair value of such collateral.
While Citi provides reserves for expected losses for its credit exposures, as applicable, such reserves are subject to judgments and estimates that could be incorrect or differ from actual future events. Under the CECL accounting standard, the ACL reflects expected losses, rather than incurred losses, which has resulted in and could lead to additional 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 portfolio balances based on historical evidence showing that (i) credit card balances typically decrease during the first and second quarters, as borrowers use tax refunds to pay down balances; and (ii) balances increase during the third and fourth quarters each year as payments are no longer impacted by tax refunds and the holiday season approaches. However, these seasonal trends could be affected in 2022 due to the impacts of the pandemic, government stimulus and expiration of consumer and small business relief programs. For additional information, see the incorrect assumptions or estimates and changes to financial accounting and reporting standards risk factors above. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below and Notes 1 and 15 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—Other Risks—Country Risk” below and Notes 14 and 15 to the Consolidated Financial Statements.
Concentrations of risk particularlyto clients or counterparties engaged in the same or related industries or doing business in a particular geography, especially credit and market risk,risks, can also increase Citi’s risk of significant losses. As of year-end 2017,
2021, 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 in which Citi has large exposures or indemnifications 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 large, 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 monetize available liquidity resources, whether due to the pandemic or otherwise. Citi competes with other banks and financial institutions for both institutional and consumer deposits, which represent Citi’s most stable and lowest cost source of long-term funding. The competition for deposits has continued to increase in recent years, including, among others, as a result of online banks and digital banking. Furthermore, although Citi has had robust deposit growth since the onset of the pandemic, it remains unclear how “sticky�� (likely to remain at Citi) those deposits may be, particularly in a less monetarily accommodative environment.
In addition,Moreover, Citi’s costs to obtain and access secured funding and long-term unsecured funding are directly related to its credit spreads.spreads and changes in interest and currency exchange rates. Changes in credit spreads constantly occur and are market driven includingby both external market factors and factors specific to Citi, such as negative views by investors of the financial services industry or Citi’s financial prospects, 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 and its cost of funding could increase 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
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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.
AsIn addition, 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 liquidity, regulatory or contractual restrictions on their ability to provide such payments, including any local regulatory stress test requirements. Citi’s broker-dealer and bank subsidiaries are subject to restrictions on their ability to lend or transact with affiliates, as well as restrictions on their ability to use funds deposited with them in brokerage or bank accounts to fund their businesses. Limitations on the payments that Citi receives from its subsidiaries could also impact its liquidity. A bank holding company is required by law to act as a source of financial and managerial strength for its subsidiary banks. As a result, the FRB may require Citi to commit resources to its subsidiary banks even if doing so is not otherwise in the interests of Citi or its shareholders or creditors, reducing the amount of funds available to meet its obligations. In addition, in the event of a subsidiary’s liquidation or reorganization, Citi’s right to participate in a distribution of such subsidiary’s assets is subject to the prior claims of the subsidiary’s creditors.

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 Global Ratings, 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 as and
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 DisruptionOngoing Interpretation and Implementation of Citi’s Operational Systems Could Negatively Impact Citi’s Reputation, Customers, Clients, Businesses or Results of OperationsRegulatory 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,Legislative Requirements and Changes to Financial Accounting and Reporting Standards or Interpretations Could Have a Material Impact on How Citi RecordsHeightened Regulatory Scrutiny 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 RequirementsExpectations in the U.S. and Globally Have Increased Citi’s Compliance, Regulatory and Other Risks and Costs.
As referenced above, overCiti is continually required to interpret and implement extensive and frequently changing regulatory and legislative requirements in the U.S. and other jurisdictions in which it does business, 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 governance, infrastructure, data and risk management practices and controls. These requirements and expectations also include, among other things, those related to customer and client protection, market practices, anti-money laundering and sanctions. A failure to comply with these requirements and expectations or resolve any identified deficiencies could result in increased regulatory oversight and restrictions, enforcement proceedings, penalties and fines (for additional information, see the legal and regulatory proceedings risk factor below).
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 infor 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) the Federal Reserve Board’s “total loss absorbing capacity” (TLAC) requirements, including 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 ofvarious laws relating to the limitation of cross-border data movement and/or collection and use of customer information,
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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.laws; (ii) the FRB’s “total loss absorbing capacity” (TLAC) requirements; and (iii) the U.S. banking agencies’ regulatory capital rules and requirements, which have continued to evolve (for additional information, see the capital return risk factor and “Capital Resources” above). In addition, the U.S. banking agencies have prioritized issues of social, economic and racial justice, and are in the process of considering ways in which these issues can be mitigated, including through rulemaking, supervision and other means.
Increased and ongoing compliance and regulatory requirements, uncertainties, scrutiny and expectations have resulted in higher compliance costs for Citi, in part due to an increase in risk, regulatory and compliance staff over the last several years. Extensive and changing compliance requirements can also result in increased reputational and legal risks for Citi, as failure to comply with regulations and requirements, or failure to comply as expected,with regulatory expectations, can result in enforcement and/or regulatory proceedings, (for additional discussion, see the legalpenalties and regulatory proceedings risk factor below). In addition, increased 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, out of a total employee population of 209,000, compared to approximately 14,000 as of year-end 2008 with a total employee population of 323,000.
fines.
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, including potentially away from ongoing business investment initiatives, as discussed above.


Citi Is Subject to Extensive Legal and Regulatory Proceedings, Examinations, Investigations, Consent Orders and Related Compliance Efforts and Other Inquiries That Could Result in Significant Monetary Penalties, Supervisory or Enforcement Orders, Business Restrictions, Limitations on Dividends, Changes to Directors and/or Officers and Other Negative Impacts on Citi, Its Businesses and Results of Operations.Collateral Consequences Arising from Such Outcomes.
At any given time, Citi is defendinga party to a significant number of legal and regulatory proceedings and is subject to numerous governmental and regulatory examinations, investigations, consent orders and related compliance efforts, and other inquiries. OverCiti can also be subject to enforcement proceedings not only because of violations of laws and regulations, but also due to failures, as determined by its regulators, to have adequate policies and procedures, or to remedy deficiencies on a timely basis.
The October 2020 FRB and OCC consent orders require Citigroup and Citibank to implement targeted action plans and quarterly progress reports detailing the last several years,results and status of improvements relating principally to various aspects of enterprise-wide risk management, compliance, data quality management and governance and internal controls. These improvements will result in continued significant investments by Citi during 2022 and beyond, as an essential part of Citi’s broader transformation efforts to enhance its infrastructure, governance, processes and risk and controls.
Although there are no restrictions on Citi’s ability to serve its clients, the frequencyOCC consent order requires Citibank to obtain prior approval of any significant new acquisition, including any portfolio or business acquisition, excluding ordinary course transactions. Moreover, the OCC consent order provides that the OCC has the right to assess future civil money penalties or take other supervisory and/or enforcement actions, including where the OCC determines Citibank has not made sufficient and sustainable progress to address the required improvements. Such actions by the OCC could include imposing business restrictions, including possible
limitations on the declaration or payment of dividends and changes in directors and/or senior executive officers. More generally, the OCC and/or the FRB could take additional enforcement or other actions if the regulatory agency believes that Citi has not met regulatory expectations regarding compliance with which such proceedings, investigations and inquiries are initiated have increased substantially, and the consent orders. For additional information regarding the consent orders, see “Citi’s Consent Order Compliance” above.
The 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.
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, investorsemployees 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 general heightened scrutiny and expectations 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, investorsemployees 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, Furthermore, 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 internationalnon-U.S. 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 fromfor 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
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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.accrued (see the incorrect assumptions or estimates risk factor above). In addition, certain settlements are subject to court approval and may not be approved.

OTHER RISKS
Citi’s Presence in the Emerging Markets Subjects It to Various Risks as well as Increased Compliance and Regulatory Risks and Costs.
During 2021, emerging markets revenues accounted for approximately 35% of Citi’s total revenues (Citi generally defines emerging markets as countries in Latin America, Asia (other than Japan, Australia and New Zealand), and central and Eastern Europe, the Middle East and Africa in EMEA).
Although Citi continues to pursue its target client strategy, Citi’s presence in the emerging markets subjects it to various risks, such as limitations or unavailability of hedges on foreign investments; foreign currency volatility, including devaluations, sovereign volatility, election outcomes, regulatory changes and political events; foreign exchange controls, including inability to access indirect foreign exchange mechanisms; macroeconomic volatility and disruptions, including with respect to commodity prices; limitations on foreign investment; sociopolitical instability (including from 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, whether related to geopolitical conflicts or otherwise; and these risks can be exacerbated in the event of a deterioration in relationships between the U.S. and an emerging market country. For example, Citi operates in several countries that have, or have had in the past, strict capital and currency controls, such as Argentina, that limit its ability to convert local currency into U.S. dollars and/or transfer funds outside of those countries. Among other things, Citi faces a risk of devaluation on its unhedged Argentine peso-denominated assets, which continue to increase (for further information on this and other risks, see “Managing Global Risk—Other Risks—Country Risk—Argentina” below).
Moreover, if the economic situation in an emerging markets country in which Citi operates were to deteriorate below a certain level, U.S. regulators may impose mandatory loan loss or other reserve requirements on Citi, which would
increase its credit costs and decrease its earnings (for further information, see “Managing Global Risk—Other Risks—Country Risk—Argentina” below).
In addition, political turmoil and instability have occurred in various regions and emerging market countries across the globe which have required, and may continue to require, management time and attention and other resources (such as monitoring the impact of sanctions on certain emerging markets economies as well as impacting Citi’s businesses and results of operations in affected countries).

Climate Change Could Have a Negative Impact on Citi’s Results of Operations and Financial Condition.
Citi operates in countries, states and regions in which many of its businesses, and the activities of many of its customers and clients, are exposed to the adverse impacts of climate change, as well as uncertainties related to the transition to a low-carbon economy. Climate change presents both immediate and long-term risks to Citi and its customers and clients, with the risks expected to increase over time.
Climate risks can arise from both physical risks (those risks related to the physical effects of climate change) and transition risks (risks related to regulatory, compliance, technological, stakeholder and legal changes from a transition to a low-carbon economy). The physical and transition risks can manifest themselves differently across Citi’s risk categories in the short, medium and long terms.
The physical risk from climate change could result from increased frequency and/or severity of adverse weather events. For example, adverse weather events could damage or destroy Citi’s or its counterparties’ properties and other assets and disrupt operations, making it more difficult for counterparties to repay their obligations, whether due to reduced profitability, asset devaluations or otherwise. These events could also increase the volatility in financial markets affecting Citi’s trading businesses and increase its counterparty exposures and other financial risks, which may result in lower revenues and higher cost of credit.
Transition risks may arise from changes in regulations or market preferences toward a low-carbon economy, which in turn could have negative impacts on asset values, results of operations or the reputations of Citi and its customers and clients. For example, Citi’s corporate credit exposures include oil and gas, power and other industries that may experience reduced demand for carbon-intensive products due to the transition to a low-carbon economy. Moreover, U.S. and non-U.S. banking regulators and others are increasingly focusing on the issue of climate risk at financial institutions, both directly and with respect to their clients. As an example, on December 16, 2021, the OCC requested feedback on draft principles designed to support the identification and management of climate-related financial risks at institutions with more than $100 billion in total consolidated assets.
Even as regulators begin to mandate additional disclosure of climate-related information by companies across sectors, there may continue to be a lack of information for more robust climate-related risk analyses. Third party exposures to climate-related risks and other data generally are limited in availability and variable in quality. Modeling capabilities to analyze climate-related risks and interconnections are improving but
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remain incomplete. Legislative or regulatory uncertainties and changes regarding climate-related risk management and disclosures are likely to result in higher regulatory, compliance, credit, reputational and other risks and costs (for additional information, see the ongoing regulatory and legislative uncertainties and changes risk factor above). In addition, Citi could face increased regulatory, reputational and legal scrutiny as a result of its climate risk, sustainability and other ESG related commitments.
For information on Citi’s climate and other sustainability initiatives, see “Sustainability and Other ESG Matters” below. For additional information relatingon Citi’s management of climate risk, see “Managing Global Risk—Other Risks—Climate Risk” below.

The Transition Away from and Discontinuance of the London Inter-Bank Offered Rate (LIBOR) and Any Other Interest Rate Benchmark Could Have Adverse Consequences for Market Participants, Including Citi.
For decades, LIBOR and other rates or indices deemed to be benchmarks have been widely used across financial products and markets globally. These benchmarks have been the subject of ongoing national and international regulatory scrutiny and reform, resulting in regulators generally expecting or requiring banks, including Citi, to cease entering into new contracts that reference USD LIBOR as a benchmark by December 31, 2021. The LIBOR administrator ceased publication of non-USD LIBOR and one-week and two-month USD LIBOR on a representative basis on December 31, 2021, with plans to cease publication of all other USD LIBOR tenors on June 30, 2023. As a result, Citi ceased entering into new contracts referencing USD LIBOR as of January 1, 2022, other than for limited purposes as permitted by regulatory guidance.
LIBOR and other benchmarks have been used in a substantial number of Citi’s outstanding securities and products, including, among others, derivatives, corporate loans, commercial and residential mortgages, credit cards, securitized products and other structured securities. Despite ongoing actions to prepare for the transition away from LIBOR (see “Managing Global Risk—Other Risks—LIBOR Transition Risk” below), market participants, including Citi, may not be adequately prepared for uncertainties associated with these benchmarks’ discontinuance or, as necessary, be able to successfully modify their outstanding contracts or products that reference these benchmarks. For example, the transition away from and discontinuance of LIBOR or any other benchmark rate presents various uncertainties and operational, legal, reputational or compliance, financial and other risks and challenges to holders of these contracts and products, as well as financial markets and institutions, including Citi. These include, among others, the pricing, liquidity, observability, value of, return on and market for financial instruments and contracts that reference LIBOR or any other benchmark rate.
While Citi has adopted alternative reference rates for new contracts to replace these outgoing benchmarks, in some instances, it is possible that the characteristics of these new rates may not be sufficiently similar to, or produce the economic equivalent of, the benchmark rates that they are intended to replace. Alternative reference rates, such as the
Secured Overnight Financing Rate (SOFR), are calculated using components different from those used in the calculation of LIBOR and may fluctuate differently than, and not be representative of, LIBOR. In order to compensate for these differences, certain of Citi’s financial instruments and commercial agreements allow for a benchmark replacement adjustment. However, there can be no assurance that any benchmark replacement adjustment will be sufficient to produce the economic equivalent of LIBOR, either at the benchmark replacement date or over the life of such instruments and agreements.
Further, investors, counterparties and other market participants may not consider the new alternative rates to be a suitable substitute or successor for all of the purposes for which these benchmarks have historically been used (including, without limitation, as a representation of the unsecured short-term funding costs of banks), which may, in turn, reduce their market acceptance. Any failure of the alternative rates to gain broad market acceptance could adversely affect market demand for Citi’s products or securities linked to such alternative rates and thus market prices of such instruments. As part of its transition, Citi is relying or has relied on guidance provided by the accounting standard setters related to the transition away from LIBOR. In the event that such guidance is insufficient or otherwise unable to be implemented as intended, LIBOR transition could
disrupt Citi’s hedge accounting relationships and/or lead
to increased costs in connection with determining whether contract amendments result in a modification or an extinguishment from an accounting perspective. Changes in observability of the alternative reference rates could impact the fair value hierarchy classification of financial instruments and contracts.
Moreover, the LIBOR transition presents challenges related to contractual mechanics of existing financial instruments and contracts that reference such benchmarks that mature after discontinuance of the relevant benchmark. Certain of these legacy instruments and contracts do not provide for fallbacks to alternative reference rates, which makes it unclear what the applicable future replacement benchmark rates and associated payments might be after the current benchmark’s cessation. Citi may not be able to amend certain instruments and contracts due to an inability to obtain sufficient levels of consent from counterparties or security holders. Although this will depend on the precise contractual terms of the instrument, such consent requirements are often conditions of securities, such as floating rate notes.
Even if the instruments and contracts provide for a transition to an alternative reference rate, the new rate may, particularly in times of financial stress, significantly differ from the prior rates. As a result, Citi may need to consider proactively addressing any contractual uncertainties or rate differences in such instruments and contracts, which would likely be both time consuming and costly, and may not ultimately be successful. While statutory solutions have been enacted in certain jurisdictions to address these contractual concerns (for example, the State of New York and the EU), the availability and effectiveness of these statutory mechanisms to cover all impacted financial instruments and products to which Citi is a party is uncertain.
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In addition, the transition away from and discontinuance of LIBOR and other benchmark rates have subjected financial institutions, including Citi, to heightened scrutiny from regulators. Failure to successfully transition away from LIBOR and other benchmark rates could result in adverse regulatory proceedingsactions, disputes, including potential litigation involving holders of outstanding products and matters,contracts that reference LIBOR, and other benchmark rates and reputational harm to Citi. Citi may also need to further invest in and develop internal systems and infrastructure to transition to alternative benchmark rates to manage its businesses and support its clients.

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SUSTAINABILITY AND OTHER ESG MATTERS

Introduction
Citi has progressively developed its understanding of environmental, social and governance (ESG) issues for more than 20 years and has a demonstrated record of ESG progress, including participating in the creation and adoption of ESG-related principles and standards. This section summarizes some of Citi’s key ESG initiatives, including its Sustainable Progress Strategy and net zero and Action for Racial Equity commitments.
In January 2022, Citi published its 2021 Task Force on Climate-Related Financial Disclosures (TCFD) Report to provide its stakeholders with information on Citi’s continued progress to address climate risk and to fulfill its commitment to publish an initial net zero plan within one year of announcing the net zero commitment. This represents Citi’s fourth TCFD Report.
For information regarding Citi’s management of climate risk, see “Managing Global Risk—Other Risks—Climate Risk” below.

ESG and Climate-Related Governance

ESG Governance
Citi’s Board of Directors (Board) provides oversight of Citi’s management activities to ensure responsible business practices (for additional information, see “Managing Global Risk—Risk Governance” below). For example, the Nomination, Governance and Public Affairs Committee of the Board oversees many of Citi’s ESG activities, including reviewing Citi’s policies and programs for environmental and social sustainability, climate change, human rights, diversity and other ESG issues, as well as advising on establishing legal accruals, seeengagement with external stakeholders.
The Risk Management Committee of the Board provides oversight of Citi’s Independent Risk Management function and reviews Citi’s risk policies and frameworks, including receiving climate risk-related updates.
In 2021, Citi formed a Global ESG Council consisting of senior members of its management in order to provide enhanced oversight of Citi’s ESG goals and activities. In addition, a number of teams and senior managers contribute to the oversight of different areas such as sustainability; community investing; talent and diversity; ethics and business practices; and remuneration.

Climate Change Governance
Citi’s oversight of climate risk has continued to evolve with its expanding climate commitments. In 2021, Citi established its ESG Council, expanded its Climate Risk team and enhanced its climate risk and net zero-related governance through creation of a Net Zero Task Force. The Task Force, led by Citi’s Chief Sustainability Officer and including leaders from various business units, was established to support the development and launch of Citi’s net zero plan.


Key ESG Initiatives

Sustainable Progress Strategy
Citi’s Sustainable Progress Strategy is summarized in its Environmental and Social Policy Framework. The three pillars of the strategy each have climate-related elements and serve as the foundation for Citi’s climate commitments.

•The first pillar, “Low-Carbon Transition,” focuses on financing and facilitating low-carbon solutions and supporting Citi’s clients in their decarbonization and transition strategies.
•The second pillar, “Climate Risk,” focuses on Citi’s efforts to measure, manage and reduce the climate risk and impact of its client portfolio. Areas of activity include, portfolio analysis and stakeholder engagement as well as enhancing TCFD implementation and disclosure.
•The third pillar, “Sustainable Operations,” focuses on Citi’s efforts to reduce the environmental footprint of its facilities and strengthen its sustainability culture. This includes minimizing the impact of its global operations through operational footprint goals and further integrates sustainable practices across all countries in which Citi operates.

Net Zero Emissions by 2050
In March 2021, Citi announced its commitment to achieving net zero greenhouse gas (GHG) emissions associated with its financing by 2050, and net zero GHG emissions for its operations by 2030; both are significant targets given the size and breadth of Citi’s lending portfolios and businesses. Citi made this commitment as part of its ongoing work to reduce its climate impact and help address the challenges that climate change poses to the global economy and broader society. Citi’s net zero commitment demonstrates how identifying, assessing and managing climate-related risks and opportunities remains a top business priority for Citi.
While many financial institutions, including Citi, face increasing public pressure to divest from carbon-intensive sectors, Citi believes it has an important role to play in advising and financing the transition to net zero, and it plans to work closely with clients in this effort. Citi recognizes that large-scale, rapid divestment could result in an abrupt and disorderly transition to a low-carbon economy, creating both economic and social upheaval on a global scale. Citi believes that an orderly, responsible and equitable transition, which accounts for the immediate economic needs of communities, workers, environmental justice and broader economic development concerns, is essential for the retention of political and social support to move to a low-carbon economy.
Citi’s 2021 TCFD Report discusses its initial 2050 net zero plan, including 2030 emissions targets for its Energy and Power loan portfolios that were developed in line with the Net Zero Banking Alliance Guidelines for Climate Target Setting for Banks. Citi’s net zero plan incorporates a twofold approach: (i) assessment of climate-related factors affecting its clients, and (ii) engagement to understand their transition opportunities.
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Citi’s net zero approach includes the following areas of activity:

•Client Transition Assessment, Advisory and Finance: Seek to understand clients’ GHG emissions and work with them to develop their transition plans and advise on capacity building
•Clean Tech Finance: Support clients and expedite the commercialization and adoption of climate technology globally through transition and environmental finance as well as public-private partnerships
•Public Policy Engagement: Support enabling public policy and regulation in the U.S. and other countries, including through trade associations and other industry groups
•Risk Management: Assess climate risk exposure across Citi’s lending portfolios and review client carbon reduction progress, with ongoing review and refining of Citi’s ESRM Policy as needed
•Portfolio Management: Active portfolio management to align with net zero targets, including considerations of transition measures taken by clients

The 2050 net zero commitment includes the following framework, delineating the key areas required to achieve its commitment:

•Calculate Emissions: Calculate baseline financed emissions for each carbon-intensive sector
•Transition Pathway:Identify the appropriate climate scenario transition pathway
•Target Setting:Establish emissions reduction targets for 2030 and beyond
•Implementation Strategy:Engage with and assess clients to determine transition opportunities
•External Engagement: Solicit feedback from clients, investors and other stakeholders, as the work continues to evolve and the parties collectively define net zero for the banking sector

In 2021, Citi continued to expand its participation in the financial industry’s net zero leadership initiatives. Citi is a member of key industry initiatives that enhance its understanding of climate-related issues, improve its access to data and promote efficient communication and coordination across various climate efforts. These initiatives include the Partnership for Carbon Accounting Financials, the Net Zero Banking Alliance and the Glasgow Financial Alliance for Net Zero.


Action for Racial Equity
Effectively responding to the needs of communities of color in the U.S. represents a strategic imperative for the private sector. A wide range of data and studies have found that many major gaps in economic opportunity, education, income, housing and wealth run along racial lines, particularly between Black and white households. These gaps have not only had implications for Black Americans and other people of color but the broader economy as well.
Accordingly, in September 2020, Citi and the Citi Foundation announced Action for Racial Equity to help provide greater access to banking and credit in communities of color, increase investment in Black-owned businesses, expand affordable housing and homeownership among Black Americans and advance anti-racist practices within Citi and across the financial services industry. As part of Action for Racial Equity, Citi and the Citi Foundation have invested more than $1 billion in strategic initiatives to help close the racial wealth gap and increase economic mobility in the U.S. Action for Racial Equity builds on Citi’s longstanding focus on advancing financial inclusion and economic opportunity for communities of color in the U.S. and accelerates its efforts in a time of increased calls for racial equity and shifting population demographics in a changing economy.

In line with Citi’s continued commitment to expand access to banking products and services that can help advance economic progress—especially for underbanked and unbanked communities—on February 24, 2022, Citi announced plans to eliminate overdraft fees, returned item fees and overdraft protection fees by mid 2022. In addition to eliminating these fees, Citi will continue to offer a robust suite of free overdraft protection services for its consumers. See Note 275 to the Consolidated Financial Statements.Statements for details of Citi’s Commissions and fees revenues.



Additional Information

For additional information on Citi’s environmental and social policies and priorities, see Citi’s website at www.citigroup.com. Click on “About Us” and then “Environmental, Social and Governance.” For information on Citi’s ESG and Sustainability (including climate change) governance, see Citi’s 2021 Annual Meeting Proxy Statement available at www.citigroup.com. Click on “Investors” and then “Annual Reports & Proxy Statements.”
The 2021 TCFD Report and any other ESG-related reports and information included elsewhere on Citi’s investor relations website are not incorporated by reference into, and do not form any part of this 2021 Annual Report on Form
10-K.



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HUMAN CAPITAL RESOURCES AND MANAGEMENT
Attracting and retaining a highly qualified and motivated workforce is a strategic priority for Citi. Citi seeks to enhance the competitive strength of its workforce through the following efforts:

•Continuous innovation in recruiting, training, compensation, promotion and engagement of colleagues.
•Actively seeking and listening to diverse perspectives at all levels of the organization.
•Optimizing transparency concerning workforce goals, to promote accountability, credibility and effectiveness in achieving those goals.















Workforce Size and Distribution
As of December 31, 2021, Citi employed approximately 223,400 colleagues in nearly 100 countries. The Company’s workforce is constantly evolving and developing, benefiting from a strong mix of internal and external hiring into new and existing positions. In 2021, Citi welcomed 46,907 new colleagues in addition to the roles filled by colleagues through internal mobility. The following table shows the geographic distribution of those colleagues by segment, region and gender:
Segment or business(1)
North AmericaEMEALatin AmericaAsia
Total(2)
WomenMenUnspecified
Institutional Clients Group19,029 18,096 7,909 25,458 70,492 44.1 55.9 — 
Global Consumer Banking33,898 — 33,453 32,950 100,301 57.4 %42.5 %0.1 %
Corporate/Other23,218 10,364 7,012 12,057 52,651 46.3 53.6 0.1 
Total76,145 28,460 48,374 70,465 223,444 50.6 %49.3 %0.1 %
(1)    Colleague distribution is based on assigned business and region, which may not reflect where the colleague physically resides.
(2)    Part-time colleagues represented less than 1.5% of Citi’s global workforce.
Board Oversight
Citi devotes substantial resources to managing its workforce, guided by a culture of accountability and excellence. Citigroup’s Board of Directors (the Board) provides strategic oversight and direction to management regarding workforce policies and includes many members with experience in overseeing workforce issues.
In addition, the Board’s Personnel and Compensation Committee regularly reviews management’s achievements against human capital management goals, such as addressing representation of women and U.S. minorities in assistant vice president (AVP) to managing director (MD) levels, as well as talent recruitment and development initiatives.
The Board works with the Nomination, Governance and Public Affairs Committee to evaluate potential successors to the Chief Executive Officer (CEO). With respect to regular succession of the CEO and senior management, Citi’s Board evaluates internal, and, when appropriate, external candidates. To find external candidates, Citi seeks input from members of the Board, senior management and recruiting firms. To develop internal candidates, Citi engages in a number of practices, formal and informal, designed to familiarize the Board with Citi’s talent pool. The formal process involves an annual talent review conducted by senior management at which the Board studies the most promising members of senior management. The Board learns about each person’s experience, skills, areas of expertise, accomplishments, goals and risk and control assessments. This review is conducted at a regularly scheduled Board meeting on an annual basis.
Diversity, Equity and Inclusion
Citigroup’s Board is committed to ensuring that the Board and Citi’s Executive Management Team (see “Managing Global Risk—Risk Governance” below) are composed of individuals whose backgrounds reflect the diversity represented by Citi’s employees, customers and stakeholders. In addition, over the past several years, Citi has increased efforts to diversify its workforce, including, among other things, taking actions with respect to pay equity, representation goals and use of diverse slates in recruiting.

Pay Equity
Citi has focused on measuring and addressing pay equity within the organization:

•In 2018, Citi was the first major U.S. financial institution to publicly release the results of a pay equity review comparing its compensation of women to men and U.S. minorities to U.S. non-minorities. Since 2018, Citi has continued to be transparent about pay equity, including disclosing its unadjusted or “raw” pay gap for both women and U.S. minorities.
•Citi’s 2021 pay equity review determined that, on an adjusted basis, women globally are paid on average more than 99% of what men are paid at Citi. In addition, the review determined there was no statistically significant difference in adjusted compensation between U.S. minorities and non-minorities. Following the review,
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appropriate pay adjustments were made as part of Citi’s 2021 compensation cycle.
•Citi’s 2021 raw gap analysis showed that the median pay for women globally is 74% of the median for men, similar to 2020, and up from 73% in 2019 and 71% in 2018. The median pay for U.S. minorities is more than 96% of the median for non-minorities, which is up from just under 94% in 2020, 94% in 2019 and 93% in 2018.

Representation Goals
Increasing the number of women globally and U.S. Black employees into senior AVP to MD levels will position Citi to further close the raw pay gap and increase the diversity of the Company. At the AVP to MD levels, Citi established representation goals of 40% for women globally and 8% for U.S. Black employees by the end of 2021. As of December 31, 2021, Citi exceeded its goals for AVP to MD levels for women globally (at 40.6%) and U.S. Black employees (at 8.1%).
Citi is the first major Wall Street bank to participate in Management Leadership for Tomorrow’s Black Equity at Work Certification, to help measure internal progress toward Black equity in the workplace.
In addition, consistent with its ongoing support of measurement and transparency, Citi will conduct a third-party racial equity audit to help assess the true impact of Citi’s Action for Racial Equity initiatives (for additional information, see “Sustainability and Other ESG Matters—Action for Racial Equity” above).

Diverse Slates in Recruitment
In 2021, Citi expanded the use of diverse slates in its recruiting efforts to have at least two women or U.S. minorities interview for U.S.-based roles and at least two women interview for global hire roles at the AVP to MD levels.
Since implementation, Citi has increased the share of diverse candidates on slates by 26% and more than doubled the total number of diverse slates between March and December 2021. Candidate slates were as follows:

•74.4% of roles included a diverse slate with at least two women globally and/or U.S. underrepresented minorities for U.S. hires; and
•92.2% of roles included a diverse slate with at least one woman globally and/or U.S. underrepresented minority for U.S. hires compared to 86% in 2020.

In 2021, women representation in Citi’s full-time global campus programs surpassed its goal of 50%, increasing to 51% from 49% in 2020. In addition, Black and Hispanic/Latino representation within Citi’s full-time U.S. campus programs increased to 28% from 24% in 2020.


Workforce Development
Citi highly values a workplace environment where colleagues can bring their authentic selves to work and where diverse perspectives and ideas are embraced. Citi encourages career growth and development by offering broad and diverse opportunities to colleagues. Highlights of these opportunities include the following:

•Citi provides a range of internal development and rotational programs to colleagues at all levels, including various training programs and events to assist high-performing colleagues in building the skills needed to transition to manager and supervisory roles.
•Citi has a focus on internal talent development and aims to provide colleagues with career growth opportunities, with 37% of open positions filled internally in 2021. These opportunities are particularly important as Citi focuses on providing career paths for its internal talent base as part of its efforts to increase organic growth and promotions within the organization.

Moreover, in 2021, a diverse group of human resources and business stakeholders collaborated to provide input on the current state and target future state for promotions at Citi. Their analysis resulted in the identification of opportunities for improvement to create greater transparency and alignment of the promotion process across Citi’s businesses, functions and regions.

Wellness
During the past two years, the pandemic’s impact has been substantial on the mental and physical health of Citi colleagues and their families. As the Company transforms and the future of work evolves, colleague wellness is a central component of Citi’s focus. Coming out of the pandemic, Citi has announced three working models: colleagues will be designated as hybrid, resident or remote, based on job-specific requirements.
As colleagues pivoted to remote work during their respective country lockdowns, Citi’s health plans also expanded to keep colleagues at home and safe. In the U.S., Citi offered free virtual care visits, home delivery of prescriptions, enhanced bereavement leave and no-cost COVID testing.
In addition to providing access to COVID vaccinations, which included several onsite locations in Asia and the U.S., Citi organized drive-through flu vaccination programs in the U.S. for thousands of colleagues and their family members. All colleagues globally were provided time off for vaccinations and boosters and to recover from any side effects, if needed.
To support the ongoing health of its workforce, on October 28, 2021 Citi announced a COVID-19 vaccination policy requiring all U.S. colleagues and new hires to be fully vaccinated or receive an approved accommodation or state-permitted exemption, as a condition of employment. As of the January 14, 2022 deadline, over 99% of U.S. colleagues were in compliance with the vaccine policy.
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Citi also took actions to support the emotional well-being of its colleagues. Citi significantly enhanced free mental well-being programs in our largest region by doubling the number of free counseling sessions for colleagues and their family members and adding real-time text, video and message-based counseling. Citi also debuted a new online tool so that all colleagues around the globe could easily find their local Employee Assistance programs and resources. Citi also expanded live, town hall-style mental well-being programming to include targeted events with subject matter experts aimed at parents, caregivers and other at-risk groups.
Citi’s wellness vision is not simply a reaction to its external environment. It has consistently been about nurturing colleagues and their families, however their families are grown. Citi continues to broaden gender affirmation medical coverage and incorporate it in its basic medical plan coverage around the world. Citi also enhanced its fertility coverage and support. In North America, Citi’s new Adoption and Surrogacy Assistance Program provides reimbursement to help with certain expenses in the adoption of a child or surrogacy parenting arrangement.
In early 2020, Citi expanded its Paid Parental Leave Policy to include Citi colleagues around the world. At a minimum, all Citi colleagues are eligible for 16 weeks of paid pregnancy leave or four weeks of paid parental bonding leave. Colleagues working in countries that require leave policies above the global minimum continue to maintain even longer periods of paid time off.

For information about Citi’s reliance on a highly qualified and motivated workforce, see “Risk Factors” above. For additional information about Citi’s human capital management initiatives and goals, see Citi’s upcoming 2022 proxy statement to be filed with the SEC in March 2022, as well as its 2020 ESG report available at www.citigroup.com. The 2020 ESG report and other information included elsewhere on Citi’s investor relations website are not incorporated by reference into, and do not form any part of, this 2021 Annual Report on Form 10-K.
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Managing Global Risk Table of Contents


MANAGING GLOBAL RISK
66
Overview
66
CREDIT RISK(1)
7069
Overview
7069
Consumer Credit
7170
Corporate Credit
7977
Additional Consumer and Corporate Credit Details
8283
Loans Outstanding
8283
Details of Credit Loss Experience
8384
Allowance for LoanCredit Losses on Loans (ACLL)8586
Non-Accrual Loans and Assets and Renegotiated Loans
8688
Forgone Interest Revenue on Loans8991
LIQUIDITY RISK
9092
Overview
9092
Liquidity Monitoring and Measurement
92
High-Quality Liquid Assets (HQLA)9193
Loans9194
Deposits9294
Long-Term Debt9295
Secured Funding Transactions and Short-Term Borrowings9598
     Liquidity Monitoring and Measurement97
Credit Ratings9899
MARKET RISK(1)
100101
Overview
100101
Market Risk of Non-Trading Portfolios
100101
Net Interest RevenueIncome at Risk
100101
Interest Rate Risk of Investment Portfolios—Impact on AOCI
100101
Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
102103
Interest Revenue/Expense and Net Interest Margin (NIM)
103104
Additional Interest Rate Details105106
Market Risk of Trading Portfolios
109110
Factor Sensitivities110111
Value at Risk (VAR)110111
Stress Testing114
OPERATIONAL RISK
115
COMPLIANCE RISKOverview
115
CONDUCT RISKCybersecurity Risk116
LEGAL RISK116
REPUTATIONAL RISK
116115
STRATEGICCOMPLIANCE RISK117
116
REPUTATION RISK
117
STRATEGIC RISK
117
OTHER RISKS
117
LIBOR Transition Risk
117
Climate Risk118
Country Risk
118120
Top 25 Country Exposures
120
Argentina
121
Russia
121
FFIEC—Cross-Border Claims on Third Parties and Local Country Assets
122


(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.

(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.

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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 missionMission and value proposition,Value Proposition and the key principles that guide it, andas well as Citi's risk appetite. As discussed above, Citi is continuing its efforts to comply with the FRB and OCC consent orders, relating principally to various aspects of risk management, compliance, data quality management and governance, and internal controls (see “Citi’s Consent Order Compliance” and “Risk Factors—Compliance Risks” above).
Risk management must be built on a foundation of ethical culture. Under Citi’s missionMission and value proposition,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 employeescolleagues 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’colleagues’ performance against behavioral expectations set out in Citi’s leadership standards,Leadership Principles, which were designed in part to effectuate Citi’s missionMission and value proposition.Value Proposition. Other culture-related efforts in connection with conduct risk, ethics and leadership, escalation and treating customers fairly help Citi to execute its missionMission and value proposition.Value Proposition.
Citi has established an Enterprise Risk Management (ERM) Framework to ensure that all of Citi’s Company-widerisks are managed appropriately and consistently across Citi and at an aggregate, enterprise-wide level. The ERM Framework details the principles used to support effective enterprise-wide risk governance framework consists of the policies, procedures, and processes through which Citi identifies, measures, manages, monitors, reports and controls risksmanagement across the Company. Itend-to-end risk management lifecycle. The ERM Framework also emphasizes Citi’sprovides clarity on the expected activities in relation to risk culture and lays out standards, procedures and programs that are designed and undertaken to enhance the Company’s risk culture, embed this culture deeply within the organization, and give employees tools to make sound and ethical risk decisions and to escalate issues appropriately. The risk governance framework has been developed in alignment with the expectationsmanagement 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 Board), Citi’s Executive Management Team (See “Risk Governance—Executive Management Team” below) and employees across the aggregate levelslines of defense. The underlying pillars of the framework encompass:

•Culture—the core principles and typesbehaviors that underpin a strong culture of risk awareness, in line with Citi’s Mission and Value Proposition, and Leadership Principles;
•Governance—the committee structure and reporting arrangements that support the appropriate oversight of risk management activities at the Board and Executive Management Team levels;
•Risk Management—the end-to-end risk management cycle including the identification, measurement, monitoring, controlling and reporting of all risks including emerging, growing, idiosyncratic or otherwise material risks, and aggregated to an enterprise-wide level; and
•Enterprise Programs—the key risk management programs performed across the risk management lifecycle for all risk categories; these programs also outline the specific roles played by each of the lines of defense in these processes.

Each of these pillars is underpinned by Supporting Capabilities, which are the infrastructure, people, technology and data, and modelling and analytical capabilities that are in place to enable the execution of the ERM Framework.
Citi’s approach to risk management requires that its risk-taking be consistent with its risk appetite. Risk appetite is the aggregate type and level of risk Citi is willing to assumetake in order to achieve Citi’smeet its strategic objectives and business plan, consistent with applicable capital, liquidityplan. Citi’s Risk Appetite Framework sets boundaries for risk-taking and other regulatory requirements.
Citi selectively takes risks in supportconsists of its underlying business strategy, while striving to ensure it operates within its missiona set of risk appetite statements as well as the governance processes through which the risk appetite is established, communicated, cascaded and value proposition and risk appetite.monitored.
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 downgrade risk) or failure of a borrower, counterparty, third party or issuer to honor its financial or contractual obligations.
•Liquidity risk is the risk that the CompanyCiti 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 conditionconditions of the Company. TheCiti.
•Market risk may be exacerbated by the inability(Trading and Non-Trading): Market risk of the Company to access funding sources or monetize assets and the composition of liability funding and liquid assets.
Market risktrading portfolios 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 ratesequity and commodity prices or credit spreads. Losses can be exacerbated byMarket risk of non-trading portfolios is the presence ofrisk to current or projected financial condition and resilience arising from movements in interest rates and resulting from repricing risk, basis or correlation risks.
risk, yield curve risk and options risk.
•Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems, human factors, or from external events. It includes legal risk, which is the risk of failingloss (including litigation costs, settlements and regulatory fines) resulting from the failure of Citi to comply with applicable laws, regulations, prudent ethical standards and regulations,contractual obligations in any aspect of Citi’s business, but excludes strategic riskand reputation risks (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 valueprojected financial condition and resilience arising from negative public opinion.
violations of laws, rules or regulations, or from non-conformance with prescribed practices, internal policies and procedures or ethical standards.
Strategic•Reputation riskis the risk to current or anticipated earnings, capital, or franchise or enterprise valueprojected financial conditions and resilience 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. negative public opinion.
•Strategic risk also includes:

Country risk which is the risk that an event inof a country (precipitatedsustained impact (not episodic impact) to Citi’s core strategic objectives as measured by developments withinimpacts on anticipated earnings, market capitalization, or capital, arising from the 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
factors

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obligations. Country risk events may include sovereign defaults, banking crises, currency crises, currency convertibility and/or transferability restrictions, or political events.affecting the Company’s operating environment; as well as the risks associated with defining the strategy and executing the strategy, which are identified, measured and managed as part of the Strategic Risk Framework at the Enterprise Level.


Citi manages its risks through each of its three lines of defense: (i) business management, (ii) independent control functions and (iii) internal audit. The threeuses a lines of defense collaboratemodel as a key component of its ERM Framework to manage its risks. The lines of defense model brings together risk-taking, risk oversight and risk assurance under one umbrella and provides an avenue for risk accountability of first line of defense, a construct for effective challenge by the second line of defense (Independent Risk Management and Independent Compliance Risk Management), and empowers independent risk assurance by the third line of defense (Internal Audit). In addition, Citi has enterprise support functions that support safety and soundness across Citi. Each of the lines of defense and enterprise support functions, along with each otherthe Board, are empowered to perform relevant risk management processes and responsibilities in structured forumsorder to manage Citi’s risks in a consistent and processes to bring various perspectives together and to lead the organization toward outcomes that are in clients’ interests, create economic value and are systemically responsible.effective manner.


First Line of Defense: Business ManagementFront Line Units and Front Line Unit Activities
EachCiti’s first line of Citi’s businessesdefense owns itsthe risks inherent in or arising from their business and is responsible for assessingidentifying, measuring, monitoring, controlling and reporting those risks consistent with Citi’s strategy, Mission and Value Proposition, Leadership Principles and risk appetite.
Front line units are responsible and held accountable for managing its risks. Each business isthe risks associated with their activities within the boundaries set by independent risk management. They are also responsible for establishingdesigning and operating controls to mitigate key risks, assessingimplementing effective internal controls and promoting a culture of compliance and control. In doingmaintaining processes for managing their risk profile, including through risk mitigation, so a business is required to maintain appropriate staffing and implement appropriate procedures to fulfill itsthat it remains consistent with Citi’s established risk governance responsibilities.appetite.
The CEOs of each region and business report to the Citigroup CEO. The Head of Operations and Technology and the Head of Productivity, whoFront line unit activities are considered part of the first line of defense also reportand are subject to the Citigroup CEO.oversight and challenge of independent risk management.
Businesses at Citi organizeThe first line of defense is composed of Citi’s Business
Management, Regional and chair committeesCountry Management, certain Corporate Functions (Enterprise Operations and councils that cover risk considerations with participation from independent control functions, including committees or councils that are designed to consider matters related to capital, assetsTechnology, Chief Administrative Office, Global Public Affairs, Office of the Citibank Chief Executive Officer (CEO) and liabilities, business practices, business risksFinance), as well as other front line unit activities. Front line units may also include enterprise support units and controls, mergers and acquisitions, the Community Reinvestment Act and fair lending and incentives.activities—see “Enterprise Support Functions” below.


Second Line of Defense: Independent Control Functions
Citi’sRisk Management Independent risk management units are independent control functions, includingof front line units. They are responsible for overseeing the risk-taking activities of the first line of defense and challenging the first line of defense in the execution of their risk management responsibilities. They are also responsible for independently identifying, measuring, monitoring, controlling and reporting aggregate risks and for setting standards for the management and oversight of risk. Independent risk management is comprised of Independent Risk Management (IRM) and Independent Compliance Risk Management Human Resources, Legal, Finance(ICRM) and Finance & Risk Infrastructure, set standardsare led by which Citi and its businesses manage and oversee risks, including compliance with applicable laws, regulatory requirements, policies and other relevant standards of conduct. Additionally, among other responsibilities, the independent control functions provide advice and training to Citi’s businesses and establish tools, methodologies, processes and oversight for controls used by the businesses to foster a culture of compliance and control.

Risk
The Risk organization is designed to act as an independent partner of the business to manage market, credit and operationalchief 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.
Theexecutives (i.e., Chief Risk Officer reports to the Citigroup CEO (CRO)
and the Risk Management Committee of the Citigroup Board of Directors. The Chief RiskCompliance Officer has regular and(CCO)) who have unrestricted access to the Risk Management Committee of the Board and
also to the Citigroup Board of Directors and its Risk Management Committee to addressfacilitate the ability to execute their specific responsibilities pertaining to escalation to the Citigroup Board of Directors.

Independent Risk Management
The IRM organization sets risk and control standards for the first line of defense and actively manages and oversees aggregate credit, market (trading and non-trading), liquidity, strategic, operational and reputation risks across Citi, including risks that span categories, such as concentration risk, country risk and issues identified through Risk’s activities.climate risk.

IRM is organized to align to risk categories, legal entities/regions and Company-wide, cross-risk functions or processes (i.e., foundational areas). There are teams that report to an independent CRO for various risk categories and legal entities/regions. In addition, there are foundational teams that report to Foundational Risk Management heads. The Risk Category, Legal Entity/Regional CROs and Foundational Risk Management Heads report to the Citigroup CRO.

Independent Compliance Risk Management
The Independent Compliance Risk Management (ICRM)ICRM organization is designed to protect Citi by overseeing senior management, the businesses, and other control functions in managingactively oversees compliance risk as well as promotingacross Citi, sets compliance risk and control standards for the first line of defense to manage compliance risk and promotes business conduct and activity that is consistent with Citi’s missionMission and value proposition.Value Proposition and the compliance risk appetite. Citi’s objective is to embed an enterprise-wide compliance risk management framework and culture that identifies, measures, monitors, mitigatescontrols and controlsescalates compliance risk across the three lines of defense. For further information on Citi’sCiti.
ICRM is aligned by product line, function and geography to provide compliance risk framework, see “Compliance Risk” below.
The Chief Compliance Officer reports to the Citigroup CEOmanagement advice and has regular and unrestricted access to the committees of the Citigroup Board of Directors, including the Audit Committee and the Ethics and Culture Committee.

Human Resources
The Human Resources organization provides personnel support and governance in connection with, among other things: recognizing and rewarding employees who demonstrate Citi’s values and excel in their roles and responsibilities; setting ethical- and performance-related expectations and developing and promoting employees who meet those expectations; and searching for, assessing and hiring staff who exemplify Citi’s leadership standards, which outline Citi’s expectations of its employees’ behavior.
The Head of Human Resources 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, disclosurecredible challenge on day-to-day matters and potential risksstrategic decision-making for key initiatives. ICRM also has program-level Enterprise Compliance units responsible for setting standards and exposures on key litigation and transactional matters, among other things; advising other independent control functions in their efforts to ensureestablishing priorities for program-related 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 having regular and unrestricted access to the full Citigroup Board of Directors, the General Counsel or his/her delegates regularly attend meetings of theefforts. These Compliance Risk Management Committee, Audit Committee, Personnel and Compensation Committee, Ethics and Culture Committee, Operations and Technology Committee, and Nomination, Governance and Public Affairs Committee, as well as other ad hoc committees of the Citigroup Board of Directors.

Finance
The Finance organization is primarily composed of the following disciplines: treasury, controllers, tax and financial planning and analysis. These 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 advising business management, escalating identified risks and establishing policies or processes to manage risk.
Through the treasury discipline, Finance has overall responsibility for managing Citi’s balance sheet and accordingly partners with the businesses to manage 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), who reportsheads report 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.CCO.

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’s Internal Audit function independently reviews activitiesis independent of the first two linesfront line units and independent risk management units. The role of defense based on a risk-based audit plan and methodology approved by the Audit Committee of the Citigroup Board of Directors. Internal Audit also providesis to provide independent, objective, reliable, valued and timely assurance to the Citigroup Board of Directors, theits Audit Committee, of the Board,Citi senior management and regulators regardingover the effectiveness of Citi’s governance, risk management and controls designed tothat mitigate Citi’s exposure tocurrent and evolving risks and enhance the control culture within Citi. Internal Audit reports to enhancea chief audit executive (i.e., Citi’s cultureChief Auditor) who has unrestricted access to the Board and the board of directors of certain subsidiaries or their respective audit committees to facilitate the ability to execute specific responsibilities pertaining to escalation of risks and issues. 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.

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Enterprise Support Functions
Enterprise support functions engage in activities that support safety and soundness across Citi. These functions provide advisory services and/or design, implement, maintain and oversee Company-wide programs that support Citi in maintaining an effective control environment.
Enterprise support functions are comprised of Human Resources, International Franchise Management, Legal (including Citi Security and Investigative Services).
Enterprise support functions, units and activities are subject to the relevant Company-wide independent oversight processes specific to the risk category that they generate (e.g., operational risk, compliance risk, reputation risk).

Risk Governance
Citi’s ERM Framework encompasses risk management processes to address risks undertaken by Citi through identification, measurement, monitoring, controlling and control.reporting of all risks. The ERM Framework integrates these processes with appropriate governance to complement Citi’s commitment to maintaining strong and consistent risk management practices.

Board Oversight
The Chief Auditor reports functionallyBoard is responsible for oversight of risk management and holds the Executive Management Team accountable for implementing the ERM Framework and meeting strategic objectives within Citi’s risk appetite.

Executive Management Team
The Board delegates authority to an Executive Management Team for directing and overseeing day-to-day management of Citi. The Executive Management Team is led by the Citigroup CEO and provides oversight of group activities, both directly and through authority delegated to committees it has established to oversee the management of risk, to ensure continued alignment with Citi’s strategy and risk appetite.

Board and Executive Management Committees
The Board executes its responsibilities either directly or through its committees. The Board has delegated authorities to the Chairmanfollowing Board standing committees to help fulfill its oversight and risk management responsibilities:

•Risk Management Committee (RMC): assists the Board in fulfilling its responsibility with respect to (i) oversight of Citi’s risk management framework, including the Citigroup Audit Committeesignificant policies and administrativelypractices used in managing credit, market, liquidity, strategic, operational, compliance, reputation and certain other risks, including those pertaining to the CEO of Citigroup. Internal Audit’s responsibilities are carried out independently under thecapital management, and (ii) performance oversight of the Global Risk Review—credit, capital and collateral review functions.
•Audit Committee. Internal Audit’s employees accordingly report to the Chief AuditorCommittee: provides oversight of Citi’s financial reporting and do not have reporting lines to front-line units or senior 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 oversees Citi’s risk-taking activities and holds management accountable for adhering to theinternal control risk, governance framework. To do so, directors review reports prepared by the businesses, Risk, Independent Compliance Risk Management,as well as Internal Audit and others, and exercise soundCiti’s external independent judgment to question, probe and challenge recommendations and decisions made by management.accountants.
The standing committees of the Citigroup Board of Directors are the Executive Committee, Risk Management Committee, Audit Committee, •Personnel and Compensation Committee:provides oversight of incentive compensation plans and risk related to compensation.
•Ethics, Conduct and Culture Committee Operations and Technology Committee and : provides oversight of Citi’s Conduct Risk Management Program.
•Nomination, Governance and Public Affairs Committee. Committee:provides oversight of reputational issues, Environmental, Social and Governance (ESG) and sustainability matters, and legal and regulatory compliance risks as they relate to corporate governance matters.

In addition to the above, the Board has established the following ad hoc committee:

•Transformation Oversight Committee: provides oversight of the actions of Citi’s management to develop and execute a transformation of Citi’s risk and control environment pursuant to the recent regulatory consent orders (for additional information see “Citi’s Consent Order Compliance” above).

The Executive Management Team has established five standing committees that cover the primary risks to which Citi (i.e., Group) is exposed. These consist of:

•Group Strategic Risk Committee (GSRC): provides governance oversight of Citi’s management actions to adequately identify, monitor, report, manage and escalate all material strategic risks facing Citi.
•Citigroup Asset and Liability Committee (ALCO): responsible for governance over management’s Liquidity Risk and Market Risk (non-trading) management and for monitoring and influencing the balance sheet, investment securities and capital management activities of Citigroup.
•Group Risk Management Committee (GRMC): provides governance oversight of Credit Risk and Market Risk (trading) management in the Trading Book.
•Group Business Risk and Control Committee (GBRCC):provides governance oversight of Citi’s Compliance and Operational Risks.
•Group Reputation Risk Committee (GRRC): provides governance oversight for Reputation Risk management across Citi.

In addition to the Executive Management committees listed above, the Board creates ad hocmay establish ad-hoc committees from time to time in response to regulatory legalfeedback or other requirements.to manage additional activities where deemed necessary.











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The figure below illustrates the reporting lines between the Board and Executive Management committees:

c-20211231_g2.jpg


CREDIT RISK


Overview
Credit risk is the risk of loss resulting from the decline in credit quality of a client, customer or counterparty (or downgrade risk) 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 settlementclearing and clearingsettlement 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-establishedan established framework in place for managing credit risk across all businesses. Thisbusinesses that includes a defined risk appetite, credit limits and credit policies, both at the business level as well as at the company-wide level.policies. 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 clearing and settlement and clearing activities, intra-dayintraday client usage of clearing lines is monitored against limits, as well as against usage patterns.patterns with settlement activity monitored daily and intraday for select products. To the extent that a problem develops, Citi typically moves the client to a secured (collateralized) operating model. Generally, Citi’s intra-dayintraday clearing and 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 reserveAllowance for Credit Losses (ACL) 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
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CONSUMER CREDIT
Citi provides traditionalfulfills a broad spectrum of customers’ financial needs with activities spanning retail banking, including commercial banking, andwealth management, credit card, products in 19 countriespersonal loan, mortgage and jurisdictionssmall business banking through North America GCB, . During 2021, Citi also provided such activities in 18 countries in Latin America GCB and Asia GCB(for information on Citi’s consumer market exits in Latin America GCB and Asia GCB, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above). The retail banking products include consumer mortgages, home equity, personal and commercialsmall business loans and lines of credit and similar related products withbuilding a focus ongenerally prime portfolio through well-defined lending to prime customers.parameters. 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’s commercial banking business focuses on small to mid-sized businesses.














Consumer Credit Portfolio
The following table shows Citi’s quarterly end-of-period consumer loans:(1)

In billions of dollars4Q’201Q’212Q’21
3Q’21(2)
4Q’21(2)
Retail banking:
Mortgages$88.9 $86.7 $86.3 $79.8 $79.5 
Personal, small business and other40.1 39.1 39.0 37.0 36.1 
Total retail banking$129.0 $125.8 $125.3 $116.8 $115.6 
Cards:
Branded cards$106.7 $99.6 $102.9 $100.6 $105.7 
Retail services46.4 42.5 42.7 42.7 46.0 
Total cards$153.1 $142.1 $145.6 $143.3 $151.7 
Total GCB
$282.1 $267.9 $270.9 $260.1 $267.3 
GCB regional distribution:
North America65 %64 %64 %67 %68 %
Latin America5 5 5 5 5 
Asia(3)
30 31 31 28 27 
Total GCB
100 %100 %100 %100 %100 %
Corporate/Other(4)
$6.7 $6.1 $5.0 $4.2 $3.9 
Total consumer loans$288.8 $274.0 $275.9 $264.3 $271.2 

(1)End-of-period loans include interest and fees on credit cards.
(2)As a result of Citi’s entry into agreements to sell its consumer banking businesses in Australia and the Philippines, the businesses were reclassified as held-for-sale and their assets and liabilities were included in Other assets and Other liabilities,respectively, on Citi’s Consolidated Balance Sheet and excluded from loans and related credit measures, of GCB and Asia GCB beginning in the third quarter of 2021 for Australia and the fourth quarter of 2021 for the Philippines. For additional information, see Note 2 to the Consolidated Financial Statements.
(3)Asia includes loans and leases in certain EMEA countries for all periods presented.
(4)Primarily consists of legacy assets, principally North America consumer mortgages.
In billions of dollars4Q’161Q’172Q’173Q’174Q’17
Retail banking:     
Mortgages$79.4
$81.2
$81.4
$81.4
$81.7
Commercial banking32.0
33.9
34.8
35.5
36.3
Personal and other24.9
26.3
27.2
27.3
27.9
Total retail banking$136.3
$141.4
$143.4
$144.2
$145.9
Cards:     
Citi-branded cards$108.3
$105.7
$109.9
$110.7
$115.7
Citi retail services47.3
44.2
45.2
45.9
49.2
Total cards$155.6
$149.9
$155.1
$156.6
$164.9
Total GCB
$291.9
$291.3
$298.5
$300.8
$310.8
GCB regional distribution:
     
North America64%62%62%62%63%
Latin America8
9
9
9
8
Asia(2)
28
29
29
29
29
Total GCB
100%100%100%100%100%
Corporate/Other$33.2
$29.3
$26.8
$24.8
$22.9
Total consumer loans$325.1
$320.6
$325.3
$325.6
$333.7

(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.


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


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Overall Consumer Credit Trends
The following charts show the quarterly trends in delinquencies and net credit losses across both retail banking, including commercial banking, and cards for total GCB and by region.


Global Consumer Banking
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As shown in the chart above, GCB’s net credit loss rate decreased quarter-over-quarter and year-over-year for the fourth quarter of 2021, primarily reflecting the continued impact of government stimulus, unemployment benefits and consumer relief programs in North America GCB, and a decline following the peak charge-offs in AsiaGCB and Latin America GCB in recent quarters.
GCB’s 90+ days past due delinquency rate remained unchanged quarter-over-quarter. The 90+days past due delinquency rate decreased year-over-year, primarily due to the continued impacts of government stimulus, unemployment benefits and consumer relief programs in North America GCB, as well as lower delinquencies in Asia GCB and Latin America GCB, following the charge-off of peak delinquencies in recent quarters.

North America GCB
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North America

North America GCB provides 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-brandedbranded cards and Citi retail services businesses. The retail bank is concentrated in six major metropolitan cities in the United StatesU.S. (for additional information on the U.S. retail bank, see “North America GCB” above).
As of December 31, 2017,2021, approximately 71%74% of North America GCB consumer loans consisted of Citi-brandedbranded 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 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 for the fourth quarter of 2021 decreased quarter-over-quarter and year-over-year, primarily reflecting the continued impact of high payment rates in cards, driven by government stimulus.
Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
The 90+ days past due delinquency ratesrate in North America GCB increased modestly quarter-over-quarter, primarily due to seasonality in cards, while the cards portfolios and the hurricane-related impact to the mortgage portfolio. The net credit loss90+ days past due delinquency rate decreased quarter-over-quarter,year-over-year, primarily reflecting the absencecontinued impact of an episodic charge-offhigh payment rates in the commercial portfolio that occurred in the third quarter of 2017. The net credit loss rate increased year-over-year primarily due to seasoning in both cards, portfolios.driven by government stimulus.


Latin America GCB
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Latin America GCB operates 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 GCB serves a more mass marketmass-market segment in Mexico and focuses on developing multi-productmultiproduct relationships with customers.
As set forth in the chart above, 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. The net credit loss rate increased in Latin America GCB year-over-year and quarter-over-quarter as of the fourth quarter of 2017, primarily due to an episodic charge-off in the commercial portfolio as well as seasoning in the cards portfolio.

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

Asia GCB operates in 17 countries in Asia and EMEA and provides credit cards, consumer mortgages, personal loans and commercial banking products. As shown in the chart above, the net credit loss rate in Latin America GCB for the fourth quarter of 2021 decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters resulted in lower delinquencies that led to lower net credit losses in the current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and net credit lossyear-over-year. The impact of charge-offs of delinquent loans in prior quarters and higher payment rates were largely stableresulted in a lower 90+ days past due delinquency rate in the current quarter.

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

71

During 2021, Asia GCB year-over-year operated in 17 countries and quarter-over-quarter as ofjurisdictions in Asia and EMEA and provided credit cards, consumer mortgages and small business and personal loans.
As shown in the chart above, the fourth quarter of 2017. This stability reflects2021 net credit loss rate in Asia GCB decreased quarter-over-quarter, driven by the charge-off of peak delinquencies in recent quarters. Year-over-year, the net credit loss rate decreased, as elevated losses during the prior year returned to pre-pandemic levels. The decrease was also driven by the reclassification of approximately $10 billion of loans to held-for-sale as a result of Citi’s entry into agreements to sell its consumer banking businesses in Australia and the Philippines (Asia HFS reclass).
The 90+ days past due delinquency rate decreasedquarter-over-quarter and year-over-year, driven by the charge-off of peak delinquencies in recent quarters, as elevated losses returned to pre-pandemic levels, as well as the impact of the Asia HFS reclass.
The performance of Asia GCB’s portfolios continues to reflect 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 NoteNotes 13 and 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-BrandedBranded Cards
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North America GCB’s Citi-brandedbranded cards portfolio issuesincludes proprietary and co-branded cards.
As shown in the chart above, the net credit loss rate in North America branded cards for the fourth quarter of 2021 decreased quarter-over-quarter and year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate in Citi-branded cards was stable year-over-yearremained unchanged quarter-over-quarter and seasonally higher quarter-over-quarter. The net credit loss rate increaseddecreased year-over-year, primarily due to seasoning,reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and decreased quarter-over-quarter primarily due to seasonality as well as higher asset sales.consumer relief programs.



North America Citi Retail Services
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Retail services partners directly with more than 20 retailers and dealers to offer private-labelprivate label and co-branded consumer and commercial cards. Citi retailRetail services’ target market is focusedfocuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel. Citi retail
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 and net credit loss rates increased year-over-year, primarily due to seasoning as well as softness in the collections rates experienced once an account reaches mid-stage delinquency. The quarter-over-quarter increase in both loss and delinquency rates is also due to the seasonal movements observed in Citi retail services.

Latin America Citi-Branded Cards


Latin America GCB issues proprietary and co-branded cards. As set forthshown in the chart above, the net credit loss rate in retail services for the fourth quarter of 2021 decreased quarter-over-quarter and delinquencyyear-over-year, primarily reflecting the continued impact of high payment rates, increased year-over-year due to seasoning. The decrease quarter-over-quarter of the net credit loss and delinquency rates was primarily driven by highergovernment stimulus. Year-over-year, the payment rates reflecting the payment of year-end bonuses.were also impacted by unemployment benefits and consumer relief programs.








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,The 90+ days past due delinquency rate increased quarter-over-quarter due to seasonality, and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.

72

Latin America Branded Cards
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Latin America GCB issues proprietary and co-branded cards.
As shown in the chart above, the fourth quarter of 2021 net credit loss rate in Latin America branded cards decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters resulted in lower delinquencies that led to lower net credit losses in the current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters and higher payment rates have remained broadly stable,resulted in a lower 90+ days past due delinquency rate.

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

As shown in the chart above, the net credit loss rate in Asia branded cards for the fourth quarter of 2021 decreased quarter-over-quarter and year-over-year, driven by the mature and well-diversified naturecharge-off of peak delinquencies in recent quarters, as elevated losses returned to pre-pandemic levels, as well as the impact of the cards portfolio. Asia HFS reclass.
The 90+ days past due delinquency rate decreasedquarter-over-quarter and year-over-year, driven by the charge-off of peak delinquencies in recent quarters, as elevated losses returned to pre-pandemic levels, as well as the Asia HFS reclass.

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 14 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 alla substantial share of the portfolio and on a quarterly basis for the remaining portfolio.


Branded Cards
Citi-Branded
December 31,
FICO distribution20172016
FICO distribution(1)
FICO distribution(1)
Dec. 31, 2021Sept. 30, 2021Dec. 31, 2020
> 76042%42% > 76049 %48 %46 %
680 - 76041
43
680–760 680–76038 39 39 
< 68017
15
 < 68013 13 15 
Total100%100%Total100 %100 %100 %


Citi Retail Services
December 31,
FICO distribution20172016
FICO distribution(1)
FICO distribution(1)
Dec. 31, 2021Sept. 30, 2021Dec. 31, 2020
> 76024%24% > 76028 %27 %27 %
680 - 76043
43
680–760 680–76044 45 44 
< 68033
33
 < 68028 28 29 
Total100%100%Total100 %100 %100 %


Both(1)The FICO bands in the Citi-branded cards’tables are consistent with general industry peer presentations.

The FICO distribution of both cards portfolios remained largely stable compared to the prior quarter and Citi retail services’ cards FICO distributions remained stableimproved compared to the prior year, demonstrating strong underlying credit quality and a benefit from the impacts of government stimulus, unemployment benefits and customer relief programs, as of year-end 2017.
well as lower credit utilization. For additional information on FICO scores, see Note 14 to the Consolidated Financial Statements.






North America Consumer Mortgage Portfolio73
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 DelinquencyDelinquencies Amounts and Ratios

 
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
December 31,December 31,December 31,
In millions of dollars,
except EOP loan amounts in billions		2021202120202019202120202019
Global Consumer Banking(3)(4)
Total$267.3 $1,521 $2,507 $2,737 $1,661 $2,517 $3,001 
Ratio0.57 %0.89 %0.91 %0.62 %0.89 %1.00 %
Retail banking
Total$115.6 $462 $632 $438 $522 $860 $816 
Ratio0.40 %0.49 %0.35 %0.45 %0.67 %0.66 %
North America48.1 228 299 146 219 328 334 
Ratio0.49 %0.58 %0.29 %0.47 %0.63 %0.67 %
Latin America8.6 107 130 106 106 220 180 
Ratio1.24 %1.33 %0.91 %1.23 %2.24 %1.54 %
Asia(5)(6)
58.9 127 203 186 197 312 302 
Ratio0.22 %0.31 %0.30 %0.33 %0.47 %0.48 %
Cards
Total$151.7 $1,059 $1,875 $2,299 $1,139 $1,657 $2,185 
Ratio0.70 %1.22 %1.31 %0.75 %1.08 %1.25 %
North America—branded
87.9 389 686 915 408 589 814 
Ratio0.44 %0.82 %0.95 %0.46 %0.70 %0.85 %
North America—retail services
46.0 482 644 1,012 539 639 945 
Ratio1.05 %1.39 %1.91 %1.17 %1.38 %1.79 %
Latin America4.7 76 233 165 67 170 159 
Ratio1.62 %4.85 %2.75 %1.43 %3.54 %2.65 %
Asia(5)(6)
13.1 112 312 207 125 259 267 
Ratio0.85 %1.74 %1.04 %0.95 %1.45 %1.34 %
Corporate/Other—Consumer(7)
Total$3.9 $221 $313 $278 $88 $179 $295 
Ratio6.14 %5.13 %3.02 %2.44 %2.93 %3.21 %
Total Citigroup$271.2 $1,742 $2,820 $3,015 $1,749 $2,696 $3,296 
Ratio0.65 %0.98 %0.98 %0.65 %0.94 %1.07 %

(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—branded and North America—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 North America GCB exclude loans guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $185 million ($1.1 billion), $171 million ($0.7 billion) and $135 million ($0.5 billion) at December 31, 2021, 2020 and 2019, respectively. The amounts excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $74 million, $98 million and $72 million at December 31, 2021, 2020 and 2019, respectively.
(5)Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(6)During 2021, Citi’s Australia and the Philippines consumer banking businesses were reclassified as HFS, due to Citi’s entry into agreements to sell the businesses. Accordingly, Australia and the Philippines consumer loans are recorded in Other assets on the Consolidated Balance Sheet, and hence the loans and related delinquencies and ratios are not included in this table. See Note 2 to the Consolidated Financial Statements for additional information.
(7)The 90+ days past due and 30–89 days past due and related ratios exclude U.S. mortgage loans that are primarily related to U.S. mortgages guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due EOP loans were $138 million ($0.4 billion), $183 million ($0.5 billion) and $172 million ($0.4 billion) at December 31, 2021, 2020 and 2019, respectively. The amounts excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $35 million, $73 million and $55 million at December 31, 2021, 2020 and 2019, respectively.


74
 
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
 December 31,December 31,December 31,
In millions of dollars, except EOP loan amounts in billions2017201720162015201720162015
Global Consumer Banking(3)(4)
       
Total$310.8
$2,478
$2,293
$2,119
$2,762
$2,540
$2,418
Ratio 0.80%0.79%0.77%0.89%0.87%0.88%
Retail banking       
Total$145.9
$515
$474
$523
$822
$726
$739
Ratio 0.35%0.35%0.38%0.57%0.54%0.53%
North America56.0
199
181
165
306
214
221
Ratio 0.36%0.33%0.32%0.55%0.39%0.43%
Latin America19.9
130
136
185
195
185
184
Ratio 0.65%0.76%0.94%0.98%1.03%0.93%
Asia(5)
70.0
186
157
173
321
327
334
Ratio 0.27%0.25%0.25%0.46%0.52%0.49%
Cards       
Total$164.9
$1,963
$1,819
$1,596
$1,940
$1,814
$1,679
Ratio 1.19%1.17%1.17%1.18%1.17%1.23%
North America—Citi-branded90.5
768
748
538
698
688
523
Ratio 0.85%0.87%0.80%0.77%0.80%0.78%
North America—Citi retail services49.2
845
761
705
830
777
773
Ratio 1.72%1.61%1.53%1.69%1.64%1.68%
Latin America5.4
151
130
173
153
125
157
Ratio 2.80%2.71%3.20%2.83%2.60%2.91%
Asia(5)
19.8
199
180
180
259
224
226
Ratio 1.01%1.03%1.02%1.31%1.28%1.28%
Corporate/Other—Consumer(6)(7)
       
Total$22.9
$557
$834
$927
$542
$735
$1,036
Ratio 2.57%2.62%1.99%2.50%2.31%2.23%
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
Ratio 0.91%0.97%0.94%1.00%1.01%1.07%

(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-branded and 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 and 30–89 days past due and related ratios for GCB North America retail banking exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $298 million ($0.7 billion), $327 million ($0.7 billion) and $491 million ($1.1 billion) at December 31, 2017, 2016 and 2015, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $88 million, $70 million and $87 million at December 31, 2017, 2016 and 2015, respectively.
(5)
Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(6)
The 90+ days 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 entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due (and EOP loans) were $0.6 billion ($1.1 billion), $0.9 billion ($1.4 billion) and $1.5 billion ($2.2 billion) at December 31, 2017, 2016 and 2015, 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 and $0.2 billion at December 31, 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)
In millions of dollars, except average loan amounts in billions2017201720162015
Global Consumer Banking    
Total$296.8
$6,562
$5,610
$5,752
Ratio 2.21%2.01%2.12%
Retail banking    
Total$142.7
$1,023
$1,007
$1,058
Ratio 0.72%0.72%0.75%
North America55.7
$194
$205
$150
Ratio 0.35%0.38%0.30%
Latin America20.0
$584
$541
$589
Ratio 2.92%2.85%2.89%
Asia(5)
67.0
$245
$261
$319
Ratio 0.37%0.39%0.45%
Cards    
Total$154.1
$5,539
$4,603
$4,694
Ratio 3.60%3.30%3.59%
North America—Citi-branded84.6
$2,447
$1,909
$1,892
Ratio 2.89%2.61%2.96%
North America—Retail services45.6
$2,155
$1,805
$1,709
Ratio 4.73%4.12%3.94%
Latin America5.3
$533
$499
$691
Ratio 10.06%9.78%11.71%
Asia(5)
18.6
$404
$390
$402
Ratio 2.17%2.24%2.28%
Corporate/Other—Consumer(3)(4)
    
Total$27.2
$156
$438
$1,306
Ratio 0.57%1.06%1.96%
International1.9
$82
$269
$443
Ratio 4.32%5.17%4.43%
North America25.3
$74
$169
$863
Ratio 0.29%0.47%1.52%
Other(6)
—
$(21)$—
$—
Total Citigroup$324.0
$6,697
$6,048
$7,058
Ratio 2.07%1.88%2.08%
(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 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. 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.
(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 recorded 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.
(5)
Asia includes average loans and NCLs in certain EMEA countries for all periods presented.
(6)2017 NCLs represent a recovery related to legacy assets.

 
Average
loans(1)
Net credit losses(2)
In millions of dollars, except average loan amounts in billions2021202120202019
Global Consumer Banking   
Total$266.3 $4,582 $6,646 $7,382 
Ratio1.72 %2.39 %2.60 %
Retail banking
Total$122.3 $779 $805 $910 
Ratio0.64 %0.65 %0.76 %
North America50.0 109 132 161 
Ratio0.22 %0.25 %0.33 %
Latin America9.0 410 377 494 
Ratio4.56 %3.85 %4.30 %
Asia(3)(4)
63.3 260 296 255 
Ratio0.41 %0.47 %0.43 %
Cards
Total$144.0 $3,803 $5,841 $6,472 
Ratio2.64 %3.82 %3.94 %
North America—branded
81.1 1,659 2,708 2,864 
Ratio2.05 %3.20 %3.19 %
North America—retail services
43.1 1,169 2,150 2,558 
Ratio2.71 %4.62 %5.13 %
Latin America4.4 510 489 615 
Ratio11.59 %10.40 %10.79 %
Asia(3)(4)
15.4 465 494 435 
Ratio3.02 %2.84 %2.29 %
Corporate/Other—Consumer
Total$5.3 $(82)$(21)$(6)
Ratio(1.55)%0.25 %0.14 %
Total Citigroup$271.6 $4,500 $6,625 $7,376 
Ratio1.66 %2.32 %2.49 %



(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)Asia includes NCLs and average loans in certain EMEA countries for all periods presented.
(4)As a result of Citi’s entry into agreements to sell its consumer banking businesses in Australia and the Philippines during 2021, these businesses were reclassified as HFS beginning in 2021. As a result of HFS accounting treatment, approximately $6 million of net credit losses (NCLs) was recorded as a reduction in revenue (Other revenue) in 2021. Accordingly, these NCLs are not included in this table, as well as Loans HFS that are recorded in Other assets on the Consolidated Balance Sheet. See Note 2 to the Consolidated Financial Statements for additional information.

75

Loan Maturities and Fixed/Variable Pricing of Consumer Loans
U.S. Consumer Mortgages
Loan Maturities
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
U.S. consumer mortgage loan portfolio    
Residential first mortgages$96
$543
$50,248
$50,887
Home equity loans15
856
13,709
14,580
Total$111
$1,399
$63,957
$65,467
Fixed/variable pricing of U.S. consumer mortgage loans with maturities due after one year    
Loans at fixed interest rates $1,187
$39,084
 
Loans at floating or adjustable interest rates 212
24,873
 
Total $1,399
$63,957
 


In millions of dollars at December 31, 2021Due within
1 year		Greater than
1 year
but within
5 years		Greater than
5 years
but within 15 years		Greater than
15 years		Total
In North America offices
Residential first mortgages$15 $109 $2,573 $41,116 $43,813 
Home equity loans65 56 1,484 3,496 5,101 
Credit cards133,868 — — — 133,868 
Personal, small business and other1,092 1,678 237 151 3,158 
Total$135,040 $1,843 $4,294 $44,763 $185,940 
In offices outside North America
Residential mortgages$2,022 $651 $6,667 $25,261 $34,601 
Credit cards17,808 — — — 17,808 
Personal, small business and other23,323 8,180 1,124 260 32,887 
Total$43,153 $8,831 $7,791 $25,521 $85,296 

Fixed/Variable Pricing


In millions of dollars at December 31, 2021Due within
1 year		Greater than
1 year
but within
5 years		Greater than
5 years
but within 15 years		Greater than
15 years		Total
Loans at fixed interest rates
Residential first mortgages$225 $183 $1,990 $31,581 $33,979 
Home equity loans65 51 223 336 675 
Credit cards42,117 — — — 42,117 
Personal, small business and other11,883 6,407 37 83 18,410 
Total$54,290 $6,641 $2,250 $32,000 $95,181 
Loans at floating or adjustable interest rates
Residential first mortgages$1,812 $577 $7,250 $34,796 $44,435 
Home equity loans— 5 1,261 3,160 4,426 
Credit cards109,559 — — — 109,559 
Personal, small business and other12,532 3,451 1,324 328 17,635 
Total$123,903 $4,033 $9,835 $38,284 $176,055 
Corporate Credit76

CORPORATE 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. During 2021, Citi’s corporate credit exposures also included exposures in the private bank, excluding certain loans managed on a delinquency basis. For information on Citi’s planned revision to its reporting structure effective for the first quarter of 2022, including the reporting of the private bank as part of a new reporting segment, Personal Banking and Wealth Management, see “Strategic Refresh—Market Exits and Planned Revision to Reporting Structure” above.


Corporate Credit Portfolio
The following table sets forthdetails Citi’s corporate credit portfolio within ICG (excluding certain loans in the private bank)bank, which are managed on a delinquency basis, as well as loans carried at fair value and held-for-sale), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:
























 December 31, 2021September 30, 2021December 31, 2020
In billions of dollarsDue
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)
$187 $136 $21 $344 $192 $134 $21 $347 $175 $138 $25 $338 
Unfunded lending commitments
(off-balance sheet)(2)
159 278 13 450 164 286 11 461 158 272 11 441 
Total exposure$346 $414 $34 $794 $356 $420 $32 $808 $333 $410 $36 $779 
 At December 31, 2017At September 30, 2017At December 31, 2016
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
Direct outstandings
(on-balance sheet)(1)
$127
$96
$22
$245
$124
$96
$23
$243
$109
$94
$22
$225
Unfunded lending commitments
(off-balance sheet)(2)
111
222
20
353
104
219
20
343
103
218
23
344
Total exposure$238
$318
$42
$598
$228
$315
$43
$586
$212
$312
$45
$569


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


Portfolio Mix—Geography Counterparty and IndustryCounterparty
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region (excluding the delinquency-managed private bank portfolio) based on Citi’s internal management geography:

December 31,
2021		September 30,
2021		December 31,
2020
North America57 %57 %56 %
EMEA24 25 25 
Asia13 13 13 
Latin America6 5 6 
Total100 %100 %100 %


 December 31,
2017		September 30,
2017		December 31,
2016
North America54%55%55%
EMEA27
26
26
Asia12
12
12
Latin America7
7
7
Total100%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, 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.

77

Citigroup also has incorporated 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 (excluding the delinquency-managed private bank portfolio) by facility risk rating as a percentage of the total corporate credit portfolio:

Total exposure Total exposure
December 31,
2017		September 30,
2017		December 31,
2016		 December 31,
2021		September 30,
2021		December 31,
2020
AAA/AA/A49%49%48%AAA/AA/A51 %49 %49 %
BBB34
34
34
BBB32 32 31 
BB/B16
16
16
BB/B15 16 17 
CCC or below1
1
2
CCC or below2 3 3 
Total100%100%100%Total100 %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 exposure
 December 31,
2017		September 30,
2017		December 31,
2016
Transportation and
  industrial
22%22%22%
Consumer retail and health16
16
16
Technology, media and telecom12
11
12
Power, chemicals,
metals and mining
10
10
11
Energy and commodities8
8
9
Banks/broker-dealers/finance companies

8
8
6
Real estate8
7
7
Insurance and special purpose entities

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


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


In addition to the obligor and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard, doubtful or loss.
Risk ratings and classifications are reviewed regularly, and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment. This includes but is not limited to exposures in those sectors significantly impacted by the pandemic (including consumer retail, commercial real estate and transportation).
Citi believes the corporate credit portfolio to be appropriately rated and classified as of December 31, 2021. Since the onset of the pandemic, Citi has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.
As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to result in a higher provision for credit losses. In addition, downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.
For additional information on Citi’s corporate credit portfolio, see Note 14 to the Consolidated Financial Statements.
Portfolio Mix—Industry
Citi’s corporate credit portfolio is diversified by industry. The following table details the allocation of Citi’s total corporate credit portfolio by industry (excluding the delinquency-managed private bank portfolio):

 Total exposure
 December 31,
2021		September 30,
2021		December 31,
2020
Transportation and
industrials		18 %19 %19 %
Private bank14 14 14 
Consumer retail10 10 11 
Technology, media
and telecom		11 10 10 
Real estate9 9 8 
Power, chemicals,
metals and mining		8 8 8 
Banks and finance companies7 7 7 
Energy and commodities6 6 6 
Health4 5 5 
Public sector3 3 3 
Insurance4 3 3 
Asset managers and funds3 3 3 
Financial markets infrastructure2 2 2 
Securities firms— — — 
Other industries1 1 1 
Total100 %100 %100 %


78

The following table details Citi’s corporate credit portfolio by industry as of December 31, 2021:

Non-investment gradeSelected metrics
In millions of dollarsTotal credit exposure
Funded(1)
Unfunded(1)
Investment gradeNon-criticizedCriticized performing
Criticized non-performing(2)
30 days or more past due and accruing(3)
Net credit losses (recoveries)(4)
Credit derivative hedges(5)
Transportation and industrials$143,444 $51,502 $91,942 $110,047 $19,051 $13,196 $1,150 $384 $127 $(8,791)
Autos(6)
48,210 18,662 29,548 39,824 5,365 2,906 115 49 2 (3,228)
Transportation26,896 12,085 14,811 19,233 2,344 4,447 872 105 104 (1,334)
Industrials68,338 20,755 47,583 50,990 11,342 5,843 163 230 21 (4,229)
Private bank114,018 79,684 34,334 110,684 2,060 1,190 84 793 6 (1,080)
Consumer retail78,995 32,894 46,101 60,687 13,590 4,311 407 224 100 (5,115)
Technology, media and telecom84,334 28,542 55,792 64,677 15,873 3,587 197 156 11 (6,875)
Real estate69,808 46,220 23,588 58,089 6,761 4,923 35 116 50 (798)
Power, chemicals, metals and mining65,641 20,224 45,417 53,576 10,708 1,241 116 292 22 (5,808)
Power26,199 5,610 20,589 22,860 2,832 420 87 100 17 (3,032)
Chemicals25,550 8,525 17,025 20,789 4,224 528 9 88 6 (2,141)
Metals and mining13,892 6,089 7,803 9,927 3,652 293 20 104 (1)(635)
Banks and finance companies58,251 36,803 21,448 49,466 4,892 3,890 3 150 (5)(680)
Energy and commodities(7)
48,973 13,485 35,488 38,972 7,517 2,220 264 224 78 (3,679)
Health33,393 8,826 24,567 27,599 4,702 942 150 95 — (2,465)
Public sector23,842 12,464 11,378 21,035 1,527 1,275 5 37 (3)(1,282)
Insurance28,495 3,163 25,332 27,447 987 61 — 2 1 (2,711)
Asset managers and funds22,269 6,649 15,620 20,871 1,019 377 2 12 — (113)
Financial markets infrastructure14,342 109 14,233 14,323 18 — 1 — — (22)
Securities firms1,472 613 859 605 816 51 — 4 — (5)
Other industries6,590 2,802 3,788 4,146 1,892 490 62 — 6 (169)
Total$793,867 $343,980 $449,887 $662,224 $91,413 $37,754 $2,476 $2,489 $393 $(39,593)

(1)    Excludes $46.5 billion and $1.7 billion of funded and unfunded exposure at December 31, 2021, respectively, primarily related to the delinquency-managed private bank portfolio. Funded balances also excludes loans carried at fair value of $6.1 billion at December 31, 2021.
(2)    Includes non-accrual loan exposures and criticized unfunded exposures.
(3)    Excludes $36 million of past due loans primarily related to the delinquency-managed private bank portfolio.
(4)    Net credit losses (recoveries) are for the year ended December 31, 2021 and exclude delinquency-managed private bank net credit losses of $2 million.
(5)    Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $39.6 billion of purchased credit protection, $36.0 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.6 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6)    Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.9 billion ($6.5 billion in funded, with more than 99% rated investment grade) as of December 31, 2021.
(7)    In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2021, Citi’s total exposure to these energy-related entities was approximately $5.1 billion, of which approximately $2.6 billion consisted of direct outstanding funded loans.



79

The following table details Citi’s corporate credit portfolio by industry as of December 31, 2020:

Non-investment gradeSelected metrics
In millions of dollarsTotal credit exposure
Funded(1)
Unfunded(1)
Investment gradeNon-criticizedCriticized performing
Criticized non-performing(2)
30 days or more past due and accruing(3)
Net credit losses (recoveries)(4)
Credit derivative hedges(5)
Transportation and industrials$145,449 $58,353 $87,096 $104,311 $17,452 $21,887 $1,798 $136 $239 $(8,110)
Autos(6)
52,150 23,586 28,564 41,334 4,374 6,167 275 8 45 (3,220)
Transportation27,693 14,107 13,586 16,410 2,993 6,872 1,417 17 144 (1,166)
Industrials65,606 20,660 44,946 46,566 10,085 8,848 106 111 50 (3,724)
Private bank(1)
109,397 75,693 33,705 104,244 2,395 2,510 248 963 78 (1,080)
Consumer retail81,941 34,621 47,320 60,683 11,524 9,418 316 146 64 (5,493)
Technology, media and telecom81,598 29,821 51,777 60,236 15,924 5,214 223 107 74 (7,237)
Real estate64,817 42,711 22,106 53,839 5,342 5,453 185 334 18 (642)
Power, chemicals, metals and mining63,273 20,156 43,117 47,534 11,367 4,181 192 59 70 (5,341)
Power26,555 6,018 20,537 22,405 3,311 685 154 14 57 (2,637)
Chemicals22,227 7,839 14,387 16,535 3,804 1,882 5 32 8 (2,102)
Metals and mining14,492 6,299 8,193 8,593 4,251 1,614 34 13 5 (602)
Banks and finance companies52,639 29,570 23,069 43,546 4,648 4,387 59 27 79 (765)
Energy and commodities(7)
48,447 14,009 34,438 33,678 7,226 6,546 996 70 285 (4,199)
Health35,421 8,575 26,846 29,081 4,354 1,749 238 17 17 (1,964)
Public sector26,705 13,416 13,289 22,098 1,887 2,704 16 45 9 (1,089)
Insurance26,576 1,925 24,651 25,864 575 136 — 27 1 (2,682)
Asset managers and funds19,745 4,491 15,254 18,528 1,013 191 13 41 (1)(84)
Financial markets infrastructure12,610 229 12,382 12,590 20 — — — — (9)
Securities firms976 430 547 573 298 97 9 — — (6)
Other industries9,009 4,247 4,762 4,980 2,404 1,442 182 10 43 (138)
Total$778,603 $338,246 $440,357 $621,784 $86,427 $65,914 $4,477 $1,982 $976 $(38,839)

(1)    Excludes $42.0 billion and $4.4 billion of funded and unfunded exposure at December 31, 2020, respectively, primarily related to the delinquency-managed private bank portfolio. Funded balances also excludes loans carried at fair value of $6.8 billion at December 31, 2020.
(2)    Includes non-accrual loan exposures and criticized unfunded exposures.
(3)    Excludes $162 million of past due loans primarily related to the delinquency-managed private bank portfolio.
(4)    Net credit losses (recoveries) are for the year ended December 31, 2020 and exclude delinquency-managed private bank credit losses of $10 million.
(5)    Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $38.8 billion of purchased credit protection, $36.8 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.0 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6)    Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $20.2 billion ($10.3 billion in funded, with more than 99% rated investment grade) at December 31, 2020.
(7)    In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2020, Citi’s total exposure to these energy-related entities was approximately $7.0 billion, of which approximately $3.8 billion consisted of direct outstanding funded loans.

80

Exposure to Commercial Real Estate
As of December 31, 2021, ICG’s total corporate credit exposure to commercial real estate (CRE) was $66 billion, with $44 billion consisting of direct outstanding funded loans (mainly included in the real estate and private bank categories in the above table), or 7% of Citi’s total outstanding loans. In addition, as of December 31, 2021, more than 70% of ICG’s total corporate CRE exposure was to borrowers in the U.S. Also as of December 31, 2021, approximately 77% of ICG’s total corporate CRE exposure was rated investment grade.
As of December 31, 2021, the ACLL was 0.9% of funded CRE exposure, including 2.4% of funded non-investment-grade exposure.

Of the total CRE exposure:

•$20 billion ($12 billion of direct outstanding funded loans) relates to Community Reinvestment Act-related lending provided pursuant to Citi’s regulatory requirements to meet the credit needs of borrowers in low and moderate income neighborhoods.
•$20 billion ($16 billion of direct outstanding funded loans) relates to exposure secured by mortgages on underlying properties or in well-rated securitization exposures.
•$15 billion ($5 billion of direct outstanding funded loans) relates to unsecured loans to large REITs, with nearly 74% of the exposure rated investment grade.
•$11 billion ($11 billion of direct outstanding funded loans) relates to CRE exposure in the private bank, of which 100% is secured by mortgages. In addition, 48% of the exposure is also full recourse to the client. As of December 31, 2021, 82% of the exposure was rated investment grade.


Credit Risk Mitigation
As part of its overall risk management activities, CitigroupCiti 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, 2017,2021, September 30, 20172021 and December 31, 2016, $16.3 billion, $22.2 billion and $29.5 billion, respectively, of2020, ICG (excluding the delinquency-managed private bank portfolio) had economic hedges on the corporate credit portfolio was economically hedged. Citigroup’sof $39.6 billion, $38.1 billion and $38.8 billion, respectively. Citi’s expected credit loss model used in the calculation of its loan loss reserveACL 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 ICG (excluding the delinquency-managed private bank portfolio) 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,
2021		September 30,
2021		December 31,
2020
AAA/AA/A23%16%16%AAA/AA/A35 %32 %30 %
BBB43
48
49
BBB49 47 48 
BB/B31
33
31
BB/B13 17 19 
CCC or below3
3
4
CCC or below3 4 3 
Total100%100%100%Total100 %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
Transportation and industrial27%27%29%
Energy and commodities15
17
20
Power, chemicals, metals and mining14
12
12
Technology, media and telecom12
14
13
Public sector12
8
5
Consumer retail and health10
12
10
Banks/broker-dealers6
5
4
Insurance and special purpose entities2
2
3
Other industries2
3
4
Total100%100%100%
























81

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
Corporate loans    
In U.S. offices    
Commercial and industrial loans$20,679
$18,474
$12,166
$51,319
Financial institutions15,767
14,085
9,276
39,128
Mortgage and real estate18,005
16,085
10,593
44,683
Installment, revolving credit and other13,369
11,945
7,867
33,181
Lease financing593
529
348
1,470
In offices outside the U.S.106,000
49,295
9,065
164,360
Total corporate loans$174,413
$110,413
$49,315
$334,141
Fixed/variable
pricing of corporate
loans with
maturities due after
one year(1)
    
Loans at fixed
interest rates
 $21,048
$15,276
 
Loans at floating or
adjustable interest
rates
 89,365
34,039
 
Total $110,413
$49,315
 
In millions of dollars at December 31, 2021Due within
1 year		Over 1 year
but within
5 years		Over 5 years
but within
15 years		Over
15 years		Total
Corporate loans
In North America offices(1)
Commercial and industrial loans$25,694 $24,878 $973 $454 $51,999 
Financial institutions50,299 16,534 91 12 66,936 
Mortgage and real estate(2)
12,385 5,948 5,460 39,564 63,357 
Installment, revolving credit and other13,090 13,454 2,573 26 29,143 
Lease financing95 230 88 — 413 
Total$101,563 $61,044 $9,185 $40,056 $211,848 
In offices outside the North America(1)
Commercial and industrial loans$75,502 $22,905 $4,650 $110 $103,167 
Financial institutions26,672 5,147 92 292 32,203 
Mortgage and real estate(2)
4,359 4,541 912 600 10,412 
Installment, revolving credit and other25,518 7,440 455 1,023 34,436 
Governments and official institutions792 2,183 843 605 4,423 
Lease financing1 23 18 — 42 
Total$132,844 $42,239 $6,970 $2,630 $184,683 
Corporate loans, net of unearned income(3)
$234,407 $103,283 $16,155 $42,686 $396,531 
Loans at fixed interest rates(4)
Commercial and industrial loans$6,003 $752 $96 
Financial institutions4,982 26 12 
Mortgage and real estate(2)
1,506 4,557 17,150 
Installment, revolving credit and other4,481 856 92 
Lease financing240 88 — 
Total$17,212 $6,279 $17,350 
Loans at floating or adjustable interest rates(4)
Commercial and industrial loans$41,780 $4,871 $468 
Financial institutions16,699 157 292 
Mortgage and real estate(2)
8,983 1,815 23,015 
Installment, revolving credit and other18,597 3,015 1,561 
Lease financing12 18 — 
Total$86,071 $9,876 $25,336 
Total fixed/variable pricing of corporate loans with maturities due after one year, net of unearned income(3)
$103,283 $16,155 $42,686 


(1)Based on contractual terms. Repricing characteristics may effectively
(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 ($799) million. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(4)    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.



82


Additional Consumer and Corporate Credit DetailsADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS


Loans Outstanding
December 31,
In millions of dollars20212020201920182017
Consumer loans
In North America offices(1)
Residential first mortgages(2)
$43,813 $47,778 $47,008 $47,412 $49,375 
Home equity loans(2)
5,101 7,128 9,223 11,543 14,827 
Credit cards133,868 130,385 149,163 144,542 139,718 
Personal, small business and other3,158 4,509 3,699 4,046 4,140 
Total$185,940 $189,800 $209,093 $207,543 $208,060 
In offices outside North America(1)
Residential mortgages(2)
$34,601 $39,969 $38,024 $36,388 $37,870 
Credit cards17,808 22,692 25,909 24,951 25,727 
Personal, small business and other32,887 36,378 36,522 33,478 34,157 
Total$85,296 $99,039 $100,455 $94,817 $97,754 
Consumer loans, net of unearned income(3)
$271,236 $288,839 $309,548 $302,360 $305,814 
Corporate loans
In North America offices(1)
Commercial and industrial$51,999 $57,731 $55,929 $60,861 $60,219 
Financial institutions66,936 55,809 53,922 48,447 39,128 
Mortgage and real estate(2)
63,357 60,675 53,371 50,124 44,683 
Installment and other29,143 26,744 31,238 32,425 31,932 
Lease financing413 673 1,290 1,429 1,470 
Total$211,848 $201,632 $195,750 $193,286 $177,432 
In offices outside North America(1)
Commercial and industrial$103,167 $104,072 $112,668 $114,029 $113,178 
Financial institutions32,203 32,334 40,211 36,837 35,273 
Mortgage and real estate(2)
10,412 11,371 9,780 7,376 7,309 
Installment and other34,436 33,759 27,303 25,685 22,638 
Lease financing42 65 95 103 190 
Governments and official institutions4,423 3,811 4,128 4,520 5,200 
Total$184,683 $185,412 $194,185 $188,550 $183,788 
Corporate loans, net of unearned income(4)
$396,531 $387,044 $389,935 $381,836 $361,220 
Total loans—net of unearned income$667,767 $675,883 $699,483 $684,196 $667,034 
Allowance for credit losses on loans (ACLL)(16,455)(24,956)(12,783)(12,315)(12,355)
Total loans—net of unearned income and ACLL$651,312 $650,927 $686,700 $671,881 $654,679 
ACLL as a percentage of total loans—
net of unearned income(5)
2.49 %3.73 %1.84 %1.81 %1.86 %
ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5)
5.02 %6.77 %3.20 %3.14 %3.08 %
ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5)
0.73 %1.42 %0.75 %0.74 %0.82 %

(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.
(3)Consumer loans are net of unearned income of $659 million, $749 million, $783 million, $742 million and $768 million at December 31, 2021, 2020, 2019, 2018 and 2017, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(4)Corporate loans include private bank loans and are net of unearned income of $(799) million, $(844) million, $(814) million, $(855) million and $(794) million at December 31, 2021, 2020, 2019, 2018 and 2017, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(5)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
83
 December 31,
In millions of dollars20172016201520142013
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
Total$215,711
$216,165
$202,968
$229,860
$244,094
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
Total

$117,208
$108,122
$121,656
$136,462
$146,766
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
Corporate loans     
In U.S. offices     
Commercial and industrial$51,319
$49,586
$46,011
$39,542
$36,993
Financial institutions39,128
35,517
36,425
36,324
25,130
Mortgage and real estate(1)
44,683
38,691
32,623
27,959
25,075
Installment, revolving credit and other33,181
34,501
33,423
29,246
34,467
Lease financing1,470
1,518
1,780
1,758
1,647
Total

$169,781
$159,813
$150,262
$134,829
$123,312
In offices outside the U.S.     
Commercial and industrial$93,750
$81,882
$82,689
$83,506
$86,147
Financial institutions35,273
26,886
28,704
33,269
38,372
Mortgage and real estate(1)
7,309
5,363
5,106
6,031
6,274
Installment, revolving credit and other22,638
19,965
20,853
19,259
18,714
Lease financing190
251
303
419
586
Governments and official institutions5,200
5,850
4,911
2,236
2,341
Total

$164,360
$140,197
$142,566
$144,720
$152,434
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
Total loans—net of unearned income$667,034
$624,369
$617,617
$644,635
$665,472
Allowance for loan losses—on drawn exposures(12,355)(12,060)(12,626)(15,994)(19,648)
Total loans—net of unearned income 
and allowance for credit losses		$654,679
$612,309
$604,991
$628,641
$645,824
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%
(1)Loans secured primarily by real estate.
(2)Unearned income on consumer loans primarily represents unamortized origination fees, 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)Unearned income on corporate loans primarily represents interest received in advance, but not yet earned on loans originated on a discount basis.
(4)All periods exclude loans that are carried at fair value.



Details of Credit Loss Experience

In millions of dollars20212020201920182017
Allowance for credit losses on loans (ACLL) at beginning of year$24,956 $12,783 $12,315 $12,355 $12,060 
Adjustments to opening balance:
Financial instruments—credit losses (CECL)(1)
— 4,201 — — — 
Variable post-charge-off third-party collection costs(2)
— (443)— — — 
Adjusted ACLL at beginning of year$24,956 $16,541 $12,315 $12,355 $12,060 
Provision for credit losses on loans (PCLL)
Consumer(2)
(966)11,765 7,751 7,258 7,329 
Corporate(2,137)4,157 467 96 174 
Total$(3,103)$15,922 $8,218 $7,354 $7,503 
Gross credit losses on loans
Consumer
In U.S. offices$4,055 $6,047 $6,538 $5,971 $5,664 
In offices outside the U.S. 2,143 2,144 2,316 2,351 2,377 
Corporate
Commercial and industrial, and other
In U.S. offices239 562 265 121 223 
In offices outside the U.S. 256 409 196 208 401 
Loans to financial institutions
In U.S. offices1 14 — 3 3 
In offices outside the U.S. 1 12 3 7 1 
Mortgage and real estate
In U.S. offices20 71 23 2 2 
In offices outside the U.S.5 4 — 2 2 
Total$6,720 $9,263 $9,341 $8,665 $8,673 
Credit recoveries on loans(2)
Consumer
In U.S. offices$1,204 $1,106 $975 $912 $892 
In offices outside the U.S. 494 460 503 502 552 
Corporate
Commercial and industrial, and other
In U.S. offices67 43 28 47 31 
In offices outside the U.S. 56 28 59 78 117 
Loans to financial institutions
In U.S. offices3 — — — 1 
In offices outside the U.S. 1 14 — 3 1 
Mortgage and real estate
In U.S. offices— — 8 6 2 
In offices outside the U.S. — 1 — 4 1 
Total$1,825 $1,652 $1,573 $1,552 $1,597 
Net credit losses on loans (NCLs)
In U.S. offices$3,041 $5,545 $5,815 $5,132 $4,966 
In offices outside the U.S. 1,854 2,066 1,953 1,981 2,110 
Total$4,895 $7,611 $7,768 $7,113 $7,076 
Other—net(3)(4)(5)(6)(7)(8)
$(503)$104 $18 $(281)$(132)
Allowance for credit losses on loans (ACLL) at end of year$16,455 $24,956 $12,783 $12,315 $12,355 
ACLL as a percentage of EOP loans(9)
2.49 %3.73 %1.84 %1.81 %1.86 %
Allowance for credit losses on unfunded lending commitments (ACLUC)(10)(11)
$1,871 $2,655 $1,456 $1,367 $1,258 
84

In millions of dollars20172016201520142013
Allowance for loan losses at beginning of period$12,060
$12,626
$15,994
$19,648
$25,455
Provision for loan losses     
Consumer$7,363
$6,321
$6,228
$6,699
$7,591
Corporate140
428
880
129
13
Total

$7,503
$6,749
$7,108
$6,828
$7,604
Gross credit losses     
Consumer     
In U.S. offices$5,736
$4,970
$5,500
$6,780
$8,402
In offices outside the U.S. 2,447
2,672
3,192
3,874
3,926
Corporate     
Commercial and industrial, and other     
In U.S. offices151
274
112
66
125
In offices outside the U.S. 331
256
182
310
216
Loans to financial institutions     
In U.S. offices3
5
—
2
2
In offices outside the U.S. 1
5
4
13
7
Mortgage and real estate     
In U.S offices2
34
8
8
62
In offices outside the U.S.2
6
43
55
29
Total

$8,673
$8,222
$9,041
$11,108
$12,769
Credit recoveries(1)
     
Consumer     
In U.S. offices$903
$980
$975
$1,122
$1,073
In offices outside the U.S. 583
614
659
853
1,008
Corporate     
Commercial and industrial, and other     
In U.S. offices20
23
22
64
62
In offices outside the U.S. 86
41
67
84
109
Loans to financial institutions     
In U.S. offices1
1
7
1
1
In offices outside the U.S. 1
1
2
11
20
Mortgage and real estate     
In U.S. offices2
1
7
—
31
In offices outside the U.S. 1
—
—
—
2
Total

$1,597
$1,661
$1,739
$2,135
$2,306
Net credit losses     
In U.S. offices$4,966
$4,278
$4,609
$5,669
$7,424
In offices outside the U.S. 2,110
2,283
2,693
3,304
3,039
Total$7,076
$6,561
$7,302
$8,973
$10,463
Other—net(2)(3)(4)(5)(6)(7)(8)
$(132)$(754)$(3,174)$(1,509)$(2,948)
Allowance for loan losses at end of period$12,355
$12,060
$12,626
$15,994
$19,648
Allowance for loan losses as a percentage of total loans(9)
1.87%1.94%2.06%2.50%2.97%
Allowance for unfunded lending commitments(8)(10)
$1,258
$1,418
$1,402
$1,063
$1,229
Total allowance for loan losses and unfunded lending commitments$13,613
$13,478
$14,028
$17,057
$20,877
Net consumer credit losses$6,697
$6,048
$7,058
$8,679
$10,247
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
Total ACLL and ACLUC$18,326 $27,611 $14,239 $13,682 $13,613 
Net consumer credit losses on loans$4,500 $6,625 $7,376 $6,908 $6,597 
As a percentage of average consumer loans1.66 %2.32 %2.49 %2.33 %2.22 %
Net corporate credit losses on loans$395 $986 $392 $205 $479 
As a percentage of average corporate loans0.10 %0.25 %0.10 %0.05 %0.14 %
ACLL by type at end of year(12)
Consumer$13,616 $19,554 $9,897 $9,504 $9,412 
Corporate2,839 5,402 2,886 2,811 2,943 
Total$16,455 $24,956 $12,783 $12,315 $12,355 


(1)On January 1, 2020, Citi adopted Accounting Standards Codification (ASC) 326, Financial Instruments—Credit Losses (CECL). The ASC introduces a new credit loss methodology requiring earlier recognition of credit losses while also providing additional disclosure about credit risk. On January 1, 2020, Citi recorded a $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 consumer ACL due to longer estimated tenors than under the incurred loss methodology under prior U.S. GAAP, net of recoveries; and (ii) a $0.8 billion decrease to the corporate ACL due to 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. See Note 1 to the Consolidated Financial Statements for further discussion on the impact of Citi’s adoption of CECL.
(2)Citi had a change in accounting related to its variable post-charge-off third-party collection costs that was recorded as an adjustment to its January 1, 2020 opening allowance for credit losses on loans of $443 million. See Note 1 to the Consolidated Financial Statements.
(3)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.
(4)2021 includes an approximate $280 million reclass related to Citi’s agreement to sell its consumer banking business in Australia and an approximate $90 million reclass related to Citi’s agreement to sell its consumer banking business in the Philippines. Those ACLL were reclassified to Other assets during 2021. 2021 also includes a decrease of approximately $134 million related to FX translation.
(5)2020 includes reductions of approximately $4 million related to the transfer to HFS of various real estate loan portfolios. In addition, 2020 includes an increase of approximately $97 million related to FX translation.
(6)2019 includes reductions of approximately $42 million related to the sale or transfer to HFS of various loan portfolios. In addition, 2019 includes a reduction of approximately $60 million related to FX translation.
(7)2018 includes reductions of approximately $201 million related to the sale or transfer to HFS of various loan portfolios, which include approximately $106 million related to the transfer of various real estate loan portfolios to HFS. In addition, 2017 includes an increase of approximately $115 million related to FX translation.
(8)2017 includes reductions of approximately $261 million related to the sale or transfer to HFS of various loan portfolios, which include approximately $106 million related to the transfer of various real estate loan portfolios to HFS. In addition, 2017 includes an increase of approximately $115 million related to FX translation.
(9)December 31, 2021, 2020, 2019, 2018 and 2017 exclude $6.1 billion, $6.9 billion, $4.1 billion, $3.2 billion and $4.4 billion, respectively, of loans which are carried at fair value.
(10)2020 corporate ACLUC includes a non-provision transfer of $68 million, representing reserves on performance guarantees. The reserves on these contracts were reclassified out of the ACL on unfunded lending commitments and into other liabilities.
(11)Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(12)Beginning in 2020, under CECL, the ACLL represents management’s estimate of expected credit losses in the portfolio and troubled debt restructurings. See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements below. Attribution of the ACLL is made for analytical purposes only and the entire ACLL is available to absorb credit losses in the overall portfolio. Prior to 2020, the ACLL represented management’s estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and TDRs. See “Superseded Accounting Principles” in Note 1 to the Consolidated Financial Statements.


85
As a percentage of average corporate loans0.12%0.17%0.08%0.10%0.08%
Allowance by type(11)
     
Consumer$9,869
$9,358
$9,835
$13,547
$16,974
Corporate2,486
2,702
2,791
2,447
2,674
Total Citigroup$12,355
$12,060
$12,626
$15,994
$19,648

(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)2017 includes reductions of approximately $261 million related to the sale or transfer to HFS of various loan portfolios, which includes approximately $106 million related to the transfer of various real estate loan portfolios to HFS. Additionally, 2017 includes an increase of approximately $115 million related to FX translation.
(4)2016 includes reductions of approximately $574 million related to the sale or transfer to HFS of various loan portfolios, which includes approximately $106 million related to the transfer of various real estate loan portfolios to HFS. Additionally, 2016 includes a reduction of approximately $199 million related to FX translation.
(5)2015 includes reductions of approximately $2.4 billion related to the sale or transfer to HFS of various loan portfolios, which includes approximately $1.5 billion related to the transfer of various real estate loan portfolios to HFS. Additionally, 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 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, 2017, December 31, 2016, December 31, 2015, December 31, 2014 and December 31, 2013 exclude $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 LoanCredit Losses on Loans (ACLL)
The following tables detail information on Citi’s allowance for loan losses,ACLL, loans and coverage ratios:

 December 31, 2021
In billions of dollarsACLLEOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
Consumer
North America cards(2)
$10.8 $133.8 8.1 %
North America mortgages(3)
0.2 48.9 0.4 
North America other
0.3 3.2 9.4 
International cards1.2 17.8 6.7 
International other(4)
1.2 67.5 1.8 
Total$13.7 $271.2 5.1 %
Corporate
Commercial and industrial$1.5 $151.1 1.0 %
Financial institutions0.3 98.9 0.3 
Mortgage and real estate0.7 73.8 0.9 
Installment and other0.3 66.7 0.4 
Total$2.8 $390.5 0.7 %
Loans at fair value(1)
N/A$6.1 N/A
Total Citigroup$16.5 $667.8 2.5 %

(1)Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both branded cards and retail services. The $10.8 billion of loan loss reserves represented approximately 63 months of coincident net credit loss coverage. As of December 31, 2021, North America branded cards ACLL as a percentage of EOP loans was 7.1% and North America retail services ACLL as a percentage of EOP loans was 10.0%.
(3)Of the $0.2 billion, approximately $0.1 billion and $0.1 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $48.9 billion in loans, approximately $47.5 billion and $1.4 billion of the loans were 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, 2020
In billions of dollarsACLLEOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
Consumer
North America cards(2)
$14.7 $130.4 11.3 %
North America mortgages(3)
0.7 54.9 1.3 
North America other
0.3 4.5 6.7 
International cards2.1 22.7 9.3 
International other(4)
1.8 76.3 2.4 
Total$19.6 $288.8 6.8 %
Corporate
Commercial and industrial$3.6 $156.3 2.3 %
Financial institutions0.4 87.7 0.5 
Mortgage and real estate1.1 72.1 1.5 
Installment and other0.3 64.1 0.5 
Total$5.4 $380.2 1.4 %
Loans at fair value(1)
N/A$6.9 N/A
Total Citigroup$25.0 $675.9 3.7 %

(1)Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both branded cards and retail services. The $14.7 billion of loan loss reserves represented approximately 53 months of coincident net credit loss coverage. As of December 31, 2020, North America branded cards ACLL as a percentage of EOP loans was 10.0% and North America retail services ACLL as a percentage of EOP loans was 13.6%.
(3)Of the $0.7 billion, nearly all was allocated to North America mortgages in Corporate/Other, including approximately $0.5 billion and $0.2 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $54.9 billion in loans, approximately $53.0 billion and $1.9 billion of the loans were 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.
86

 December 31, 2017
In billions of dollars
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%
North America mortgages(3)
0.7
64.2
1.1
North America other
0.3
13.0
2.3
International cards1.3
25.7
5.1
International other(4)
1.5
91.1
1.6
Total consumer$9.9
$333.7
3.0%
Total corporate2.5
333.3
0.8
Total Citigroup$12.4
$667.0
1.9%
The following table details Citi’s corporate credit allowance for credit losses on loans (ACLL) by industry exposure as of December 31, 2021:
(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 billion of loan loss reserves represented approximately 16 months of coincident net credit loss coverage.
(3)
Of the $0.7 billion, approximately $0.6 billion was allocated to North America mortgages in Corporate/Other. Of the $0.7 billion, approximately $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 billion in loans, approximately $60.4 billion and $3.7 billion of the loans are 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.


In millions of dollars, except percentages
Funded exposure(1)
ACLLACLL as a % of funded exposure
Transportation and industrials$51,502 $597 1.16 %
Private bank79,684 145 0.18 
Consumer retail32,894 288 0.88 
Technology, media and telecom28,542 170 0.60 
Real estate46,220 509 1.10 
Power, chemicals, metals and mining20,224 151 0.75 
Banks and finance companies36,804 197 0.54 
Energy and commodities13,485 268 1.99 
Health8,826 73 0.83 
Public sector12,464 74 0.59 
Insurance3,162 8 0.25 
Asset managers and funds6,649 34 0.51 
Financial markets infrastructure109 — — 
Securities firms613 10 1.63 
Other industries2,802 28 1.00 
Total classifiably managed loans(2)
$343,980 $2,552 0.74 %
Loans managed on a delinquency basis(3)
$46,481 $287 0.62 %
Total$390,461 $2,839 0.73 %

(1)    Funded exposure excludes loans carried at fair value of $6.1 billion that are not subject to ACLL under the CECL standard.
(2)    As of December 31, 2021, the ACLL shown above reflects coverage of 0.4% of funded investment-grade exposure and 2.3% of funded non-investment-grade exposure.
(3)    Primarily associated with delinquency-managed private bank loans including non-rated mortgage and real estate loans to private banking clients at December 31, 2021.

The following table details Citi’s corporate credit allowance for credit losses on loans (ACLL) by industry exposure as of December 31, 2020:

In millions of dollars, except percentages
Funded exposure(1)
ACLLACLL as a % of funded exposure
Transportation and industrials$58,352 $1,558 2.67 %
Private bank75,693 224 0.30 
Consumer retail34,621 563 1.63 
Technology, media and telecom29,821 407 1.36 
Real estate42,711 718 1.68 
Power, chemicals, metals and mining20,156 312 1.55 
Banks and finance companies29,570 219 0.74 
Energy and commodities14,009 523 3.73 
Health8,575 144 1.68 
Public sector13,416 172 1.28 
Insurance1,925 7 0.36 
Asset managers and funds4,491 22 0.49 
Financial markets infrastructure229 — — 
Securities firms430 10 2.33 
Other industries4,247 122 2.87 
Total classifiably managed loans(2)
$338,246 $5,001 1.48 %
Loans managed on a delinquency basis(3)
$41,958 $401 0.96 %
Total$380,204 $5,402 1.42 %

(1)    Funded exposure excludes loans carried at fair value of $6.8 billion that are not subject to ACLL under the CECL standard.
(2)    As of December 31, 2021, the ACLL shown above reflects coverage of 0.5% of funded investment-grade exposure and 4.4% of funded non-investment-grade exposure.
(3)    Primarily associated with delinquency-managed private bank loans including non-rated mortgage and real estate loans to private banking clients at December 31, 2020.
87
 December 31, 2016
In billions of dollars
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%
North America mortgages(3)
1.1
72.6
1.5
North America other
0.5
13.6
3.7
International cards1.2
23.1
5.2
International other(4)
1.4
82.5
1.7
Total consumer$9.4
$325.1
2.9%
Total corporate2.7
299.3
0.9
Total Citigroup$12.1
$624.4
1.9%
(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 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.
(3)
Of the $1.1 billion, approximately $1.0 billion was allocated to North America mortgages in Corporate/Other. Of the $1.1 billion, approximately $0.4 billion and $0.7 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $72.6 billion in loans, approximately $67.7 billion and $4.8 billion of the loans are 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 principal and not reflected as interest income. Approximately 74%, 69% and 64% ofpayments. Citi’s corporate non-accrual loans were $1.9 billion, $2.4 billion and $3.5 billion as of December 31, 2021, September 30, 2021 and December 31, 2020, respectively. Of these, approximately 54%, 56% and 59% were performing at December 31, 2017,2021, September 30, 20172021 and December 31, 2016,2020, 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 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.


88


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 dollars20172016201520142013In millions of dollars20212020201920182017
Corporate non-accrual loans(1)(2)
 
Corporate non-accrual loans(1)
Corporate non-accrual loans(1)
North America$784
$984
$818
$321
$735
North America$801 $1,928 $1,214 $586 $966 
EMEA849
904
347
285
812
EMEA399 661 430 375 849 
Latin America280
379
303
417
132
Latin America568 719 473 307 348 
Asia29
154
128
179
279
Asia109 219 71 243 70 
Total corporate non-accrual loans$1,942
$2,421
$1,596
$1,202
$1,958
Total corporate non-accrual loans$1,877 $3,527 $2,188 $1,511 $2,233 
Consumer non-accrual loans(1)(3)
 
Consumer non-accrual loans(1)
Consumer non-accrual loans(1)
North America$1,650
$2,160
$2,515
$4,411
$5,239
North America$759 $1,059 $905 $1,138 $1,468 
Latin America756
711
874
1,188
1,420
Latin America524 774 632 638 688 
Asia(4)
284
287
269
306
386
Asia(2)
Asia(2)
219 308 279 250 243 
Total consumer non-accrual loans$2,690
$3,158
$3,658
$5,905
$7,045
Total consumer non-accrual loans$1,502 $2,141 $1,816 $2,026 $2,399 
Total non-accrual loans $4,632
$5,579
$5,254
$7,107
$9,003
Total non-accrual loans$3,379 $5,668 $4,004 $3,537 $4,632 
(1)Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $167 million at December 31, 2017, $187 million at December 31, 2016, $250 million at December 31, 2015, $421 million at December 31, 2014 and $703 million at December 31, 2013.
(2)
The 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.
(3) 2015 decline includes the impact related
(1)For years prior to the transfer2020, excludes purchased credit-deteriorated loans, as they are generally accruing interest. The carrying value of approximately $8 billion of mortgagethese loans to Loans HFS (included within Other assets).was $128 million at December 31, 2019, $128 million at December 31, 2018 and $167 million at December 31, 2017.
(4) (2)    Asia GCB includes balances in certain EMEA countries for all periods presented.

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


Year endedYear ended
December 31, 2021December 31, 2020
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of year$3,527 $2,141 $5,668 $2,188 $1,816 $4,004 
Additions1,708 2,018 3,726 5,103 2,829 7,932 
Sales and transfers to HFS(405)(199)(604)(2)(95)(97)
Returned to performing(217)(615)(832)(157)(389)(546)
Paydowns/settlements(2,215)(630)(2,845)(3,117)(677)(3,794)
Charge-offs(493)(1,180)(1,673)(446)(1,132)(1,578)
Other(28)(33)(61)(42)(211)(253)
Ending balance$1,877 $1,502 $3,379 $3,527 $2,141 $5,668 

 Year endedYear ended
 December 31, 2017December 31, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,421
$3,158
$5,579
$1,596
$3,658
$5,254
Additions1,347
3,508
4,855
2,713
4,460
7,173
Sales and transfers to held-for-sale(134)(379)(513)(82)(738)(820)
Returned to performing(47)(634)(681)(150)(606)(756)
Paydowns/settlements(1,400)(1,163)(2,563)(1,198)(1,648)(2,846)
Charge-offs(144)(1,869)(2,013)(386)(1,855)(2,241)
Other(101)69
(32)(72)(113)(185)
Ending balance$1,942
$2,690
$4,632
$2,421
$3,158
$5,579


Non-Accrual Assets89

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 dollars20172016201520142013In millions of dollars20212020201920182017
OREO(1)
 
OREOOREO
North America$89
$161
$166
$196
$304
North America$15 $19 $39 $64 $89 
EMEA2
—
1
7
59
EMEA— — 1 1 2 
Latin America35
18
38
47
47
Latin America8 7 14 12 35 
Asia18
7
4
10
6
Asia4 17 7 22 18 
Total OREO$144
$186
$209
$260
$416
Total OREO$27 $43 $61 $99 $144 
Non-accrual assets Non-accrual assets
Corporate non-accrual loans$1,942
$2,421
$1,596
$1,202
$1,958
Corporate non-accrual loans$1,877 $3,527 $2,188 $1,511 $2,233 
Consumer non-accrual loans(2)
2,690
3,158
3,658
5,905
7,045
1,502 2,141 1,816 2,026 2,399 
Non-accrual loans (NAL)$4,632
$5,579
$5,254
$7,107
$9,003
Non-accrual loans (NAL)$3,379 $5,668 $4,004 $3,537 $4,632 
OREO$144
$186
$209
$260
$416
OREO$27 $43 $61 $99 $144 
Non-accrual assets (NAA)$4,776
$5,765
$5,463
$7,367
$9,419
Non-accrual assets (NAA)$3,406 $5,711 $4,065 $3,636 $4,776 
NAL as a percentage of total loans0.69%0.89%0.85%1.10%1.35%NAL as a percentage of total loans0.51 %0.84 %0.57 %0.52 %0.69 %
NAA as a percentage of total assets0.26
0.32
0.32
0.40
0.50
NAA as a percentage of total assets0.15 0.25 0.21 0.19 0.26 
Allowance for loan losses as a percentage of NAL(3)
267
216
240
225
218
ACLL as a percentage of NAL(1)
ACLL as a percentage of NAL(1)
487 440 319 348 267 

(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.



(1)The ACLL 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, prior to 2020, include purchased credit-deteriorated loans as these continue to accrue interest until charge-off.



90

Renegotiated Loans
The following table presents Citi’s loans modified in TDRs:

In millions of dollarsDec. 31, 2021Dec. 31, 2020
Corporate renegotiated loans(1)
 
In U.S. offices 
Commercial and industrial(2)
$103 $193 
Mortgage and real estate51 60 
Financial institutions— — 
Other32 30 
Total$186 $283 
In offices outside the U.S.
Commercial and industrial(2)
$133 $132 
Mortgage and real estate22 32 
Financial institutions— — 
Other9 3 
Total$164 $167 
Total corporate renegotiated loans$350 $450 
Consumer renegotiated loans(3)
In U.S. offices
Mortgage and real estate$1,422 $1,904 
Cards1,269 1,449 
Installment and other26 33 
Total$2,717 $3,386 
In offices outside the U.S.
Mortgage and real estate$223 $361 
Cards313 533 
Installment and other428 519 
Total$964 $1,413 
Total consumer renegotiated loans$3,681 $4,799 

(1)Includes $321 million and $415 million of non-accrual loans included in the non-accrual loans table above at December 31, 2021 and 2020, respectively. The remaining loans were accruing interest.
(2)In addition to modifications reflected as TDRs at December 31, 2021 and 2020, Citi also modified none and $47 million, respectively, of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices outside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession or because the modifications qualified for exemptions from TDR accounting provided by the CARES Act or the interagency guidance.
(3)Includes $627 million and $873 million of non-accrual loans included in the non-accrual loans table above at December 31, 2021 and 2020, respectively. The remaining loans were accruing interest.








In millions of dollarsDec. 31, 2017Dec. 31, 2016
Corporate renegotiated loans(1)
  
In U.S. offices  
Commercial and industrial(2)
$225
$89
Mortgage and real estate90
84
Financial institutions33
9
Other45
228
 $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 corporate renegotiated loans$818
$732
Consumer renegotiated loans(3)(4)(5)
  
In U.S. offices  
Mortgage and real estate(6)
$3,709
$4,695
Cards1,246
1,313
Installment and other169
117
 $5,124
$6,125
In offices outside the U.S.  
Mortgage and real estate$345
$447
Cards541
435
Installment and other427
443
 $1,313
$1,325
Total consumer renegotiated loans$6,437
$7,450
(1)Includes $715 million and $445 million of non-accrual loans included in the non-accrual loans table above at December 31, 2017 and December 31, 2016, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at December 31, 2017 and December 31, 2016, Citi also modified $51 million and $257 million, respectively, and $95 million and $217 million, 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).
(3)Includes $1,376 million and $1,502 million of non-accrual loans included in the non-accrual loans table above at December 31, 2017 and 2016, 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		2021
total
Interest revenue that would have been accrued at original contractual rates(2)
$343 $346 $689 
Amount recognized as interest revenue(2)
166 189 355 
Forgone interest revenue$177 $157 $334 

(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.

91
In millions of dollarsIn U.S.
offices		In non-
U.S.
offices		2017
total
Interest revenue that would have been accrued at original contractual rates(2)
$637
$416
$1,053
Amount recognized as interest revenue(2)
299
133
432
Forgone interest revenue$338
$283
$621


(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”Factors—Liquidity Risks” 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
the•Citi’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.Limited. 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 funding sources of funding include (i) corporate and consumer deposits via Citi’s bank subsidiaries, which are Citi’s most stable and lowest cost source of long-term funding,including Citibank, N.A. (Citibank), (ii) long-term debt (primarily senior and subordinated debt) primarilymainly issued atby Citigroup Inc., as the parent, and certain bank subsidiaries,Citibank, 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 excesssufficient 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 oversight provided by Independent Risk Management and various Asset & Liability Committees (ALCOs) at the Citigroup, region, country and business levels. Pursuant to this approach, Citi’s HQLA is managed with emphasis on asset-liability management and entity-level liquidity adequacy throughout Citi.
Citi’s CRO and Chief RiskFinancial 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),Citigroup’s ALCO, which includes Citi’s Treasurer and other senior executives. The ALCO sets the strategy of the liquidity portfolio and monitors its performance.portfolio performance (for additional information about the ALCO, see “Risk Governance—Board and Executive Management Committees” above). Significant changes to portfolio asset allocations need to beare approved by the ALCO. Citi also has other ALCOs, which are established at various organizational levels to ensure appropriate oversight for countries, franchise businesses and regions, serving as the primary governance committees for managing Citi’s balance sheet and liquidity.

As a supplement to ALCO, Citi’s Funding and Liquidity Risk Committee (FLRC) is a more focused assembly for funding and liquidity risk matters. The FLRC reviews and discusses the funding and liquidity risk profile of, as well as risk management practices for Citigroup and Citibank and reports its findings and recommendations to each relevant ALCO as appropriate.

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. 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.




92

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, 2016In billions of dollarsDec. 31, 2021Sept. 30, 2021Dec. 31, 2020Dec. 31, 2021Sept. 30, 2021Dec. 31, 2020Dec. 31, 2021Sept. 30, 2021Dec. 31, 2020
Available cash$94.3
$92.7
$80.9
$30.9
$32.9
$18.4
$125.2
$125.6
$99.2
Available cash$253.6 $255.1 $304.3 $2.6 $3.5 $2.1 $256.2 $258.6 $306.4 
U.S. sovereign113.2
108.4
113.6
27.9
26.6
22.5
141.1
135.0
136.1
U.S. sovereign119.6 108.9 77.8 63.1 64.3 64.8 182.7 173.2 142.6 
U.S. agency/agency MBS80.8
68.1
62.8
0.5
0.6
0.1
81.3
68.7
63.0
U.S. agency/agency MBS45.0 45.3 31.8 5.7 6.0 6.5 50.7 51.3 38.3 
Foreign government debt(1)
80.5
101.3
87.5
16.4
16.3
15.5
96.9
117.6
103.0
Foreign government debt(1)
48.9 50.2 39.6 13.6 11.2 16.2 62.5 61.4 55.8 
Other investment grade0.7
0.5
0.9
1.2
1.2
1.5
1.9
1.7
2.5
Other investment grade1.6 1.8 1.2 0.8 0.3 0.5 2.4 2.1 1.7 
Total HQLA (AVG)$369.5
$371.0
$345.7
$76.9
$77.6
$58.0
$446.4
$448.6
$403.7
Total HQLA (AVG)$468.7 $461.2 $454.7 $85.8 $85.3 $90.1 $554.5 $546.5 $544.8 


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.
(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 primarily include government bonds from Hong Kong, Singapore, Korea, India and Mexico.

As set forth inapplicable under the U.S. LCR rule. The table above Citi’s total 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 loan growth, partially offset by growth in deposits.
Citi’s HQLA as set forth above does not include Citi’s available borrowing capacity fromincorporates various restrictions that could limit the Federal Home Loan Banks (FHLB)transferability of which Citi is a member, which was approximately $10 billion as of December 31, 2017 (compared to $16 billion as of September 30, 2017 and $21 billion as of December 31, 2016) 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.
In general, Citi’s liquidity is fungible acrossbetween legal entities, within its bank group. Citi’s bank subsidiaries, including Citibank, can lend to the Citi parent and broker-dealer entities in accordance with 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 principally include government bonds from Japan, Mexico, South Korea, India and Hong Kong.

The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation 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 quarter-over-quarter as of the fourth quarter of 2021, primarily reflecting an increase in deposits.
As of December 31, 2017,2021, Citigroup had $961 billion of available liquidity resources to support client and business needs, including end-of-period HQLA assets; additional unencumbered securities, including excess liquidity held at bank entities that is non-transferable to other entities within Citigroup; and available assets not already accounted for within Citi’s HQLA to support Federal Home Loan Bank (FHLB) and Federal Reserve Bank discount window borrowing capacity.

Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)
In addition to internal 30-day liquidity stress testing performed for Citi’s major entities, operating subsidiaries and countries, Citi also monitors its liquidity by reference to the capacity availableLCR.
The LCR is calculated by dividing HQLA by estimated net outflows assuming a stressed 30-day period, with the net outflows determined by standardized stress outflow and inflow rates prescribed in the LCR rule. The outflows are partially offset by contractual inflows from assets maturing within 30 days. Similar to outflows, the inflows are calculated based on prescribed factors to various assets categories, such as retail loans as well as unsecured and secured wholesale lending. 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 lending to these entities under Section 23A was approximately $15 billion, unchanged from both September 30, 2017 andthe periods indicated:

In billions of dollarsDec. 31, 2021Sept. 30, 2021Dec. 31, 2020
HQLA$554.5 $546.5 $544.8 
Net outflows482.9 474.8 460.7 
LCR115 %115 %118 %
HQLA in excess of net outflows$71.6 $71.7 $84.1 

Note: The amounts are presented on an average basis.

As of December 31, 2016, subject2021, Citi’s average LCR was unchanged sequentially, as Citi’s average HQLA and net outflows increased proportionately.

93

Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
As previously disclosed, in October 2020, the U.S. banking agencies adopted a final rule to certain eligible non-cash collateral requirements.assess the availability of a bank’s stable funding against a required level.

In general, a bank’s available stable funding includes portions of equity, deposits and long-term debt, while its required stable funding will be based on the liquidity characteristics of its assets, derivatives and commitments. Standardized weightings are required to be applied to the various asset and liabilities classes. The ratio of available stable funding to required stable funding is required to be greater than 100%.
The final rule became effective beginning July 1, 2021, while public disclosure requirements to report the ratio will occur on a semiannual basis beginning June 30, 2023. Citi was in compliance with the final rule as of December 31, 2021.

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, 2016In billions of dollarsDec. 31, 2021Sept. 30, 2021Dec. 31, 2020
Global Consumer Banking Global Consumer Banking
North America$189.7
$186.7
$182.0
North America$176.8 $173.8 $179.4 
Latin America25.7
26.8
23.5
Latin America13.0 13.2 14.3 
Asia(1)
87.9
86.2
81.9
Asia(1)
72.5 75.9 82.4 
Total$303.3
$299.7
$287.4
Total$262.3 $262.9 $276.1 
Institutional Clients Group Institutional Clients Group
Corporate lending124.8
123.3
118.9
Corporate lending$127.5 $129.2 $146.2 
Treasury and trade solutions (TTS)77.0
74.9
71.5
Treasury and trade solutions (TTS)76.3 73.7 67.1 
Private Bank85.9
82.6
75.2
Private bankPrivate bank124.5 125.9 113.3 
Markets and securities services and other
40.4
40.1
38.6
Markets and securities services and other
72.5 72.0 56.1 
Total$328.2
$320.9
$304.3
Total$400.8 $400.8 $382.7 
Total Corporate/Other
23.6
25.8
34.6
Total Corporate/Other
$4.3 $4.7 $7.4 
Total Citigroup loans (AVG)$655.1
$646.3
$626.3
Total Citigroup loans (AVG)$667.4 $668.5 $666.2 
Total Citigroup loans (EOP)$667.0
$653.2
$624.4
Total Citigroup loans (EOP)$667.8 $664.8 $676.1 

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



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

As set forth inof the table above, end-of-periodfourth quarter of 2021, end-of period loans increased 7%declined 1% year-over-year and 2% sequentially in the fourth quarter. were largely unchanged quarter-over-quarter.
On an average basis, loans increased 5%were largely unchanged both year-over-year and 1% sequentially.
Excluding the impact of FX translation, average loans increased 3%1% year-over-year and were largely unchanged sequentially. On this basis, average GCB loans declined 4% year-over-year, primarily reflecting the reclassification of loans to held-for-sale as a result of Citi’s
entry into agreements to sell its consumer banking businesses in Australia and the Philippines.
Excluding the impact of FX translation, average ICG loans increased 5% year-over-year. Loans in corporate lending declined 12% on an average basis, reflecting net repayments as Citi continued to assist its clients in accessing the capital markets, as well as lower demand. Private bank loans increased 10%, largely driven by 5% aggregate across GCBincreased secured lending to high-net-worth clients. Markets and ICG. Within GCB, loans grew 4%, with growth across all regions.
Average ICGsecurities services loans increased 6% year-over-year, driven primarily by client-led growth29%, reflecting an increase in the private bank. Treasurysecuritization financing. TTS loans increased 15%, reflecting an increase in trade flows and trade solutions and corporate lending increased 6% and 4%, respectively, both driven by growth in Asia and EMEA.originations.
Average Corporate/Other loans decreased 32% year-over-year,continued to decline (down 46%), 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, 2016In billions of dollarsDec. 31, 2021Sept. 30, 2021Dec. 31, 2020
Global Consumer Banking 
Global Consumer Banking(1)
Global Consumer Banking(1)
North America$182.7
$184.1
$186.0
North America$214.0 $208.4 $188.9 
Latin America27.8
28.8
25.2
Latin America23.8 24.2 24.3 
Asia(1)
96.0
95.2
89.9
Asia(2)
Asia(2)
117.2 120.7 120.0 
Total$306.5
$308.1
$301.1
Total$355.0 $353.3 $333.2 
Institutional Clients Group Institutional Clients Group
Treasury and trade solutions (TTS)444.5
427.8
415.4
Treasury and trade solutions (TTS)$690.6 $674.8 $686.5 
Banking ex-TTS126.9
122.4
122.4
Banking ex-TTS
188.2 179.5 163.2 
Markets and securities services82.9
84.7
81.7
Markets and securities services129.3 127.2 109.3 
Total$654.4
$634.9
$619.5
Total$1,008.1 $981.6 $959.0 
Total Corporate/Other
12.4
22.9
14.6
Corporate/OtherCorporate/Other$7.2 $8.2 $13.1 
Total Citigroup deposits (AVG)$973.3
$965.9
$935.1
Total Citigroup deposits (AVG)$1,370.3 $1,343.0 $1,305.3 
Total Citigroup deposits (EOP)$959.8
$964.0
$929.4
Total Citigroup deposits (EOP)$1,317.2 $1,347.5 $1,280.7 
(1)
Includes deposits in certain EMEA countriesfor all periods presented.


(1)Reflects deposits within retail banking.
(2)Includes deposits in certain EMEA countriesfor all periods presented.

End-of-period deposits increased 3% year-over-year and remained unchanged sequentially indeclined 2% sequentially.
As of the fourth quarter. Onquarter of 2021, on an average basis, deposits increased 4%5% year-over-year and 1%2% sequentially.
Excluding the impact of FX translation, average deposits increasedgrew 6% from the prior-year period and 3% sequentially. The year-over-year driven primarily by 6% growth in TTS,increase reflected continued client engagement as well as 4% aggregatethe elevated level of liquidity in the financial system. Excluding the impact of FX translation, average deposits in GCB increased 7%, with continued strong growth in Asia GCB and Latin America GCB. North America GCB.
Excluding the impact of FX translation, average deposits declined 2%in ICG grew 6% year-over-year, with half ofstrong growth in 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.private bank and securities services.



94

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-yearmultiyear 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 6.88.6 years as of December 31, 2017,2021, unchanged sequentially and a modest decline from 7.0 years from the prior quarter and 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 supplementscomplements benchmark debt issuance as a source of funding for Citi’s parentnon-bank entities. Citi’s long-term debt at the bank also includes Citibank benchmark senior debt, FHLB advancesborrowings 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, 2016In billions of dollarsDec. 31, 2021Sept. 30, 2021Dec. 31, 2020
Parent and other(1)
   
Non-bank(1)
Non-bank(1)
Benchmark debt: Benchmark debt:
Senior debt$109.8
$109.8
$99.9
Senior debt$117.8 $123.9 $126.2 
Subordinated debt26.9
27.0
26.8
Subordinated debt25.7 26.0 27.1 
Trust preferred1.7
1.7
1.7
Trust preferred1.7 1.7 1.7 
Customer-related debt30.7
30.3
25.8
Customer-related debt78.3 74.7 65.2 
Local country and other(2)
1.8
1.8
2.5
Local country and other(2)
7.3 7.2 6.7 
Total parent and other$170.9
$170.6
$156.7
Total non-bankTotal non-bank$230.8 $233.5 $226.9 
Bank  Bank
FHLB borrowings$19.3
$19.8
$21.6
FHLB borrowings$5.3 $5.8 $10.9 
Securitizations(3)
30.3
28.6
23.5
Securitizations(3)
9.6 11.0 16.6 
CBNA benchmark senior debt12.5
9.5
—
Citibank benchmark senior debtCitibank benchmark senior debt3.6 3.6 13.6 
Local country and other(2)
3.7
4.2
4.4
Local country and other(2)
5.1 4.3 3.6 
Total bank$65.8
$62.1
$49.5
Total bank$23.6 $24.7 $44.7 
Total long-term debt$236.7
$232.7
$206.2
Total long-term debt$254.4 $258.2 $271.7 

Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which,that, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)“Parent and 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 “parent and other” included $18.7 billion of long-term debt issued by Citi’s broker-dealer subsidiaries.
(2)Local country debt includes debt issued by Citi’s affiliates in support of their local operations.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

(1)Non-bank 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, 2021, non-bank included $65.9 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries, as well as certain Citigroup consolidated hedging activities.
(2)Local country and other includes debt issued by Citi’s affiliates in support of their local operations. Within non-bank, certain secured financing is also included. Within bank, borrowings under certain U.S. government-sponsored liquidity programs are also included.
(3)Predominantly credit card securitizations, primarily backed by branded credit card receivables.

As of the fourth quarter of 2021, Citi’s total long-term debt outstanding increased bothdecreased year-over-year, and quarter-over-quarter. The increase year-over-year was primarily driven by an increasedeclines in unsecured benchmark senior debt at

the parent,non-bank entities and the bank, as well as increasessecuritizations and FHLB borrowings at the bank. The decrease in both Citibanktotal long-term debt was partially offset by the issuance of customer-related debt at the non-bank entities. Sequentially, long-term debt outstanding decreased, driven primarily by decreases in unsecured benchmark senior debt at the non-bank entities and securitizations at the bank. In addition,bank, partially offset by the year-over-year increase in outstandingissuance of 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.non-bank entities.
As part of its liability management, Citi also has considered, and may continue to consider, opportunities to redeem or repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such redemptions and repurchases help reduce Citi’s overall funding costs and assist it in meeting regulatory changes and requirements.costs. During 2017,2021, Citi redeemed or repurchased an aggregate of approximately $2.6$33.8 billion of its outstanding long-term debt, including early redemptions of FHLB advances.debt.


95

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:

201720162015 202120202019
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesIn billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent and other      
Non-bankNon-bank
Benchmark debt:     Benchmark debt:
Senior debt$14.1
$21.6
$14.9
$26.0
$23.9
$20.2
Senior debt$17.6 $15.4 $6.5 $20.4 $16.5 $16.2 
Subordinated debt1.6
1.3
3.2
4.0
4.0
7.5
Subordinated debt— — — — — — 
Trust preferred—
—
—
—
—
—
Trust preferred— — — — — — 
Customer-related debt7.6
12.3
10.2
10.5
9.9
9.5
Customer-related debt31.2 48.7 27.7 36.8 12.7 25.1 
Local country and other1.1
0.1
2.1
2.2
0.4
1.9
Local country and other3.3 3.6 2.4 1.4 1.1 5.4 
Total parent and other$24.5
$35.3
$30.4
$42.7
$38.2
$39.1
Total non-bankTotal non-bank$52.1 $67.7 $36.6 $58.6 $30.3 $46.7 
Bank     Bank
FHLB borrowings$7.8
$5.5
$10.5
$14.3
$4.0
$2.0
FHLB borrowings$5.7 $— $7.5 $12.9 $7.1 $2.1 
Securitizations5.3
12.2
10.7
3.3
7.9
0.8
Securitizations6.1 — 4.6 0.3 7.9 0.1 
CBNA benchmark senior debt—
12.6
—
—
—
—
Citibank benchmark senior debtCitibank benchmark senior debt9.8 — 9.8 — 4.8 8.8 
Local country and other3.4
2.3
3.9
3.4
2.8
2.7
Local country and other1.2 2.9 4.9 4.6 0.9 1.4 
Total bank$16.5
$32.6
$25.1
$21.0
$14.7
$5.5
Total bank$22.8 $2.9 $26.8 $17.8 $20.7 $12.4 
Total$41.0
$68.0
$55.5
$63.7
$52.9
$44.6
Total$74.9 $70.6 $63.4 $76.4 $51.0 $59.1 


The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) in 2017,2021, as well as its aggregate expected annualremaining long-term debt maturities by year as of December 31, 2017:2021:

 Maturities
In billions of dollars202120222023202420252026ThereafterTotal
Non-bank
Benchmark debt:
Senior debt$17.6 $8.2 $12.6 $11.0 $10.7 $18.2 $57.1 $117.8 
Subordinated debt— 0.8 1.3 1.0 5.2 2.6 14.8 25.7 
Trust preferred— — — — — — 1.7 1.7 
Customer-related debt31.2 11.9 10.2 8.5 4.9 5.5 37.3 78.3 
Local country and other3.3 2.3 2.2 0.1 — 0.7 1.8 7.3 
Total non-bank$52.1 $23.2 $26.3 $20.6 $20.8 $27.0 $112.7 $230.8 
Bank
FHLB borrowings$5.7 $5.3 $— $— $— $— $— $5.3 
Securitizations6.1 2.1 3.3 1.4 0.4 — 2.4 9.6 
Citibank benchmark senior debt9.8 0.9 — 2.7 — — — 3.6 
Local country and other1.2 1.5 0.9 0.9 0.1 0.1 1.6 5.1 
Total bank$22.8 $9.8 $4.2 $5.0 $0.5 $0.1 $4.0 $23.6 
Total long-term debt$74.9 $33.0 $30.5 $25.6 $21.3 $27.1 $116.7 $254.4 
 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
96


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 Federal Reserve Board 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. Code in the event of material financial distress or failure.
On July 1, 2017, Citi submitted its 2017 resolution plan toDecember 17, 2019, the Federal Reserve Board and FDIC. OnFDIC issued feedback on the resolution plans filed on July 1, 2019 by the eight U.S. Global Systemically Important Banks, including Citigroup. The Federal Reserve Board and FDIC identified one shortcoming, but no deficiencies, in Citigroup's resolution plan relating to governance mechanisms. Based on regulatory changes effective December 19, 2017,31, 2019, Citigroup's 2021 resolution plan submission, which was filed on July 1, 2021 was a targeted resolution plan, only including a subset of the information of a full resolution plan and additional information, identified by the Federal Reserve Board and FDIC informed Citi that (i) the agencies jointly decided that Citi’s 2017on July 1, 2020. Citigroup will alternate between submitting a full resolution plan submission satisfactorily addressed the shortcomings identified in the 2015and a targeted resolution plan submission, and (ii) the agencies together did not identify any shortcomings or deficiencies in the 2017 resolution plan submission. Citi’s next resolution plan submission is due July 1, 2019.on a biennial cycle. 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 preferred “single point of entry” resolution plan strategy, only Citigroup, the parent holding company, would enter into bankruptcy, while Citigroup’s material legal entities (as defined in the public section of its 20172021 resolution plan, which can be found on the Federal Reserve Board’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’sReserve Board’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 the Orderly Liquidation Authority under Title II of the Dodd-Frank Act, which provides the FDIC with the ability to resolve a firm when it is determined that bankruptcy would have serious adverse effects on financial stability in the U.S.
As previously disclosed, in response to feedback received from the Federal Reserve Board and FDIC, on Citigroup’s 2015 resolution plan, Citigroup took the following actionsactions:

(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 connection with its 2017 resolution plan submission (which, as noted above, did not contain any shortcomings or deficiencies):the event Citigroup were to enter bankruptcy proceedings (Citi Support Agreement);

(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:

(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 usualbusiness-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.

(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.


Total Loss-Absorbing Capacity(TLAC)
In 2016, the Federal Reserve Board released a final rule that imposes minimum external loss-absorbing capacity (TLAC) and long-term debt (LTD) requirements on U.S. global systemically important bank holding companies (GSIBs), including Citi. The intended purpose 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, U.S. GSIBs will be 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.

Minimum TLAC Requirements
exposure. The minimum TLAC requirement is the greater of (i) 18%intended purpose of the GSIB’s RWA plusrequirements is to facilitate the then-applicable RWA-based TLAC buffer (see below)orderly resolution of U.S. GSIBs under the U.S. Bankruptcy Code and (ii) 7.5%Title II of the GSIB’s total leverage exposure plus a leveraged-basedDodd-Frank Act. For additional information, including Citi’s 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). Accordingly, Citi estimates its total current minimum TLAC requirement is 22.5% of RWA under the final rule. Pursuant to the final rule, TLAC may generally only consist of the GSIB’s (i) Common Equity Tier 1and LTD amounts and ratios, see “Capital Resources—Current Regulatory Capital Standards” and Additional Tier 1 Capital issued directly by the bank holding company (excluding qualifying trust preferred securities) plus (ii) eligible LTD (as discussed below). Breach of either the RWA-“Risk Factors—Compliance Risks” above.













97

or leveraged-based TLAC buffer would result in restrictions on distributions and discretionary bonus payments.SECURED FUNDING TRANSACTIONS AND SHORT-TERM BORROWINGS

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 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 balance of unsecured, “plain vanilla” debt securities (i.e., would not include certain 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 such LTD would continue to count at full value for purposes 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 grandfathered and may count as eligible LTD, assuming it otherwise meets the requirements of eligible LTD.

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)i.e., 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 makingmarket-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$191 billion as of December 31, 2017 increased 10%2021 decreased 3% from the prior-year period and declined 3%9% sequentially. Excluding the impact of FX translation, secured funding increased 5%decreased 1% from the prior-year period and decreased 3%8% sequentially, both driven by normal business activity. Average balancesThe average balance for secured funding werewas approximately $163$222 billion for the quarter ended December 31, 2017.2021.
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 makingmarket-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, 2017.2021.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors,tenor, 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.



Overall Short-Term Borrowings
The following table contains the year-end, average and maximum month-end amounts for the following respectiveCiti’s short-term borrowings categories at the end of each$28 billion as 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

(1)Original maturities of less than one year.
(2)Substantially all commercial paper outstanding was issued by certain Citibank entities for the periods presented.
(3)Other short-term borrowings include borrowings from the FHLB and other market participants.
(4)Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(5)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)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 Monitoringfourth quarter of 2021 decreased 5% year-over-year, reflecting a decline in FHLB advances, 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 was6% sequentially, primarily driven by changesa decline 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 appliedstructured notes (see Note 17 to the various categories of assetConsolidated Financial Statements for further information on Citigroup’s and liabilities classes. The ratio of available stable funding to required stable funding would be required to be greater than 100%its affiliates’ outstanding short-term borrowings). 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
98

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, 2017.2021. 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”BBB+/A-2 at Moody’s, “A+/A-1” at Standard & Poor’sS&P Global Ratings and “A+A+/F1”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 Fitch2021.

Ratings as of December 31, 2017.
2021
.

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)S&P Global RatingsBBB+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 Global Ratings 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, 2017,2021, 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 billion, compared to $1.0$1.1 billion as of September 30, 2017.2021. 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, 2017,2021, 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 due to derivative triggers by approximately $0.4$0.6 billion, compared to $0.5 billion as of September 30, 2017, due to derivative triggers.2021. Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
In total, as of December 31, 2021, 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$1.4 billion, compared to $1.5$1.6 billion as of September 30, 20172021 (see also Note 22 to the Consolidated Financial Statements). As set forthdetailed under “High-Quality Liquid Assets” above, theCitigroup has various liquidity resources of Citibank were approximately $369billionavailable to its bank and the liquidity resources of Citi’s non-bank and other entities were approximately $77 billion, for a total of approximately $446 billion as of December 31, 2017. 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 fromat 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.

99

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. Citibank has provided liquidity commitments to consolidated asset-backed commercial paper conduits, primarily in the form of asset purchase agreements. As of December 31, 2017,2021, Citibank had liquidity commitments of approximately $9.9 billionapproximately $9.0 billion to consolidated asset-backed commercial paper conduits, compared to $10.0 billion as of September 30, 2017 (as referenced in2021 (for additional information, see 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.


100


MARKET RISK


OverviewOVERVIEW
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 and market risk management, 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, including various regional, legal entity and business Risk Management committees, Citi’s country and business Asset and& Liability Committees and the Citigroup Risk Management and Asset and& Liability Committee.Committees. 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 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 income, and on Citi’s Accumulatedother comprehensive income (loss) (AOCI) from its investmentdebt securities portfolios. Market risk from non-trading portfolios andalso includes the potential impact of changes in foreign exchange rates on Citi’s capital invested in foreign currencies.


Net Interest RevenueIncome at Risk
Net interest revenue,income, 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 revenueincome 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 revenueincome is interest rate exposure (IRE). IRE measures the change in expected net interest revenueincome 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.
Citi is planning to transition the sensitivity analysis for its IRE (see the current IRE sensitivity impacts below), employing enhanced methodologies and changes to certain
assumptions. The changes include, among other things, assumptions around the projected balance sheet (being more static), coupled with revisions to the treatment of certain business contributions to IRE, mainly accrual positions in ICG’s Markets businesses. These changes are planned for 2022, and will result in a higher impact to Citi’s NII and AOCI and a better reflection of the nature of the portfolios.
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.



101

The following table sets forth the estimated impact to Citi’s net interest revenue, income, 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
Estimated annualized impact to net interest revenue   
In millions of dollars, except as otherwise notedIn millions of dollars, except as otherwise notedDec. 31, 2021Sept. 30, 2021Dec. 31, 2020
Estimated annualized impact to net interest incomeEstimated annualized impact to net interest income
U.S. dollar(1)
$1,471
$1,449
$1,586
U.S. dollar(1)
$563 $151 $373 
All other currencies598
610
550
All other currencies612 586 683 
Total$2,069
$2,059
$2,136
Total$1,175 $737 $1,056 
As a percentage of average interest-earning assets0.12%0.12%0.13%As a percentage of average interest-earning assets0.05 %0.03 %0.05 %
Estimated initial impact to AOCI (after-tax)(2)(3)
$(4,853)$(4,206)$(4,617)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(35)(48)(53)
Estimated initial negative impact to AOCI (after-tax)(2)
Estimated initial negative impact to AOCI (after-tax)(2)
$(4,609)$(4,914)$(5,645)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(30)(30)(34)
(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) million for a 100 bps instantaneous increase in interest rates as of December 31, 2017.
(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.


(1)Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest income 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 $(179) million for a 100 bps instantaneous increase in interest rates as of December 31, 2021.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

The 2017 decreaseyear-over-year increase in the estimated impact to net interest revenueincome 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 unanticipateda 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, 2017,2021, Citi expects that the negative $4.9$4.6 billion negative


impact to AOCI in such a scenario could potentially be offset over approximately 2127 months.
The following table sets forth the estimated impact to Citi’s net interest revenue, income, 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, aThe 100 bps decrease in short-term rates is not meaningful, as it would imply negativedownward rate scenarios are impacted by the low level of interest rates in many of Citi’s markets.several countries and the assumption that market interest rates, as well as rates paid to depositors and charged to borrowers, do not fall below zero (i.e., the “flooring assumption”). The rate scenarios are also impacted by convexity related to mortgage products.

In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 4Scenario 5
Overnight rate change (bps)100 100 — — (100)
10-year rate change (bps)100 — 100 (100)(100)
Estimated annualized impact to net interest income
U.S. dollar$563 $647 $86 $(244)$(770)
All other currencies612 655 41 (41)(353)
Total$1,175 $1,302 $127 $(285)$(1,123)
Estimated initial impact to AOCI (after-tax)(1)
$(4,609)$(2,934)$(1,757)$1,373 $3,050 
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(30)(19)(12)9 18 
In millions of dollars (unless otherwise noted)Scenario 1Scenario 2Scenario 3Scenario 4
Overnight rate change (bps)100
100
—
—
10-year rate change (bps)100
—
100
(100)
Estimated annualized impact to net interest revenue 
    
U.S. dollar$1,471
$1,377
$86
$(102)
All other currencies598
558
35
(35)
Total$2,069
$1,935
$121
$(137)
Estimated initial impact to AOCI (after-tax)(1)
$(4,853)$(3,046)$(2,010)$1,484
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2)
(35)(22)(15)11

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.
(1)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

As shown in the table above, the magnitude of the impact to Citi’s net interest revenueincome and AOCI is greater under scenarioScenario 2 as compared to scenarioScenario 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.


102

Changes in Foreign Exchange Rates—Impacts on AOCI
and Capital
As of December 31, 2017,2021, 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%0.9%, as a result of changes to Citi’s foreign currencyFX translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro, Singapore 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 currencyFX 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.
TheIn addition, the effect of Citi’s ongoing management strategies with respect to quarterly changes in foreign exchange rates, and the quarterly 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 ended
In millions of dollars, except as otherwise notedDec. 31, 2021Sept. 30, 2021Dec. 31, 2020
Change in FX spot rate(1)
(0.6)%(2.7)%5.5 %
Change in TCE due to FX translation, net of hedges$(438)$(1,042)$1,829 
As a percentage of TCE(0.3)%(0.7)%1.2 %
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis)
due to changes in FX translation, net of hedges (bps)		(1)(1)2 

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


103
 For the quarter ended
In millions of dollars (unless otherwise noted)Dec. 31, 2017Sept. 30, 2017Dec. 31, 2016
Change in FX spot rate(1)
(1.2)%1.1%(5.2)%
Change in TCE due to FX translation, net of hedges$(498)$222
$(1,668)
As a percentage of TCE(0.3)%0.1%(0.9)%
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)—

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




Interest Revenue/Expense and Net Interest Margin (NIM)

c-20211231_g13.jpg
In millions of dollars, except as otherwise noted2017 2016 2015 Change 
 2017 vs. 2016		 Change 
 2016 vs. 2015		 In millions of dollars, except as otherwise noted2021 2020 2019Change 
 2021 vs. 2020		Change 
 2020 vs. 2019
Interest revenue(1)
$61,700
 $58,077
 $59,040
 6 % (2)% 
Interest revenue(1)
$50,667  $58,285  $76,718 (13)%(24)%
Interest expense (2)
16,517
 12,511
 11,921
 32
 5
 
Interest expense(2)
7,981  13,338  28,382 (40)(53)
Net interest revenue$45,183
 $45,566
 $47,119
 (1)% (3)% 
Interest revenue—average rate3.69% 3.64% 3.68% 5
bps(4)bps
Net interest income, taxable equivalent basis(1)
Net interest income, taxable equivalent basis(1)
$42,686  $44,947  $48,336 (5)%(7)%
Interest revenue—average rate(3)
Interest revenue—average rate(3)
2.36 %2.88 %4.27 %(52)bps(139)bps
Interest expense—average rate1.28
 1.03
 0.95
 25
bps8
bpsInterest expense—average rate0.46 0.81 1.95 (35)bps(114)bps
Net interest margin (3)
2.70
 2.86
 2.93
 (16)bps(7)bps
Net interest margin(3)(4)
Net interest margin(3)(4)
1.99 2.22 2.69 (23)bps(47)bps
Interest rate benchmarks          Interest rate benchmarks 
Two-year U.S. Treasury note—average rate1.40% 0.83% 0.69% 57
bps14
bpsTwo-year U.S. Treasury note—average rate0.27 %0.39 %1.97 %(12)bps(158)bps
10-year U.S. Treasury note—average rate2.33
 1.83
 2.14
 50
bps(31)bps10-year U.S. Treasury note—average rate1.45  0.89  2.14 56 bps(125)bps
10-year vs. two-year spread93
bps100
bps145
bps 
   10-year vs. two-year spread118 bps50 bps17 bps 


Note: AllRevenue previously referred to as net interest expense amounts include FDICrevenue is now referred to as net interest income. In addition, during the fourth quarter of 2021, Citi reclassified deposit insurance assessments.expenses (FDIC and other similar insurance assessments outside of the U.S.) from Interest expense to Other operating expenses for all periods presented. Amounts reclassified for each year were $1,207 million for 2021, $1,203 million for 2020 and $781 million for 2019.
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $496 million, $462 million 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
(1)Interest revenue and Net interest income include the taxable equivalent adjustments related to the tax-exempt bond portfolio and certain tax-advantaged loan programs (based on the U.S. federal statutory tax rate of 21%) of $192 million, $196 million and $208 million for 2021, 2020 and 2019, 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)    The average rate on interest revenue and net interest margin reflects the taxable equivalent gross-up adjustment. See footnote 1 above.
(4)    Citi’s net interest margin (NIM) is calculated by dividing grossnet interest revenue less gross interest expenseincome by average interest-earning assets.


104

Non-ICG Markets Net Interest Income

In millions of dollars202120202019
Net interest income (NII)—taxable equivalent basis(1) per above
$42,686 $44,947 $48,338 
ICG Markets NII—taxable equivalent basis(1)
5,733 5,786 4,562 
Non-ICG Markets NII—taxable equivalent basis(1)
$36,953 $39,161 $43,776 

(1)    Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.

Citi’s net interest revenueincome (NII) in the fourth quarter of 2017 remained largely unchanged versus the prior-year period at $11.22021 was $10.8 billion ($11.410.9 billion on a taxable equivalent basis). Excluding the impact of FX translation, Citi’s net interest revenue was down slightly versus the prior-year period (down $50 million), as higher core accrual net interest revenue ($10.4 billion, up approximately 5% or $0.5 billion) was offset by lower trading-related 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). The increase in core accrual net interest revenue was driven mainly by the benefit of the December 2016, March 2017 and June 2017 interest rate increases and volume growth.
Citi’s net interest revenue for the full-year remained largely unchanged versus the prior-year at $44.7 billion ($45.2 billion onprior year, as a taxable equivalent basis). Excluding the impact of FX translation, Citi’s 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). Themodest increase in core accrual net interest revenue was primarily due to the benefit of the interest rate increasesnon-ICG Markets NII (approximately $60 million) offset an equivalent decline in ICG Markets (fixed income markets and volume growth.

equity markets). Citi’s NIM was 2.63%1.98% on a taxable equivalent basis in the fourth quarter of 2017,2021, a decrease of 9 bpsone basis point from the thirdprior quarter, of 2017, drivenlargely reflecting deposit growth.
Citi’s NII for 2021 decreased 5%, or approximately $2.3 billion, to $42.5 billion ($42.7 billion on a taxable equivalent basis) versus the prior year. The decrease was primarily byrelated to a decline in non-ICG Markets NII, largely reflecting lower trading-related NIM. On a full-year basis,interest rates and lower loan balances. In 2021, Citi’s
NIM was 2.70%1.99% on a taxable equivalent basis, compared to 2.86%2.22% in 2016,2020, primarily driven by lower rates and a decrease of 16 bps. Citi’s full-year core accrual NIM was 3.45%, a decline of 5 bps from the prior year, as higher core accrual net interest revenue was more than offset by balance sheet growth. (Citi’s core accrual net interest revenue and core accrual NIM are non-GAAP financial measures. Citi believes these measures provide a more meaningful depiction for investors of the underlying fundamentals of its business results.)mix-shift in balances.





105


Additional Interest Rate Details


Average Balances and Interest Rates—Assets(1)(2)(3)

Taxable Equivalent Basis
 Average volumeInterest revenue% Average rate
In millions of dollars, except rates202120202019202120202019202120202019
Assets      
Deposits with banks(4)
$298,319 $288,629 $188,523 $577 $928 $2,682 0.19 %0.32 %1.42 %
Securities borrowed and purchased under agreements to resell(5)
In U.S. offices$172,716 $149,076 $146,030 $385 $1,202 $4,752 0.22 %0.81 %3.25 %
In offices outside the U.S.(4)
149,944 138,074 119,550 667 1,081 2,133 0.44 0.78 1.78 
Total$322,660 $287,150 $265,580 $1,052 $2,283 $6,885 0.33 %0.80 %2.59 %
Trading account assets(6)(7)
In U.S. offices$140,215 $144,130 $109,064 $2,653 $3,624 $4,099 1.89 %2.51 %3.76 %
In offices outside the U.S.(4)
151,722 134,078 131,217 2,718 2,509 3,589 1.79 1.87 2.74 
Total$291,937 $278,208 $240,281 $5,371 $6,133 $7,688 1.84 %2.20 %3.20 %
Investments
In U.S. offices
Taxable$322,884 $265,833 $221,895 $3,547 $3,860 $5,162 1.10 %1.45 %2.33 %
Exempt from U.S. income tax12,296 14,084 15,227 437 452 577 3.55 3.21 3.79 
In offices outside the U.S.(4)
152,940 139,400 117,529 3,498 3,781 4,222 2.29 2.71 3.59 
Total$488,120 $419,317 $354,651 $7,482 $8,093 $9,961 1.53 %1.93 %2.81 %
Loans (net of unearned income)(8)
In U.S. offices$386,141 $396,846 $395,792 $24,023 $26,700 $30,563 6.22 %6.73 %7.72 %
In offices outside the U.S.(4)
281,895 288,379 288,319 11,509 13,569 17,266 4.08 4.71 5.99 
Total$668,036 $685,225 $684,111 $35,532 $40,269 $47,829 5.32 %5.88 %6.99 %
Other interest-earning assets(9)
$75,876 $67,547 $64,322 $653 $579 $1,673 0.86 %0.86 %2.60 %
Total interest-earning assets$2,144,948 $2,026,076 $1,797,468 $50,667 $58,285 $76,718 2.36 %2.88 %4.27 %
Non-interest-earning assets(6)
$202,761 $200,378 $181,337 
Total assets$2,347,709 $2,226,454 $1,978,805 

(1)Interest revenue and Net interest income include the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged loan programs (based on the U.S. federal statutory tax rate of 21%) of $192 million, $196 million and $208 million for 2021, 2020 and 2019, 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)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(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.
(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.
(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.
(8)Includes cash-basis loans.
(9)Includes Brokerage receivables.
106

 Average volumeInterest revenue% Average rate
In millions of dollars, except rates201720162015201720162015201720162015
Assets         
Deposits with banks(5)
$169,385
$131,925
$133,853
$1,635
$971
$727
0.97%0.74%0.54%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)
         
In U.S. offices$141,308
$147,734
$150,340
$1,922
$1,483
$1,215
1.36%1.00%0.81%
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
Total$247,913
$232,876
$234,353
$3,248
$2,543
$2,516
1.31%1.09%1.07%
Trading account assets(7)(8)
         
In U.S. offices$99,755
$103,610
$113,475
$3,531
$3,791
$3,945
3.54%3.66%3.48%
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
Total$203,951
$198,213
$209,808
$5,648
$5,886
$6,085
2.77%2.97%2.90%
Investments         
In U.S. offices         
Taxable$226,227
$225,764
$214,683
$4,450
$3,980
$3,812
1.97%1.76%1.78%
Exempt from U.S. income tax18,152
19,079
20,034
775
693
443
4.27
3.63
2.21
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
Total$350,419
$351,002
$337,091
$8,534
$7,830
$7,326
2.44%2.23%2.17%
Loans (net of unearned income)(9)
         
In U.S. offices$371,711
$360,957
$354,434
$25,943
$24,240
$25,082
6.98%6.72%7.08%
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
Total$639,485
$623,672
$627,498
$41,472
$39,818
$40,547
6.49%6.38%6.46%
Other interest-earning assets(10)
$60,628
$56,398
$63,209
$1,163
$1,029
$1,839
1.92%1.82%2.91%
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%
Non-interest-earning assets(7)
$203,657
$214,642
$218,025
      
Total assets$1,875,438
$1,808,728
$1,823,837
      
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $496 million, $462 million 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)
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)
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)Includes cash-basis loans.
(10)Includes brokerage receivables.

Average Balances and Interest Rates—Liabilities and Equity, and Net Interest RevenueIncome(1)(2)(3)

Taxable Equivalent Basis

Average volumeInterest expense% Average rate
In millions of dollars, except rates202120202019202120202019202120202019
Liabilities      
Deposits    
In U.S. offices(4)
$532,466 $485,848 $388,948 $1,084 $2,524 $5,873 0.20 %0.52 %1.51 %
In offices outside the U.S.(5)
557,207 541,301 487,318 1,812 2,810 5,979 0.33 0.52 1.23 
Total$1,089,673 $1,027,149 $876,266 $2,896 $5,334 $11,852 0.27 %0.52 %1.35 %
Securities loaned and sold under agreements to repurchase(6)
In U.S. offices$136,955 $137,348 $112,876 $676 $1,292 $4,194 0.49 %0.94 %3.72 %
In offices outside the U.S.(5)
93,744 79,426 77,283 336 785 2,069 0.36 0.99 2.68 
Total$230,699 $216,774 $190,159 $1,012 $2,077 $6,263 0.44 %0.96 %3.29 %
Trading account liabilities(7)(8)
In U.S. offices$47,871 $38,308 $37,099 $109 $283 $818 0.23 %0.74 %2.20 %
In offices outside the U.S.(5)
67,739 52,051 51,817 373 345 490 0.55 0.66 0.95 
Total$115,610 $90,359 $88,916 $482 $628 $1,308 0.42 %0.70 %1.47 %
Short-term borrowings and other interest-bearing liabilities(9)
In U.S. offices$69,683 $82,363 $78,230 $(27)$493 $2,138 (0.04)%0.60 %2.73 %
In offices outside the U.S.(5)
26,133 20,053 20,575 148 137 327 0.57 0.68 1.59 
Total$95,816 $102,416 $98,805 $121 $630 $2,465 0.13 %0.62 %2.49 %
Long-term debt(10)
In U.S. offices$186,522 $213,809 $193,972 $3,384 $4,656 $6,398 1.81 %2.18 %3.30 %
In offices outside the U.S.(5)
4,282 3,918 4,803 86 13 96 2.01 0.33 2.00 
Total$190,804 $217,727 $198,775 $3,470 $4,669 $6,494 1.82 %2.14 %3.27 %
Total interest-bearing liabilities$1,722,602 $1,654,425 $1,452,921 $7,981 $13,338 $28,382 0.46 %0.81 %1.95 %
Demand deposits in U.S. offices$98,414 $30,876 $27,737 
Other non-interest-bearing liabilities(7)
324,724 346,736 301,756 
Total liabilities$2,145,740 $2,032,037 $1,782,414 
Citigroup stockholders’ equity$201,360 $193,769 $195,685 
Noncontrolling interests609 648 706 
Total equity$201,969 $194,417 $196,391 
Total liabilities and stockholders’ equity$2,347,709 $2,226,454 $1,978,805 
Net interest income as a percentage of average interest-earning assets(11)
In U.S. offices$1,244,182 $1,187,077 $1,017,021 $26,404 $27,520 $28,898 2.12 %2.32 %2.84 %
In offices outside the U.S.(6)
900,766 838,999 780,447 16,282 17,427 19,440 1.81 2.08 2.49 
Total$2,144,948 $2,026,076 $1,797,468 $42,686 $44,947 $48,338 1.99 %2.22 %2.69 %

(1)Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.
(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)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.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(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.
(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.
107

 Average volumeInterest expense% Average rate
In millions of dollars, except rates201720162015201720162015201720162015
Liabilities         
Deposits         
In U.S. offices(5)
$313,094
$288,817
$273,135
$2,530
$1,630
$1,291
0.81%0.56%0.47%
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
Total$750,043
$718,425
$698,221
$6,586
$5,300
$5,052
0.88%0.74%0.72%
Federal funds purchased and securities loaned or sold under agreements to repurchase(7)
         
In U.S. offices$96,258
$100,472
$108,320
$1,574
$1,024
$614
1.64%1.02%0.57%
In offices outside the U.S.(6)
61,434
57,588
66,197
1,087
888
998
1.77
1.54
1.51
Total$157,692
$158,060
$174,517
$2,661
$1,912
$1,612
1.69%1.21%0.92%
Trading account liabilities(8)(9)
         
In U.S. offices$33,399
$29,481
$24,711
$380
$242
$107
1.14%0.82%0.43%
In offices outside the U.S.(6)
57,149
44,669
45,252
258
168
110
0.45
0.38
0.24
Total$90,548
$74,150
$69,963
$638
$410
$217
0.70%0.55%0.31%
Short-term borrowings(10)
         
In U.S. offices$74,825
$61,015
$64,973
$684
$202
$224
0.91%0.33%0.34%
In offices outside the U.S.(6)
22,837
19,184
50,803
375
275
299
1.64
1.43
0.59
Total$97,662
$80,199
$115,776
$1,059
$477
$523
1.08%0.59%0.45%
Long-term debt(11)
         
In U.S. offices$192,079
$175,342
$182,347
$5,382
$4,179
$4,308
2.80%2.38%2.36%
In offices outside the U.S.(6)
4,615
6,426
7,642
191
233
209
4.14
3.63
2.73
Total$196,694
$181,768
$189,989
$5,573
$4,412
$4,517
2.83%2.43%2.38%
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%
Demand deposits in U.S. offices$37,824
$38,120
$26,144
      
Other non-interest-bearing liabilities(8)
316,379
328,822
330,037
      
Total liabilities$1,646,842
$1,579,544
$1,604,647
      
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
      
Total liabilities and stockholders’ equity$1,875,438
$1,808,728
$1,823,837
      
Net interest revenue as a percentage of average interest-earning assets(13)
         
In U.S. offices$967,752
$944,893
$931,258
$27,551
$27,929
$28,492
2.85%2.96%3.06%
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
Total$1,671,781
$1,594,086
$1,605,812
$45,183
$45,566
$47,119
2.70%2.86%2.93%
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $496 million, $462 million 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)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(7)
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)
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.

(9)
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.
(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 in changes in fair value recorded in Principal transactions.
(12)Includes stockholders’ equity from discontinued operations.
(13)Includes allocations for capital and funding costs based on the location of the asset.

(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)Includes Brokerage payables.
(10)Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as the changes in fair value for these obligations are recorded in Principal transactions.
(11)Includes allocations for capital and funding costs based on the location of the asset.

Analysis of Changes in Interest Revenue(1)(2)(3)

 2021 vs. 20202020 vs. 2019
 Increase (decrease)
due to change in:		Increase (decrease)
due to change in:
In millions of dollarsAverage
volume		Average
rate		Net
change		Average
volume		Average
rate		Net
change
Deposits with banks(3)
$30 $(381)$(351)$976 $(2,730)$(1,754)
Securities borrowed and purchased under agreements to resell
In U.S. offices$166 $(983)$(817)$97 $(3,647)$(3,550)
In offices outside the U.S.(3)
86 (500)(414)290 (1,342)(1,052)
Total$252 $(1,483)$(1,231)$387 $(4,989)$(4,602)
Trading account assets(4)
In U.S. offices$(96)$(875)$(971)$1,103 $(1,578)$(475)
In offices outside the U.S.(3)
320 (111)209 77 (1,157)(1,080)
Total$224 $(986)$(762)$1,180 $(2,735)$(1,555)
Investments(1)
In U.S. offices$761 $(1,089)$(328)$911 $(2,338)$(1,427)
In offices outside the U.S.(3)
345 (628)(283)703 (1,144)(441)
Total$1,106 $(1,717)$(611)$1,614 $(3,482)$(1,868)
Loans (net of unearned income)(5)
In U.S. offices$(706)$(1,971)$(2,677)$81 $(3,945)$(3,864)
In offices outside the U.S.(3)
(299)(1,761)(2,060)4 (3,700)(3,696)
Total$(1,005)$(3,732)$(4,737)$85 $(7,645)$(7,560)
Other interest-earning assets(6)
$72 $2 $74 $80 $(1,174)$(1,094)
Total interest revenue$679 $(8,297)$(7,618)$4,322 $(22,755)$(18,433)

(1)Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.
(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)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(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.
(5)Includes cash-basis loans.
(6)Includes Brokerage receivables.
108

 2017 vs. 20162016 vs. 2015
 
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
Deposits with banks(4)
$317
$347
$664
$(11)$255
$244
Federal funds sold and securities borrowed or
  purchased under agreements to resell
      
In U.S. offices$(67)$506
$439
$(21)$289
$268
In offices outside the U.S.(4)
267
(1)266
17
(258)(241)
Total$200
$505
$705
$(4)$31
$27
Trading account assets(5)
      
In U.S. offices$(139)$(121)$(260)$(354)$200
$(154)
In offices outside the U.S.(4)
203
(181)22
(38)(7)(45)
Total$64
$(302)$(238)$(392)$193
$(199)
Investments(1)
      
In U.S. offices$(9)$561
$552
$188
$230
$418
In offices outside the U.S.(4)
(4)156
152
113
(27)86
Total$(13)$717
$704
$301
$203
$504
Loans (net of unearned income)(6)
      
In U.S. offices$734
$969
$1,703
$455
$(1,297)$(842)
In offices outside the U.S.(4)
297
(346)(49)(598)711
113
Total$1,031
$623
$1,654
$(143)$(586)$(729)
Other interest-earning assets(7)
$80
$54
$134
$(182)$(628)$(810)
Total interest revenue$1,679
$1,944
$3,623
$(431)$(532)$(963)
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is 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)
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)Includes cash-basis loans.
(7)Includes brokerage receivables.

Analysis of Changes in Interest Expense and Net Interest RevenueIncome(1)(2)(3)

 2021 vs. 20202020 vs. 2019
 Increase (decrease)
due to change in:		Increase (decrease)
due to change in:
In millions of dollarsAverage
volume		Average
rate		Net
change		Average
volume		Average
rate		Net
change
Deposits
In U.S. offices$222 $(1,661)$(1,439)$1,199 $(4,548)$(3,349)
In offices outside the U.S.(3)
80 (1,078)(998)601 (3,770)(3,169)
Total$302 $(2,739)$(2,437)$1,800 $(8,318)$(6,518)
Securities loaned and sold under agreements to repurchase
In U.S. offices$(4)$(612)$(616)$757 $(3,659)$(2,902)
In offices outside the U.S.(3)
122 (571)(449)56 (1,340)(1,284)
Total$118 $(1,183)$(1,065)$813 $(4,999)$(4,186)
Trading account liabilities(4)
In U.S. offices$58 $(232)$(174)$26 $(561)$(535)
In offices outside the U.S.(3)
93 (65)28 2 (147)(145)
Total$151 $(297)$(146)$28 $(708)$(680)
Short-term borrowings and other interest-bearing liabilities(5)
In U.S. offices$(66)$(454)$(520)$107 $(1,752)$(1,645)
In offices outside the U.S.(3)
37 (26)11 (8)(182)(190)
Total$(29)$(480)$(509)$99 $(1,934)$(1,835)
Long-term debt
In U.S. offices$(551)$(721)$(1,272)$603 $(2,346)$(1,743)
In offices outside the U.S.(3)
1 71 72 (15)(67)(82)
Total$(550)$(650)$(1,200)$588 $(2,413)$(1,825)
Total interest expense$(8)$(5,349)$(5,357)$3,328 $(18,372)$(15,044)
Net interest income$687 $(2,948)$(2,261)$993 $(4,382)$(3,389)

(1)Interest revenue and Net interest income include the taxable equivalent adjustments discussed in the table above.
(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)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(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.
(5)Includes Brokerage payables.

 2017 vs. 20162016 vs. 2015
 
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
Deposits      
In U.S. offices$147
$753
$900
$77
$262
$339
In offices outside the U.S.(4)
64
322
386
40
(131)(91)
Total$211
$1,075
$1,286
$117
$131
$248
Federal funds purchased and securities loaned or
  sold under agreements to repurchase
      
In U.S. offices$(45)$595
$550
$(47)$457
$410
In offices outside the U.S.(4)
62
137
199
(132)22
(110)
Total$17
$732
$749
$(179)$479
$300
Trading account liabilities(5)
      
In U.S. offices$35
$103
$138
$24
$111
$135
In offices outside the U.S.(4)
52
38
90
(1)59
58
Total$87
$141
$228
$23
$170
$193
Short-term borrowings(6)
      
In U.S. offices$55
$427
$482
$(13)$(9)$(22)
In offices outside the U.S.(4)
57
43
100
(267)243
(24)
Total$112
$470
$582
$(280)$234
$(46)
Long-term debt      
In U.S. offices$424
$779
$1,203
$(167)$38
$(129)
In offices outside the U.S.(4)
(72)30
(42)(37)61
24
Total$352
$809
$1,161
$(204)$99
$(105)
Total interest expense$779
$3,227
$4,006
$(523)$1,113
$590
Net interest revenue$900
$(1,283)$(383)$92
$(1,645)$(1,553)
109
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is 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)
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)Includes 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, permitted product
lists and a new product approval, processpermitted product lists and pre-trade approval 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%95.8% of the trading days in 2017.2021.



Daily Trading-Related Revenue (Loss)(1)—Twelve Months endedEnded December 31, 2017
2021
In millions of dollars


(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 revenue, while the offsetting change in the fair value of hedged AFS debt securities is included in AOCI and not reflected above.

c-20211231_g14.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 in trading-related revenue, while the offsetting change in the fair value of hedged AFS debt securities is included in AOCI and not reflected above.


110


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 billBond for a one-basis-point change in interest rates. Citi’s market risk management,Global Market Risk function, within the Independent Risk Management 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��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%33% 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 $5 million from December 31, 20162020 to December 31, 2017, mainly due to changes in interest rate exposures from mark-to-market hedging activity against non-trading positions in the Markets and securitiesservices businesses within ICG. The increase was partially offset by lower credit spread exposures and volatilities. Average trading and credit portfolio VAR was largely unchanged from December 31, 2016 to December 31, 2017,2021, mainly due to a reduction of the hedging relatedmarket volatility, given improved macroeconomic conditions, compared to lending activities offsetting the increase in2020. Citi’s average trading VAR.and credit portfolio VAR decreased $24 million from 2020 to 2021 due to VAR volatility recalibration.






Year-end and Average Trading VAR and Trading and Credit Portfolio VAR
In millions of dollarsDecember 31, 20212021 AverageDecember 31, 20202020 Average
Interest rate$50 $65 $72 $66 
Credit spread59 71 70 86 
Covariance adjustment(1)
(35)(42)(51)(48)
Fully diversified interest rate and credit spread(2)
$74 $94 $91 $104 
Foreign exchange36 42 40 26 
Equity29 33 31 36 
Commodity28 34 17 22 
Covariance adjustment(1)
(88)(102)(85)(82)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$79 $101 $94 $106 
Specific risk-only component(3)
$3 $1 $(1)$(2)
Total trading VAR—general market risk factors only (excluding credit portfolios)$76 $100 $95 $108 
Incremental impact of the credit portfolio(4)
$45 $30 $29 $49 
Total trading and credit portfolio VAR$124 $131 $123 $155 
In millions of dollarsDecember 31, 20172017 AverageDecember 31, 20162016 Average
Interest rate$69
$58
$37
$35
Credit spread54
48
63
62
Covariance adjustment(1)
(25)(20)(17)(28)
Fully diversified interest rate and credit spread(2)
$98
$86
$83
$69
Foreign exchange25
25
32
24
Equity17
15
13
14
Commodity17
22
27
21
Covariance adjustment(1)
(63)(64)(70)(58)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$94
$84
$85
$70
Specific risk-only component(3)
$—
$1
$3
$7
Total trading VAR—general market risk factors only (excluding credit portfolios)$94
$83
$82
$63
Incremental impact of the credit portfolio(4)
$11
$10
$20
$22
Total trading and credit portfolio VAR$105
$94
$105
$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 risk type. The benefit reflects the fact that the risks within individual 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 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.    
(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.
(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.

(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.

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The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:

2017201620212020
In millions of dollarsLowHighLowHighIn millions of dollarsLowHighLowHigh
Interest rate$29
$97
$25
$64
Interest rate$47 $96 $28 $137 
Credit spread38
63
55
73
Credit spread54 96 36 171 
Fully diversified interest rate and credit spread$59
$109
$59
$97
Fully diversified interest rate and credit spread$74 $123 $44 $223 
Foreign exchange16
49
14
46
Foreign exchange33 49 14 40 
Equity6
27
6
26
Equity21 50 13 141 
Commodity13
31
10
33
Commodity19 55 12 64 
Total trading$58
$116
$53
$106
Total trading$79 $130 $47 $245 
Total trading and credit portfolio67
123
72
131
Total trading and credit portfolio108 166 58 424 

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, 2021
Total—all market risk factors, including general and specific risk$81
Average—during year$103
High—during year134
Low—during year81
In millions of dollarsDec. 31, 2017
Total—all market risk factors, including general and specific risk$93
Average—during year$83
High—during year115
Low—during year57


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 as part of the ongoing model performance monitoring process 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.
SignificantMaterial VAR model and assumption changes must be independently validated within Citi’s risk managementIndependent Risk Management organization. This validation process includes a reviewAll model changes, including those for the VAR model, are validated by Citi’sthe 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 where 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.

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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, there were no2021. As of December 31, 2021, one back-testing exceptionsexception was observed for Citi’s Regulatory VAR.at the Citigroup level.

The difference between the 45.4%54.4% of days with buy-and-hold gains for Regulatory VAR back-testing and the 99.6%95.8% 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, 20172021
In millions of dollars
(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.

c-20211231_g15.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.




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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.


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OPERATIONAL RISK

Overview
Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems or human factors, or from external events. ItThis includes legal risk, which is the risk of failingloss (including litigation costs, settlements, and regulatory fines) resulting from the failure of Citi to comply with applicable laws, regulations, prudent ethical standards, and regulations,contractual obligations in any aspect of its businesses, but excludes strategic risk. Operationaland reputation risks. Citi also recognizes the impact of operational risk includeson the reputation and franchise risk associated with Citi’s business practices or market conduct in which Citi is involved, as well as compliance, conduct and legal risks.activities.
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, theftlosses. Citi maintains a comprehensive Citi-wide risk taxonomy to classify operational risks that it faces using standardized definitions across Citi’s Operational Risk Management Framework (see discussion below). This taxonomy also supports regulatory requirements and unauthorized activity;
employment practicesexpectations inclusive of those related to U.S. Basel III, Comprehensive Capital Analysis and workplace environment;
clients, productsReview (CCAR), Heightened Standards for Large Financial Institutions and business practices;
physical assets and infrastructure; and
execution, delivery and process management.

Dodd Frank Annual Stress Testing (DFAST).
Citi manages operational risk consistent with the overall framework described in “Managing Global Risk—Overview” above. The Company’sCiti’s goal is to keep operational risk at appropriate levels relative to the characteristics of Citi’sits businesses, the markets in which it operates, its capital and liquidity and the competitive, economic and regulatory environment.
To anticipate, mitigate and control This includes effectively managing operational risk Citiand maintaining or reducing operational risk exposures within Citi’s operational risk appetite.
Citi’s Independent Operational Risk Management group has established a global-Operational Risk Management Framework with policies and a global frameworkpractices for assessing,identification, measurement, monitoring, managing and communicatingreporting operational risks and the overall operating effectiveness of the internal control environment across Citigroup.environment. 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-assessfor self-identification of significant operational risks, andassessment of the performance of key controls and identify and address weaknesses in the design and/or operating effectivenessmitigation of internal controls that mitigate significant operational risks.residual risk above acceptable levels.
Each major business segment must implement an operational risk processprocesses consistent with the requirements of this framework. The process forThis includes:

•understanding the operational risk management includes the following steps:risks they are exposed to;

identify and assess key operational risks;
design•designing controls to mitigate identified risks;
establish•establishing key risk indicators;
implement a process for early problem recognition•monitoring and timely escalation;
produce comprehensivereporting whether the operational risk reporting;exposures are in or out of their operational risk appetite;
•having processes in place to bring operational risk exposures within acceptable levels;
•periodically estimate and aggregate the operational risks they are exposed to; and
ensure•ensuring 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
Citi considers operational risks that result from the introduction of new or changes to existing products, or result from significant changes in its organizational structures, systems, processes and personnel.
Citi has a governance structure for the oversight of operational risk exposures through Business Risk and Controls Committees (BRCCs), which include a Citigroup BRCC as well as business, functions, regional and country BRCCs. BRCCs are considered.chaired by the individuals in the first line of defense and provide escalation channels for senior management to review operational risk exposures including breaches of operational risk appetite, key indicators, operational risk events, and control issues. Membership includes senior business and functions leadership as well as members of the second line of defense.
AnIn addition, Independent Risk Management, including the 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, Risk management, including Operational Risk Management,group, works proactively with theCiti’s businesses and other independent control functions to embeddrive a strong and embedded operational risk management culture and framework across Citi. The Operational Risk Management engages with the businesses to ensure effectivegroup actively challenges business and functions implementation of the Operational Risk Management framework by focusing on (i) identification, analysisFramework requirements and assessment of operational risks, (ii) effective challenge of key control issues and operational risks and (iii) anticipation and mitigationthe quality of operational risk events.management practices and outcomes.
Information about the businesses’ key operational risk,risks, historical operational risk losses and the control environment is reported by each major business segment and functional area. TheCiti’s operational risk profile and related information is summarized and reported to senior management, as well as to the Audit Committeeand Risk Committees of Citi’s Board of Directors.Directors by the Head of Operational Risk Management.
Operational risk is measured through Operational Risk Capital and assessed through risk capital.Operational Risk Regulatory Capital for the Advanced Approaches under Basel III. Projected operational risk losses under stress scenarios are alsoestimated as a required as part of the Federal Reserve Board’sFRB’s CCAR process.

For additional information on Citi’s operational risks, see “Risk Factors—Operational Risk” above.

Cybersecurity Risk

Overview
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 processes and systems and cybersecurity risk factors in “Risk Factors—Operational Risks” above). With an evolving threat landscape, ever-increasing sophistication of threat actor tactics, techniques and procedures, 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 from cyber attacks and information security incidents. Citi recognizes the significance of these risks and, therefore, leverages an intelligence-led strategy to protect against, detect and 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 cybersecurity preparedness and resilience.
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Risk Management
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 commands 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 the team works in coordination with a network of information security officers who are embedded within the businesses and functions globally.
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. 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 and ICRM-T teams collectively also monitor cyber legal and regulatory requirements, identify and define emerging risks, execute strategic cyber threat assessments, perform new products and initiative reviews, perform data management risk oversight and conduct 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.
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.

Board Oversight
Citi’s Board of Directors provides oversight of management’s efforts to mitigate cybersecurity risk and respond to cyber incidents. The Board receives regular reports on cybersecurity and engages in discussions throughout the year with management and subject-matter experts on the effectiveness of Citi’s overall cybersecurity program. The Board also obtains updates on Citi’s inherent cybersecurity risks and Citi’s road map and progress for addressing these risks.
Moreover, Citi’s Board and its committee members receive contemporaneous reporting on significant cyber events including response, legal obligations, and outreach and notification to regulators, and customers when needed, as well
as guidance to management as appropriate. In 2021, the Board of Directors underwent a cyber incident tabletop exercise. Also in 2021, the Board’s Risk Management Committee approved a standalone Cybersecurity Risk Appetite Statement against which Citi’s performance is measured quarterly. For additional information on the Board’s oversight of cybersecurity risk management, see Citi’s 2022 proxy statement to be filed with the SEC in March 2022.

COMPLIANCE RISK
Compliance risk is 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 non-conformance with prescribed practices, internal policies and procedures or other relevant standardsethical standards. Compliance risk exposes Citi to fines, civil money penalties, payment of conduct ordamages and the voiding of contracts. Compliance risk can result in diminished reputation, harm to Citi’s customers, limited business opportunities and lessened expansion potential. It encompasses the risk of harming customers, clients ornoncompliance with all laws and regulations, as well as prudent ethical standards and some contractual obligations. It could also include exposure to litigation (known as legal risk) from all aspects of traditional and non-traditional banking.
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 integritycompliance 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:


•Drive and embed a culture of compliance and control throughout Citi;
•Maintain a frameworkand oversee an integrated CRM Policy and Compliance Risk Framework 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 of•Assess compliance riskrisks and issues across products, businessproduct lines, functions and geographies, supported by globally consistent systems and compliance risk management processes; and
Drive•Provide compliance risk data aggregation and embed a risk culture of compliance, control 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 in accordance with the regulatory exam management governance and process standards.
Provide 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 Board of Directors or their designated committees on the effectiveness of the processes and standards implemented to manage compliance risk.
Escalate 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 minimizingtheir compliance risks and mitigating those risks. The second lineoperating within the Compliance Risk Appetite.
Citi carries out its objectives and fulfills its responsibilities through the Compliance Risk Framework,
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which is composed of defense takes a risk-based approachthe following integrated key activities, to assess, advise on, monitorholistically manage compliance risk:

•Management of Citi’s compliance with laws, rules 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 approvedregulations 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 conductanalyzing changes, assessing the impact, and implementing appropriate policies, processes and controls;
•Developing and providing compliance training to ensure colleagues are aware of and understand the key laws, rules and regulations;
•Monitoring the Compliance Risk Appetite, which is articulated through qualitative compliance risk statements describing Citi’s appetite for certain types of risk and quantitative measures to monitor the Company’s compliance risk exposure;
•Monitoring and testing of compliance risks and related controls in assessing conformance with laws, rules, regulations and incorporatinginternal policies; and
•Issue identification, escalation and remediation to drive accountability, including measurement and reporting of compliance risk metrics against established thresholds in support of the results of this diagnostic process into their annual risk assessment process.CRM Policy and Compliance Risk Appetite.

As discussed above, Citi also managesis working to address the FRB and OCC consent orders, which include improvements to Citi’s Compliance Risk Framework and its conduct risk through other initiatives, including various culture-related efforts.Enterprise-wide application (for additional information regarding the consent orders, see “Citi’s Consent Order Compliance” above).


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 communicatingenhancing and protecting its reputation with its colleagues, customers, investors and regulators. To support this, Citi has developed a reputation risk framework. Under this framework, Citigroup and Citibank have implemented a risk appetite statement and related key indicators to monitor corporate values, includingactivities and operations relative to our risk appetite. The framework also requires that business segments and regions escalate significant reputation risks that require review or mitigation through a Reputation Risk Committee or equivalent.
The Reputation Risk Committees, which are composed of Citi’s most senior executives, govern the importanceprocess by which material reputation risks are identified, monitored, reported, managed, and escalated. The Reputation Risk Committees determine the appropriate actions to be taken in line with risk appetite and regulatory expectations, while promoting a culture of protectingrisk awareness and high standards of integrity and ethical behavior across the Company, consistent with Citi’s mission and value proposition. The Reputation Risk Committees in the business segments and regions are part of the governance infrastructure that Citi has in place to review the reputation risk posed by business activities, sales practices, product design, or perceived conflicts of interest. These committees may also raise potential reputation risks for due consideration by the Reputation Risk Committee at the corporate level. The Citigroup Reputation Risk Committee may escalate reputation risks to its employees, customersthe Nomination, Governance and investors.  Public Affairs Committee or other appropriate committee of the Citigroup Board of Directors.
The responsibility for maintainingenhancing and protecting Citi’s reputation is shared by all employees,colleagues, who are guided by Citi’s codeCode of conduct.  EmployeesConduct. Colleagues are expected to exercise sound judgment and common sense in every action they takedecisions and actions. They are also expected to promptly escalate all issues that present potential franchise, reputational and/reputation risk in line with policy.

STRATEGIC RISK
As discussed above, strategic risk is the risk of a sustained impact (not episodic impact) to Citi’s core strategic objectives as measured by impacts on anticipated earnings, market capitalization, or systemiccapital, arising from the external factors affecting the Company’s operating environment; as well as the risks associated with defining the strategy and executing the strategy, which are to be appropriately escalated.  The business practices committees for each of Citi’s businessesidentified, measured and regions aremanaged as part of the governance infrastructure 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.  These committees may also raise potential franchise, reputational or systemic risks for due consideration by the business practices committeeStrategic Risk Framework at the corporate level.   All of these committees, whichEnterprise Level.
In this context, external factors affecting Citi’s operating environment are composed of the economic environment, geopolitical/political landscape, industry/competitive landscape, societal trends, customer/client behavior, regulatory/legislative environment and trends related to investors/shareholders.
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.

STRATEGIC RISK
Citi senior management, led by Citi’s CEO,Executive Management Team is responsible for the development and execution of Citi’s strategy. This strategy is translated into forward-looking plans (collectively Citi’s Strategic Plan) that are then cascaded across the strategy of the Company. Significant strategic actions are reviewed and approved by, or notifiedorganization. Citi’s Strategic Plan is presented to the Citigroup and Citibank Board of Directors, as appropriate.  The Citigroup Board of Directors holdsboard on an annual strategic meetingbasis and annual regional strategic meetings,is aligned with Risk Appetite thresholds 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 accountableincludes Top Risk identification as required by internal frameworks. It is also aligned with limit requirements for the interpretationcapital allocation. Governance and execution of the Company-wide strategy, as it applies to their area, including decisions on new business and product entries.
The managementoversight of strategic risk rests uponis facilitated by internal committees on a group-wide basis as well as strategic committees at the foundational elementsICG, GCB and regional levels.
Citi works to ensure that strategic risks are adequately considered and addressed across its various risk management activities, and that strategic risks are assessed in the context of Citi’s risk appetite. Citi conducts a top-down, bottom-up risk identification process to identify risks, including strategic risks. Business segments undertake a quarterly risk identification process to systematically identify and document all material risks faced by Citi. Independent Risk Management oversees the Risk Identification process through regular reviews and coordinates identification and monitoring of Top Risks. Independent Risk Management also manages strategic risk by monitoring risk appetite thresholds in conjunction with various strategic risk committees, which are part of the governance structure that Citi has in place to manage its strategic risks.
For additional information on Citi’s strategic risks, see “Risk Factors—Strategic Risks” above.

OTHER RISKS

LIBOR Transition Risk
The LIBOR administrator ceased publication of non-USD LIBOR and one week and two-month USD LIBOR on a representative basis on December 31, 2021, with plans to cease publication of all other USD LIBOR tenors on June 30, 2023. Regulators expect banks, including Citi, to have ceased entering into new contracts that reference USD LIBOR as a
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benchmark by December 31, 2021, except for limited circumstances as set out in regulatory guidance.
Citi recognizes that a transition away from and discontinuance of LIBOR presents various 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 rates, see “Risk Factors—Other Risks” above). Accordingly, Citi has continued its efforts to identify and manage its LIBOR transition risks.
For example, Citi continues to closely monitor legislative, regulatory and other developments related to LIBOR transition matters and legislative relief. The International Swaps and Derivatives Association (ISDA) published the Interbank Offered Rate (IBOR) Fallbacks Protocol for existing IBOR derivatives transactions, which became effective in January 2021. The IBOR Fallbacks Protocol provides derivatives market participants with new fallbacks for legacy and new derivatives contracts if both counterparties adhere to the protocol or engage in bilateral amendments (see discussion below regarding Citi’s adherence to the protocol). In April 2021, legislation was adopted in New York State that provides for the use of a statutory replacement for USD LIBOR in certain New York law legacy contracts. Similar federal legislation was passed in the House of Representatives in December 2021 and is pending passage by the Senate, although there is no guarantee that the federal legislative proposal will become law.
In addition, Citi has established a LIBOR governance and implementation program focused on identifying and addressing the impact of LIBOR transition on Citi’s clients, operational capabilities and financial contracts. The program 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. As part of the program, Citi has continued to implement its LIBOR transition action plans and associated roadmaps under the following key workstreams: program management; transition strategy and risk management; customer management, including internal communications and training, legal/contract management and product management; financial exposures and risk management; regulatory and industry engagement; operations and technology; and finance, risk, tax and treasury.
During 2021, Citi continued to participate in a number of working groups formed by global regulators, including the Alternative Reference Rates Committee (ARRC) convened by the FRB. These working groups promote and advance development of alternative reference rates and seek to identify and address potential challenges from any transition to such rates. Citi’s LIBOR transition action plans and associated roadmaps are intended to be consistent with the timelines recommended by these working groups. This includes the Commodity Futures Trading Commission’s SOFR First Initiative, which is designed to promote derivatives trading in SOFR.Citi also continued to engage with regulators, financial accounting bodies and others on LIBOR transition matters.
Citi’s LIBOR transition efforts include, among other things, reducing its overall exposure to LIBOR, increasing
Citi’s virtual client communication efforts and client transition facilitation, including outreach regarding new industry-led protocols and solutions, and using alternative reference rates in certain newly issued financial instruments and products. In the past several years, Citi has issued preferred stock and benchmark debt referencing the Secured Overnight Financing Rate (SOFR) and issued customer-related debt referencing SOFR and the Sterling Overnight Interbank Average Rate (SONIA), the recommended replacement rate for Sterling LIBOR. Citi has also originated and arranged loans referencing SOFR and SONIA and executed SOFR and SONIA-based derivatives contracts. Further, Citi has also been investing in its systems and infrastructure, as client activity moves away from LIBOR to alternative reference rates. Since the ARRC’s recommendation of CME Group’s Term SOFR in July 2021, Citi has focused on systems’ readiness to provide Term SOFR loan and derivatives to clients, where permitted.
In 2021, Citi also focused on remediating existing LIBOR contracts for whichpublication ceased on a representative basis on December 31, 2021. Substantially all of these contracts were remediated by December 31, 2021, and Citi continues to actively engage in and track the remediation of any remaining contracts after December 31, 2021. As of December 31, 2021, Citi’s overall USD LIBOR gross notional exposure for contracts maturing after the LIBOR cessation date of June 30, 2023 was approximately $7.1 trillion, which includes approximately $4 trillion of cleared derivatives that are covered by planned Central Counterparty Clearing House (CCP) conversions, and approximately $2.4 trillion of bilateral derivatives that are covered by robust contract fallback language. The remaining exposure of approximately $0.7 trillion includes bilateral derivatives and cash products that will be addressed by 2022 contract remediation plans.
In addition, for LIBOR contracts that have not yet been remediated, Citi continues to review the effect of relevant legislative solutions, which are expected to facilitate the transition to replacement rates.

Climate Risk
Climate change presents immediate and long-term risks to Citi and its clients and customers, with the risks expected to increase over time. Climate risk refers to the risk of loss arising from climate change and is comprised of both physical risk and transition risk. Physical risk considers how chronic and acute climate change (e.g., increased storms, drought, fires, floods) can directly damage physical assets (e.g., real estate, crops) or otherwise impact their value or productivity. Transition risk considers how changes in policy, technology, business practices and market preferences to address climate change (e.g., carbon pricing policies, power generation shifts from fossil fuels to renewable energy) can lead to changes in the value of assets, commodities and companies.
Climate risk is an annual financial operating plan encompassing all businesses, productsoverarching risk that can act as a driver of other categories of risk, such as credit risk from obligors exposed to high climate risk, reputational risk from increased stakeholder concerns about financing high-carbon industries and geographiesoperational risk from physical risks to Citi’s facilities and defined financial and operating targets, derived frompersonnel.
Citi currently identifies climate risk as an “emerging risk” within its enterprise risk management framework. Emerging
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risks are risks or thematic issues that are either new to the operating plan,landscape, or in the case of climate risk, existing risks that are rapidly changing or evolving in an escalating fashion, which can be monitored throughout the year in orderare difficult to assess strategicdue to limited data or other uncertainties. For additional information on climate risk, see “Risk Factors—Other Risks” above.
Citi reviews factors related to climate risk under its longstanding Environmental and operating performance.   StrategicSocial Risk Management (ESRM) Policy, which includes a focus on climate risk related to financed projects and clients in high-carbon sectors. Cautious of the credit risk of stranded assets, as well as the reputational risks associated with the coal sector due to its high carbon emissions, Citi began a phase-down of its financing of thermal coal mining companies in 2015 and of new coal-fired power plants in 2018. As Citi’s phase-down has continued, Citi’s ESRM Policy was updated to include a prohibition on all project-related financing of new coal-fired power plants and new or expanding thermal coal mines as well as clear timetables to reduce financing of companies with high exposure to coal fired power and coal mining who do not pursue low-carbon transition in the coming years. These sector approaches allow Citi to set a comprehensive and industry-wide approach to clarify its positions, set clear expectations for its clients and help address certain climate risk driven credit risk concerns while reducing reputation risk.
Citi continues to explore and test methodologies for quantifying how climate risks could impact the individual credit profiles of its clients across various sectors. To assist in embedding climate risk assessments in its credit assessment process, Citi is monitored through various mechanisms, including regular updatesdeveloping sector-specific climate risk assessments. Such climate risk assessments are designed to seniorsupplement publicly available client disclosures and data provided from third-party vendors and facilitate conversations with clients on their most material climate risks and management plans for adaptation and mitigation. In the Boardnear term, Citi’s assessments will consider sectors that have been identified as higher climate risk by Citi’s risk identification process. This will not only help Citi better understand its clients’ businesses and climate-related risks, but will also provide a source of Directors on performance againstclimate data. Citi’s net zero plan is leading to the operating plan, quarterly business reviews betweenfurther integration of climate risk discussions into client engagement and client selection.
Furthermore, Citi is developing globally consistent principles and approaches for managing climate risk across Citi. Climate risk will be embedded into relevant policies and processes over time.
In addition, Citi continues to participate in financial industry collaborations to develop and pilot new methodologies and approaches for measuring and assessing the Citi CEO and business and regional CEOs in which the performance andpotential financial risks of each major businessclimate change. Citi is also closely monitoring regulatory developments on climate risk and region are discussed, ongoing reporting to senior managementsustainable finance, and executive management scorecards.actively engaging with regulators on these topics.

For additional information about sustainability and other ESG matters at Citi, see “Sustainability and Other ESG Matters” above.

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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. The2021. (Including the U.S., the total exposure as of December 31, 20172021 to the top 25 countries disclosed below, in combination with the U.S., would represent approximately 94%98% 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%(36% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 80%87% of the total U.K. funded loans and 88% of
the total U.K. unfunded commitments were investment grade
as of December 31, 2017. 2021.
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 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
4Q21		Total
as of
3Q21		Total
as of
4Q20		Total as a % of Citi as of 4Q21
United Kingdom$36.1
$—
$4.6
$60.3
$8.4
$(2.2)$7.0
$(1.0)$113.2
$110.2
$107.5
7.2%United Kingdom$42.8 $0.2 $1.2 $45.7 $12.8 $(5.7)$3.6 $(4.7)$95.9 $111.6 $115.2 5.5 %
Mexico9.4
25.3
0.4
7.3
0.5
(0.7)13.1
3.1
58.4
62.8
52.4
3.7
Mexico14.2 13.3 0.3 7.7 3.4 (0.9)19.6 2.0 59.6 60.0 64.5 3.4 
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
Hong Kong18.8 15.3 0.2 7.1 0.7 (1.6)7.9 2.0 50.4 52.8 49.0 2.9 
Singapore15.2
12.4
0.3
5.1
1.2
(0.2)7.1
0.3
41.4
43.8
36.4
2.6
Singapore15.6 14.0 0.1 7.4 1.2 (0.9)6.3 2.0 45.7 46.0 45.8 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
Ireland13.9 — 0.6 28.9 0.4 (0.2)— 0.9 44.5 45.3 43.9 2.5 
South KoreaSouth Korea3.8 15.7 0.1 2.1 1.0 (0.9)9.7 0.5 32.0 34.2 35.8 1.8 
India6.4
7.0
0.6
5.3
1.1
(0.7)9.3
1.3
30.3
28.7
30.9
1.9
India6.8 3.8 0.9 5.3 4.6 (0.7)8.5 0.6 29.8 30.3 31.4 1.7 
Australia4.4
10.9
—
5.6
0.8
(0.5)3.8
0.2
25.2
27.0
22.4
1.6
Brazil(2)
11.7
—
—
2.7
5.0
(1.8)3.2
3.9
24.7
28.0
28.5
1.6
BrazilBrazil11.0 — 0.1 3.0 5.6 (0.7)5.7 2.6 27.3 24.4 26.2 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
China7.3 3.6 0.8 1.8 2.5 (1.0)8.2 0.2 23.4 20.2 21.8 1.3 
Germany0.1
—
—
3.9
4.3
(1.9)8.9
3.8
19.1
18.6
16.0
1.2
Germany0.3 — — 6.0 6.4 (3.6)5.9 4.4 19.4 14.4 24.4 1.1 
JerseyJersey7.3 — 0.1 10.4 — (0.1)— — 17.7 14.9 13.4 1.0 
AustraliaAustralia5.9 — 0.1 8.0 1.1 (0.7)1.3 0.7 16.4 17.7 21.7 0.9 
Japan3.1
0.1
0.2
2.7
2.8
(1.0)5.3
4.5
17.7
18.8
18.3
1.1
Japan2.3 — — 3.4 3.2 (1.8)5.0 3.8 15.9 19.3 21.8 0.9 
Taiwan4.5
9.1
0.1
1.1
0.3
—
1.3
0.9
17.3
18.5
16.6
1.1
Taiwan4.1 8.6 0.1 1.4 0.5 (0.2)0.2 0.6 15.3 17.0 17.3 0.9 
United Arab EmiratesUnited Arab Emirates7.3 1.5 0.1 3.8 0.4 (0.5)2.2 0.1 14.9 16.6 12.4 0.9 
Canada1.8
0.6
0.5
7.0
1.8
(0.4)4.4
0.6
16.3
16.0
17.0
1.0
Canada2.1 0.5 0.1 7.5 1.7 (1.5)3.3 1.0 14.7 16.9 17.8 0.8 
Poland3.6
2.0
—
3.1
—
(0.1)5.0
0.4
14.0
13.6
11.8
0.9
Poland3.2 1.8 — 2.6 0.4 (0.2)4.5 0.8 13.1 11.2 15.0 0.7 
ThailandThailand1.1 2.7 — 2.1 — — 1.8 0.2 7.9 8.0 8.0 0.5 
Malaysia1.4
4.9
0.3
2.1
0.1
(0.1)0.9
0.4
10.0
9.1
9.3
0.6
Malaysia1.4 3.4 0.2 1.0 0.1 (0.1)1.9 (0.1)7.8 8.2 8.3 0.4 
Thailand0.9
2.2
—
1.8
0.1
—
1.8
0.6
7.4
7.0
5.8
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
IndonesiaIndonesia2.2 0.6 — 1.2 0.2 (0.1)1.5 (0.1)5.5 5.8 6.0 0.3 
Russia1.8
1.0
—
1.0
1.9
(0.1)0.8
0.2
6.6
5.0
5.3
0.4
Russia2.2 0.7 — 0.7 0.4 (0.1)1.5 — 5.4 5.5 5.2 0.3 
Indonesia1.9
1.1
—
1.5
—
(0.1)1.5
0.4
6.3
6.2
5.2
0.4
Luxembourg—
—
—
—
0.5
(0.3)4.6
0.6
5.4
6.1
5.4
0.3
Luxembourg0.8 — — — 0.2 (0.9)4.0 (0.1)4.0 5.3 5.1 0.2 
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
South Africa1.4 — 0.1 0.6 0.2 (0.1)1.8 (0.2)3.8 3.8 3.6 0.2 
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 RepublicCzech Republic0.7 — — 0.9 1.6 (0.1)0.4 — 3.5 3.5 4.3 0.2 
SpainSpain0.4 — — 2.9 0.4 (1.3)— 0.3 2.7 3.3 3.4 0.2 
Total as a % of Citi’s total exposureTotal as a % of Citi’s total exposure32.8 %
Total as a % of Citi’s non-U.S. total exposureTotal as a % of Citi’s non-U.S. total exposure93.4 %


(1)
ICG
(1)    ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of December 31, 2017, private bank loans in the table above totaled $23.5 billion, concentrated in Singapore ($7.0 billion), Hong Kong ($6.8 billion) and the U.K. ($5.1 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, other loans in Corporate/Other and investments accounted for under the equity method.                                        
(4)Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.            
(5)Net mark-to-market on derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.                                        
(6)Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost.    
(7)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
As of December 31, 2017,2021, private bank loans in the table above totaled $31.8 billion, concentrated in the U.K. ($8.8 billion), Hong Kong ($8.6 billion) and Singapore ($7.5 billion).
(2)    Other funded includes other direct exposures such as accounts receivable, loans HFS, other loans in Corporate/Other and investments accounted for under the equity method.
(3)    Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
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(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.
(5)    Investment securities include debt securities available-for-sale, recorded at fair market value, and debt securities held-to-maturity, recorded at amortized cost.
(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, 2021, Citi’s net investment in its Argentine operations was approximately $954 million, compared to $725 million at December 31, 2016.
$1.5 billion. Citi uses the Argentine pesoU.S. dollar as the functional currency for its operations in highly inflationary countries under U.S. GAAP. Citi uses Argentina’s official market exchange rate to remeasure its net Argentine peso-denominated assets into the U.S. dollar. As of December 31, 2021, the official Argentine peso exchange rate against the U.S. dollar was 102.73.
The Central Bank of Argentina maintains certain capital and currency controls that generally restrict Citi’s ability to access U.S. dollars in Argentina and translatesremit substantially all of its financial statements into U.S. dollars usingearnings from its Argentine operations. Citi’s net investment in its Argentine operations is likely to increase as Citi continues to generate net income from its Argentine franchise and the official exchange rate as publishedmajority of its earnings cannot be remitted.
Due to the currency controls implemented by the Central Bank of Argentina, certain indirect foreign exchange mechanisms have developed that some Argentine entities may use to obtain U.S. dollars, generally at rates that are significantly higher than Argentina’s official exchange rate. Citibank Argentina is precluded from accessing these alternative mechanisms, and these exchange mechanisms cannot be used to remeasure Citi’s net monetary assets into the U.S. dollar under U.S. GAAP. Citi cannot predict future fluctuations in Argentina’s official market exchange rate or to what extent Citi may be able to access U.S. dollars at the official exchange rate in the future.
Citi economically hedges the foreign currency risk in its net Argentine peso-denominated assets to the extent possible and prudent using non-deliverable forward (NDF) derivative instruments that are primarily executed outside of Argentina. The impactAs of devaluationsDecember 31, 2021, the international NDF market had very limited liquidity, resulting in Citi being unable to economically hedge nearly all of theits Argentine peso exposure. As a result, and to the extent that Citi does not execute NDF contracts for this unhedged exposure in the future, Citi would record devaluations on its net Argentine peso‐denominated assets in earnings, without any benefit from a change in the fair value of derivative positions used to economically hedge the exposure.
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 allowances for credit losses on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for such risks under U.S. GAAP as of December 31, 2021. However, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing ICG’s cost of credit, based on the perceived country risk associated with its Argentine exposures.


For additional information on Citi’s emerging markets risks, including those related to its Argentine exposures, see “Risk Factors” above.

Russia
Citi operates both its ICG and GCB businesses in Russia, although the Company is currently pursuing the exit of its GCB business in the country. All of Citi’s domestic operations in Russia are conducted through a subsidiary of Citibank, which uses the Russian ruble as its functional currency. Citi’s net investment in Argentina, net of hedges, is reportedRussia was approximately $1 billion 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 in a change in the functional currency to the 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. As of December 31, 2017,2021. The majority of Citi’s net investment was hedged for foreign currency depreciation as of December 31, 2021, using forward foreign exchange contracts. Citi’s total third-party exposure was approximately $8.2 billion as of December 31, 2021. These assets primarily consisted of corporate and consumer loans, local government debt securities, reverse repurchase agreements, and cash on deposit and placements with the Bank of Russia and other financial institutions. A significant portion of Citi’s third-party exposures were funded with domestic deposit liabilities from both ICG and GCB clients. Further, Citi evaluatedhas approximately $1.6 billion of additional exposures to Russian counterparties that are not held on the available CPI statisticsRussian subsidiary and are not included in the $8.2 billion above.
The $5.4 billion in Russia credit and other exposures in the “Top 25 Country Exposures” table above does not include approximately $1.0 billion of cash and placements with the Bank of Russia and other financial institutions and $1.8 billion of reverse repurchase agreements with various counterparties.
Citi continues to monitor the current Russia–Ukraine geopolitical situation and economic conditions and will mitigate its exposures and risks as well as inflation statistics published by the 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, andappropriate. For additional information, received in future periods could result in a change of functional currency to the U.S. dollar in 2018.see “Risk Factors—Market-Related Risk,” “—Operational Risks” and “—Other 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.



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FFIEC—Cross-Border Claims on Third Parties and Local Country Assets
Citi’s cross-border disclosures are set forth below, 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.


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The tables below set forthshow each country whose total outstandings exceeded 0.75% of total Citigroup assets:
December 31, 2021
Cross-border claims on third parties and local country assets
In billions of 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)
United Kingdom$7.0 $31.1 $55.6 $19.2 $16.5 $70.8 $112.9 $23.0 $76.3 $70.8 
Cayman Islands— — 78.8 13.2 7.4 56.3 92.0 9.9 0.4 0.3 
Japan31.0 30.1 12.8 8.7 15.6 54.8 82.6 8.4 13.4 12.1 
Germany4.5 48.9 47.7 9.6 18.5 78.3 110.7 23.2 48.6 44.7 
Mexico2.8 28.4 9.3 25.8 2.7 33.4 66.3 19.7 6.7 6.1 
France9.7 9.6 27.0 9.8 14.0 41.6 56.1 85.3 62.6 55.7 
Singapore1.9 18.3 12.1 17.4 2.7 39.1 49.7 16.3 1.4 1.3 
South Korea3.6 17.9 3.2 21.9 2.0 37.7 46.6 12.7 9.0 8.1 
Hong Kong1.3 12.3 3.9 21.8 4.2 30.2 39.3 13.6 1.7 1.5 
Australia3.9 14.2 5.7 12.8 7.3 22.9 36.6 13.6 4.0 3.9 
China4.2 12.9 3.7 14.7 8.0 26.3 35.5 4.4 9.6 9.0 
India1.2 15.0 4.4 13.1 2.6 23.4 33.7 10.2 1.8 1.4 
Taiwan0.5 7.0 1.7 15.8 4.8 21.1 25.0 14.6 — 0.1 
Netherlands5.9 8.8 3.3 5.7 5.2 16.2 23.7 9.8 30.8 27.6 
Brazil2.0 12.9 2.2 12.5 3.9 20.3 29.6 3.2 6.2 5.6 
Italy2.8 10.9 0.9 1.8 8.1 2.4 16.4 1.6 38.8 37.0 
Switzerland1.4 13.7 0.9 6.0 3.1 20.0 22.0 9.7 18.9 17.6 
Canada6.5 12.2 4.7 4.1 3.8 21.0 27.5 12.9 5.7 5.3 
December 31, 2020
Cross-border claims on third parties and local country assets
In billions of 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)
United Kingdom(6)
$16.0 $26.0 $50.5 $17.5 $14.2 $73.5 $110.0 $25.8 $76.2 $75.3 
Cayman Islands— — 85.8 12.7 8.0 69.7 98.5 11.9 0.3 0.2 
Japan32.9 35.5 12.1 6.6 16.2 63.3 87.1 6.6 16.1 15.1 
Germany(6)
7.1 51.8 15.9 9.6 11.3 58.6 84.4 14.1 49.7 48.1 
Mexico3.9 31.5 9.5 28.8 6.0 44.4 73.7 21.7 7.3 6.6 
France11.0 9.7 39.3 9.5 13.3 58.7 69.5 68.2 61.3 56.4 
Singapore2.5 25.6 10.7 17.5 2.8 46.5 56.3 13.8 1.9 1.5 
South Korea3.3 18.2 1.8 24.9 1.5 35.6 48.2 14.7 10.8 10.7 
Hong Kong1.5 13.8 3.9 19.8 7.2 33.2 39.0 13.1 2.1 1.7 
Australia5.1 16.4 4.0 13.0 9.6 31.6 38.5 13.0 5.7 5.2 
China4.5 16.3 3.3 14.1 9.7 33.4 38.2 5.8 10.5 10.0 
India1.9 14.0 2.5 12.9 2.3 22.1 31.3 11.3 1.8 1.6 
Taiwan0.4 7.8 2.0 16.5 5.1 23.7 26.7 14.1 — — 
Netherlands7.8 10.4 3.4 4.8 5.2 18.2 26.4 10.4 28.5 27.4 
Brazil2.8 11.3 1.6 9.9 5.2 20.0 25.6 2.7 6.0 6.0 
Italy2.5 19.1 0.6 1.9 15.0 16.1 24.1 2.7 42.3 41.3 
Switzerland1.8 14.3 1.4 4.9 2.6 20.0 22.4 7.3 18.0 17.4 
Canada4.5 6.3 5.9 4.5 3.4 15.1 21.2 14.5 3.9 4.0 
(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)    Credit default swaps (CDS) are not included in total outstanding.
(6)    Exposures for the United Kingdom and Germany for the December 31, 2020 period have been revised by $(5.4) billion and $4.8 billion, respectively, as compared to those previously reported, with the balance in the U.S. This revision reflects a correction in the domicile for Non-Bank Financial Institutions counterparties.
123
 December 31, 2017
 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)
United Kingdom$17.3
$23.2
$36.4
$19.4
$13.5
$62.4
$96.3
$32.3
$74.9
$77.1
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
Mexico4.8
18.3
7.9
34.4
4.7
42.8
65.4
19.6
6.4
6.2
France14.3
5.1
21.1
6.1
8.7
37.2
46.6
23.6
59.8
60.6
South Korea2.5
15.8
1.9
24.4
1.4
38.3
44.6
16.7
14.4
12.4
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
Australia4.6
8.2
4.7
15.0
7.3
19.3
32.5
13.2
13.2
13.3
China5.2
9.5
3.7
12.9
3.6
24.4
31.3
3.9
14.2
14.5
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
Netherlands5.8
9.5
4.9
6.1
4.1
15.9
26.3
9.8
27.3
27.8
Taiwan1.0
6.1
2.2
13.3
2.7
16.9
22.5
14.1
0.1
0.1
Canada4.3
4.7
7.8
4.9
2.9
11.1
21.7
13.3
5.4
6.2
Switzerland1.2
13.7
1.3
4.2
1.7
17.2
20.4
5.1
19.3
19.4
Italy3.3
11.3
0.6
1.3
7.5
9.3
16.5
2.7
59.6
58.4

 December 31, 2016
 
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)
United Kingdom$15.0
$18.1
$35.3
$20.0
$8.7
$47.7
$88.4
$23.2
$81.8
$82.9
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
Japan21.2
27.3
7.4
3.0
7.2
42.1
58.9
7.2
25.3
24.9
Germany7.9
26.7
8.8
6.7
4.2
28.3
50.1
12.9
65.4
63.5
France15.8
4.3
24.5
2.8
2.9
36.1
47.4
11.9
64.9
64.4
Korea2.2
15.4
0.8
21.6
1.4
32.1
40.0
16.4
11.0
9.4
Singapore2.6
17.4
2.4
14.3
1.1
28.2
36.7
11.9
1.5
1.4
India5.7
11.5
2.1
13.3
2.8
23.2
32.6
7.9
2.1
1.6
Brazil3.5
11.9
0.8
15.0
5.1
19.8
31.2
5.1
11.9
10.1
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
Netherlands8.8
9.9
6.2
4.4
2.1
14.2
29.3
7.7
29.5
29.3
Hong Kong0.9
10.3
2.7
13.4
4.9
24.4
27.3
12.9
2.3
1.9
Switzerland1.9
13.1
1.2
4.8
0.7
17.2
21.0
5.5
20.8
20.7
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

(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)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 allA substantial portion of
these assets and liabilities areis reflected at fair value on Citi’s
Consolidated Balance Sheet.Sheet as Trading account assets, Available-for-sale securities and Trading account liabilities.
Citi purchases securities under agreements to
resell (reverse repos)repos or resale agreements) and sells securities under agreements
to repurchase (repos), a majoritysubstantial portion of which areis 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 theCiti’s 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 in active markets 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 uponon 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 forThe fair value of these instruments whereis reported on Citi’s Consolidated Balance Sheet with the changes in fair value are recognized in either the Consolidated Statement of Income or in AOCI.AOCI.
Losses on available-for-sale securities whose fair values are less than the amortized cost, where Citi intends to sell the security or could more-likely-than-not be required to sell the security, are recognized in earnings. Where Citi does not intend to sell the security nor could more-likely-than-not be required to sell the security, the portion of the loss related to credit is recognized as an allowance for credit losses with a corresponding provision for credit losses and the remainder of the loss is recognized in other comprehensive income. Such losses are capped at the difference between the fair value and amortized cost of the security.
For equity securities carried at cost or under the measurement alternative, decreases in fair value below the carrying value are recognized as impairment in the Consolidated Statement of Income. Moreover, for certain equity method 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.


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Citi’s Allowance for Credit Losses (ACL)
Management providesThe table below shows Citi’s ACL as of the fourth quarter of 2021. For information on the drivers of Citi’s ACL release in the fourth quarter, see below. For additional information on Citi’s accounting policy on accounting for credit losses under ASC Topic 326, Financial Instruments—Credit losses; Current Expected Credit Losses (CECL), see Note 1 to the Consolidated Financial Statements below.

 Allowance for credit losses (ACL)
In millions of dollarsBalance Dec. 31, 2020Build (release)
2021 FX/Other(1)
Balance Dec. 31, 2021
ACLL/EOP loans Dec. 31, 2021(2)
1Q212Q213Q214Q212021
Cards(2)
$16,805 $(1,523)$(1,106)$(906)$(957)$(4,492)$(322)$11,991 7.90 %
All other GCB
2,419 (283)(292)(125)18 (682)(149)1,588 
Global Consumer Banking$19,224 $(1,806)$(1,398)$(1,031)$(939)$(5,174)$(471)$13,579 5.08 %
Institutional Clients Group5,402 (1,312)(949)(65)(207)(2,533)(30)2,839 0.73 
Corporate/Other330 (109)(99)(53)(30)(291)(2)37 
Allowance for credit losses on loans (ACLL)$24,956 $(3,227)$(2,446)$(1,149)$(1,176)$(7,998)$(503)$16,455 2.49 %
Allowance for credit losses on unfunded lending commitments2,655 (626)44 (13)(193)(788)4 1,871 
Other146 1 1 (13)11 — 2 148 
Total allowance for credit losses (ACL)$27,757 $(3,852)$(2,401)$(1,175)$(1,358)$(8,786)$(497)$18,474 

(1)    Includes reclassifications to Other assets related to Citi’s agreements to sell its consumer banking businesses in Australia and the Philippines. See Notes 2 and 15 to the Consolidated Financial Statements.
(2)    As of December 31, 2021, in North America GCB, branded cards ACLL/EOP loans was 7.10% and retail services ACLL/EOP loans was 10.0%.

Citi’s reserves for an estimate of probableexpected credit losses inherent in theon funded loan portfolioloans and in unfunded loanlending commitments, and standby letters of credit and financial guarantees are reflected on the Consolidated Balance Sheet in the Allowance for loancredit losses on loans (ACLL) and in Other liabilities(Allowance for credit losses on unfunded lending commitments (ACLUC)), respectively. In addition, Citi reserves for expected credit losses on other financial assets carried at amortized cost, including held-to-maturity securities, reverse repurchase agreements, securities borrowed, deposits with banks and other financial receivables. These reserves, together with the ACLL and ACLUC, are referred to as the ACL.Changes in the ACL are reflected as Provision for credit losses in the Consolidated Statement of Income for each reporting period.
EstimatesThe ACL is composed of these probablequantitative and qualitative management adjustment components. The quantitative component uses a forward-looking base macroeconomic forecast. The qualitative management adjustment component reflects economic uncertainty using alternative downside macroeconomic scenarios and portfolio characteristics and current economic conditions not captured in the quantitative component, such as adjustments to reflect uncertainty around the estimated impact of the pandemic on credit losses. Both the quantitative and qualitative management adjustment components are further discussed below.


Quantitative Component
Citi estimates expected credit losses for its quantitative component using (i) its comprehensive internal data on loss and default history, (ii) internal credit risk ratings, (iii) external credit bureau and rating agencies information, and (iv) a reasonable and supportable forecast of macroeconomic conditions.
For its consumer and corporate portfolios, Citi’s expected credit losses are based upon (i) Citigroup’s internal systemdetermined primarily by utilizing models that consider the borrowers’ probability of credit-risk ratingsdefault (PD), loss given default (LGD) and exposure at default (EAD). The loss likelihood and severity models used for estimating expected credit losses are sensitive to changes in macroeconomic variables that are analogous toinform the risk ratingsforecasts, and cover a wide range of the major credit rating agenciesgeographic, industry, product and (ii) historical default and loss data, including rating agency information regarding default rates from 1983 to 2016 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.operating segments.
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 balancesCiti’s models determine expected credit losses based uponon leading credit indicators, including loan delinquencies, and changes in portfolio size, default frequency, risk ratings and loss recovery rates (among other things), as well as other current economic factors and credit trends, including housing prices, unemployment and GDP.gross domestic product (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. account.
125

Changes in these estimates could have a direct impact on Citi’s credit costs and the allowance in any period.

Qualitative Component
The qualitative management adjustment component includes, among other things, management adjustments to reflect economic uncertainty based on the likelihood and severity of downside scenarios and certain portfolio characteristics not captured in the quantitative component, such as concentrations, collateral valuation, model limitations, idiosyncratic events and other factors as required by banking supervisory guidance for the ACL. The qualitative management adjustment component also reflects the uncertainty around the estimated impact of the pandemic on credit loss estimates. The ultimate extent of the pandemic’s impact on Citi’s ACL will depend on, among other things, (i) how consumers respond to the conclusion of government stimulus and assistance programs, (ii) the impact on unemployment, (iii) the timing and extent of the economic recovery, (iv) the severity and duration of any resurgence of COVID-19, (v) the rate of distribution and administration of vaccines and (vi) the extent of any market volatility.

4Q21 Changes in the ACL
In the fourth quarter of 2021, Citi released $1.0 billion of the ACL for its consumer portfolios and $0.4 billion of the ACL for its corporate portfolios, for a total release of $1.4 billion. The releases in the consumer and corporate ACLs were driven primarily by the continued improvement in the macroeconomic outlook, as well as continued improvements in credit quality. The overall qualitative management adjustments declined compared to the previous quarter. Based on its latest macroeconomic forecast, Citi believes its analysis of the ACL reflects the forward view of the economic environment as of December 31, 2021.



Macroeconomic Variables
Citi considers a multitude of macroeconomic variables for both the base and downside macroeconomic forecasts it uses to estimate the ACL, including domestic and international variables for its global portfolios and exposures. Citi’s forecasts of the U.S. unemployment rate and U.S. Real GDP growth rate represent the key macroeconomic variables that most significantly affect its estimate of the ACL.
The tables below show Citi’s forecasted quarterly average U.S. unemployment rate and year-over-year U.S. Real GDP growth rate used in determining Citi’s ACL for each quarterly reporting period from 4Q20 to 4Q21:

Quarterly average
U.S. unemployment4Q212Q224Q22
13-quarter average(1)
Citi forecast at 4Q206.3 6.1 5.7 6.1 
Citi forecast at 1Q214.9 4.1 3.8 4.3 
Citi forecast at 2Q214.6 4.1 3.9 4.1 
Citi forecast at 3Q214.5 4.1 3.9 4.0 
Citi forecast at 4Q214.3 4.0 3.8 3.8 
(1)    Represents the average unemployment rate for the rolling, forward-looking 13 quarters in the forecast horizon.
Year-over-year growth rate(1)
Full year
U.S. Real GDP202120222023
Citi forecast at 4Q203.7 2.7 2.6 
Citi forecast at 1Q216.2 4.1 1.9 
Citi forecast at 2Q216.5 3.7 2.0 
Citi forecast at 3Q215.9 3.9 2.1 
Citi forecast at 4Q215.5 4.0 2.2 
(1)    The year-over-year growth rate is the percentage change in the Real (inflation adjusted) GDP level.
Under the base macroeconomic forecast as of 4Q21, U.S. Real GDP growth is expected to remain strong during 2022, and the unemployment rate is expected to continue to improve as the U.S. moves past the peak of the pandemic-related health and economic crisis.

Consumer
As discussed above, Citi’s total consumer ACLL release (including Corporate/Other) of $1.0 billion in the fourth quarter of 2021 reduced the ACLL balance to $13.6 billion, or 5.0% of total consumer loans as of December 31, 2021. The release was primarily driven by the continued improvement in the macroeconomic outlook, as well as continued improvements in credit quality. Citi’s consumer ACLL is largely driven by the cards businesses.
For cards, including Citi’s international businesses, the level of reserves relative to EOP loans decreased to 7.9% as of December 31, 2021, compared to 9.1% at September 30, 2021, primarily driven by by the continued improvement in the macroeconomic outlook, as well as continued improvements
126

in credit quality. For the remaining consumer exposures, the level of reserves relative to EOP loans was 1.4% at December 31, 2021, essentially unchanged from September 30, 2021.

Corporate
Citi’s corporate ACLL release of $0.2 billion in the fourth quarter of 2021 reduced the ACLL reserve balance to $2.8 billion, or 0.73% of total funded loans. The release was primarily driven by improvements in portfolio credit quality, as well as improvement in the macroeconomic outlook.
The Allowance for credit losses on unfunded lending commitments (ACLUC) release of $191 million in the fourth quarter of 2021 decreased the total ACLUC reserve balance included in Other liabilities to $1.9 billion at December 31, 2021.

ACLL and Non-accrual Ratios
At December 31, 2021, the ratio of the allowance for credit losses to total funded loans was 2.49% (5.02% for consumer loans and 0.73% for corporate loans) compared to 2.69% at September 30, 2021 (5.55% for consumer loans and 0.77% for corporateloans).
Citi’s total non-accrual loans were $3.4 billion at December 31, 2021, down $610 million from September 30, 2021. Consumer non-accrual loans decreased $87 million to $1.5 billion at December 31, 2021 from $1.6 billion at September 30, 2021, while corporate non-accrual loans decreased $523 million to $1.9 billion at December 31, 2021 from $2.4 billion at September 30, 2021. In addition, the ratio of non-accrual loans to total consumer loans was 0.55% and non-accrual loans to total corporate loans was 0.47%, at December 31, 2021.

Regulatory Capital Impact
Citi has elected to phase in the CECL impact for regulatory capital purposes. The transition provisions were recently modified to defer the phase-in. After two years with no impact on capital, the CECL transition impact will phase in over a three-year transition period with 25% of the impact (net of deferred taxes) recognized on the first day of each subsequent year, commencing January 1, 2022, and will be fully implemented on January 1, 2025. In addition, 25% of the impact of the build (pretax) in 2020 and 2021 were deferred and being amortized over the same timeframe.
For a further description of the loan loss reserveACL and related accounts, see Notes 1 and 15 to the Consolidated Financial Statements.
For a discussion of the adoption of the 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 2017,2021, the annual and interim tests were test was
performed, which resulted in no goodwill impairment as described in Note 16 to the Consolidated Financial Statements.
As of December 31, 2017,2021, Citigroup’s activities arewere conducted through the Global Consumer Banking and Institutional Clients Group business operating 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 businessesreporting units 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 thea reporting unit can be supported by theits 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, Citigroup2020, Citi engaged an independent valuation specialist in 20172021 to assist in Citi’s valuation for most of all the reporting units, 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, 2017.2021. 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.international. In addition, the market capitalization of Citigroup does not include consideration of the individual reporting unit’s control premium.
Citi performed its annual goodwill impairment test as of July 1, 2021. The fair values of Citi’s reporting units as a percentage of their carrying values ranged from approximately 125% to 153%, resulting in no impairment. While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations, the economic and business
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environments continue to evolve as management implements its strategic refresh, which includes, among others, the exits of consumer businesses in 13 markets in Asia and EMEA, as well as the exit of the Mexico consumer, small business and middle-market banking operations. If management’s future estimate of key economic and market assumptions were to differ from its current assumptions, Citi could potentially experience material goodwill impairment charges in the future. Citi expects that the implementation of its new operating segments and reporting units in the first quarter of 2022, as well as the timing and sequencing of the sales of its Asia consumer banking businesses, may result in goodwill impairment. 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 unitsegments’ goodwill balances as of December 31, 2017.2021.


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 (VA) 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 that have not yet addressed the federal tax law changes 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.Non-U.S. branches also continue to be subject to U.S. taxation,taxation. The impact of this on Citi’s earnings depends on the level of branch pretax income, the local branch tax rate and allocations of overall domestic loss (ODL) and expenses for U.S. tax purposes to branch earnings. Citi expects no material residual U.S. tax on such earnings since its overall non-U.S.it currently has sufficient branch tax rate is in excess of 21%. carry-forwards.With respect to non-U.S. subsidiaries, dividends from these subsidiaries will beare excluded from U.S. taxation. While Citi expects that the majority of itsCiti’s non-U.S. subsidiary earnings may beare classified
as GILTI, it similarlyGlobal Intangible Low Taxed Income (GILTI), Citi 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, 2017,2021, Citi had net DTAs of $22.5$24.8 billion. In the fourth quarter of 2017,2021, Citi’s DTAs decreasedincreased by $23.0$0.3 billion, driven primarily by the remeasurement related to Tax Reform and by earnings, partially offset by an increaseas a result of losses in AOCI.Other comprehensive income. On a full-year basis, Citi’s DTAs decreased $24.2 billionat December 31, 2021 were essentially unchanged from $46.7$24.8 billion at December 31, 2016.2020.
Of Citi’s total net DTAs of $24.8 billion as of December 31, 2021, $9.5 billion, primarily related to tax carry-forwards, was deducted in calculating Citi’s regulatory capital. 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 quarter and year ended December 31, 2021, Citi did not have any such DTAs. Accordingly, the remaining $15.3 billion of net DTAs as of December 31, 2021 was not deducted in calculating regulatory capital pursuant to Basel III standards, and was appropriately risk weighted under those rules.
Citi’s total VA at December 31, 2021 was $4.2 billion, a decrease of $1.0 billion from $5.2 billion at December 31, 2020. The decrease in total DTAs year-over-year was primarily due to Tax Reformdriven by usage of carry-forwards and earnings, partially offset by an increaseexpirations in AOCI.
Citi expects that the absolute amountFTC branch basket. Citi’s VA of its $5.7$4.2 billion valuation allowance againstis composed of $2.5 billion on its FTC carry-forwards, may grow in future years as it generates additional FTCs relating$1.0 billion on its U.S. residual DTA related to its non-U.S. branches, due$0.6 billion on local non-U.S. DTAs and $0.1 billion on state net operating loss carry-forwards.
In 2021, Citi reduced its VA for DTAs related to their higher overallFTCs in its branch basket for 2021 and future periods. As stated above with regard to the impact of non-U.S. branches on Citi’s earnings, the level of branch pretax income, the local branch tax rate and the allocations of ODL and expenses for U.S. tax purposes to the branch basket are the main factors in determining the branch VA. The allocated ODL was enhanced by significant taxable income generated in the current year. In addition, during 2021, the global interest rate environment and balance sheet requirements in non-U.S. branches resulted in a lower relative allocation of interest expense to non-U.S. branches. The combination of the factors enumerated resulted in a VA release of $0.2 billion. Citi also released branch basket VA of $0.1 billion with respect to future years, based upon Citi’s operating plan and estimates of future branch basket factors, as outlined above.
Citi’s VA of $0.8 billion against FTC carry-forwards in its general basket was reduced by the statutory expiration$0.2 billion in 2021, primarily as a result of FTC carry-forwards. With respectaudit adjustments made to the portion of the valuation allowance established on its FTC carry-forwards that are availableprior years’ returns. In Citi’s general basket for use in the general basket,FTCs, changes in the forecasted amount of earningsincome in U.S. locations derived from sources outside the U.S., in addition to tax examination changes from prior years, could alter the amount of valuation allowance that is eventually needed against such FTCs.Citi continues to look for additional actions that may become prudent and feasible, taking into account client, regulatory and operational
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considerations. (See Note 9 to the Consolidated Financial Statements.)
Recognized FTCs comprised approximately $7.6$2.8 billion of Citi’s DTAs as of December 31, 2017,2021, compared to approximately $14.2$4.4 billion as of December 31, 2016.2020. The decrease in FTCs year-over-year was primarily due to the use of FTCs against the deemed repatriation under Tax Reform, 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.current-year usage. The FTC carry-forward periods representperiod represents the most time-sensitive component of Citi’s DTAs.
Citi believeshas an ODL of approximately $15 billion at December 31, 2021, 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.)
The majority of Citi’s U.S. federal and New York state and city net operating loss carry-forward and all of its New York State and City net operating loss carry-forwards are subject to a carry-forward period of 20 yearsyears. This provides enough time to fully utilize the net DTAs pertaining to thethese 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$24.8 billion at December 31, 20172021 is more-likely-than-not, based upon management’s expectations as toof 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, 20172021 (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.above and Note 9 to the Consolidated Financial Statements.


Potential U.S. Tax Legislation
On January 4, 2022, final FTC regulations were published in the Federal Register. These regulations eliminate the creditability of foreign taxes paid in certain situations. These include countries that do not align with U.S. tax principles in significant part and for services performed outside the recipient country. Citi is examining the extent to which these regulations will impact its effective tax rate. Any adoption effect on Citi’s DTAs, including its valuation allowance against FTC carry-forwards, will be reported in the first quarter of 2022. Citi does not expect a significant impact on its 2022 effective tax rate. However, the U.S. president’s proposed legislation discussed below, if enacted, could exacerbate the impact of these regulations.
The president has proposed the Build Back Better Act, which makes substantial changes to the taxation of multinational corporations. While the Act does not presently contain an increase to the U.S. corporate tax rate, it would impose a minimum level of U.S. taxation, computed on a jurisdiction by jurisdiction basis. The Organization for Economic Cooperation and Development (OECD) Inclusive Framework (140 countries) similarly proposed a minimum tax that could impact Citi.





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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 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$18,045 $(6,798)$(22,594)$15,796 $2,249 14 %
Diluted earnings per share:
  Income from continuing operations6.69 (2.94)(8.31)5.37 1.32 25 
  Net income6.68 (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.”changes in accounting standards.

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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, based2021. Based on that evaluation, the CEO and CFO have concluded that at that date Citigroup’s disclosure controls and procedures were effective.


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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, 20172021 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, 2017,2021, 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, 20172021 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, 20172021 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, 2017.2021.



132

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 regulationsU.S. Private Securities Litigation Reform Act of the U.S. Securities and Exchange Commission (SEC).1995. 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.




133


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—
INTERNAL CONTROL OVER FINANCIAL REPORTINGFIRM
c-20211231_g16.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 sheets of Citigroup Inc. and subsidiaries’subsidiaries (the “Company”)Company) as of December 31, 2021 and 2020, 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, 2021, 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, 2017,2021, based on criteria established in Internal 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, 2021 and 2020, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2021, 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, 2017,2021 based on criteria established in Internal Control -– Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission.
We also have audited,
Change in accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”),Principle
As discussed in Note 1 to the consolidated balance sheet offinancial statements, the Company has changed its method of accounting for the recognition and measurement of credit losses as of December 31, 2017 and 2016,January 1, 2020 due to the related consolidated statementsadoption 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.ASC Topic 326, Financial Instruments – Credit Losses.


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
134

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 certain Level 3 assets and liabilities measured on a recurring basis
As described in Notes 1, 24 and 25 to the consolidated financial statements, the Company’s assets and liabilities recorded at fair value on a recurring basis were $856.6 billion and $313.4 billion, respectively at December 31, 2021. The Company estimated the fair value of Level 3 assets and liabilities measured on a recurring basis ($14.7 billion and $35.2 billion, respectively at December 31, 2021) utilizing various valuation techniques with one or more significant inputs or significant value drivers being unobservable including, but not limited to, complex internal valuation models, alternative pricing procedures or comparables analysis and discounted cash flows.
We identified the assessment of the measurement of fair value for certain Level 3 assets and liabilities recorded at fair value on a recurring basis as a critical audit matter. A high degree of effort, including specialized skills and knowledge, and subjective and complex auditor judgment was involved in the assessment of the Level 3 fair values due to measurement uncertainty. Specifically, the assessment encompassed the evaluation of the fair value methodology, including methods, models and significant assumptions and inputs used to estimate fair value. Significant assumptions and inputs include interest rate, price, yield, credit spread, volatilities, correlations and forward prices. The assessment also included an evaluation of the conceptual soundness and performance of the valuation models.
The following are the primary procedures we performed to address this critical audit matter. We involved valuation professionals with specialized skills and knowledge who assisted in evaluating the design and testing the operating effectiveness of certain internal controls related to the Company’s Level 3 fair value measurements, including controls over:

•valuation methodologies, including significant inputs and assumptions
•independent price verification
•evaluating that significant model assumptions and 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
•relevant information used within the Company’s models that was reasonably available was considered in the fair value determination.

We evaluated the Company’s methodology for compliance with U.S. generally accepted accounting principles. We involved valuation professionals with specialized skills and knowledge who assisted in developing an independent fair value estimate for a selection of certain Level 3 assets and liabilities recorded at fair value on a recurring basis, based on independently developed valuation models and assumptions, as applicable, using market data sources we determined to be relevant and reliable, and compared our independent expectation to the Company’s fair value measurements.

Assessment of the allowance for credit losses collectively evaluated for impairment
As discussed in Notes 1 and 15 to the consolidated financial statements, the Company’s allowance for credit losses related to loans and unfunded lending commitments collectively evaluated for impairment (the collective ACLL) was $18.3 billion as of December 31, 2021. The expected credit losses for the quantitative component of the collective ACLL is the product of multiplying the probability of default (PD), loss given default (LGD), and exposure at default (EAD) for consumer and corporate loans. For consumer credit cards, the Company uses the payment rate approach over the life of the loan, which leverages payment rate curves, to determine the payments that should be applied to liquidate the end-of-period balance in the estimation of EAD. For unconditionally cancelable accounts, reserves are based on the expected life of the balance as of the evaluation date and do not include any undrawn commitments that are unconditionally cancelable. The Company’s models utilize a single forward-looking macroeconomic forecast and macroeconomic assumptions over reasonable and supportable forecast periods. Reasonable and supportable forecast periods vary by product. For consumer loan models, the Company uses a 13-quarter reasonable and supportable period and reverts to historical loss experience thereafter. For corporate loan models, the Company uses a nine-quarter reasonable and supportable period followed by a three-quarter transition to historical loss experience. Additionally, for consumer loans, these models consider leading credit indicators including loan delinquencies, as well as economic factors. For corporate loans, these models consider the credit quality as measured by risk ratings and economic factors. The qualitative component considers idiosyncratic events and the uncertainty of forward-looking economic scenarios.
We identified the assessment of the collective ACLL as a critical audit matter. The assessment involved significant measurement uncertainty requiring complex
135

auditor judgment, and specialized skills and knowledge as well as experience in the industry. This assessment encompassed the evaluation of the various components of the collective ACLL methodology, including the methods and models used to estimate the PD, LGD, and EAD and certain key assumptions and inputs for the Company’s quantitative and qualitative components. Key assumptions and inputs for consumer loans included loan delinquencies, certain credit indicators, reasonable and supportable forecast periods, expected life as well as economic factors, including unemployment rates, gross domestic product (GDP) and housing prices, which are considered in the model. For corporate loans, key assumptions and inputs included risk ratings, reasonable and supportable forecasts, credit conversion factor for unfunded lending commitments, and economic factors, including GDP and unemployment rates considered in the model. Key assumptions and inputs for the qualitative component for both consumer and corporate loan portfolios included the likelihood and severity of a downside scenario and consideration of uncertainties due to idiosyncratic events as a result of the COVID-19 pandemic. The assessment also included an evaluation of the conceptual soundness and performance of the PD, LGD, and EAD models. In addition, auditor judgment was required to evaluate the sufficiency of audit evidence obtained.
The following are the primary procedures we performed to address this critical audit matter. We evaluated the design and tested the operating effectiveness of certain internal controls related to the Company’s measurement of the collective ACLL estimate, including controls over the:

•approval of the collective ACLL methodologies
•determination of the key assumptions and inputs used to estimate the quantitative and qualitative components of the collective ACLL
•performance monitoring of the PD, LGD, and EAD models.

We evaluated the Company’s process to develop the collective ACLL estimate by testing certain sources of data and assumptions that the Company used and considered the relevance and reliability of such data and assumptions. In addition, we involved credit risk professionals with specialized skills and knowledge, who assisted in:

•reviewing the Company’s collective ACLL methodologies and key assumptions for compliance with U.S. generally accepted accounting principles
•assessing the conceptual soundness and performance testing of the PD, LGD, and EAD models by inspecting the model documentation to determine whether the models are suitable for their intended use
•evaluating judgments made by the Company relative to the development and performance monitoring testing of the PD, LGD, and EAD models by comparing them to relevant Company-specific metrics
•assessing the economic forecast scenarios through comparison to publicly available forecasts
•evaluating the methodologies used to develop certain economic forecast scenarios by comparing them to relevant industry practices
•testing corporate loan risk ratings for a selection of borrowers by evaluating the financial performance of the borrower, sources of repayment, and any relevant guarantees or underlying collateral
•evaluating the methodologies used in determining the qualitative components and the effect of those components on the collective ACLL compared with relevant credit risk factors and consistency with credit trends.

We also assessed the sufficiency of the audit evidence obtained related to the collective ACLL by evaluating the:

•cumulative results of the audit procedures
•qualitative aspects of the Company’s accounting practices
•potential bias in the accounting estimates.




/s/ KPMG LLPLLP)
We have served as the Company’s auditor since 1969.

New York, New York
(PCAOB ID # 185)
February 23, 201825, 2022




136
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, 2021, 2020 and 2019
138
Consolidated Statement of Comprehensive Income—
For the Years Ended December 31, 2021, 2020 and 2019
139
Consolidated Balance Sheet—December 31, 2021 and 2020
140
Consolidated Statement of Changes in Stockholders’ Equity—For the Years Ended December 31, 2021, 2020 and 2019
142
Consolidated Statement of Cash Flows—
For the Years Ended December 31, 2021, 2020 and 2019
144

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Note 1—Summary of Significant Accounting Policies
146
Note 2—Discontinued Operations, Significant Disposals and
Other Business Exits
159
Note 3—Operating Segments
161
Note 4—Interest Revenue and Expense
162
Note 5—Commissions and Fees; Administration and Other
Fiduciary Fees
163
Note 6—Principal Transactions
166
Note 7—Incentive Plans
167
Note 8—Retirement Benefits
171
Note 9—Income Taxes
183
Note 10—Earnings per Share
187
Note 11—Securities Borrowed, Loaned and
Subject to Repurchase Agreements
188
Note 12—Brokerage Receivables and Brokerage Payables
192
Note 13—Investments
193
Note 14—Loans
204
Note 15—Allowance for Credit Losses
219

Note 16—Goodwill and Intangible Assets
224
Note 17—Debt
226
Note 18—Regulatory Capital
228
Note 19—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
229
Note 20—Preferred Stock
232
Note 21—Securitizations and Variable Interest Entities
234
Note 22—Derivatives
246
Note 23—Concentrations of Credit Risk
262
Note 24—Fair Value Measurement
263
Note 25—Fair Value Elections
285
Note 26—Pledged Assets, Collateral, Guarantees and
Commitments
289
Note 27—Contingencies
296
Note 28—Condensed Consolidating Financial Statements
305
Note 29—Selected Quarterly Financial Data (Unaudited)
314

137

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 CONSOLIDATED STATEMENT OF INCOME      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.Subsidiaries
We also have audited,
Years ended December 31,
In millions of dollars, except per share amounts202120202019
Revenues   
Interest revenue$50,475 $58,089 $76,510 
Interest expense7,981 13,338 28,382 
Net interest income$42,494 $44,751 $48,128 
Commissions and fees$13,672 $11,385 $11,746 
Principal transactions10,154 13,885 8,892 
Administration and other fiduciary fees3,943 3,472 3,411 
Realized gains on sales of investments, net665 1,756 1,474 
Impairment losses on investments:
Impairment losses on investments and other assets(206)(165)(32)
Provision for credit losses on AFS debt securities(1)
(3)(3)— 
Net impairment losses recognized in earnings$(209)$(168)$(32)
Other revenue$1,165 $420 $1,448 
Total non-interest revenues$29,390 $30,750 $26,939 
Total revenues, net of interest expense$71,884 $75,501 $75,067 
Provisions for credit losses and for benefits and claims   
Provision for credit losses on loans$(3,103)$15,922 $8,218 
Provision for credit losses on held-to-maturity (HTM) debt securities(3)7 — 
Provision for credit losses on other assets— 7 — 
Policyholder benefits and claims116 113 73 
Provision for credit losses on unfunded lending commitments(788)1,446 92 
Total provisions for credit losses and for benefits and claims(2)
$(3,778)$17,495 $8,383 
Operating expenses   
Compensation and benefits$25,134 $22,214 $21,433 
Premises and equipment2,314 2,333 2,328 
Technology/communication7,828 7,383 7,077 
Advertising and marketing1,490 1,217 1,516 
Other operating11,427 11,227 10,429 
Total operating expenses$48,193 $44,374 $42,783 
Income from continuing operations before income taxes$27,469 $13,632 $23,901 
Provision for income taxes5,451 2,525 4,430 
Income from continuing operations$22,018 $11,107 $19,471 
Discontinued operations   
Income (loss) from discontinued operations$7 $(20)$(31)
Benefit for income taxes— — (27)
Income (loss) from discontinued operations, net of taxes$7 $(20)$(4)
Net income before attribution of noncontrolling interests$22,025 $11,087 $19,467 
Noncontrolling interests73 40 66 
Citigroup’s net income$21,952 $11,047 $19,401 
Basic earnings per share(3)
   
Income from continuing operations$10.21 $4.75 $8.08 
Loss from discontinued operations, net of taxes— (0.01)— 
Net income$10.21 $4.74 $8.08 
Weighted average common shares outstanding (in millions)
2,033.0 2,085.8 2,249.2 
Diluted earnings per share(3)
   
Income from continuing operations$10.14 $4.73 $8.04 
Loss from discontinued operations, net of taxes— (0.01)— 
Net income$10.14 $4.72 $8.04 
Adjusted weighted average common shares outstanding
(in millions)
2,049.4 2,099.0 2,265.3 

138

(1)    This presentation is in accordance with ASC 326, which requires 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, basedprovision for credit losses 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 requiredAFS securities to be independent with respectincluded in revenue.
(2)    This total excludes the provision for credit losses on AFS securities, which is disclosed separately above.
(3)    Due to the Company in accordance with the U.S. federal securities lawsrounding, earnings per share on continuing operations and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.discontinued operations may not sum to earnings per share on net income.
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
 Years ended December 31,
In millions of dollars, except per share amounts201720162015
Revenues(1)
 
 
 
Interest revenue$61,204
$57,615
$58,551
Interest expense16,517
12,511
11,921
Net interest revenue$44,687
$45,104
$46,630
Commissions and fees$12,939
$11,938
$14,485
Principal transactions9,168
7,585
6,008
Administration and other fiduciary fees3,079
2,783
2,856
Realized gains on sales of investments, net778
948
682
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)
Other revenue$861
$2,137
$5,958
Total non-interest revenues$26,762
$24,771
$29,724
Total revenues, net of interest expense$71,449
$69,875
$76,354
Provisions for credit losses and for benefits and claims 
 
 
Provision for loan losses$7,503
$6,749
$7,108
Policyholder benefits and claims109
204
731
Provision (release) for unfunded lending commitments(161)29
74
Total provisions for credit losses and for benefits and claims$7,451
$6,982
$7,913
Operating expenses(1)
 
 
 
Compensation and benefits$21,181
$20,970
$21,769
Premises and equipment2,453
2,542
2,878
Technology/communication6,891
6,685
6,581
Advertising and marketing1,608
1,632
1,547
Other operating9,104
9,587
10,840
Total operating expenses$41,237
$41,416
$43,615
Income from continuing operations before income taxes$22,761
$21,477
$24,826
Provision for income taxes (benefits)29,388
6,444
7,440
Income (loss) from continuing operations$(6,627)$15,033
$17,386
Discontinued operations 
 
 
Loss from discontinued operations$(104)$(80)$(83)
Provision (benefit) for income taxes7
(22)(29)
Loss from discontinued operations, net of taxes$(111)$(58)$(54)
Net income (loss) before attribution of noncontrolling interests$(6,738)$14,975
$17,332
Noncontrolling interests60
63
90
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
Basic earnings per share(2)
 
 
 
Income (loss) from continuing operations
$(2.94)$4.74
$5.43
Loss from discontinued operations, net of taxes(0.04)(0.02)(0.02)
Net income (loss)$(2.98)$4.72
$5.41
Weighted average common shares outstanding2,698.5
2,888.1
3,004.0


CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries
Diluted earnings per share(2)
 
 
 
Income (loss) from continuing operations
$(2.94)$4.74
$5.42
Income (loss) from discontinued operations, net of taxes(0.04)(0.02)(0.02)
Net income (loss)$(2.98)$4.72
$5.40
Adjusted weighted average common shares outstanding2,698.5
2,888.3
3,007.7

(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 INCOMECitigroup Inc. and Subsidiaries
Years ended December 31,
In millions of dollars202120202019
Citigroup’s net income$21,952 $11,047 $19,401 
Add: Citigroup’s other comprehensive income (loss)
Net change in unrealized gains and losses on debt securities, net of taxes(1)
$(3,934)$3,585 $1,985 
Net change in debt valuation adjustment (DVA), net of taxes(1)
232 (475)(1,136)
Net change in cash flow hedges, net of taxes(1,492)1,470 851 
Benefit plans liability adjustment, net of taxes(2)
1,012 (55)(552)
Net change in foreign currency translation adjustment, net of taxes and hedges(2,525)(250)(321)
Net change in excluded component of fair value hedges, net of taxes— (15)25 
Citigroup’s total other comprehensive income (loss)$(6,707)$4,260 $852 
Citigroup’s total comprehensive income$15,245 $15,307 $20,253 
Add: Other comprehensive income (loss) attributable to noncontrolling interests$(99)$26 $— 
Add: Net income attributable to noncontrolling interests73 40 66 
Total comprehensive income$15,219 $15,373 $20,319 
 Years ended December 31,
In millions of dollars201720162015
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
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 debt valuation adjustment (DVA), net of taxes(1)
(569)(337)—
Net change in cash flow hedges, net of taxes(138)57
292
Benefit plans liability adjustment, net of taxes(2)
(1,019)(48)43
Net change in foreign currency translation adjustment, net of taxes and hedges(202)(2,802)(5,499)
Citigroup’s total other comprehensive income (loss)(3)
$(2,791)$(3,022)$(6,128)
Citigroup’s total comprehensive income (loss)

$(9,589)$11,890
$11,114
Add: Other comprehensive income (loss) attributable to noncontrolling interests$114
$(56)$(83)
Add: Net income attributable to noncontrolling interests60
63
90
Total comprehensive income (loss)$(9,415)$11,897
$11,121

(1)     See Note 1 to the Consolidated Financial Statements.
(2)    See Note 8 to the Consolidated Financial Statements.
(3) 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.



139

CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
December 31,
In millions of dollars20212020
Assets  
Cash and due from banks (including segregated cash and other deposits)$27,515 $26,349 
Deposits with banks, net of allowance234,518 283,266 
Securities borrowed and purchased under agreements to resell (including $216,466 and $185,204 as of December 31, 2021 and 2020, respectively, at fair value), net of allowance327,288 294,712 
Brokerage receivables, net of allowance54,340 44,806 
Trading account assets (including $133,828 and $168,967 pledged to creditors at December 31, 2021 and 2020, respectively)331,945 375,079 
Investments:
Available-for-sale debt securities (including $9,226 and $5,921 pledged to creditors as of December 31, 2021 and 2020, respectively), net of allowance288,522 335,084 
Held-to-maturity debt securities (including $1,460 and $547 pledged to creditors as of December 31, 2021 and 2020, respectively), net of allowance216,963 104,943 
Equity securities (including $1,032 and $1,066 as of December 31, 2021 and 2020, respectively, at fair value)7,337 7,332 
Total investments$512,822 $447,359 
Loans:  
Consumer (including $12 and $14 as of December 31, 2021 and 2020, respectively, at fair value)271,236 288,839 
Corporate (including 6,070 and 6,840 as of December 31, 2021 and 2020, respectively, at fair value)396,531 387,044 
Loans, net of unearned income$667,767 $675,883 
Allowance for credit losses on loans (ACLL)(16,455)(24,956)
Total loans, net$651,312 $650,927 
Goodwill21,299 22,162 
Intangible assets (including MSRs of $404 and $336 as of December 31, 2021 and 2020,
  respectively, at fair value)
4,495 4,747 
Other assets (including $12,342 and $14,6130 as of December 31, 2021 and 2020, respectively,
  at fair value), net of allowance
125,879 110,683 
Total assets$2,291,413 $2,260,090 
 December 31,
In millions of dollars20172016
Assets 
 
Cash and due from banks$23,775
$23,043
Deposits with banks156,741
137,451
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
Brokerage receivables38,384
28,887
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
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
Total investments$352,290
$353,304
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
Loans, net of unearned income$667,034
$624,369
Allowance for loan losses(12,355)(12,060)
Total loans, net$654,679
$612,309
Goodwill22,256
21,659
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
Total assets$1,842,465
$1,792,077


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,
In millions of dollars20172016
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
Cash and due from banks$52
$142
Trading account assets1,129
602
Investments2,498
3,636
Loans, net of unearned income 
 
Consumer54,656
53,401
Corporate19,835
20,121
Loans, net of unearned income$74,491
$73,522
Allowance for loan losses(1,930)(1,769)
Total loans, net$72,561
$71,753
Other assets154
158
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$76,394
$76,291

December 31,
In millions of dollars20212020
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs  
Cash and due from banks$260 $281 
Trading account assets10,038 8,104 
Investments844 837 
Loans, net of unearned income 
Consumer34,677 37,561 
Corporate14,312 17,027 
Loans, net of unearned income$48,989 $54,588 
Allowance for credit losses on loans (ACLL)(2,668)(3,794)
Total loans, net$46,321 $50,794 
Other assets1,174 43 
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$58,637 $60,059 

Statement continues on the next page.

140

CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
(Continued)
December 31,
In millions of dollars, except shares and per share amounts20212020
Liabilities  
Non-interest-bearing deposits in U.S. offices$158,552 $126,942 
Interest-bearing deposits in U.S. offices (including $879 and $879 as of December 31, 2021 and 2020, respectively, at fair value)543,283 503,213 
Non-interest-bearing deposits in offices outside the U.S.97,270 100,543 
Interest-bearing deposits in offices outside the U.S. (including $787 and $1,079 as of December 31, 2021 and 2020, respectively, at fair value)518,125 549,973 
Total deposits$1,317,230 $1,280,671 
Securities loaned and sold under agreements to repurchase (including $56,694 and $60,206 as of December 31, 2021 and 2020, respectively, at fair value)191,285 199,525 
Brokerage payables (including $3,575 and $6,835 as of December 31, 2021 and 2020, respectively,
  at fair value), including allowance
61,430 50,484 
Trading account liabilities161,529 168,027 
Short-term borrowings (including $7,358 and $4,683 as of December 31, 2021 and 2020, respectively,
  at fair value)
27,973 29,514 
Long-term debt (including $82,609 and $67,063 as of December 31, 2021 and 2020, respectively,
  at fair value)
254,374 271,686 
Other liabilities74,920 59,983 
Total liabilities$2,088,741 $2,059,890 
Stockholders’ equity  
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 759,800 as of December 31, 2021 and 779,200 as of December 31, 2020, at aggregate liquidation value
$18,995 $19,480 
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,651,835 as of December 31, 2021 and 3,099,633,160 as of December 31, 2020
31 31 
Additional paid-in capital108,003 107,846 
Retained earnings184,948 168,272 
Treasury stock, at cost: 1,115,296,641 shares as of December 31, 2021 and 1,017,543,951 shares as of
    December 31, 2020
(71,240)(64,129)
Accumulated other comprehensive income (loss) (AOCI)
(38,765)(32,058)
Total Citigroup stockholders’ equity$201,972 $199,442 
Noncontrolling interests700 758 
Total equity$202,672 $200,200 
Total liabilities and equity$2,291,413 $2,260,090 
 December 31,
In millions of dollars, except shares and per share amounts20172016
Liabilities 
 
Non-interest-bearing deposits in U.S. offices$126,880
$136,698
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
Non-interest-bearing deposits in offices outside the U.S.87,440
77,616
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
Total deposits$959,822
$929,406
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
Brokerage payables61,342
57,152
Trading account liabilities124,047
139,045
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
Total liabilities$1,640,793
$1,565,934
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
Additional paid-in capital108,008
108,042
Retained earnings138,425
146,477
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)
Total Citigroup stockholders’ equity$200,740
$225,120
Noncontrolling interest932
1,023
Total equity$201,672
$226,143
Total liabilities and equity$1,842,465
$1,792,077


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,
In millions of dollars20212020
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		  
Short-term borrowings$8,376 $9,278 
Long-term debt12,579 20,405 
Other liabilities694 463 
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		$21,649 $30,146 
 December 31,
In millions of dollars20172016
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
Long-term debt30,492
23,919
Other liabilities611
1,275
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

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

141

CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITYCitigroup Inc. and Subsidiaries
Years ended December 31,
AmountsShares
In millions of dollars, except shares in thousands202120202019202120202019
Preferred stock at aggregate liquidation value      
Balance, beginning of year$19,480 $17,980 $18,460 779 719 738 
Issuance of new preferred stock3,300 3,000 1,500 132 120 60 
Redemption of preferred stock(3,785)(1,500)(1,980)(151)(60)(79)
Balance, end of year$18,995 $19,480 $17,980 760 779 719 
Common stock and additional paid-in capital (APIC)     
Balance, beginning of year$107,877 $107,871 $107,953 3,099,633 3,099,603 3,099,567 
Employee benefit plans85 5 (112)19 30 36 
Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions)25 (4)(4)— — — 
Other47 5 34 — — — 
Balance, end of year$108,034 $107,877 $107,871 3,099,652 3,099,633 3,099,603 
Retained earnings     
Balance, beginning of year$168,272 $165,369 $151,347 
Adjustments to opening balance, net of taxes(1)
Financial instruments—credit losses (CECL adoption)— (3,076)— 
Variable post-charge-off third-party collection costs— 330 — 
Lease accounting, intra-entity transfers of assets— — 151 
Adjusted balance, beginning of year$168,272 $162,623 $151,498    
Citigroup’s net income21,952 11,047 19,401    
Common dividends(2)
(4,196)(4,299)(4,403)   
Preferred dividends(1,040)(1,095)(1,109)   
Other (primarily reclassifications from APIC for preferred
issuance costs on redemptions)		(40)(4)(18)
Balance, end of year$184,948 $168,272 $165,369    
Treasury stock, at cost     
Balance, beginning of year$(64,129)$(61,660)$(44,370)(1,017,544)(985,480)(731,100)
Employee benefit plans(3)
489 456 585 7,745 8,676 9,872 
Treasury stock acquired(4)
(7,600)(2,925)(17,875)(105,498)(40,740)(264,252)
Balance, end of year$(71,240)$(64,129)$(61,660)(1,115,297)(1,017,544)(985,480)
Citigroup’s accumulated other comprehensive income (loss)     
Balance, beginning of year$(32,058)$(36,318)$(37,170)   
Citigroup’s total other comprehensive income (loss)(6,707)4,260 852    
Balance, end of year$(38,765)$(32,058)$(36,318)   
Total Citigroup common stockholders’ equity$182,977 $179,962 $175,262 1,984,355 2,082,089 2,114,123 
Total Citigroup stockholders’ equity$201,972 $199,442 $193,242  
Noncontrolling interests     
Balance, beginning of year$758 $704 $854    
Transactions between noncontrolling-interest shareholders
and the related consolidated subsidiary
— — — 
Transactions between Citigroup and the noncontrolling-interest shareholders(10)(4)(169)   
Net income attributable to noncontrolling-interest shareholders73 40 66    
Distributions paid to noncontrolling-interest shareholders(10)(2)(40)   
Other comprehensive income (loss) attributable to
noncontrolling-interest shareholders
(99)26 —    
Other(12)(6)(7)   
Net change in noncontrolling interests$(58)$54 $(150)   
Balance, end of year$700 $758 $704    
Total equity$202,672 $200,200 $193,946 
142

 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.
(2)Common dividends declared were $0.16 per share in the first and second quarters 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.
(3)
Includes the impact of ASU 2018-02, which transferred those amounts from AOCI to Retained earnings. See Notes 1 and 19 to the Consolidated Financial Statements.
(4) Includes the impact of ASU No. 2016-09.    See Note 1 to the Consolidated Financial Statements.Statements for additional details.
(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-restricted or deferred-stock programs, where shares are withheld to satisfy tax requirements.
(6)For 2017, 2016 and 2015, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.

(2)    Common dividends declared were $0.51 per share in the first, second, third and fourth quarters of 2021 and 2020; $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.
(3)    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 restricted or deferred stock programs where shares are withheld to satisfy tax requirements.
(4)    Primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase programs.

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

143

CONSOLIDATED STATEMENT OF CASH FLOWSCitigroup Inc. and Subsidiaries
Years ended December 31,
In millions of dollars202120202019
Cash flows from operating activities of continuing operations   
Net income before attribution of noncontrolling interests$22,025 $11,087 $19,467 
Net income attributable to noncontrolling interests73 40 66 
Citigroup’s net income$21,952 $11,047 $19,401 
Income (loss) from discontinued operations, net of taxes7 (20)(4)
Income from continuing operations—excluding noncontrolling interests$21,945 $11,067 $19,405 
Adjustments to reconcile net income to net cash provided by (used in) operating activities
of continuing operations
   
Net loss on significant disposals(1)
700 — — 
Depreciation and amortization3,964 3,937 3,905 
Deferred income taxes1,413 (2,333)(610)
Provision for credit losses on loans and unfunded lending commitments(3,891)17,368 8,310 
Realized gains from sales of investments(665)(1,756)(1,474)
Impairment losses on investments and other assets206 165 32 
Change in trading account assets43,059 (98,997)(20,124)
Change in trading account liabilities(6,498)48,133 (24,411)
Change in brokerage receivables net of brokerage payables1,412 (3,066)(20,377)
Change in loans HFS(3,809)1,202 (909)
Change in other assets(2,139)(1,012)4,724 
Change in other liabilities6,839 558 1,737 
Other, net(1,287)4,113 16,955 
Total adjustments$39,304 $(31,688)$(32,242)
Net cash provided by (used in) operating activities of continuing operations$61,249 $(20,621)$(12,837)
Cash flows from investing activities of continuing operations   
Change in securities borrowed and purchased under agreements to resell$(32,576)$(43,390)$19,362 
Change in loans(1,173)14,249 (22,466)
Proceeds from sales and securitizations of loans2,918 1,495 2,878 
Purchases of investments(359,158)(334,900)(274,491)
Proceeds from sales of investments126,728 146,285 137,173 
Proceeds from maturities of investments142,100 124,229 119,051 
Capital expenditures on premises and equipment and capitalized software(4,119)(3,446)(5,336)
Proceeds from sales of premises and equipment, subsidiaries and affiliates
and repossessed assets		190 50 259 
Other, net185 116 196 
Net cash used in investing activities of continuing operations$(124,905)$(95,312)$(23,374)
Cash flows from financing activities of continuing operations   
Dividends paid$(5,198)$(5,352)$(5,447)
Issuance of preferred stock3,300 2,995 1,496 
Redemption of preferred stock(3,785)(1,500)(1,980)
Treasury stock acquired(7,601)(2,925)(17,571)
Stock tendered for payment of withholding taxes(337)(411)(364)
Change in securities loaned and sold under agreements to repurchase(8,240)33,186 (11,429)
Issuance of long-term debt70,658 76,458 59,134 
Payments and redemptions of long-term debt(74,950)(63,402)(51,029)
Change in deposits44,966 210,081 57,420 
Change in short-term borrowings(1,541)(15,535)12,703 
144

 Years ended December 31,
In millions of dollars201720162015
Cash flows from operating activities of continuing operations 
 
 
Net income (loss) before attribution of noncontrolling interests$(6,738)$14,975
$17,332
Net income attributable to noncontrolling interests60
63
90
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
Loss from discontinued operations, net of taxes(111)(58)(54)
Income (loss) from continuing operations—excluding noncontrolling interests$(6,687)$14,970
$17,296
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
Net gains on significant disposals(1)
(602)(404)(3,210)
Depreciation and amortization3,659
3,720
3,506
Deferred tax provision (2)
24,877
1,459
2,794
Provision for loan losses7,503
6,749
7,108
Realized gains from sales of investments(778)(948)(682)
Net impairment losses on investments, goodwill and intangible assets91
621
318
Change in trading account assets(7,726)(2,710)46,830
Change in trading account liabilities(14,998)21,533
(21,524)
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 other assets(2,489)(6,859)(32)
Change in other liabilities(3,421)(28)(1,135)
Other, net(2,956)7,000
(6,603)
Total adjustments$(1,900)$38,962
$22,441
Net cash provided by (used in) operating activities of continuing operations$(8,587)$53,932
$39,737
Cash flows from investing activities of continuing operations 
 
 
   Change in deposits with banks$(19,290)$(25,311)$15,488
   Change in federal funds sold and securities borrowed or purchased under agreements to resell4,335
(17,138)22,895
   Change in loans(58,062)(39,761)1,353
   Proceeds from sales and securitizations of loans8,365
18,140
9,610
   Purchases of investments(185,740)(211,402)(242,362)
   Proceeds from sales of investments(3)
107,368
132,183
141,470
   Proceeds from maturities of investments84,369
65,525
82,047
   Proceeds from significant disposals(1)
3,411
265
5,932
   Payments due to transfers of net liabilities associated with significant disposals(1)(4)
—
—
(18,929)
   Capital expenditures on premises and equipment and capitalized software(3,361)(2,756)(3,198)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
377
667
577
Net cash provided by (used in) investing activities of continuing operations$(58,228)$(79,588)$14,883
Cash flows from financing activities of continuing operations 
 
 
   Dividends paid$(3,797)$(2,287)$(1,253)
   Issuance of preferred stock—
2,498
6,227
   Treasury stock acquired(14,541)(9,290)(5,452)
   Stock tendered for payment of withholding taxes(405)(316)(428)
   Change in federal funds purchased and securities loaned or sold under agreements to repurchase14,456
(4,675)(26,942)
   Issuance of long-term debt67,960
63,806
44,619
   Payments and redemptions of long-term debt(40,986)(55,460)(52,843)
   Change in deposits30,416
24,394
8,555
   Change in short-term borrowings13,751
9,622
(37,256)
CONSOLIDATED STATEMENT OF CASH FLOWS
(Continued)


Citigroup Inc. and Subsidiaries


 Years ended December 31,
In millions of dollars202120202019
Net cash provided by financing activities of continuing operations$17,272 $233,595 $42,933 
Effect of exchange rate changes on cash and due from banks$(1,198)$(1,966)$(908)
Change in cash, due from banks and deposits with banks(47,582)115,696 5,814 
Cash, due from banks and deposits with banks at beginning of year309,615 193,919 188,105 
Cash, due from banks and deposits with banks at end of year$262,033 $309,615 $193,919 
Cash and due from banks (including segregated cash and other deposits)$27,515 $26,349 $23,967 
Deposits with banks, net of allowance234,518 283,266 169,952 
Cash, due from banks and deposits with banks at end of year$262,033 $309,615 $193,919 
Supplemental disclosure of cash flow information for continuing operations   
Cash paid during the year for income taxes$4,028 $4,797 $4,888 
Cash paid during the year for interest7,143 12,094 27,901 
Non-cash investing activities(1)(2)
Decrease in net loans associated with significant disposals reclassified to HFS$9,945 $— $— 
Transfers to loans HFS (Other assets) from loans
7,414 2,614 5,500 
Non-cash financing activities(1)
Decrease in long-term debt associated with significant disposals reclassified to HFS$479 $— $— 
Decrease in deposits associated with significant disposals reclassified to HFS8,407 — — 


(1)    See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
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)
(2)    Operating and finance lease right-of-use assets and lease liabilities represent non-cash investing and financing activities, respectively, and are not included in the non-cash investing activities presented here. See Note 26 to the Consolidated Financial Statements for more information and balances.


(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). 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.
(4)The payments associated with significant disposals result primarily from the sale of deposit liabilities.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

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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 and updates have been made to the prior periods’ financial statements and Notesnotes 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 wherein which 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 indirect wholly owned subsidiary of Citigroup. Citibank’s principal offerings include consumer finance, mortgage lending and retailinvestment banking, (including commercial banking) products and services; investment banking, cash management, trade finance and trade finance; ande-commerce; private banking products and services; consumer finance, credit cards, and mortgage lending; and retail 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.entity, at which point such amounts 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. dollarnon-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

Fixed income•Debt securities classified as “held-to-maturity” (HTM) 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 equity•Debt securities classified as “available-for-sale” (AFS) 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
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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 less impairment (if any), 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-maturity (HTM) 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 include securities held in HTM or AFS, and equity securities accounted for under the Measurement Alternative or equity method and Federal Reserve Bank, Federal Home Loan Bank stock and certain exchange seats. These securities are subject to evaluation for other-than-temporary impairment as described in Note 1315 to the Consolidated Financial Statements.Statements for HTM securities and in Note 13 for AFS, Measurement Alternative and equity method investments. 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., except when included in a hedge relationship. 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 theand debt host contract and accounted for at fair value. The debt host contract isare 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 paidreceived or receivedpaid for all securities lendingborrowing and borrowinglending transactions are recorded in Interest revenue or Interest expenseor Interest revenue at the contractually specified rate.
Where the conditions of ASC 210-20-45-1, Balance
Sheet—Offsetting: Right of Setoff Conditions, are met, securities borrowing and lending transactions are presented net on the Consolidated Balance Sheet.
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
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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 assessmentwith the exception 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 (other than for loan modifications made through the CARES Act relief provisions or banking agency guidance for pandemic-related issues) 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.
•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.

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•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 market 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.uncollectible. 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.


Allowances for Credit Losses (ACL)
Allowance for LoanCommencing January 1, 2020, Citi adopted Accounting Standards Update (ASC) 326, Financial Instruments—Credit Losses
Allowance, using the methodologies described below. For information about Citi’s accounting for loan losses represents management’s best estimateprior to January 1, 2020, see “Superseded Accounting Principles” below.
The current expected credit losses (CECL) methodology is based on relevant information about past events, including
historical experience, current conditions and reasonable and supportable (R&S) forecasts that affect the collectability of probable losses inherentthe reported financial asset balances. If the asset’s life extends beyond the R&S forecast period, then historical experience is considered over the remaining life of the assets in the portfolio, including probableACL. The resulting ACL is adjusted in each subsequent reporting period through Provisions for credit 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. AdditionsConsolidated Statement of Income to reflect changes in history, current conditions and forecasts as well as changes in asset positions and portfolios. ASC 326 defines the allowance are made through the Provision for loan losses. Loan losses areACL as a valuation account that is deducted from the allowance and subsequent recoveriesamortized cost of a financial asset to present the net amount that management expects to collect on the financial asset over its expected life. All financial assets carried at amortized cost are added. Assets received in exchange for loan claims in a restructuring are initially recordedthe scope of ASC 326, while assets measured at fair value are excluded. See Note 13 to the Consolidated Financial Statements for a discussion of impairment on available-for-sale (AFS) securities.
Increases and decreases to the allowances are recorded in Provisions for credit losses. The CECL methodology utilizes a lifetime expected credit loss (ECL) measurement objective for the recognition of credit losses for held-for-investment (HFI) loans, held-to-maturity (HTM) debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. Within the life of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related ACL than prior U.S. GAAP.
Estimation of ECLs requires Citi to make assumptions regarding the likelihood and severity of credit loss events and their impact on expected cash flows, which drive the probability of default (PD), loss given default (LGD) and exposure at default (EAD) models and, where Citi discounts the ECL, using discounting techniques for certain products. Where the asset’s life extends beyond the R&S forecast period, Citi considers historical experience over the remaining life of the assets in estimating the ACL.
Citi uses a multitude of variables in its macroeconomic forecast as part of its calculation of both the qualitative and quantitative components of the ACL, including both domestic and international variables for its global portfolios and exposures. Citi’s forecasts of the U.S. unemployment rate and U.S. Real GDP growth rate represent the key macroeconomic variables that most significantly affect its estimate of its consumer and corporate ACLs. Under the quantitative base scenario, Citi’s 4Q21 forecasts are for U.S. unemployment to continue to improve as the U.S. continues to move past the peak of the pandemic-related health and economic crisis.
The following are the main factors and interpretations that Citi considers when estimating the ACL under the CECL methodology:

•The most important reasons for the change in the ACL during 2021 were the ACL releases resulting from the recovery from the pandemic.
•CECL reserves are estimated over the contractual term of the financial asset, which is adjusted for expected prepayments. Expected extensions are generally not considered unless the option to extend the loan cannot be canceled unilaterally by Citi. Modifications are also not
149

considered, unless Citi has a reasonable expectation that it will execute a troubled debt restructuring (TDR).
•Credit enhancements that are not freestanding (such as those that are included in the original terms of the contract or those executed in conjunction with the lending transaction) are considered loss mitigants for purposes of CECL reserve estimation.
•For unconditionally cancelable accounts such as credit cards, reserves are based on the expected life of the balance as of the evaluation date (assuming no further charges) and do not include any undrawn commitments that are unconditionally cancelable. Reserves are included for undrawn commitments for accounts that are not unconditionally cancelable (such as letters of credit and corporate loan commitments, home equity lines of credit (HELOCs), undrawn mortgage loan commitments and financial guarantees).
•CECL models are designed to be economically sensitive. They utilize the macroeconomic forecasts provided by Citi’s economic forecasting team (EFT) that are approved by senior management. Analysis is performed and documented to determine the necessary qualitative management adjustment (QMA) to capture forward-looking macroeconomic expectations and model uncertainty.
•The portion of the forecast that reflects the EFT’s reasonable and supportable (R&S) period indicates the maximum length of time its models can produce a R&S macroeconomic forecast, after which mean reversion reflecting historical loss experience is used for the remaining life of the loan to estimate expected credit losses. For the loss forecast, businesses consume the macroeconomic forecast as determined to be appropriate and justifiable.

Citi’s ability to forecast credit losses over the reasonable and supportable (R&S) period is based on the ability to forecast economic activity over a reasonable and supportable time window. The R&S period reflects the overall ability to have a reasonable and supportable forecast of credit loss based on economic forecasts.

•The loss models consume all or a portion of the R&S economic forecast and then revert to historical loss experience. The R&S forecast period for consumer loans is 13 quarters and, in most cases, reverts to historically based loss experience either immediately or using a straight-line approach thereafter, while the R&S period for corporate loans is nine quarters with an additional straight-line reversion period of three quarters for ECL parameters.
•The ACL incorporates provisions for accrued interest on products that are not subject to a non-accrual and timely write-off policy (e.g., credit cards, etc.).
•The reserves for TDRs are calculated using the discounted cash flow method and considers appropriate macroeconomic forecast data for the exposure type. For TDR loans that are collateral dependent, the ACL is based on the fair value of the collateral.
•Citi uses the most recent available information to inform its macroeconomic forecasts, allowing sufficient time for analysis of the results and corresponding approvals. Key variables are reviewed for significant changes through year end and changes to portfolio positions are reflected in the ACL.
•Reserves are calculated at an appropriately granular level and on a pooled basis where financial assets share risk characteristics. At a minimum, reserves are calculated at a portfolio level (product and country). Where a financial asset does not share risk characteristics with any gain orof the pools, it is evaluated for credit losses individually.

Quantitative and Qualitative Components of the ACL
The loss reflectedlikelihood and severity models use both internal and external information and are sensitive to forecasts of different macroeconomic conditions. For the quantitative component, Citi uses a single forward-looking macroeconomic forecast, complemented by the qualitative component that reflects economic uncertainty due to a different possible more adverse scenario for estimating the ACL. Estimates of these ECLs are based upon (i) Citigroup’s internal system of credit risk ratings; (ii) historical default and loss data, including comprehensive internal history and rating agency information regarding default rates and internal data on the severity of losses in the event of default; and (iii) a R&S forecast of future macroeconomic conditions. ECL is determined primarily by utilizing models for the borrowers’ PD, LGD and EAD. 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 a recovery or charge-offcurrent environmental factors and credit trends.
Any adjustments needed to the provision.modeled expected losses in the quantitative calculations are addressed through a qualitative adjustment. The qualitative adjustment considers, among other things: the uncertainty of forward-looking scenarios based on the likelihood and severity of a possible recession; the uncertainty of economic conditions related to an alternative downside scenario; certain portfolio characteristics and concentrations; collateral coverage; model limitations; idiosyncratic events; and other relevant criteria under banking supervisory guidance for loan loss reserves. The qualitative adjustment also reflects the estimated impact of the pandemic on the economic forecasts and the impact on credit loss estimates. The total ACL is composed of the quantitative and qualitative components.

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Consumer Loans
For consumer loans, each portfoliomost portfolios including North America cards, mortgages and personal installment loans (PILs) are covered by the PD, LGD and EAD loss forecasting models. Some smaller international portfolios are covered by econometric models where the gross credit loss (GCL) rate is forecasted. The modeling of non-modified smaller-balance homogeneousall retail products is performed by examining risk drivers for a given portfolio; these drivers relate to exposures with similar credit risk characteristics and consider past events, current conditions and R&S forecasts. Under the PD x LGD x EAD approach, GCLs and recoveries are captured on an undiscounted basis. Citi incorporates expected recoveries on 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 attributedinto its reserve estimate, including expected recoveries on assets previously written off.
CECL defines the exposure’s expected life as the remaining contractual maturity including any expected prepayments. Subsequent changes to these loans is established viathe contractual terms that are the result of a process that estimates the probable losses inherentre-underwriting are not included in the specific portfolio. This process includes migration analysis, inloan’s expected CECL life.
Citi does not establish reserves for the uncollectible accrued interest on non-revolving consumer products, such as mortgages and installment loans, which historical delinquencyare subject to a non-accrual and credit loss experiencetimely write-off policy. As such, only the principal balance is appliedsubject to the current agingCECL reserve methodology and interest does not attract a further reserve. FAS 91-deferred origination costs and fees related to new account originations are amortized within a 12-month period, and an ACL is provided for components in the scope 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.ASC.
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).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 lossesACL for TDRs is determined in accordance with ASC 310-10-35, Receivables—Subsequent Measurement, considering all available evidence, including,using a discounted cash flow (DCF) approach. When a DCF approach is used, the initial allowance for ECLs is calculated as appropriate, the present value of the expected futurecontractual cash flows discounted at the loan’s original effective interest rate. DCF techniques are applied only for consumer loans classified as TDR loan exposures.
For credit cards, Citi uses the payment rate approach, which leverages payment rate curves, to determine the payments that should be applied to liquidate the end-of-period balance (CECL balance) in the estimation of EAD. The payment rate approach uses customer payment behavior (payment rate) to establish the portion of the CECL balance that will be paid each month. These payment rates are defined as the percentage of principal payments received in the respective month divided by the prior month’s billed principal balance. The liquidation (CECL payment) amount for each forecast period is determined by multiplying the CECL balance by that period’s forecasted payment rate. The cumulative sum of these payments less the CECL balance produces the balance liquidation curve. Citi does not apply a non-accrual policy to credit card receivables; rather, they are subject to full charge-off at 180 days past due. As such, the entire customer balance up until write-off, including accrued
interest and fees, will be subject to the CECL reserve methodology.

Corporate Loans and HTM Securities
Citi records allowances for credit losses on all financial assets carried at amortized cost that are in the scope of CECL, including corporate loans classified as HFI and HTM debt securities. Discounting techniques are applied for corporate loans classified as HFI and HTM securities and non-accrual/TDR loan exposures. All cash flows are fully discounted to the reporting date. The ACL includes Citi’s estimate of all credit losses expected to be incurred over the estimated full contractual effective rate,life of the secondary marketfinancial asset. The contractual life of the financial asset does not include expected extensions, renewals or modifications, except for instances where the Company reasonably expects to extend the tenor of the financial asset pursuant to a future TDR. Where Citi has an unconditional option to extend the contractual term, Citi does not consider the potential extension in determining the contractual term; however, where the borrower has the sole right to exercise the extension option without Citi’s approval, Citi does consider the potential extension in determining the contractual term. The decrease in credit losses under CECL at the date of adoption on January 1, 2020, compared with the prior incurred loss methodology, was largely due to more precise contractual maturities that resulted in shorter remaining tenors, the incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies.
The Company primarily bases its ACL on models that assess the likelihood and severity of credit events and their impact on cash flows under R&S forecasted economic scenarios. Allowances consider the probability of the borrower’s default, the loss the Company would incur upon default and the borrower’s exposure at default. Such models discount the present value of all future cash flows, using the asset’s effective interest rate (EIR). Citi applies a more simplified approach based on historical loss rates to certain exposures recorded in Other assets and certain loan exposures in the private bank.
The Company considers the risk of nonpayment to be zero for U.S. Treasuries and U.S. government-sponsored agency guaranteed mortgage-backed securities (MBS) and, as such, Citi does not have an ACL for these securities. For all other HTM debt securities, ECLs are estimated using PD models and discounting techniques, which incorporate assumptions regarding the likelihood and severity of credit losses. For structured securities, specific models use relevant assumptions for the underlying collateral type. A discounting approach is applied to HTM direct obligations of a single issuer, similar to that used for corporate HFI loans.

Other Financial Assets with Zero Expected Credit Losses
For certain financial assets, zero expected credit losses will be recognized where the expectation of nonpayment of the amortized cost basis is zero, based on there being no history of loss and the nature of the receivables.


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Secured Financing Transactions
Most of Citi’s reverse repurchase agreements, securities borrowing arrangements and margin loans require that the borrower continually adjust the amount of the collateral securing Citi’s interest, primarily resulting from changes in the fair value of such collateral. In such arrangements, ACLs are recorded based only on the amount by which the asset’s amortized cost basis exceeds the fair value of the collateral. No ACLs are recorded where the fair value of the collateral less disposal costs. These expected cash flows incorporate modification program default rate assumptions. The original contractual effective rate foris equal to or exceeds the asset’s amortized cost basis, as Citi does not expect to incur credit cardlosses on such well-collateralized exposures. For certain margin loans ispresented in Loans on the pre-modification rate, which may include interest rate increases under the original contractual agreement with the borrower.

Valuation allowances for commercial market loans, whichConsolidated Balance Sheet, credit losses are classifiably managed consumer loans, are determined inestimated using the same mannerapproach as corporate loans.

Accrued Interest
CECL permits entities to make an accounting policy election not to reserve for interest, if the entity has a policy in place that will result in timely reversal or write-off of interest. However, when a non-accrual or timely charge-off policy is not applied, an ACL is recognized on accrued interest. For HTM debt securities, Citi established a non-accrual policy that results in timely write-off of accrued interest. For corporate loans, where a timely charge-off policy is used, Citi has elected to recognize an ACL on accrued interest receivable. The LGD models for corporate loans include an adjustment for estimated accrued interest.

Reasonably Expected TDRs
For corporate loans, the reasonable expectation of TDR concept requires that the contractual life over which ECLs are estimated be extended when a TDR that results in a tenor extension is reasonably expected. Reasonably expected TDRs are included in the life of the asset. A discounting technique or collateral-dependent practical expedient is used for non-accrual and TDR loan exposures that do not share risk characteristics with other loans and are describedindividually assessed. Loans modified in more detailaccordance with the CARES Act and bank regulatory guidance are not classified as TDRs.

Purchased Credit-Deteriorated (PCD) Assets
ASC 326 requires entities that have acquired financial assets (such as loans and HTM securities) with an intent to hold, to evaluate whether those assets have experienced a more-than-insignificant deterioration in credit quality since origination. These assets are subject to specialized accounting at initial recognition under CECL. Subsequent measurement of PCD assets will remain consistent with other purchased or originated assets, i.e., non-PCD assets. CECL introduces the following section. Generally, an asset-specific component is calculatednotion of PCD assets, which replaces purchased credit impaired (PCI) accounting under ASC 310-10-35 on an individual basis for larger-balance, non-homogeneous loans that are considered impaired, andprior U.S. GAAP.
CECL requires the allowance for the remainderestimation of the classifiably managed consumer loan portfolio is calculated under ASC 450 using a statistical methodology that maycredit losses to 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 calculatedperformed on a pool basis considering historical loss experience.
The allowanceunless a PCD asset does not share characteristics with any pool. If certain PCD assets do not meet the conditions for aggregation, those PCD assets should be accounted for separately. This determination must be made at the remainderdate the PCD asset is purchased. In estimating ECLs from day 2 onward, pools can potentially be reassembled based upon similar risk characteristics. When PCD assets are pooled, Citi determines the amount of the loan portfolioinitial ACL at the
pool level. The amount of the initial ACL for a PCD asset represents the portion of the total discount at acquisition that relates to credit and is determined under ASC 450 usingrecognized as a statistical methodology, supplemented by management judgment. The statistical analysis considers“gross-up” of the portfolio’s size, remaining tenorpurchase price to arrive at the PCD asset’s (or pool’s) amortized cost. Any difference between the unpaid principal balance and credit qualitythe amortized cost is considered to be related to non-credit factors and results in a discount or premium, which is amortized to interest income over the life of the individual asset (or pool). Direct expenses incurred related to the acquisition of PCD assets and other assets and liabilities in a business combination are expensed 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 severityincurred. Subsequent accounting for acquired PCD assets is the same as the accounting for originated assets; changes in the event of default, including historical average levels and historical variability. The result is an estimated rangeallowance are recorded in Provisions 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.losses.
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

Consumer
remedy. A guarantor’s reputation and willingness to work with Citigroup is 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 pursuepurchase whole portfolios of PCD assets in its retail businesses. However, there may be a legal remedy,small portion of a purchased portfolio that is identified as PCD at the purchase date. Interest income recognition does not vary between PCD and non-PCD assets. A consumer financial asset is considered to be more-than-insignificantly credit deteriorated if it is because more than 30 days past due at the purchase date.

Corporate
Citi does not believe thatgenerally classifies wholesale loans and debt securities classified as HTM or AFS as PCD when both of the guarantor hasfollowing criteria are met: (i) the financial wherewithal to perform regardlesspurchase price discount is at least 10% of legal actionpar and (ii) the purchase date is more than 90 days after the origination or becauseissuance date. Citi classifies HTM beneficial interests rated AA- and lower obtained at origination from certain securitization transactions as PCD when 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 insignificant difference (i.e., 10% or greater) between contractual cash flows, adjusted for prepayments, and expected cash flows at the assessmentdate 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.recognition.
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 inherentlifetime ECLs in the funded loan portfolio on the Consolidated Balance Sheet in the form of an allowance for loan losses.ACL. 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 staffsrepresentatives for each applicable business area. Applicable business areas include those having classifiably managed portfolios, where internal credit-riskcredit risk ratings are assigned (primarily ICG) and delinquency managed portfolios (primarily 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:




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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 inherentCredit Losses in the classifiably managed portfolioDelinquency-Managed Portfolios 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 2016 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.Performing Exposures
In addition, representatives from each of the risk management and finance staffs thatrepresentatives 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 approachCredit loss reserves are recognized on all off-balance sheet commitments that are not unconditionally cancelable. Corporate loan EAD models include an incremental usage factor (or credit conversion factor) to estimate ECLs on amounts undrawn at the allowance for loan losses is used for calculating a reserve for the expected losses related toreporting date. Off-balance sheet commitments include unfunded lendingexposures, revolving facilities, securities underwriting commitments, and standby letters of credit.credit, HELOCs and financial guarantees (excluding performance guarantees). 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 credit losses on 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,and upon the adoption of ASU No. 2017-04 on January 1, 2020, 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 impairmentquantitative 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 impairmentquantitative test.
The first stepquantitative test 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, thisan impairment loss 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 thean amount equal to that 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 allocatedlimited 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 thetotal amount of goodwill allocated to athat reporting unit and cannot subsequently be reversed even if the fair value of the reporting unit recovers.unit.
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, 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.payables.


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.



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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 and commodities, 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.



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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.



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ACCOUNTING CHANGES


ReclassificationAccounting for Deposit Insurance Expenses
During the fourth quarter of Certain Tax Effects2021, Citi changed its presentation of accounting for deposit insurance costs paid to the Federal Deposit Insurance Corporation (FDIC) and similar foreign regulators. These costs were previously presented within Interest expense and, as a result of this change, are now presented within Other operating expenses. Citi concluded that this presentation was preferable in Citi’s circumstances, as it better reflected the nature of these deposit insurance costs in that these costs do not directly represent interest payments to creditors, but are similar in nature to other payments to regulatory agencies that are accounted for as operating expenses.
This change in income statement presentation represents a “change in accounting principle” under ASC Topic 250, Accounting Changes and Error Corrections, with retrospective application to the earliest period presented. This change in accounting principle resulted in a reclassification of $1,207 million, $1,203 million and $781 million of deposit insurance expenses from Accumulated Interest expense to Other Comprehensive Incomeoperating expenses, for the years ended December 31, 2021, 2020 and 2019, respectively. This change had no impact on Citi’s net income or the total deposit insurance expense incurred by Citi.
On February 14, 2018,
Accounting for Financial Instruments—Credit Losses

Overview
In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2018-02, Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU allowsintroduced a reclassification from Accumulated other comprehensivenew credit loss methodology, the CECL methodology, which requires earlier recognition of credit losses while also providing additional disclosure 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 (loss) (AOCI) to Retained earningstaxes, at January 1, 2020.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the deferred taxes previously recordedrecognition of credit losses for loans, HTM debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. The ACL is adjusted each period for changes in AOCIlifetime expected 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 exceeda 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 ACL 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 ACL 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 federal tax ratestate of 21% resulting from the newly enacted corporate tax rateeconomy, forecasted macroeconomic conditions and quality of 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 Tax Cuts Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and Jobs Act (Tax Reform)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 and discounts inputs for the corporate classifiably managed portfolios, 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 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.
The qualitative management adjustment component includes, among other things, management adjustments to reflect economic uncertainty based on the likelihood and severity of downside scenarios and certain portfolio characteristics not captured in the quantitative component, such as concentrations, collateral coverage, model limitations, idiosyncratic events and other stranded tax amounts related tofactors as required by banking supervisory guidance for the application of Tax Reform that Citi elects to reclassify.ACL. The ASU allowsqualitative management adjustment component also includes management adjustments to reclassification amountsreflect the uncertainty around the estimated impact of the pandemic on credit loss estimates.

Accounting for Variable Post-Charge-Off Third-Party Collection Costs
During the second quarter of 2020, Citi changed its accounting for variable post-charge-off third-party collection costs, whereby these costs were accounted for as an increase in subsequent periodsexpenses as incurred rather than a reduction in expected credit recoveries. Citi concluded that such a change in the method of accounting is preferable in Citi’s circumstances as it better
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reflects the nature of these collection costs. That is, these costs do not represent reduced payments from borrowers and are similar to Citi’s other executory third-party vendor contracts that are accounted for as operating expenses as incurred. As a result of changesthis change, Citi had a consumer ACL release of $426 million in the second quarter of 2020 for its U.S. cards portfolios and $122 million in the third quarter of 2020 for its international portfolios.
In the fourth quarter of 2020, Citi revised the second quarter of 2020 accounting conclusion from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to opening retained earnings rather than net income, with retrospective application to the amounts recorded under SAB 118. If adopted,earliest period presented. Citi considered the ASU is effectiveguidance in years beginning after December 15, 2018, but permits early adoptionASC Topic 250, Accounting Changes and Error Corrections; ASC Topic 270, Interim Reporting; ASC Topic 250-S99-1, Assessing Materiality; and ASC Topic 250-S99-23, Accounting Changes Not Retroactively Applied Due to Immateriality, Considering the Effects of Prior Year Misstatements when Quantifying Misstatements in a period for which financial statements have not yet been issued.Current Year Financial Statements. Citi has elected to early adopt the ASU, which affects only the periodbelieves that the effects related to Tax Reform are 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 shiftrevisions were not material to any previously reported quarterly or annual period. As a territorial system relatedresult, Citi’s full-year and quarterly results were revised to reflect this change as if it were effective as of January 1, 2020 (impacts to 2018 and 2019 were de minimis). Accordingly, Citi recorded an increase to its beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million to its ACL. Further, Citi recorded a decrease of $18 million to its provisions for credit losses on loans in the applicationfirst quarter of Tax Reform using the portfolio method.
The effect of adopting the ASU resulted in2020 and an increase of $3.3 billion$339 million and $122 million to Retained earnings atits provisions for credit losses on loans in the second and third quarters of 2020, respectively. In addition, Citi`s operating expenses increased by $49 million and $45 million, with a corresponding decrease in net credit losses, in the first and second quarters of 2020, respectively. As a result of these changes, Citi’s net income for the year ended December 31, 2017 due to2020 was $330 million lower, or $0.16 per share lower, than under the reclassification of AOCI to Retained earnings. This amount is provisional because more information needs to be obtained and analyzed related to Tax Reformprevious presentation as noted above and, thus, the amount to be reclassified
maya change in 2018.accounting estimate effected by a change in accounting principle.


Premium Amortization on Purchased Callable Debt SecuritiesReference Rate Reform
In March 2017,2020, the FASB issued ASU No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20)2020-04, Reference Rate Reform (Topic 848): Premium AmortizationFacilitation of the Effects of Reference Rate Reform on Purchased Callable Debt SecuritiesFinancial Reporting, which amendsprovides optional guidance to ease the amortization periodpotential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance permits an entity, when certain criteria are met, to consider amendments to contracts made to comply with reference rate reform to meet the definition of a modification under U.S. GAAP. It further allows hedge accounting to be maintained and permits a one-time transfer or sale of qualifying held-to-maturity securities. The expedients and exceptions provided by the amendments are permitted to be adopted any time through December 31, 2022 and do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for certain purchased callable debt securities held at a premium.optional expedients elected for certain hedging relationships existing as of December 31, 2022. The ASU requires entities to amortize premiums on debt securitieswas adopted by the first call date when the securitiesCiti as of
have fixedJune 30, 2020 with prospective application and determinable call dates and prices. Thedid not impact financial results in 2020.
In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Scope, which clarifies that the scope of the ASUinitial accounting relief issued by the FASB in March 2020 includes allderivative instruments that do not reference a rate that is expected to be discontinued but that use an interest rate for margining, discounting or contract price alignment that is modified as a result of reference rate reform (commonly referred to as the “discounting transition”). The amendments do not apply to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022 and existing hedging relationships evaluated for effectiveness in periods after December 31, 2022, except for hedging relationships existing as of December 31, 2022 that apply certain optional expedients in which the accounting premiums, such as purchase premiums and cumulative fair value hedge adjustments.effects are recorded through the end of the hedging relationship. 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 earlywas adopted in any interim or year-end period after issuance. Adoption of the ASU isby Citi on a modifiedfull retrospective basis through a cumulative effect adjustment to retained earnings as of the beginning of the year of adoption. Citi early adopted the ASUupon issuance and did not impact financial results in the second quarter of 2017, with an effective date of January 1, 2017.  Adoption of the ASU primarily affected Citi’s available-for-sale (AFS) and held-to-maturity (HTM) portfolios of callable state and municipal 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 securities.2020.
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.

Lease Accounting
Accounting for Stock-Based Compensation
In MarchFebruary 2016, the FASB issued ASU No. 2016-09, Compensation—Stock Compensation2016-02, Leases (Topic 718): Improvements842), which increases the transparency and comparability of accounting for lease transactions. The ASU requires lessees to Employee Share-Based Payment Accounting in order to simplify certain complex aspectsrecognize 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, is largely unchanged.
Effective January 1, 2019, Citi prospectively adopted the provisions of the accounting for income taxesASU. At adoption, Citi recognized a lease liability and forfeituresa corresponding ROU asset of approximately $4.4 billion on the Consolidated Balance Sheet related to employee stock-based compensation.its future lease payments as a lessee under operating leases. In addition, Citi 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.
Citi 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 guidance became effective for Citi beginning on January 1, 2017. Undercost of short-term leases is recognized in the new standard, excess tax benefits and deficiencies related 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 inon a straight-line basis over the first quarter of 2017 or each subsequent quarterly periods of 2017 aslease term. In addition, Citi applies the majority of employees’ deferred stock-based compensation awards are granted within the first quarter of each year, 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 7 to the Consolidated Financial Statements.
Additionally, as permitted under the new guidance, Citi made an accounting policy electionportfolio approach to account for forfeitures of awards as they occur, which represents a change fromcertain 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 previous requirementConsolidated Balance Sheet. Finance lease assets and liabilities are included in Other assets and Long-term debt, respectively, on the Consolidated Balance Sheet. Citi uses its incremental borrowing rate, factoring in the lease term, to estimate forfeitures when recognizing compensation expense. This change resulted in a

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cumulative effect adjustmentdetermine 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 retained earnings that was not materialimpairment, 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 Citi 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 January 1, 2017.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.
Recognition and Measurement of Financial Assets and Financial Liabilities

FUTURE ACCOUNTING CHANGES

Long-Duration Insurance Contracts
In January 2016,August 2018, the FASB issued ASU No. 2016-01, 2018-12, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial LiabilitiesServices—Insurance: Targeted Improvements to the Accounting for Long-Duration Contracts, which addresses certain aspects ofchanges the existing recognition, measurement, presentation and disclosuredisclosures for long-duration contracts issued by an insurance entity. Specifically, the guidance (i) improves the timeliness of financial instruments.recognizing changes in the liability for future policy benefits and prescribes the rate used to discount future cash flows for long-duration insurance contracts, (ii) simplifies and improves the accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, (iii) simplifies the amortization of deferred acquisition costs and (iv) introduces additional quantitative and qualitative disclosures. Citi has certain insurance subsidiaries, primarily in Mexico, that issue long-duration insurance contracts such as traditional life insurance policies and life-contingent annuity contracts that will be impacted by the requirements of ASU 2018-12.
ThisThe effective date of ASU requires2018-12 was deferred for all insurance entities by ASU 2019-09, Finance Services—Insurance: Effective Date (issued in October 2019) and by ASU 2020-11, Financial Services—Insurance: Effective Date and Early Application (issued in November 2020). Citi plans to present separatelyadopt the targeted improvements in AOCIASU 2018-12 on January 1, 2023 and is currently evaluating the portionimpact of the total changestandard on its insurance subsidiaries. Citi does not expect a material impact to its results of operations as a result of adopting the standard.

SUPERSEDED ACCOUNTING PRINCIPLES

The following accounting principle was in effect for 2019 since ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326) became effective beginning on January 1, 2020.
Allowance for Credit Losses
The allowance for credit losses on loans represents management’s best estimate of probable credit losses inherent in the fair value ofportfolio, including probable losses related to large individually evaluated impaired loans and troubled debt restructurings. Additions to the allowance are made through the Provision for credit losses on loans. Loan losses are deducted from the allowance and subsequent recoveries are added. Assets received in exchange for loan claims in 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. 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 measuredrestructuring are initially recorded 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.
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 beenany gain or loss reflected as a component of AOCI, whereas these amounts were previously recognizedrecovery or charge-off 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.provision.










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2. DISCONTINUED OPERATIONS, AND SIGNIFICANT DISPOSALS AND OTHER BUSINESS EXITS


Summary of Discontinued Operations
The Company’s discontinuedresults from Discontinued operations consisted of residual activities related to the sales of the Brazil Credicard business in 2013, the Egg Banking plc Credit Card Businesscredit card business in 2011 and the German Retail Bankingretail banking business in 2008. All discontinuedDiscontinued operations results are recorded within Corporate/Other.
The following table summarizes financial information for all discontinued operations:Discontinued operations:

In millions of dollars

201720162015In millions of dollars202120202019
Total revenues, net of interest expense$—
$—
$—
Total revenues, net of interest expense$— $— $— 
Income (loss) from discontinued operations$(104)$(80)$(83)Income (loss) from discontinued operations$7 $(20)$(31)
Provision (benefit) for income taxes7
(22)(29)
Loss from discontinued operations, net of taxes$(111)$(58)$(54)
Benefit for income taxesBenefit for income taxes— — (27)
Income (loss) from discontinued operations, net of taxesIncome (loss) from discontinued operations, net of taxes$7 $(20)$(4)


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


Significant Disposals
The following transactions during 2017, 2016 and 2015 described below were identified as significant disposals. The major classes ofdisposals that are recorded within the GCB segment, including the assets and liabilities derecognized fromthat were reclassified to held-for-sale within Other assets and Other liabilities on the Consolidated Balance Sheet at closing, and the incomeIncome (loss) before taxes (benefits)related to each business until the disposal date, are presented below.business.


Sale of Mexico Asset ManagementAgreement to Sell Australia Consumer Banking Business
On November 27, 2017,August 9, 2021, Citi entered into an agreement to sell its Australia consumer banking business, which is part of Asia GCB. The sale, which is subject to regulatory approvals and other closing conditions, is expected to close in the first half of 2022. As of December 31, 2021, Citi reported the business as held-for-sale, resulting in a pretax loss on sale of approximately $700 million recorded in Other revenue ($600 million after-tax), subject to closing adjustments. The loss on sale primarily reflected the impact of a pretax $625 million currency translation adjustment (CTA) loss (net of hedges) ($475 million after-tax) already reflected in the Accumulated other comprehensive income (AOCI) component of equity. Upon closing, the CTA-related balance will be removed from the AOCI component of equity, resulting in a neutral CTA impact to Citi’s Common Equity Tier 1 Capital. Income before taxes, excluding the above referenced pretax loss on sale, for the Australia consumer banking business was as follows:

In millions of dollars202120202019
Income before taxes$306 $181 $302 

The following assets and liabilities for the Australia consumer banking business were identified and reclassified to held-for-sale within Other assets and Other liabilities on the Consolidated Balance Sheet at December 31, 2021:

In millions of dollarsDecember 31, 2021
Assets
Cash and deposits with banks$24
Loans (net of allowance of $242 millionat December 31, 2021)
8,813
Goodwill and intangible assets257
Other assets81
Total assets$9,175
Liabilities
Deposits$7,034
Long-term debt479
Other liabilities171
Total liabilities$7,684

Agreement to Sell Philippines Consumer Banking Business
On December 23, 2021, Citi entered into an agreement to sell its Philippines consumer banking business, which is part of Asia GCB. The sale, which is subject to regulatory approvals and other closing conditions, is expected to close in the second half of 2022 and result in an after-tax gain upon closing. Income before taxes for the period in which the individually significant component was classified as held-for-sale and for all prior periods was as follows:

In millions of dollars202120202019
Income before taxes$145 $42 $196 

The following assets and liabilities for the Philippines consumer banking business were identified and reclassified to held-for-sale within Other assets and Other liabilities on the Consolidated Balance Sheet at December 31, 2021:

In millions of dollarsDecember 31, 2021
Assets
Cash and deposits with banks$20
Loans (net of allowance of $96 millionat December 31, 2021)
1,132
Goodwill244
Other assets, advances to/from subs588
Other assets63
Total assets$2,047
Liabilities
Deposits$1,373
Other liabilities76
Total liabilities$1,449



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Sale of Mexico Asset Management Business
On September 21, 2018, Citi completed the sale of its Mexico asset management business, which iswas part of Latin America GCB. The transaction is expected to result 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 million of net book value, including $32 million of goodwill. Income before taxes of the business was as follows:
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 within Institutional Clients Group (ICG). As part of the sale, Citi derecognized total assets of $112$137 million including goodwilland total liabilities of $72 million, while the derecognized liabilities were $18$41 million. The transaction generatedresulted in a pretax gain on sale of $580approximately $250 million ($355(approximately $150 million after-tax) recorded in Other Revenuerevenue in ICG during 2017.2018. 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 businesses,business, excluding the pretax gain on sale, was as follows:

In millions of dollars201720162015In millions of dollars202120202019
Income before taxes$31
$55
$54
Income before taxes$— $— $123 


ExitOther Business Exits

Wind-Down of U.S. Mortgage Service OperationsKorea Consumer Banking Business
Citigroup executed agreements during the first quarter of 2017On October 25, 2021, Citi announced its decision to effectively exitwind down and close 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. AsKorea consumer banking business, which is part of Asia GCB. In connection with the announcement, Citibank Korea Inc. (CKI) commenced a voluntary termination program (VERP). Due to the voluntary nature of this transaction, Citi has also transferred certaintermination program, no liabilities for termination benefits are recorded until CKI makes formal offers to employees that are then irrevocably accepted by those employees. Related charges are recorded as Compensation and benefits.
This transaction, which was partFor the year ended December 31, 2021, Citigroup recorded pretax charges of Corporate/Other, resulted in a pretax lossapproximately $1.1 billion, composed of $331 million ($207 million after-tax) recorded in Other revenue during 2017. gross charges connected to the Korea voluntary termination program.
The loss on sale did not include certain other costs andfollowing table summarizes the reserve charges related to the disposed operation recorded primarilyvoluntary termination program and other initiatives reported in Operating expenses during 2017, resulting in athe GCB business segment:

In millions of dollars2021
Employee termination costs (pretax)
Original reserve charges$1,052
Utilization(1)
Foreign exchange3
Balance at December 31, 2021$1,054

The 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 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 additionalestimated cash charges income before taxes for the disposed operation was immaterial for 2017, 2016 and 2015.


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 andtermination program are 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. 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 $350 million recorded in Other revenue ($178 million after-tax) during 2017.
Income before taxes, excluding the pretax gain on sale, was as follows:
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, recordedwhich most are already recognized in Other revenue ($1.6 billion after-tax)2021. Citi expects to recognize the remaining charges throughout 2022, as voluntary retirements are phased 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 $0.8 billion.and irrevocably accepted in order to minimize business and operational impacts.
Income before taxes, excluding the pretax gain on sale and loss on redemption of debt, was as follows:
In millions of dollars201720162015
Income before taxes$—
$—
$663
160
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
3. OPERATING SEGMENTS
As of December 31, 2021, Citigroup’s primary activities arewere conducted through the following businessoperating segments: Institutional Clients Group (ICG) and Global Consumer Banking (GCB)and Institutional Clients Group (ICG). In addition, Corporate/Other includes activitiesActivities not assigned to a specific business segmentthe operating segments, as well as certain North America and international legacy consumer loan portfolios, discontinued operations and other legacy assets, and discontinued operations.were included in Corporate/Other.
The businessoperating segments are determined based on productshow management allocates resources and services provided or type of customers served, of which those identified as non-core are recorded in Corporate/Othermeasures financial performance to make business decisions, and are reflective of how management currently evaluatesthe types of customers served, and products and services provided.
ICG consisted of Banking and Markets and securities services, providing institutional, public sector and high-net-worth clients in 95 countries and jurisdictions with a broad range of banking and financial information to make business decisions.products and services.
GCB includes included 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 composedconsisted of three GCB businesses: reporting units: North America, Latin America and Asia (including consumer banking activities in certain EMEA countries).
ICG is composed of Banking and Markets and securities services and provides corporate, institutional, public sector and high-net-worth clients in 97 countries and jurisdictions with a broad range of banking and financial products and services.
Corporate/Other includes included 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.
Beginning in 2021, Citi changed its allocation for certain recurring expenses that are attributable to the operating segments from Corporate/Other to GCB and ICG. These expenses include incremental investments related to risks and controls, technology capabilities and information security initiatives, as well as some incremental spend related to the pandemic. The prior-period reportable operating segment results have been revised to conform to the current-year presentation for all periods to reflect this revised allocation methodology. Citi’s consolidated results were unchanged for all periods presented as a result of the changes discussed above.
As part of its strategic refresh, Citi is making management reporting changes to align with its vision and strategy, including to assist Citi in decisions about resources and capital allocation and to assess business performance. In the first quarter of 2022, Citi plans to revise its financial reporting structure to align with these management reporting changes.
The accounting policies of these reportableoperating 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. 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
certain other immaterial reclassifications.

Citi’s consolidated results remain 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:operating segment and Corporate/Other:






Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
In millions of dollars, except identifiable assets in billions20212020201920212020201920212020201920212020
Institutional Clients Group$43,887 $45,088 $39,824 $4,524 $3,303 $3,524 $15,763 $11,553 $12,776 $1,762 $1,730 
Global Consumer Banking27,330 30,342 33,221 1,745 143 1,708 6,046 663 5,579 432 434 
Corporate/Other667 71 2,022 (818)(921)(802)209 (1,109)1,116 97 96 
Total$71,884 $75,501 $75,067 $5,451 $2,525 $4,430 $22,018 $11,107 $19,471 $2,291 $2,260 

(1)     Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $34.2 billion, $36.8 billion and $34.1 billion; in EMEA of $13.1 billion, $13.0 billion and $12.2 billion; in Latin America of $9.2 billion, $9.4 billion and $10.6 billion; and in Asia of $14.7 billion, $16.2 billion and $16.2 billion in 2021, 2020 and 2019, respectively. These regional numbers exclude Corporate/Other, which largely reflects U.S. activities.
(2)     Includes pretax provisions for credit losses and for benefits and claims in the ICG results of $(2.9) billion, $5.6 billion and $0.6 billion; in the GCB results of $(0.5) billion, $11.7 billion and $7.9 billion; and in the Corporate/Other results of $(0.4) billion, $0.2 billion and $(0.1) billion in 2021, 2020 and 2019, respectively.

161
 
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 billions20172016201520172016201520172016201520172016
Global Consumer Banking$32,697
$31,519
$32,251
$3,320
$2,655
$3,369
$3,893
$4,954
$6,214
$429
$412
Institutional Clients Group35,667
33,227
33,332
7,008
4,260
4,173
9,066
9,525
9,110
1,336
1,277
Corporate/Other3,085
5,129
10,771
19,060
(471)(102)(19,586)554
2,062
77
103
Total$71,449
$69,875
$76,354
$29,388
$6,444
$7,440
$(6,627)$15,033
$17,386
$1,842
$1,792
(1)
Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $33.9 billion, $32.2 billion and $32.2 billion; in EMEA of $10.7 billion, $9.9 billion and $9.8 billion; in Latin America of $9.4 billion, $8.9 billion and $9.7 billion; and in Asia of $14.4 billion, $13.7 billion and $13.9 billion in 2017, 2016 and 2015, respectively.

(2)
Corporate/Other, GCB and ICG 2017 results include the 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 $7.6 billion, $6.4 billion and $5.5 billion; in the ICG results of ($15) million, $486 million and $962 million; and in Corporate/Other results of ($175) million, $69 million and $1.5 billion in 2017, 2016 and 2015, respectively.

4.  INTEREST REVENUE AND EXPENSE

Interest revenue and Interest expense consisted of the following:

In millions of dollars202120202019
Interest revenue   
Loan interest, including fees$35,440 $40,185 $47,751 
Deposits with banks577 928 2,682 
Securities borrowed and purchased under agreements to resell1,052 2,283 6,872 
Investments, including dividends7,388 7,989 9,860 
Trading account assets(2)
5,365 6,125 7,672 
Other interest-bearing assets653 579 1,673 
Total interest revenue$50,475 $58,089 $76,510 
Interest expense   
Deposits(1)
$2,896 $5,334 $11,852 
Securities loaned and sold under agreements to repurchase1,012 2,077 6,263 
Trading account liabilities(2)
482 628 1,308 
Short-term borrowings and other interest-bearing liabilities121 630 2,465 
Long-term debt3,470 4,669 6,494 
Total interest expense$7,981 $13,338 $28,382 
Net interest income$42,494 $44,751 $48,128 
Provision for credit losses on loans(3,103)15,922 8,218 
Net interest income after provision for credit losses on loans$45,597 $28,829 $39,910 

(1)During 2021, Citi reclassified deposit insurance expenses from Interest expense to Other operating expenses for all periods presented. Amounts reclassified for each year were $1,207 million for 2021, $1,203 million for 2020 and $781 million for 2019. For additional information, see Note 1 to the Consolidated Financial Statements.
(2)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.



162
In millions of dollars201720162015
Interest revenue   
Loan interest, including fees$41,361
$39,752
$40,510
Deposits with banks1,635
971
727
Federal funds sold and securities borrowed or purchased under agreements to resell3,248
2,543
2,516
Investments, including dividends8,295
7,582
7,017
Trading account assets(1)
5,502
5,738
5,942
Other interest(2)
1,163
1,029
1,839
Total interest revenue$61,204
$57,615
$58,551
Interest expense   
Deposits(3)
$6,586
$5,300
$5,052
Federal funds purchased and securities loaned or sold under agreements to repurchase2,661
1,912
1,612
Trading account liabilities(1)
638
410
217
Short-term borrowings1,059
477
523
Long-term debt5,573
4,412
4,517
Total interest expense$16,517
$12,511
$11,921
Net interest revenue$44,687
$45,104
$46,630
Provision for loan losses7,503
6,749
7,108
Net interest revenue after provision for loan losses$37,184
$38,355
$39,522
(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 $1,249 million, $1,145 million 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. Gains or losses, if any, at the point in time the associated service is fulfilled, generally on the trade execution date. Sales of certain investment products include a portion of variable consideration associated with the underlying product. In these transactions are includedinstances, a portion of the revenue associated with the sale of the product is not recognized until the variable consideration becomes fixed. The Company recognized $639 million, $495 million and $485 million of revenue related to such variable consideration for the years ended December 31, 2021, 2020 and 2019, respectively. These amounts primarily relate to performance obligations satisfied in Principal transactions (see Note 6 to the Consolidated Financial Statements).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 payments to partners (primarily based on program sales, profitability and customer acquisitions) are recorded as a reduction of credit card and bank card income. Citi’s credit card programs have certain partner payments.sharing agreements that vary by partner. These partner sharing agreements are subject to contractually based performance thresholds that, if met, would require Citi to make ongoing payments to the partner. The threshold is based on the profitability of a program and is
generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner sharing agreements, program expenses include net credit losses and, to the extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, it would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions. Interchange revenue and feesrevenues 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.
Insurance premiums consistsDeposit-related fees consist of premium incomeservice charges on deposit accounts and fees earned from insurance policiesperforming cash management activities and other deposit account services. Such fees are recognized in the period in which Citi has underwrittenthe 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 sold to policyholders. 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 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 $260 million, $290 million and $322 million of revenue related to such variable consideration for the years ended December 31, 2021, 2020 and 2019, 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.












163

The following table presents Commissions and fees revenue:

202120202019
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Investment banking$6,007 $— $— $6,007 $4,483 $— $— $4,483 $3,767 $— $— $3,767 
Brokerage commissions2,080 1,156 — 3,236 1,986 974 — 2,960 1,771 841 — 2,612 
Credit card and bank card income
Interchange fees817 9,004 — 9,821 703 7,301 — 8,004 1,222 8,621 — 9,843 
Card-related loan fees28 667 — 695 23 626 — 649 60 718 — 778 
Card rewards and partner payments(1)
(405)(9,830)— (10,235)(380)(8,293)— (8,673)(691)(8,883)— (9,574)
Deposit-related fees(2)
1,044 287 — 1,331 958 376 — 1,334 1,048 470 — 1,518 
Transactional service fees1,003 95 — 1,098 886 88 — 974 824 123 — 947 
Corporate finance(3)
709 — — 709 457 — — 457 616 — — 616 
Insurance distribution revenue11 462 — 473 11 492 — 503 12 524 — 536 
Insurance premiums— 94 — 94 — 125 — 125 — 186 — 186 
Loan servicing43 40 15 98 82 30 25 137 78 55 21 154 
Other104 237 4 345 118 310 4 432 99 261 3 363 
Total commissions and fees(4)
$11,441 $2,212 $19 $13,672 $9,327 $2,029 $29 $11,385 $8,806 $2,916 $24 $11,746 

(1)Citi’s consumer credit card programs have certain partner-sharing agreements that vary by partner. These agreements are subject to contractually based performance thresholds that, if met, would require Citi to make ongoing payments to the partner. The threshold is based on the profitability of a program and is generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner-sharing agreements, program expenses include net credit losses and, to the extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions.
(2)Includes overdraft fees of $107 million, $100 million and $127 million for the years ended December 31, 2021, 2020 and 2019, respectively. Overdraft fees are accounted for under ASC 310.
(3)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(4)Commissions and fees include $(8,516) million, $(7,160) million and $(7,695) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the years ended December 31, 2021, 2020 and 2019, 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.

164

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 assets 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:

202120202019
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Custody fees$1,872 $25 $1 $1,898 $1,590 $29 $38 $1,657 $1,453 $16 $73 $1,542 
Fiduciary fees798 659 7 1,464 668 602 4 1,274 647 621 28 1,296 
Guarantee fees569 8 4 581 529 7 5 541 558 8 7 573 
Total administration and other fiduciary fees(1)
$3,239 $692 $12 $3,943 $2,787 $638 $47 $3,472 $2,658 $645 $108 $3,411 

(1)    Administration and other fiduciary fees include $581 million, $541 million and $573 million for the years ended December 31, 2021, 2020 and 2019, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These generally include guarantee fees.

165
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
(1)Consists primarily of fees earned from structuring and underwriting loan syndications.
(2)Primarily consists of fees for investment fund administration and management, third-party collections, commercial demand deposit accounts and certain credit card services.
(3)Insurance premiums were previously separately reported on the Consolidated Statement of Income.


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 and characterized below based on the primary risk managed by primary risk.each trading desk. Not included in the table below is the impact of net interest revenueincome 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 net interest revenueincome 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
In millions of dollars202120202019
Interest rate risks(1)
$2,790 $5,561 $3,831 
Foreign exchange risks(2)
3,886 4,158 3,850 
Equity risks(3)
2,197 1,343 808 
Commodity and other risks(4)
1,123 1,133 546 
Credit products and risks(5)
158 1,690 (143)
Total$10,154 $13,885 $8,892 

(1)    Primarily relates toIncludes 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 risks.spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(2)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)Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(4)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)Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(6)Includes revenues from structured credit products.
(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.
166

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 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 combinationthe form of restricted or deferred stock and deferred cash stock units, or deferred cash.units. 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—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 cashannual incentive 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-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 may be subject to performance conditions and are subject to one or more cancellation and 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 retentionreplacement awards is presented below:

Unvested stock awardsShares
Weighted-
average grant
date fair
value per share
Unvested stock awardsSharesWeighted-
average grant
date fair
value per share
Unvested at December 31, 201642,672,176
$43.24
Unvested at December 31, 2020Unvested at December 31, 202028,226,292 $69.25 
Granted(1)
13,914,752
59.12
Granted(1)
17,535,978 62.10 
Canceled(1,335,297)47.29
Canceled(1,453,029)67.01 
Vested(2)
(18,320,591)45.63
Vested(2)
(12,664,557)67.17 
Unvested at December 31, 201736,931,040
$47.89
Unvested at December 31, 2021Unvested at December 31, 202131,644,684 $66.22 


(1)The weighted-average fair value of the shares granted during 2016 and 2015 was $37.35 and $50.33, respectively.
(2)The weighted-average fair value of the shares vesting during 2017 was approximately $57.45 per share.
(1)The weighted-average fair value of the shares granted during 2020 and 2019 was $76.68 and $61.78, respectively.
(2)The weighted-average fair value of the shares vesting during 2021 was approximately $64.23 per share on the vesting date, compared to $67.17 on the grant date.

Total unrecognized compensation cost related to unvested stock awards was $530$654 million at December 31, 2017.2021. The cost is expected to be recognized over a weighted-average period of 1.6 years.


167

Performance Share Units
Certain executiveExecutive officers were awarded a target number of performance share units (PSUs) eachevery February from 20142018 to 2017,2021, 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 are earned over a three-year performance perioddate based on Citigroup’s relative total shareholder return as compared to peers. The actual dollar amounts ultimately earned could vary from zero, iftwo performance goals are not met, to as much as 150% of target, if performance goals are meaningfully exceeded.
Themetrics. For PSUs grantedawarded in February 2017 are earned over a three-year performance period based half on2018, 2019 and 2020, those metrics were return on tangible common equity performance in 2019, and the remaining half on cumulative earnings per share over 2017 to 2019.share. For PSUs awards in 2021, the metrics were return on tangible common equity and tangible book value per share. In each year, the metrics were equally weighted.
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 against performance goals and/or peer firms. The number of PSUs 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.
For all award years, the value of each PSU is equal to the value of one1 share of Citi common stock. Dividend equivalents will beare 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 and taking into account any mandatory equitable adjustments as per the terms of the award agreement, 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 assumptions202120202019
Expected volatility40.88 %22.26 %25.33 %
Expected dividend yield4.21 2.82 2.67 

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 20172021 is presented below:

Performance Share UnitsUnits
Weighted-
average grant
date fair
value per unit
Outstanding, beginning of period1,844,560
$38.22
Performance share unitsPerformance share unitsUnitsWeighted-
average grant
date fair
value per unit
Outstanding, beginning of yearOutstanding, beginning of year1,333,803 $79.39 
Granted(1)
500,609
59.22
Granted(1)
418,098 78.55 
Canceled(277,546)48.34
Canceled(344,131)83.24 
Payments(280,897)48.34
Payments(133,497)83.24 
Outstanding, end of period1,786,726
$40.94
Outstanding, end of yearOutstanding, end of year1,274,273 $77.67 


(1)The weighted-average grant date fair value per unit awarded in 20162020 and 20152019 was $27.03$83.45 and $44.07,$72.83, respectively.


PSUs grantedTransformation Program
In order to provide an incentive for select employees to effectively execute Citi’s transformation program, in 2015August 2021 the Personnel and 2017Compensation (P&C) Committee of Citigroup’s Board of Directors approved a program for them to earn additional compensation based on the achievement of Citi’s transformation goals from August 2021 through December 2024 and satisfaction of other conditions. Eligible employees were equitably adjusted after the enactmentnotified of Tax Reform, as requiredtheir award under the terms of those awards.program in November 2021. Performance under the program is divided into three consecutive periods, ending on December 31, 2022, 2023 and 2024. The adjustments were intendedawards will be subject to reproducevariable accounting, pursuant to which the expectedassociated value of the awards immediately prioraward will fluctuate with the attainment of the performance conditions for each tranche and changes to Citigroup’s stock price. The amortization commenced after the passageservice inception date of Tax Reform.November 2021. Payment for each period will be in cash, in a lump sum, with the third payment indexed to changes in the value of Citi’s common stock from the service inception date through the payment date. Earnings generally will be based on collective performance with respect to Citi’s transformation goals and will be evaluated and approved by the Committee on an annual basis.

Payments in the event of any category of employment termination or change in job title or employment status are subject to Citi’s discretion. Cancellation and clawback is provided for in the event of misconduct and certain other circumstances. The program applies to senior leaders critical to helping deliver a successful transformation with the value varying based on individual compensation levels.



168

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: 

202120202019
201720162015 OptionsWeighted-
average
exercise
price		Intrinsic
value
per share		OptionsWeighted-
average
exercise
price		Intrinsic
value
per share		OptionsWeighted-
average
exercise
price		Intrinsic
value
per share
Outstanding, beginning of yearOutstanding, beginning of year166,650 $47.42 $14.24 166,650 $47.42 $32.47 762,225 $101.84 $— 
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
—
Canceled— — — — — — (11,365)40.80 — 
Expired—
—
—
(2,613,909)48.80
—
(1,646,581)40.85
—
Expired— — — — — — (449,916)142.30 — 
Exercised(388,583)43.35
15.67
(2,489,949)49.10
6.60
(18,203,048)41.39
13.03
Exercised(166,650)52.50 20.49 — — — (134,294)39.00 23.50 
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
 
 
Outstanding, end of yearOutstanding, end of year— $— $— 166,650 $47.42 $14.24 166,650 $47.42 $32.47 
Exercisable, end of yearExercisable, end of year—  166,650  166,650  


The following table summarizes information aboutAs of December 31, 2021, Citigroup no longer has any stock options outstanding under Citigroup’s stock option programs at December 31, 2017:outstanding.

  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


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, Citi recognizes the entire expense is recognizedeach year equal to the grant date fair value of the awards that it estimates will be granted in the year prior to grant.following year.
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 payment awards generally are entitled to vote the shares in their award during the vestingsale-restriction 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 CompensationP&C Committee, of the Citigroup Board of Directors, which is composed entirely of independent non-employee directors.
At December 31, 2017,2021, approximately 39.239.0 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 in 2016from 2018 to 2021, and 2017, andfor the first quarter of 2018,2022, 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.

























169

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 dollars202120202019
Charges for estimated awards to retirement-eligible colleagues$807 $748 $683 
Amortization of deferred cash awards, deferred cash stock units and performance stock units384 201 355 
Immediately vested stock award expense(1)
99 95 82 
Amortization of restricted and deferred stock awards(2)
395 420 404 
Other variable incentive compensation435 627 666 
Total$2,120 $2,091 $2,190 

(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 colleagues.



In millions of dollars201720162015
Charges for estimated awards to retirement-eligible employees$659
$555
$541
Amortization of deferred cash awards, deferred cash stock units and performance stock units354
336
325
Immediately vested stock award expense(1)
70
73
61
Amortization of restricted and deferred stock awards(2)
474
509
461
Other variable incentive compensation694
710
773
Total$2,251
$2,183
$2,161
170
(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, 2017.2021. 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 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)Losses and gains due to curtailment and settlement benefits relate to repositioning and divestiture actions.

 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars202120202019202120202019202120202019202120202019
Benefits earned during the year$— $— $1 $149 $147 $146 $— $— $— $6 $7 $8 
Interest cost on benefit obligation351 378 469 268 246 287 13 17 24 96 93 104 
Expected return on assets(683)(824)(821)(253)(245)(281)(13)(17)(18)(84)(77)(84)
Amortization of unrecognized:            
Prior service cost (benefit)2 2 2 (6)5 (4)(9)(2)— (9)(9)(10)
Net actuarial loss (gain)228 233 200 62 70 61 (3)— — 13 20 23 
Curtailment loss (gain)(1)
— — 1 1 (8)(6)— — — — — — 
Settlement loss (gain)(1)
— — — 10 (1)6 — — — — — — 
Total net (benefit) expense$(102)$(211)$(148)$231 $214 $209 $(12)$(2)$6 $22 $34 $41 


The estimated net actuarial loss(1)Losses (gains) due to curtailment and prior service (benefit) cost that will be amortized from Accumulated other comprehensive income (loss) into net expense in 2018 are approximately $241 millionsettlement relate to repositioning and $(2) million, respectively, for defined benefit pension plans.divestiture activities.
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 20172021 or 2016.2020.

The following table summarizes the Company’s actual Company contributions for the years ended December 31, 20172021 and 2016,2020, as well as estimated expected Company contributions for 2018.2022. 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 dollars202220212020202220212020202220212020202220212020
Contributions made by the Company$— $— $— $74 $104 $115 $— $— $— $3 $3 $4 
Benefits paid directly by (reimbursements to) the Company(3)
57 56 56 413 51 43 5 22 (15)6 5 5 

(1)    Amounts reported for 2022 are expected amounts.     
(2)     The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans.
(3)    Estimated 2022 benefit payments have increased due to the wind-down of Citi’s consumer banking business in Korea, as it is expected that employees who elected the VERP plan will be withdrawing their pension plan assets. See Note 2 to the Consolidated Financial Statements for additional information.

171

 
Pension plans(1)
Postretirement benefit plans(1)
 
U.S. plans(2)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars201820172016201820172016201820172016201820172016
Contributions made by the Company$—
$50
$500
$79
$90
$82
$—
$140
$—
$4
$4
$4
Benefits paid directly by the Company60
55
56
49
45
44
6
36
6
6
5
5

(1)Amounts reported for 2018 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 inon 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 dollars20212020202120202021202020212020
Change in projected benefit obligation        
Projected benefit obligation at beginning of year$13,815 $13,453 $8,629 $8,105 $559 $692 $1,390 $1,384 
Benefits earned during the year— — 149 147 — — 6 7 
Interest cost on benefit obligation351 378 268 246 13 17 96 93 
Plan amendments(1)
— — 6 (4)— (104)— — 
Actuarial (gain) loss(2)
(447)950 (344)518 (28)(18)(110)30 
Benefits paid, net of participants’ contributions and government subsidy(3)
(953)(966)(345)(298)(43)(28)(78)(64)
Settlement gain(4)
— — (124)(110)— — — — 
Curtailment gain(4)
— — (30)(14)— — — — 
Foreign exchange impact and other— — (208)39 — — (135)(60)
Projected benefit obligation at year end$12,766 $13,815 $8,001 $8,629 $501 $559 $1,169 $1,390 
Change in plan assets        
Plan assets at fair value at beginning of year$13,309 $12,717 $7,831 $7,556 $331 $345 $1,146 $1,127 
Actual return on assets(2)
565 1,502 217 584 9 29 97 129 
Company contributions (reimbursements)56 56 155 158 22 (15)8 9 
Benefits paid, net of participants’ contributions and government subsidy(3)
(953)(966)(345)(298)(43)(28)(78)(64)
Settlement gain(4)
— — (124)(110)— — — — 
Foreign exchange impact and other— — (120)(59)— — (130)(55)
Plan assets at fair value at year end$12,977 $13,309 $7,614 $7,831 $319 $331 $1,043 $1,146 
Funded status of the plans
Qualified plans(5)
$894 $230 $(387)$(798)$(182)$(228)$(126)$(244)
Nonqualified plans(6)
(683)(736)— — — — — — 
Funded status of the plans at year end$211 $(506)$(387)$(798)$(182)$(228)$(126)$(244)
Net amount recognized        
Qualified plans
Benefit asset$894 $230 $963 $741 $— $— $165 $25 
Benefit liability— — (1,350)(1,539)(182)(228)(291)(269)
Qualified plans$894 $230 $(387)$(798)$(182)$(228)$(126)$(244)
Nonqualified plans(683)(736)— — — — — — 
Net amount recognized on the balance sheet$211 $(506)$(387)$(798)$(182)$(228)$(126)$(244)
Amounts recognized in AOCI(7)
    
Net transition obligation$— $— $— $— $— $— $— $— 
Prior service (cost) benefit(8)(10)5 12 92 101 47 63 
Net actuarial (loss) gain(6,575)(7,132)(1,400)(1,863)77 56 (182)(348)
Net amount recognized in equity (pretax)$(6,583)$(7,142)$(1,395)$(1,851)$169 $157 $(135)$(285)
Accumulated benefit obligation at year end$12,765 $13,812 $7,559 $8,116 $501 $559 $1,169 $1,390 

(1)The U.S. postretirement benefit plan was amended in 2020 to move grandfathered Medicare-eligible retirees to the Medicare individual marketplace.
(2)During 2021, the actuarial gain was primarily due to the increase in global discount rates partially offset by lower than expected asset returns. During 2020, the actuarial loss was primarily due to the decline in global discount rates partially offset by favorable asset returns.
(3)U.S. postretirement benefit plans were net of Employer Group Waiver Plan subsidies of $11 million and $40 million in 2021 and 2020, respectively.
(4)Curtailment and settlement gains relate to repositioning and divestiture activities.
(5)The U.S. qualified pension plan was fully funded under specified Employee Retirement Income Security Act (ERISA) funding rules as of January 1, 2022 and no minimum required funding is expected for 2022.
(6)The nonqualified plans of the Company are unfunded.

172

(7)The framework for the Company’s pension oversight process includes monitoring of potential settlement charges for all plans. Settlement accounting is triggered when either the sum of all settlements (including lump sum payments) for the year is greater than service plus interest costs or if more than 10% of the plan’s projected benefit obligation will be settled. Because some of Citi’s significant plans are frozen and have no material service cost, settlement accounting may apply in the future.


 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)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)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act (ERISA) funding rules as of January 1, 2018 and no minimum required funding is expected for 2018.
(3)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 dollars201720162015
Beginning of year balance, net of tax(1)(2)
$(5,164)$(5,116)$(5,159)
Actuarial assumptions changes and plan experience(760)(854)898
Net asset gain (loss) due to difference between actual and expected returns625
400
(1,457)
Net amortizations229
232
236
Prior service (cost) credit(4)28
(6)
Curtailment/settlement gain(3)
17
17
57
Foreign exchange impact and other(93)99
291
Impact of Tax Reform(4)
(1,020)—
—
Change in deferred taxes, net(13)30
24
Change, net of tax$(1,019)$(48)$43
End of year balance, net of tax(1)(2)
$(6,183)$(5,164)$(5,116)
(1)
See Note 19 to the Consolidated Financial Statements for further discussion of net Accumulated other comprehensive income (loss) balance.
(2)Includes net-of-tax amounts for certain profit 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. See Note 1 to the Consolidated Financial Statements.


In millions of dollars202120202019
Beginning of year balance, net of tax(1)(2)
$(6,864)$(6,809)$(6,257)
Actuarial assumptions changes and plan experience963 (1,464)(2,300)
Net asset gain (loss) due to difference between actual and expected returns(148)1,076 1,427 
Net amortization280 318 274 
Prior service credit (cost)(7)108 (7)
Curtailment/settlement gain(3)
11 (8)1 
Foreign exchange impact and other153 (108)(66)
Change in deferred taxes, net(240)23 119 
Change, net of tax$1,012 $(55)$(552)
End of year balance, net of tax(1)(2)
$(5,852)$(6,864)$(6,809)

(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.

At December 31, 20172021 and 2016,2020, 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 dollars20212020202120202021202020212020
Projected benefit obligation$683 $736 $3,966 $4,849 $683 $736 $3,809 $4,723 
Accumulated benefit obligation682 734 3,574 4,400 682 734 3,477 4,329 
Fair value of plan assets— — 2,616 3,310 — — 2,486 3,212 



(1)As of December 31, 2021 and 2020, only the nonqualified plans’ PBO and ABO exceeded plan assets.



 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 dollars20172016201720162017201620172016
Projected benefit obligation$14,040
$14,000
$2,721
$2,484
$14,040
$14,000
$2,596
$2,282
Accumulated benefit obligation14,034
13,994
2,381
2,168
14,034
13,994
2,296
2,012
Fair value of plan assets12,725
12,363
1,516
1,399
12,725
12,363
1,407
1,224
(1)At December 31, 2017 and 2016, 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.

173

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 end20212020
Discount rate  
U.S. plans  
Qualified pension2.80%2.45%
Nonqualified pension2.802.35
Postretirement2.752.20
Non-U.S. pension plans
Range(1)
 -0.10 to 11.95 -0.25 to 11.15
Weighted average3.963.14
Non-U.S. postretirement plans
Range1.05 to 10.000.80 to 8.55
Weighted average8.287.42
Future compensation increase rate(2)
Non-U.S. pension plans
Range1.30 to 11.251.20 to 11.25
Weighted average3.103.10
Expected return on assets
U.S. plans
Qualified pension5.005.80
Postretirement(3)
5.00/1.505.80/1.50
Non-U.S. pension plans
Range0.00 to 11.500.00 to 11.50
Weighted average3.693.39
Non-U.S. postretirement plans
Range6.00 to 8.005.95 to 8.00
Weighted average7.997.99

(1)    Due to historically low global interest rates, there were negative discount rates for plans with relatively short duration in certain major markets, such as the Eurozone and Switzerland.
(2)    Not material for U.S. plans.
(3)    For the years ended 2021 and 2020, the expected return on assets for the VEBA Trust was 1.50%.


At year end20172016
Discount rate  
U.S. plans  
Qualified pension3.60%4.10%
Nonqualified pension3.604.00
Postretirement3.503.90
Non-U.S. pension plans  
Range0.00 to 10.200.25 to 72.50
Weighted average4.174.40
Non-U.S. postretirement plans
 
  
Range1.75 to 10.101.75 to 11.05
Weighted average8.108.27
Future compensation increase rate(1)
 
Non-U.S. pension plans  
Range1.17 to 13.671.25 to 70.00
Weighted average3.083.21
Expected return on assets  
U.S. plans

Qualified pension6.806.80
Postretirement(2)
6.80/3.006.80
Non-U.S. pension plans  
Range0.00 to 11.501.00 to 11.50
Weighted average4.524.55
Non-U.S. postretirement plans  
Range8.00 to 9.808.00 to 10.30
Weighted average8.018.02

(1)Not material for U.S. plans.
(2)In 2017, the VEBA Trust was funded with an expected rate of return of assets of 3.00%.

During the year201720162015During the year202120202019
Discount rate  Discount rate 
U.S. plans  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%Qualified pension2.45%/3.10%/ 2.75%/2.80%3.25%/3.20%/ 2.60%/2.55%4.25%/3.85%/ 3.45%/3.10%
Nonqualified pension4.00/3.95/ 3.75/3.654.35/3.90/ 3.55/3.453.90/3.70/ 4.30/4.25Nonqualified pension2.35/3.00/ 2.70/2.753.25/3.25/ 2.55/2.504.25/3.90/ 3.50/3.10
Postretirement3.90/3.85/ 3.60/3.554.20/3.75/ 3.40/3.303.80/3.65/ 4.20/4.10Postretirement2.20/2.85/ 2.60/2.653.15/3.20/ 2.45/2.354.20/3.80/ 3.35/3.00
Non-U.S. pension plans(1)
Non-U.S. pension plans(1)
 
Non-U.S. pension plans(1)
Range0.25 to 72.500.25 to 42.001.00 to 32.50
Range(2)
Range(2)
-0.25 to 11.15 -0.10 to 11.30-0.05 to 12.00
Weighted average4.404.764.74Weighted average3.143.654.47
Non-U.S. postretirement plans(1)
Non-U.S. postretirement plans(1)
 
Non-U.S. postretirement plans(1)
Range1.75 to 11.052.00 to 13.202.25 to 12.00Range0.80 to 9.800.90 to 9.751.75 to 10.75
Weighted average8.277.907.50Weighted average7.427.769.05
Future compensation increase rate (2)
 
Future compensation increase rate(3)
Future compensation increase rate(3)
Non-U.S. pension plans(1)
Non-U.S. pension plans(1)
 
Non-U.S. pension plans(1)
Range1.25 to 70.001.00 to 40.000.75 to 30.00Range1.20 to 11.251.50 to 11.501.30 to 13.67
Weighted average3.213.243.27Weighted average3.103.173.16
Expected return on assetsExpected return on assets Expected return on assets
U.S. plans
U.S. plans
Qualified pension6.807.00
Postretirement6.807.00
Qualified pension(4)
Qualified pension(4)
5.80/5.60/5.60/5.006.706.70
Postretirement(4)
Postretirement(4)
5.80/1.506.70/3.00
Non-U.S. pension plans(1)
Non-U.S. pension plans(1)
 
Non-U.S. pension plans(1)
Range1.00 to 11.501.60 to 11.501.30 to 11.50Range0.00 to 11.500.00 to 11.501.00 to 11.50
Weighted average4.554.955.08Weighted average3.393.954.30
Non-U.S. postretirement plans(1)
Non-U.S. postretirement plans(1)
 
Non-U.S. postretirement plans(1)
Range8.00 to 10.308.00 to 10.708.50 to 10.40Range5.95 to 8.006.20 to 8.008.00 to 9.20
Weighted average8.028.018.51Weighted average7.997.998.01


(1)(1)    Reflects rates utilized to determine the first quarterquarterly expense for Significant non-U.S. pension and postretirement plans.
(2)Not material for U.S. plans.
(2)    Due to historically low global interest rates, there were negative discount rates for plans with relatively short duration in certain major markets, such as the Eurozone and Switzerland.
(3)    Not material for U.S. plans.
(4)    The expected return on assets for the U.S. pension and postretirement plans was lowered from 5.80% to 5.60% effective April 1, 2021 and to 5.00% effective October 1, 2021 to reflect the change in target asset allocation.



174

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 on Assets
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 on assets 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 6.80% at December 31, 2017 and 2016 and 7.00% at December 31, 2015. 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 on assets used in determining the Company’s pension expense compared to the actual rate of return on plan assets during 2017, 20162021, 2020 and 20152019 for the U.S. pension and postretirement plans:

U.S. plans
(During the year)
202120202019
Expected return on assets
U.S. pension and postretirement trust5.80%/5.60%/5.60%/5.00%6.70%6.70%
VEBA trust1.503.003.00
Actual return on assets(1)
U.S. pension and postretirement trust5.1412.8415.20
VEBA trust1.522.111.91 to 2.76

(1)Actual return on assets is presented net of fees.


 201720162015
Expected rate of return(1)
6.80%/3.00%7.00%7.00%
Actual rate of return(2)
10.904.90(1.70)
(1)In 2017, the VEBA Trust was funded for postretirement benefits with an expected rate of return of assets of 3.00%.
(2)Actual rates of return are presented net of fees.

For the non-U.S. pension plans, pension expense for 2017 was reduced by the expected return of $299 million, compared with the actual return of $462 million. Pension expense for 2016 and 2015 was reduced by expected returns of $287 million and $323 million, respectively.

Mortality Tables
At December 31, 2017, the Company maintained the Retirement Plan 2014 (RP-2014) mortality table and adopted the Mortality Projection 2017 (MP-2017) projection table for the U.S. plans.
 U.S. plans
2017(1)
2016(2)
Mortality
PensionRP-2014/MP-2017RP-2014/MP-2016
PostretirementRP-2014/MP-2017RP-2014/MP-2016

(1)The RP-2014 table is the white-collar RP-2014 table. The MP-2017 projection scale is projected from 2006, with convergence to .75% ultimate rate of annual improvement by 2033.
(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. The MP-2016 projection scale is projected from 2011, with convergence to 0.75% ultimate rate of annual improvement by 2032.






















Sensitivities of Certain Key Assumptions
The following tables summarize the effect on pension expense:

Discount rate
 One-percentage-point increase
In millions of dollars202120202019
U.S. plans$35 $34 $28 
Non-U.S. plans(4)(16)(19)
 One-percentage-point decrease
In millions of dollars202120202019
U.S. plans$(49)$(52)$(44)
Non-U.S. plans25 25 32 

The U.S. Qualified Pension Plan was frozen in 2008, and as a result, most service costs have been eliminated. The pension expense of a one-percentage-point changefor the U.S. Qualified Pension Plan is therefore 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 return on assets
One-percentage-point increase One-percentage-point increase
In millions of dollars201720162015In millions of dollars202120202019
U.S. plans$(127)$(127)$(128)U.S. plans$(124)$(123)$(123)
Non-U.S. plans(64)(61)(63)Non-U.S. plans(70)(66)(64)
One-percentage-point decrease
In millions of dollarsIn millions of dollars202120202019
U.S. plansU.S. plans$124 $123 $123 
Non-U.S. plansNon-U.S. plans70 66 64 
 

 One-percentage-point decrease
In millions of dollars201720162015
U.S. plans$127
$127
$128
Non-U.S. plans64
61
63
175

Health Care Cost Trend Rate
Assumed health care cost trend rates were as follows:

 20212020
Health care cost increase rate for 
U.S. plans		  
Following year6.25%6.50%
Ultimate rate to which cost increase is assumed to decline5.005.00
Year in which the ultimate rate is
reached		20272027
Health care cost increase rate for 
non-U.S. plans (weighted average)		  
Following year6.92%6.85%
Ultimate rate to which cost increase is
assumed to decline		6.926.85
Year in which the ultimate rate
is reached		20222021
 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.

Interest Crediting Rate
 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
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.


 A one-percentage-point change in assumed health care cost trend rates would have the following effects:
Weighted average interest crediting rate
At year end202120202019
U.S. plans1.80%1.45%2.25%
Non-U.S. plans1.611.601.61
 
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,
Asset category(1)
20222021202020212020
Equity securities(2)
0–22%7 %16 %7 %16 %
Debt securities(3)
55–11472 59 72 59 
Real estate0–42 4 2 4 
Private equity0–56 3 6 3 
Other investments0–2313 18 13 18 
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 2021 and 2020.
(3)The VEBA Trust for postretirement benefits is primarily invested in cash equivalents and debt securities in 2021 and 2020 and is not reflected in the table above.

 
Target asset
allocation
U.S. pension assets
at December 31,
U.S. postretirement assets
at December 31,
Asset category(1)
20182017201620172016
Equity securities(2)
0-30%20%18%20%18%
Debt securities(3)
25-7248
47
48
47
Real estate0-105
5
5
5
Private equity0-123
4
3
4
Other investments0-3724
26
24
26
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 2017 and 2016.
(3)In December 2017, Citi contributed $140 million to the VEBA Trust for postretirement benefits, which amount was invested solely in debt securities which 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 plans
 Target asset
allocation		Actual range
at December 31,		Weighted-average
at December 31,
Asset category(1)
20222021202020212020
Equity securities0–100%0–100%0–100%16 %15 %
Debt securities0–1000–1000–10076 77 
Real estate0–150–140–121 1 
Other investments0–1000–1000–1007 7 
Total100 %100 %
 Non-U.S. pension plans
 
Target asset
allocation
Actual range
at December 31,
Weighted-average
at December 31,
Asset category(1)
20182017201620172016
Equity securities0-63%0-67%0–69%15%14%
Debt securities0-1000-990–10079
79
Real estate0-180-180–181
1
Other investments0-1000-1000–1005
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.
(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)
20182017201620172016
Equity securities0-37%0-38%0–38%38%38%
Debt securities58-10058-10057–10058
58
Other investments0-50-40–44
4
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.



176



 Non-U.S. postretirement plans
 Target asset
allocation		Actual range
at December 31,		Weighted-average
at December 31,
Asset category(1)
20222021202020212020
Equity securities0–42%0–42%0–38%41 %38 %
Debt securities54–10053–10056–10053 56 
Other investments0–40–60–66 6 
Total100 %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 isInvestments measured using the NAV per share practical expedient.expedient are excluded from Level 1, Level 2 and Level 3 in the tables below.
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, 2017In millions of dollarsFair value measurement at December 31, 2021
Asset categoriesLevel 1Level 2Level 3TotalAsset categoriesLevel 1Level 2Level 3Total
U.S. equities

$726
$—
$—
$726
U.S. equities$358 $— $— $358 
Non-U.S. equities

926
—
—
926
Non-U.S. equities460 — — 460 
Mutual funds

271
—
—
271
Mutual funds and other registered investment companiesMutual funds and other registered investment companies297 — — 297 
Commingled funds

—
1,184
—
1,184
Commingled funds— 1,143 — 1,143 
Debt securities

1,381
3,080
—
4,461
Debt securities1,657 5,770 — 7,427 
Annuity contracts—
—
1
1
Annuity contracts— — 4 4 
Derivatives11
323
—
334
Derivatives2 17 — 19 
Other investments—
—
22
22
Other investments13 — 25 38 
Total investments$3,315
$4,587
$23
$7,925
Total investments$2,787 $6,930 $29 $9,746 
Cash and short-term investments$257
$1,004
$—
$1,261
Cash and short-term investments$635 $75 $— $710 
Other investment liabilities(60)(343)—
(403)Other investment liabilities(7)(17)— (24)
Net investments at fair value$3,512
$5,248
$23
$8,783
Net investments at fair value$3,415 $6,988 $29 $10,432 
Other investment receivables redeemed at NAV $16
Other investment liabilities redeemed at NAVOther investment liabilities redeemed at NAV$(87)
Securities valued at NAV 4,189
Securities valued at NAV2,951 
Total net assets $12,988
Total net assets$13,296 
(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2017, the allocable interests of the U.S. pension and postretirement plans were 99.0% and 1.0%, respectively. In 2017, the VEBA Trust was funded for postretirement benefits.

(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2021, 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.
177

 
U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2016
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities

$639
$—
$—
$639
Non-U.S. equities

773
—
—
773
Mutual funds

216
—
—
216
Commingled funds—
866
—
866
Debt securities1,297
2,845
—
4,142
Annuity contracts—
—
1
1
Derivatives8
543
—
551
Other investments—
—
4
4
Total investments$2,933
$4,254
$5
$7,192
Cash and short-term investments$116
$1,239
$—
$1,355
Other investment liabilities(106)(553)—
(659)
Net investments at fair value$2,943
$4,940
$5
$7,888
Other investment receivables redeemed at NAV   $100
Securities valued at NAV    4,504
Total net assets   $12,492
(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2016, the allocable interests of the U.S. pension and postretirement plans were 99.0% and 1.0%, respectively.

U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2020
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$813 $— $— $813 
Non-U.S. equities725 — — 725 
Mutual funds and other registered investment companies447 — — 447 
Commingled funds— 1,056 — 1,056 
Debt securities1,275 4,430 — 5,705 
Annuity contracts— — 1 1 
Derivatives8 6 — 14 
Other investments16 — 57 73 
Total investments$3,284 $5,492 $58 $8,834 
Cash and short-term investments$72 $1,035 $— $1,107 
Other investment liabilities(2)(10)— (12)
Net investments at fair value$3,354 $6,517 $58 $9,929 
Other investment receivables redeemed at NAV$99 
Securities valued at NAV 3,612 
Total net assets$13,640 

(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2020, 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 plansNon-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2017In millions of dollarsFair value measurement at December 31, 2021
Asset categoriesLevel 1Level 2Level 3TotalAsset categoriesLevel 1Level 2Level 3Total
U.S. equities$4
$12
$—
$16
U.S. equities$127 $19 $— $146 
Non-U.S. equities103
122
1
226
Non-U.S. equities713 92 — 805 
Mutual funds3,098
74
—
3,172
Mutual funds and other registered investment companiesMutual funds and other registered investment companies2,888 66 — 2,954 
Commingled funds24
—
—
24
Commingled funds21 — — 21 
Debt securities3,999
1,555
7
5,561
Debt securities4,263 1,341 — 5,604 
Real estate—
3
1
4
Real estate— 3 2 5 
Annuity contracts—
1
9
10
Annuity contracts— — 2 2 
Derivatives1
3,102
—
3,103
Derivatives— 239 — 239 
Other investments1
—
214
215
Other investments— — 318 318 
Total investments$7,230
$4,869
$232
$12,331
Total investments$8,012 $1,760 $322 $10,094 
Cash and short-term investments$119
$3
$—
$122
Cash and short-term investments$117 $5 $— $122 
Other investment liabilities(2)(4,220)—
(4,222)Other investment liabilities— (1,578)— (1,578)
Net investments at fair value$7,347
$652
$232
$8,231
Net investments at fair value$8,129 $187 $322 $8,638 
Securities valued at NAV  $16
Securities valued at NAV $19 
Total net assets $8,247
Total net assets$8,657 
 
178

Non-U.S. pension and postretirement benefit plansNon-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2016In millions of dollarsFair value measurement at December 31, 2020
Asset categoriesLevel 1Level 2Level 3TotalAsset categoriesLevel 1Level 2Level 3Total
U.S. equities$4
$11
$—
$15
U.S. equities$5 $16 $— $21 
Non-U.S. equities87
174
1
262
Non-U.S. equities105 670 — 775 
Mutual funds2,345
406
—
2,751
Mutual funds and other registered investment companiesMutual funds and other registered investment companies3,137 73 — 3,210 
Commingled funds22
—
—
22
Commingled funds24 — — 24 
Debt securities3,406
1,206
7
4,619
Debt securities6,705 1,420 — 8,125 
Real estate—
3
1
4
Real estate— 2 2 4 
Annuity contracts—
1
8
9
Annuity contracts— — 5 5 
Derivatives—
43
—
43
Derivatives— 1,005 — 1,005 
Other investments1
—
187
188
Other investments— — 312 312 
Total investments$5,865
$1,844
$204
$7,913
Total investments$9,976 $3,186 $319 $13,481 
Cash and short-term investments$116
$2
$—
$118
Cash and short-term investments$129 $3 $— $132 
Other investment liabilities(1)(960)—
(961)Other investment liabilities— (4,650)— (4,650)
Net investments at fair value$5,980
$886
$204
$7,070
Net investments at fair value$10,105 $(1,461)$319 $8,963 
Securities valued at NAV  $92
Securities valued at NAV $14 
Total net assets $7,162
Total net assets$8,977 





179

Level 3 Rollforward
The reconciliations of the beginning and ending balances during the year for Level 3 assets are as follows:

In millions of dollarsIn millions of dollarsU.S. pension and postretirement benefit plans
Asset categoriesAsset categoriesBeginning Level 3 fair value at
Dec. 31, 2020		Realized (losses)Unrealized gainsPurchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at
Dec. 31, 2021
Annuity contractsAnnuity contracts$1 $— $— $3 $— $4 
Other investmentsOther investments57 (6)2 (28)— 25 
In millions of dollarsU.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
Annuity contracts$1
$—
$—
$—
$—
$1
Other investments4




18
—
22
Total investments$5
$—
$—
$18
$—
$23
Total investments$58 $(6)$2 $(25)$— $29 
 

In millions of dollarsU.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at
Dec. 31, 2019		Realized (losses)Unrealized (losses)Purchases, sales and
issuances		Transfers in and/or out of Level 3Ending Level 3 fair value at
Dec. 31, 2020
Annuity contracts$1 $— $— $— $— $1 
Other investments75 (3)3 (18)— 57 
Total investments$76 $(3)$3 $(18)$— $58 
 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at
Dec. 31, 2020		Unrealized gainsPurchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3
fair value at
Dec. 31, 2021
Debt securities$— $— $— $— $— 
Real estate2 — — — 2 
Annuity contracts5 — (3)— 2 
Other investments312 4 2 — 318 
Total investments$319 $4 $(1)$— $322 

 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at
Dec. 31, 2019		Unrealized (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3
fair value at
Dec. 31, 2020
Debt securities$10 $— $(10)$— $— 
Real estate1 1 — — 2 
Annuity contracts5 — — — 5 
Other investments274 23 15 — 312 
Total investments$290 $24 $5 $— $319 


In millions of dollarsU.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
Annuity contracts$25
$—
$(3)$(21)$—
$1
Other investments149
8
(10)(143)—
4
U.S. equities—
(2)2
—
—
—
Total investments$174
$6
$(11)$(164)$—
$5

 In millions of dollarsNon-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
Non-U.S. equities$1
$—
$—
$—
$1
Debt securities7
—
—
—
7
Real estate1
—
—
—
1
Annuity contracts8
1
—
—
9
Other investments187
31
(4)—
214
Total investments$204
$32
$(4)$—
$232


 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





180


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, hedge funds 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. plans
Non-U.S. plans(1)
U.S. plansNon-U.S. plans
2022$956 $958 $64 $71 
2023837 452 50 74 
2024844 460 47 78 
2025846 462 44 82 
2026838 467 41 86 
2027–20313,946 2,428 164 493 

(1)Estimated 2022 benefit payments have increased due to the wind-down of Citi’s consumer banking business in Korea, as it is expected that employees who elected the VERP plan will be withdrawing their pension plan assets. See Note 2 to the Consolidated Financial Statements for additional information.


 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.181

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, 2017 and 2016,The following table summarizes the plans’ funded status and amounts recognized inon the Company’s Consolidated Balance Sheet was $(46) million and $(157) million, respectively. The pre-tax amounts recognized in Accumulated other comprehensive income (loss) as of December 31, 2017 and 2016 were $3 million and $34 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.Sheet:

In millions of dollars20212020
Funded status of the plan at year end$(41)$(40)
Net amount recognized in AOCI (pretax)
$(15)$(17)

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)

In millions of dollars202120202019
Net expense$10 $9 $9 
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: 
 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 20172021 and 2016,2020, 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 dollars202120202019
Company contributions$436 $414 $404 
 Non-U.S. plans
In millions of dollars202120202019
Company contributions$364 $304 $281 
 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

182


9. INCOME TAXES


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


Income Tax Provision
In millions of dollars202120202019
Current   
Federal$522 $305 $365 
Non-U.S.3,288 4,113 4,352 
State228 440 323 
Total current income taxes$4,038 $4,858 $5,040 
Deferred   
Federal$1,059 $(1,430)$(907)
Non-U.S.8 (690)10 
State346 (213)287 
Total deferred income taxes$1,413 $(2,333)$(610)
Provision for income tax on continuing operations before noncontrolling interests(1)
$5,451 $2,525 $4,430 
Provision (benefit) for income taxes on discontinued operations— — (27)
Income tax expense (benefit) reported in stockholders’ equity related to: 
FX translation(146)23 (11)
Investment securities(1,367)1,214 648 
Employee stock plans(6)(4)(16)
Cash flow hedges(476)455 269 
Benefit plans240 (23)(119)
FVO DVA64 (141)(337)
Excluded fair value hedges2 (8)8 
Retained earnings(2)
— (911)46 
Income taxes before noncontrolling interests$3,762 $3,130 $4,891 

In millions of dollars201720162015
Current 
 
 
Federal$332
$1,016
$861
Non-U.S.3,910
3,585
3,397
State269
384
388
Total current income taxes$4,511
$4,985
$4,646
Deferred 
 
 
Federal$24,902
$1,280
$3,019
Non-U.S.(377)53
(4)
State352
126
(221)
Total deferred income taxes$24,877
$1,459
$2,794
Provision for income tax on continuing operations before non-controlling interests(1)
$29,388
$6,444
$7,440
Provision (benefit) for income taxes on discontinued operations7
(22)(29)
Income tax expense (benefit) reported in stockholders’ equity related to: 
 
 
FX translation188
(402)(906)
Investment securities(149)59
(498)
Employee stock plans(4)13
(35)
Cash flow hedges(12)27
176
Benefit plans13
(30)(24)
FVO DVA(250)(201)—
Retained earnings(2)
(295)—
—
Income taxes before non-controlling interests$28,886
$5,888
$6,124
(1)Includes the tax on realized investment gains and impairment losses resulting in a provision (benefit) of $169 million and $(57) million in 2021, $454 million and $(14) million in 2020 and $373 million and $(9) million in 2019, respectively.
(1)Includes the effect of securities transactions and other-than-temporary-impairment losses resulting in a provision (benefit) of $272 million and $(22) million in 2017, $332 million and $(217) million in 2016 and $239 million and $(93) million in 2015, respectively.
(2)
Reflects the tax effect of the accounting change for ASU 2017-08, “Premium Amortization on Purchased Callable Debt Securities”.  See Note 1 to the Consolidated Financial Statements. 

(2)2020 reflects the tax effect of ASU 2016-13 for current expected credit losses (CECL). 2019 reflects the tax effect of the accounting change for ASU 2016-02 for lease transactions.

 
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:

201720162015 202120202019
Federal statutory rate35.0 %35.0 %35.0 %Federal statutory rate21.0 %21.0 %21.0 %
State income taxes, net of federal benefit1.1
1.8
1.7
State income taxes, net of federal benefit2.1 1.3 1.9 
Non-U.S. income tax rate differential(1.6)(3.6)(4.6)Non-U.S. income tax rate differential1.6 3.5 1.3 
Audit settlements(1)
—
(0.6)(1.7)
Effect of tax law changes(2)
99.7
—
0.4
Basis difference in affiliates(2.1)(0.1)—
Nondeductible FDIC premiumsNondeductible FDIC premiums0.6 1.3 0.4 
Tax advantaged investments(2.2)(2.4)(1.8)Tax advantaged investments(2.3)(4.4)(2.3)
Valuation allowance releases(1)
Valuation allowance releases(1)
(1.7)(4.4)(3.0)
Other, net(0.8)(0.1)1.0
Other, net(1.5)0.2 (0.8)
Effective income tax rate129.1 %30.0 %30.0 %Effective income tax rate19.8 %18.5 %18.5 %
(1)For 2016, primarily relates to the conclusion of an IRS audit for 2012–2013. For 2015, primarily relates to the conclusion of a New York City tax audit for 2009–2011.
(2)
For 2017, includes the $22,594 million charge for Tax Reform. For 2015, includes the results of tax reforms enacted in New York City and several states, which resulted in a DTA charge of approximately $101 million.

(1)See “Deferred Tax Assets” below for a description of the components.

As set forth in the table above, Citi’s effective tax rate for 20172021 was 129.1% (29.8% before19.8%, compared to 18.5% in 2020, primarily due to the reduced effect of Tax Reform, aboutpermanent differences, including the same as the effective tax rate in 2016).valuation allowance releases, on a much higher level of pretax income.




Deferred Income Taxes
Deferred income taxes at December 31 related to the following:

In millions of dollars20172016In millions of dollars20212020
Deferred tax assets 
 
Deferred tax assets 
Credit loss deduction$3,423
$5,146
Credit loss deduction$5,330 $6,791 
Deferred compensation and employee benefits1,585
3,798
Deferred compensation and employee benefits2,335 2,510 
Repositioning and settlement reserves454
1,033
U.S. tax on non-U.S. earnings2,452
10,050
U.S. tax on non-U.S. earnings1,138 1,195 
Investment and loan basis differences3,384
5,594
Investment and loan basis differences2,970 1,486 
Cash flow hedges233
327
Tax credit and net operating loss carry-forwards21,575
20,793
Tax credit and net operating loss carry-forwards15,620 17,416 
Fixed assets and leases1,090
1,739
Fixed assets and leases3,064 2,935 
Other deferred tax assets1,988
2,714
Other deferred tax assets3,549 3,832 
Gross deferred tax assets$36,184
$51,194
Gross deferred tax assets$34,006 $36,165 
Valuation allowance$9,387
$—
Valuation allowance$4,194 $5,177 
Deferred tax assets after valuation allowance$26,797
$51,194
Deferred tax assets after valuation allowance$29,812 $30,988 
Deferred tax liabilities 
 
Deferred tax liabilities  
Intangibles$(1,247)$(1,711)
Debt issuances(294)(641)
Intangibles and leasesIntangibles and leases$(2,446)$(2,526)
Non-U.S. withholding taxes(668)(739)Non-U.S. withholding taxes(987)(921)
Interest-related items(562)(765)Interest-related items— (597)
Other deferred tax liabilities(1,545)(670)Other deferred tax liabilities(1,590)(2,104)
Gross deferred tax liabilities$(4,316)$(4,526)Gross deferred tax liabilities$(5,023)$(6,148)
Net deferred tax assets$22,481
$46,668
Net deferred tax assets$24,789 $24,840 
183

Unrecognized Tax Benefits
The following is a rollforward of the Company’s unrecognized tax benefits:

In millions of dollars202120202019
Total unrecognized tax benefits at January 1$861 $721 $607 
Net amount of increases for current year’s tax positions97 51 50 
Gross amount of increases for prior years’ tax positions515 217 151 
Gross amount of decreases for prior years’ tax positions(107)(74)(44)
Amounts of decreases relating to settlements(64)(40)(21)
Reductions due to lapse of statutes of limitation(2)(13)(23)
Foreign exchange, acquisitions and dispositions(4)(1)1 
Total unrecognized tax benefits at December 31$1,296 $861 $721 
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 portions of the total amounts of unrecognized tax benefits at December 31, 2017, 20162021, 2020 and 20152019 that, if recognized, would affect Citi’s tax expense are $0.8$1.0 billion, $0.8$0.7 billion and $0.9$0.6 billion, respectively. The remaining uncertain tax positions have offsetting amounts in other jurisdictions or are temporary differences.
Interest and penalties (not included in “unrecognizedunrecognized tax benefits”benefits above) are a component of Provision for income taxes. 
 202120202019
In millions of dollarsPretaxNet of taxPretaxNet of taxPretaxNet of tax
Total interest and penalties on the Consolidated Balance Sheet at January 1$118 $96 $100 $82 $103 $85 
Total interest and penalties in the Consolidated Statement of Income32 24 14 10 (4)(4)
Total interest and penalties on the Consolidated Balance Sheet at December 31(1)
214 164 118 96 100 82 
 201720162015
In millions of dollarsPretaxNet of taxPretaxNet of taxPretaxNet of tax
Total interest and penalties on the Consolidated Balance Sheet at January 1$260
$164
$233
$146
$269
$169
Total interest and penalties in the Consolidated Statement of Income5
21
105
68
(29)(18)
Total interest and penalties on the Consolidated Balance Sheet at December 31(1)
121
101
260
164
233
146

(1)Includes $3 million for non-U.S. penalties in 2017, 2016 and 2015. Also includes $3 million for state penalties in 2017, 2016 and 2015.
(1)Includes $3 million, $4 million and $3 million for non-U.S. penalties in 2021, 2020 and 2019, respectively. Also includes $0 million, $1 million and $1 million for state penalties in 2021, 2020 and 2019, respectively.

As of December 31, 2017,2021, 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 inmonths. The potential range of amounts that would cause a significant change to itscould affect Citi’s effective tax rate.rate is between $0 and $500 million.


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
Mexico2016
New York State and City2009
United Kingdom2016
India2017
JurisdictionSingaporeTax year2019
United StatesHong Kong20142015
MexicoIreland2011
New York State and City2009
United Kingdom2014
India2014
Singapore2011
Hong Kong2011
Ireland20132017


Non-U.S. Earnings
Non-U.S. pretax earnings approximated $13.7$12.9 billion in 2017 (of which a $0.1 billion loss was recorded in Discontinued operations), $11.62021, $13.8 billion in 20162020 and $11.3$16.7 billion in 2015.2019. 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, $14.12021, $6.5 billion of basis differences of non-U.S. subsidiariesentities was indefinitely invested. At the existing tax rates (including withholding taxes), additional taxes (net of U.S. FTCs)FTCs and valuation allowances) of $3.5$1.8 billion would have to be provided if such basis differencesassertions were realized. These amounts are significantly less than the corresponding amounts at December 31, 2016 due to the deemed repatriation of unremitted earnings of non-U.S. subsidiaries under the provisions of Tax Reform.reversed.
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, 2017,2021, the amount of the base year reserves totaled approximately $358 million (subject to a tax of $75 million).

184

Deferred Tax AssetsDebt Securities
As
•Debt securities classified as “held-to-maturity” (HTM) 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” (AFS) are carried at fair value with changes in fair value reported in Accumulated other comprehensive income (loss), a component of December 31, 2017, Citi hadstockholders’ equity, net of applicable income taxes and hedges. Interest income on such securities is included in Interest revenue.

146

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 less impairment (if any), plus or minus changes resulting from observed prices for orderly transactions for the identical or a valuation allowancesimilar investment of $9.4 billion, composedthe 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 held-to-maturity (HTM) 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.
Debt securities not measured at fair value through earnings include securities held in HTM or AFS, and equity securities accounted for under the Measurement Alternative or equity method and Federal Reserve Bank, Federal Home Loan Bank stock and certain exchange seats. These securities are subject to evaluation for impairment as described in Note 15 to the Consolidated Financial Statements for HTM securities and in Note 13 for AFS, Measurement Alternative and equity method investments. 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 allowances of $5.7 billion on its FTC carry-forwards, $2.2 billion on its U.S.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 DTA relatedinterests in securitizations and physical commodities inventory. In addition, as described in Note 25 to its non-U.S. branches, $1.4 billion on local non-U.S. DTAsthe Consolidated Financial Statements, certain assets that Citigroup has elected to carry at fair value under the fair value option, such as loans and $0.1 billion on statepurchased guarantees, are also included in Trading account assets.
Trading account liabilities include securities sold, not yet purchased (short positions) and derivatives in a 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,payable position, as well as diminished ability under Tax Reformcertain liabilities that Citigroup has elected to generate incomecarry 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 sources outside the U.S. to support FTC utilization. The absolute amount of Citi’s post-Tax Reform-related valuation allowances may changetrading assets and trading liabilities are generally reported 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,Principal transactions and include realized gains and losses as well as unrealized gains and losses resulting from changes in the forecasted amountfair value of such instruments.
Interest income on trading assets is recorded in U.S. locations derived from sources outsideInterest revenue reduced by interest expense on trading liabilities.
Physical commodities inventory is carried at the U.S. could alterlower of cost or market with related losses reported in Principal transactions, except when included in a hedge relationship. 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 and debt host contract are 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 valuation allowance that is needed against such FTCs.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 December 31, 2016, Citi had no valuation allowancesecurities borrowing and lending transactions. Fees received or paid for all securities borrowing and lending transactions are recorded in Interest revenue or Interest expense at the contractually specified rate.
Where the conditions of ASC 210-20-45-1, Balance
Sheet—Offsetting: Right of Setoff Conditions, are met, securities borrowing and lending transactions are presented net 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 are net of valuation allowances.
(2)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. 


The following table summarizes the amounts of tax carry-forwards 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.


Consolidated Balance Sheet.
The time remaining for utilizationCompany monitors the fair value 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 $22.5 billion at December 31, 2017 is more-likely-than-not based upon expectations as to future taxable income in the jurisdictions in which the DTAs arise
and available tax planning strategies (as defined 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 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 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 income to the extent of 50%–100% of domestic source income produced in subsequent years. Such resulting foreign source income would cover 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 SHARE
The following table reconciles 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 impact 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 andNote 25 to the Consolidated Financial Statements. The remaining portion is carried atStatements, the amountCompany has
147

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, with the exception of 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 (other than for loan modifications made through the CARES Act relief provisions or banking agency guidance for pandemic-related issues) 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.
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•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.

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 uncollectible. 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 supportive legal opinionsustained 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.

Allowances for Credit Losses (ACL)
Commencing January 1, 2020, Citi adopted Accounting Standards Update (ASC) 326, Financial Instruments—Credit Losses, using the methodologies described below. For information about Citi’s accounting for loan losses prior to January 1, 2020, see “Superseded Accounting Principles” below.
The current expected credit losses (CECL) methodology is based on relevant information about past events, including
historical experience, current conditions and reasonable and supportable (R&S) forecasts that affect the collectability of recognized standingthe reported financial asset balances. If the asset’s life extends beyond the R&S forecast period, then historical experience is considered over the remaining life of the assets in the ACL. The resulting ACL is adjusted in each subsequent reporting period through Provisions for credit losses in the Consolidated Statement of Income to reflect changes in history, current conditions and forecasts as well as changes in asset positions and portfolios. ASC 326 defines the ACL as a valuation account that providesis deducted from the requisite levelamortized cost of certaintya financial asset to present the net amount that management expects to collect on the financial asset over its expected life. All financial assets carried at amortized cost are in the scope of ASC 326, while assets measured at fair value are excluded. See Note 13 to the Consolidated Financial Statements for a discussion of impairment on available-for-sale (AFS) securities.
Increases and decreases to the allowances are recorded in Provisions for credit losses. The CECL methodology utilizes a lifetime expected credit loss (ECL) measurement objective for the recognition of credit losses for held-for-investment (HFI) loans, held-to-maturity (HTM) debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. Within the life of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related ACL than prior U.S. GAAP.
Estimation of ECLs requires Citi to make assumptions regarding the enforceabilitylikelihood and severity of these agreements. Also,credit loss events and their impact on expected cash flows, which drive the exercise of rights by the non-defaulting party to terminate and closeout transactions on a net basis under these agreements will not be stayed or avoided under applicable law upon an eventprobability of default including bankruptcy, insolvency or similar proceeding.
A legal opinion may not have been sought or obtained(PD), loss given default (LGD) and exposure at default (EAD) models and, where Citi discounts the ECL, using discounting techniques for certain jurisdictions where local lawproducts. Where the asset’s life extends beyond the R&S forecast period, Citi considers historical experience over the remaining life of the assets in estimating the ACL.
Citi uses a multitude of variables in its macroeconomic forecast as part of its calculation of both the qualitative and quantitative components of the ACL, including both domestic and international variables for its global portfolios and exposures. Citi’s forecasts of the U.S. unemployment rate and U.S. Real GDP growth rate represent the key macroeconomic variables that most significantly affect its estimate of its consumer and corporate ACLs. Under the quantitative base scenario, Citi’s 4Q21 forecasts are for U.S. unemployment to continue to improve as the U.S. continues to move past the peak of the pandemic-related health and economic crisis.
The following are the main factors and interpretations that Citi considers when estimating the ACL under the CECL methodology:

•The most important reasons for the change in the ACL during 2021 were the ACL releases resulting from the recovery from the pandemic.
•CECL reserves are estimated over the contractual term of the financial asset, which is silentadjusted for expected prepayments. Expected extensions are generally not considered unless the option to extend the loan cannot be canceled unilaterally by Citi. Modifications are also not
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considered, unless Citi has a reasonable expectation that it will execute a troubled debt restructuring (TDR).
•Credit enhancements that are not freestanding (such as those that are included in the original terms of the contract or sufficiently ambiguousthose executed in conjunction with the lending transaction) are considered loss mitigants for purposes of CECL reserve estimation.
•For unconditionally cancelable accounts such as credit cards, reserves are based on the expected life of the balance as of the evaluation date (assuming no further charges) and do not include any undrawn commitments that are unconditionally cancelable. Reserves are included for undrawn commitments for accounts that are not unconditionally cancelable (such as letters of credit and corporate loan commitments, home equity lines of credit (HELOCs), undrawn mortgage loan commitments and financial guarantees).
•CECL models are designed to be economically sensitive. They utilize the macroeconomic forecasts provided by Citi’s economic forecasting team (EFT) that are approved by senior management. Analysis is performed and documented to determine the enforceabilitynecessary qualitative management adjustment (QMA) to capture forward-looking macroeconomic expectations and model uncertainty.
•The portion of offsetting rights or where adverse case law or conflicting regulation may cast
the forecast that reflects the EFT’s reasonable and supportable (R&S) period indicates the maximum length of time its models can produce a R&S macroeconomic forecast, after which mean reversion reflecting historical loss experience is used for the remaining life of the loan to estimate expected credit losses. For the loss forecast, businesses consume the macroeconomic forecast as determined to be appropriate and justifiable.

doubtCiti’s ability to forecast credit losses over the reasonable and supportable (R&S) period is based on the enforceabilityability to forecast economic activity over a reasonable and supportable time window. The R&S period reflects the overall ability to have a reasonable and supportable forecast of such rights. In some jurisdictionscredit loss based on economic forecasts.

•The loss models consume all or a portion of the R&S economic forecast and then revert to historical loss experience. The R&S forecast period for some counterparty types,consumer loans is 13 quarters and, in most cases, reverts to historically based loss experience either immediately or using a straight-line approach thereafter, while the insolvency lawR&S period for a particular counterparty type may be nonexistent or unclear as overlapping regimes may exist. For example, this may be the casecorporate loans is nine quarters with an additional straight-line reversion period of three quarters for certain sovereigns, municipalities, central banks and U.S. pension plans.ECL parameters.
•The following tables present 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 instrumentsACL incorporates provisions for accrued interest on products that are not permittedsubject to a non-accrual and timely write-off policy (e.g., credit cards, etc.).
•The reserves for TDRs are calculated using the discounted cash flow method and considers appropriate macroeconomic forecast data for the exposure type. For TDR loans that are collateral dependent, the ACL is based on the fair value of the collateral.
•Citi uses the most recent available information to inform its macroeconomic forecasts, allowing sufficient time for analysis of the results and corresponding approvals. Key variables are reviewed for significant changes through year end and changes to portfolio positions are reflected in the ACL.
•Reserves are calculated at an appropriately granular level and on a pooled basis where financial assets share risk characteristics. At a minimum, reserves are calculated at a portfolio level (product and country). Where a financial asset does not share risk characteristics with any of the pools, it is evaluated for credit losses individually.

Quantitative and Qualitative Components of the ACL
The loss likelihood and severity models use both internal and external information and are sensitive to forecasts of different macroeconomic conditions. For the quantitative component, Citi uses a single forward-looking macroeconomic forecast, complemented by the qualitative component that reflects economic uncertainty due to a different possible more adverse scenario for estimating the ACL. Estimates of these ECLs are based upon (i) Citigroup’s internal system of credit risk ratings; (ii) historical default and loss data, including comprehensive internal history and rating agency information regarding default rates and internal data on the severity of losses in the event of default; and (iii) a R&S forecast of future macroeconomic conditions. ECL is determined primarily by utilizing models for the borrowers’ PD, LGD and EAD. 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.
Any adjustments needed to the modeled expected losses in the quantitative calculations are addressed through a qualitative adjustment. The qualitative adjustment considers, among other things: the uncertainty of forward-looking scenarios based on the likelihood and severity of a possible recession; the uncertainty of economic conditions related to an alternative downside scenario; certain portfolio characteristics and concentrations; collateral coverage; model limitations; idiosyncratic events; and other relevant criteria under banking supervisory guidance for loan loss reserves. The qualitative adjustment also reflects the estimated impact of the pandemic on the economic forecasts and the impact on credit loss estimates. The total ACL is composed of the quantitative and qualitative components.
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Consumer Loans
For consumer loans, most portfolios including North America cards, mortgages and personal installment loans (PILs) are covered by the PD, LGD and EAD loss forecasting models. Some smaller international portfolios are covered by econometric models where the gross credit loss (GCL) rate is forecasted. The modeling of all retail products is performed by examining risk drivers for a given portfolio; these drivers relate to exposures with similar credit risk characteristics and consider past events, current conditions and R&S forecasts. Under the PD x LGD x EAD approach, GCLs and recoveries are captured on an undiscounted basis. Citi incorporates expected recoveries on loans into its reserve estimate, including expected recoveries on assets previously written off.
CECL defines the exposure’s expected life as the remaining contractual maturity including any expected prepayments. Subsequent changes to the contractual terms that are the result of a re-underwriting are not included in the loan’s expected CECL life.
Citi does not establish reserves for the uncollectible accrued interest on non-revolving consumer products, such as mortgages and installment loans, which are subject to a non-accrual and timely write-off policy. As such, only the principal balance is subject to the CECL reserve methodology and interest does not attract a further reserve. FAS 91-deferred origination costs and fees related to new account originations are amortized within a 12-month period, and an ACL is provided for components in the scope of the ASC.
Separate valuation allowances are determined for impaired smaller-balance homogeneous loans whose terms have been modified in a 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 ACL for TDRs is determined using a discounted cash flow (DCF) approach. When a DCF approach is used, the initial allowance for ECLs is calculated as the expected contractual cash flows discounted at the loan’s original effective interest rate. DCF techniques are applied only for consumer loans classified as TDR loan exposures.
For credit cards, Citi uses the payment rate approach, which leverages payment rate curves, to determine the payments that should be applied to liquidate the end-of-period balance (CECL balance) in the estimation of EAD. The payment rate approach uses customer payment behavior (payment rate) to establish the portion of the CECL balance that will be paid each month. These payment rates are defined as the percentage of principal payments received in the respective month divided by the prior month’s billed principal balance. The liquidation (CECL payment) amount for each forecast period is determined by multiplying the CECL balance by that period’s forecasted payment rate. The cumulative sum of these payments less the CECL balance produces the balance liquidation curve. Citi does not apply a non-accrual policy to credit card receivables; rather, they are subject to full charge-off at 180 days past due. As such, the entire customer balance up until write-off, including accrued
interest and fees, will be subject to the CECL reserve methodology.

Corporate Loans and HTM Securities
Citi records allowances for credit losses on all financial assets carried at amortized cost that are in the scope of CECL, including corporate loans classified as HFI and HTM debt securities. Discounting techniques are applied for corporate loans classified as HFI and HTM securities and non-accrual/TDR loan exposures. All cash flows are fully discounted to the reporting date. The ACL includes Citi’s estimate of all credit losses expected to be offsetincurred over the estimated full contractual life of the financial asset. The contractual life of the financial asset does not include expected extensions, renewals or modifications, except for instances where the Company reasonably expects to extend the tenor of the financial asset pursuant to a future TDR. Where Citi has an unconditional option to extend the contractual term, Citi does not consider the potential extension in determining the contractual term; however, where the borrower has the sole right to exercise the extension option without Citi’s approval, Citi does consider the potential extension in determining the contractual term. The decrease in credit losses under CECL at the date of adoption on January 1, 2020, compared with the prior incurred loss methodology, was largely due to more precise contractual maturities that resulted in shorter remaining tenors, the incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies.
The Company primarily bases its ACL on models that assess the likelihood and severity of credit events and their impact on cash flows under R&S forecasted economic scenarios. Allowances consider the probability of the borrower’s default, the loss the Company would incur upon default and the borrower’s exposure at default. Such models discount the present value of all future cash flows, using the asset’s effective interest rate (EIR). Citi applies a more simplified approach based on historical loss rates to certain exposures recorded in Other assets and certain loan exposures in the private bank.
The Company considers the risk of nonpayment to be zero for U.S. Treasuries and U.S. government-sponsored agency guaranteed mortgage-backed securities (MBS) and, as such, Citi does not have an ACL for these securities. For all other HTM debt securities, ECLs are estimated using PD models and discounting techniques, which incorporate assumptions regarding the likelihood and severity of credit losses. For structured securities, specific models use relevant assumptions for the underlying collateral type. A discounting approach is applied to HTM direct obligations of a single issuer, similar to that used for corporate HFI loans.

Other Financial Assets with Zero Expected Credit Losses
For certain financial assets, zero expected credit losses will be recognized where the expectation of nonpayment of the amortized cost basis is zero, based on there being no history of loss and the nature of the receivables.


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Secured Financing Transactions
Most of Citi’s reverse repurchase agreements, securities borrowing arrangements and margin loans require that the borrower continually adjust the amount of the collateral securing Citi’s interest, primarily resulting from changes in the fair value of such collateral. In such arrangements, ACLs are recorded based only on the amount by which the asset’s amortized cost basis exceeds the fair value of the collateral. No ACLs are recorded where the fair value of the collateral is equal to or exceeds the asset’s amortized cost basis, as Citi does not expect to incur credit losses on such well-collateralized exposures. For certain margin loans presented in Loans on the Consolidated Balance Sheet, credit losses are estimated using the same approach as corporate loans.

Accrued Interest
CECL permits entities to make an accounting policy election not to reserve for interest, if the entity has a policy in place that will result in timely reversal or write-off of interest. However, when a non-accrual or timely charge-off policy is not applied, an ACL is recognized on accrued interest. For HTM debt securities, Citi established a non-accrual policy that results in timely write-off of accrued interest. For corporate loans, where a timely charge-off policy is used, Citi has elected to recognize an ACL on accrued interest receivable. The LGD models for corporate loans include an adjustment for estimated accrued interest.

Reasonably Expected TDRs
For corporate loans, the reasonable expectation of TDR concept requires that the contractual life over which ECLs are estimated be extended when a TDR that results in a tenor extension is reasonably expected. Reasonably expected TDRs are included in the life of the asset. A discounting technique or collateral-dependent practical expedient is used for non-accrual and TDR loan exposures that do not share risk characteristics with other loans and are individually assessed. Loans modified in accordance with the CARES Act and bank regulatory guidance are not classified as TDRs.

Purchased Credit-Deteriorated (PCD) Assets
ASC 210-20-45 but would326 requires entities that have acquired financial assets (such as loans and HTM securities) with an intent to hold, to evaluate whether those assets have experienced a more-than-insignificant deterioration in credit quality since origination. These assets are subject to specialized accounting at initial recognition under CECL. Subsequent measurement of PCD assets will remain consistent with other purchased or originated assets, i.e., non-PCD assets. CECL introduces the notion of PCD assets, which replaces purchased credit impaired (PCI) accounting under prior U.S. GAAP.
CECL requires the estimation of credit losses to be eligibleperformed on a pool basis unless a PCD asset does not share characteristics with any pool. If certain PCD assets do not meet the conditions for offsettingaggregation, those PCD assets should be accounted for separately. This determination must be made at the date the PCD asset is purchased. In estimating ECLs from day 2 onward, pools can potentially be reassembled based upon similar risk characteristics. When PCD assets are pooled, Citi determines the amount of the initial ACL at the
pool level. The amount of the initial ACL for a PCD asset represents the portion of the total discount at acquisition that relates to credit and is recognized as a “gross-up” of the purchase price to arrive at the PCD asset’s (or pool’s) amortized cost. Any difference between the unpaid principal balance and the amortized cost is considered to be related to non-credit factors and results in a discount or premium, which is amortized to interest income over the life of the individual asset (or pool). Direct expenses incurred related to the extentacquisition of PCD assets and other assets and liabilities in a business combination are expensed as incurred. Subsequent accounting for acquired PCD assets is the same as the accounting for originated assets; changes in the allowance are recorded in Provisions for credit losses.

Consumer
Citi does not purchase whole portfolios of PCD assets in its retail businesses. However, there may be a small portion of a purchased portfolio that is identified as PCD at the purchase date. Interest income recognition does not vary between PCD and non-PCD assets. A consumer financial asset is considered to be more-than-insignificantly credit deteriorated if it is more than 30 days past due at the purchase date.

Corporate
Citi generally classifies wholesale loans and debt securities classified as HTM or AFS as PCD when both of the following criteria are met: (i) the purchase price discount is at least 10% of par and (ii) the purchase date is more than 90 days after the origination or issuance date. Citi classifies HTM beneficial interests rated AA- and lower obtained at origination from certain securitization transactions as PCD when there is a significant difference (i.e., 10% or greater) between contractual cash flows, adjusted for prepayments, and expected cash flows at the date of recognition.

Reserve Estimates and Policies
Management provides reserves for an estimate of lifetime ECLs in the funded loan portfolio on the Consolidated Balance Sheet in the form of an ACL. 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 risk management and finance representatives for each applicable business area. Applicable business areas include those having classifiably managed portfolios, where internal credit risk ratings are assigned (primarily ICG) and delinquency managed portfolios (primarily 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:


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Estimated Credit Losses in the Delinquency-Managed Portfolios for Performing Exposures
In addition, risk management and finance representatives 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 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, size and diversity of individual large credits and 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
Credit loss reserves are recognized on all off-balance sheet commitments that are not unconditionally cancelable. Corporate loan EAD models include an incremental usage factor (or credit conversion factor) to estimate ECLs on amounts undrawn at the reporting date. Off-balance sheet commitments include unfunded exposures, revolving facilities, securities underwriting commitments, letters of credit, HELOCs and financial guarantees (excluding performance guarantees). 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 credit losses on 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 default occurreda reporting unit below its carrying amount.
Under ASC Topic 350, Intangibles—Goodwill and Other and upon the adoption of ASU No. 2017-04 on January 1, 2020, 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 legal opinion supporting enforceabilityreporting 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 quantitative 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 quantitative test.
The quantitative test requires a comparison of the offsetting rights has been obtained. Remaining exposures continuefair 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, an impairment loss is recognized in an amount equal to that excess, limited to the total amount of goodwill allocated to that reporting unit.
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 payables.

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.


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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 securedVIEs 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 collateral, butassets 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 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, purchased options and commodities, 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.


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 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

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

 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

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 agreements that are permitted to be offset under ASC 210-20-45.
(2)The total of this column for each period excludes federal funds sold/purchased. See tables above.
(3)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.
(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 enforceability of the offsetting right.

Stock-Based Compensation
The following tables presentCompany recognizes compensation expense related to stock and option awards over the grossrequisite 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 liabilities associatedthe 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 repurchase agreementsdividend 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 lending agreements, by remaining contractual maturity: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
 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
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
 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
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 following tables presentCompany 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 gross amountborrowing and lending of liabilities associated with repurchase agreementsfunds, 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 ariseare entered into in the ordinary course of business.


155

ACCOUNTING CHANGES

Accounting for Deposit Insurance Expenses
During the fourth quarter of 2021, Citi changed its presentation of accounting for deposit insurance costs paid to the Federal Deposit Insurance Corporation (FDIC) and similar foreign regulators. These costs were previously presented within Interest expense and, as a result of this change, are now presented within Other operating expenses. Citi concluded that this presentation was preferable in Citi’s circumstances, as it better reflected the nature of these deposit insurance costs in that these costs do not directly represent interest payments to creditors, but are similar in nature to other payments to regulatory agencies that are accounted for as operating expenses.
This change in income statement presentation represents a “change in accounting principle” under ASC Topic 250, Accounting Changes and Error Corrections, with retrospective application to the earliest period presented. This change in accounting principle resulted in a reclassification of $1,207 million, $1,203 million and $781 million of deposit insurance expenses from Interest expense to Other operating expenses, for the years ended December 31, 2021, 2020 and 2019, respectively. This change had no impact on Citi’s net income or the total deposit insurance expense incurred by Citi.

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 introduced a new credit loss methodology, the CECL methodology, which requires earlier recognition of credit losses while also providing additional disclosure 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, HTM debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. The ACL is adjusted each period for changes in lifetime expected 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 ACL 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 ACL 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 quality of 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 and discounts inputs for the corporate classifiably managed portfolios, 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 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.
The qualitative management adjustment component includes, among other things, management adjustments to reflect economic uncertainty based on the likelihood and severity of downside scenarios and certain portfolio characteristics not captured in the quantitative component, such as concentrations, collateral coverage, model limitations, idiosyncratic events and other factors as required by banking supervisory guidance for the ACL. The qualitative management adjustment component also includes management adjustments to reflect the uncertainty around the estimated impact of the pandemic on credit loss estimates.

Accounting for Variable Post-Charge-Off Third-Party Collection Costs
During the second quarter of 2020, Citi changed its accounting for variable post-charge-off third-party collection costs, whereby these costs were accounted for as an increase in expenses as incurred rather than a reduction in expected credit recoveries. Citi concluded that such a change in the method of accounting is preferable in Citi’s circumstances as it better
156

reflects the nature of these collection costs. That is, these costs do not represent reduced payments from borrowers and are similar to Citi’s other executory third-party vendor contracts that are accounted for as operating expenses as incurred. As a result of this change, Citi had a consumer ACL release of $426 million in the second quarter of 2020 for its U.S. cards portfolios and $122 million in the third quarter of 2020 for its international portfolios.
In the fourth quarter of 2020, Citi revised the second quarter of 2020 accounting conclusion from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to opening retained earnings rather than net income, with retrospective application to the earliest period presented. Citi considered the guidance in ASC Topic 250, Accounting Changes and Error Corrections; ASC Topic 270, Interim Reporting; ASC Topic 250-S99-1, Assessing Materiality; and ASC Topic 250-S99-23, Accounting Changes Not Retroactively Applied Due to Immateriality, Considering the Effects of Prior Year Misstatements when Quantifying Misstatements in Current Year Financial Statements. Citi believes that the effects of the revisions were not material to any previously reported quarterly or annual period. As a result, Citi’s full-year and quarterly results were revised to reflect this change as if it were effective as of January 1, 2020 (impacts to 2018 and 2019 were de minimis). Accordingly, Citi recorded an increase to its beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million to its ACL. Further, Citi recorded a decrease of $18 million to its provisions for credit losses on loans in the first quarter of 2020 and an increase of $339 million and $122 million to its provisions for credit losses on loans in the second and third quarters of 2020, respectively. In addition, Citi`s operating expenses increased by $49 million and $45 million, with a corresponding decrease in net credit losses, in the first and second quarters of 2020, respectively. As a result of these changes, Citi’s net income for the year ended December 31, 2020 was $330 million lower, or $0.16 per share lower, than under the previous presentation as a change in accounting estimate effected by a change in accounting principle.

Reference Rate Reform
In March 2020, the FASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance permits an entity, when certain criteria are met, to consider amendments to contracts made to comply with reference rate reform to meet the definition of a modification under U.S. GAAP. It further allows hedge accounting to be maintained and permits a one-time transfer or sale of qualifying held-to-maturity securities. The expedients and exceptions provided by the amendments are permitted to be adopted any time through December 31, 2022 and do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for certain optional expedients elected for certain hedging relationships existing as of December 31, 2022. The ASU was adopted by Citi as of
June 30, 2020 with prospective application and did not impact financial results in 2020.
In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Scope, which clarifies that the scope of the initial accounting relief issued by the FASB in March 2020 includes derivative instruments that do not reference a rate that is expected to be discontinued but that use an interest rate for margining, discounting or contract price alignment that is modified as a result of reference rate reform (commonly referred to as the “discounting transition”). The amendments do not apply to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022 and existing hedging relationships evaluated for effectiveness in periods after December 31, 2022, except for hedging relationships existing as of December 31, 2022 that apply certain optional expedients in which the accounting effects are recorded through the end of the hedging relationship. The ASU was adopted by Citi on a full retrospective basis upon issuance and did not impact financial results in 2020.

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, is largely unchanged.
Effective January 1, 2019, Citi 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, Citi 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.
Citi 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 exposedreasonably certain to riskexercise. The cost of lossshort-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. Citi uses its incremental borrowing rate, factoring in the lease term, to
157

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 Citi 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.


FUTURE ACCOUNTING CHANGES

Long-Duration Insurance Contracts
In August 2018, the FASB issued ASU No. 2018-12, Financial Services—Insurance: Targeted Improvements to the Accounting for Long-Duration Contracts, which changes the existing recognition, measurement, presentation and disclosures for long-duration contracts issued by an insurance entity. Specifically, the guidance (i) improves the timeliness of recognizing changes in the liability for future policy benefits and prescribes the rate used to discount future cash flows for long-duration insurance contracts, (ii) simplifies and improves the accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, (iii) simplifies the amortization of deferred acquisition costs and (iv) introduces additional quantitative and qualitative disclosures. Citi has certain insurance subsidiaries, primarily in Mexico, that issue long-duration insurance contracts such as traditional life insurance policies and life-contingent annuity contracts that will be impacted by the requirements of ASU 2018-12.
The effective date of ASU 2018-12 was deferred for all insurance entities by ASU 2019-09, Finance Services—Insurance: Effective Date (issued in October 2019) and by ASU 2020-11, Financial Services—Insurance: Effective Date and Early Application (issued in November 2020). Citi plans to adopt the targeted improvements in ASU 2018-12 on January 1, 2023 and is currently evaluating the impact of the standard on its insurance subsidiaries. Citi does not expect a material impact to its results of operations as a result of adopting the standard.

SUPERSEDED ACCOUNTING PRINCIPLES

The following accounting principle was in effect for 2019 since ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326) became effective beginning on January 1, 2020.
Allowance for Credit Losses
The allowance for credit losses on loans represents management’s best estimate of probable credit losses inherent in the portfolio, including probable losses related to large individually evaluated impaired loans and troubled debt restructurings. Additions to the allowance are made through the Provision for credit losses on loans. Loan losses are deducted from the inabilityallowance 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.




158

2. DISCONTINUED OPERATIONS, SIGNIFICANT DISPOSALS AND OTHER BUSINESS EXITS

Summary of brokers, dealers or customersDiscontinued Operations
The Company’s results from Discontinued operations consisted of residual activities related to paythe sales of 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 table summarizes financial information for purchases orall Discontinued operations:

In millions of dollars202120202019
Total revenues, net of interest expense$— $— $— 
Income (loss) from discontinued operations$7 $(20)$(31)
Benefit for income taxes— — (27)
Income (loss) from discontinued operations, net of taxes$7 $(20)$(4)

Cash flows from Discontinued operations were not material for any period presented.

Significant Disposals
The following transactions were identified as significant disposals that are recorded within the GCB segment, including the assets and liabilities that were reclassified to deliverheld-for-sale within Other assets and Other liabilities on the financial instruments sold,Consolidated Balance Sheet and the Income (loss) before taxes (benefits) related to each business.

Agreement to Sell Australia Consumer Banking Business
On August 9, 2021, Citi entered into an agreement to sell its Australia consumer banking business, which is part of Asia GCB. The sale, which is subject to regulatory approvals and other closing conditions, is expected to close in the first half of 2022. As of December 31, 2021, Citi reported the business as held-for-sale, resulting in a pretax loss on sale of approximately $700 million recorded in Other revenue ($600 million after-tax), subject to closing adjustments. The loss on sale primarily reflected the impact of a pretax $625 million currency translation adjustment (CTA) loss (net of hedges) ($475 million after-tax) already reflected in the Accumulated other comprehensive income (AOCI) component of equity. Upon closing, the CTA-related balance will be removed from the AOCI component of equity, resulting in a neutral CTA impact to Citi’s Common Equity Tier 1 Capital. Income before taxes, excluding the above referenced pretax loss on sale, for the Australia consumer banking business was as follows:

In millions of dollars202120202019
Income before taxes$306 $181 $302 

The following assets and liabilities for the Australia consumer banking business were identified and reclassified to held-for-sale within Other assets and Other liabilities on the Consolidated Balance Sheet at December 31, 2021:

In millions of dollarsDecember 31, 2021
Assets
Cash and deposits with banks$24
Loans (net of allowance of $242 millionat December 31, 2021)
8,813
Goodwill and intangible assets257
Other assets81
Total assets$9,175
Liabilities
Deposits$7,034
Long-term debt479
Other liabilities171
Total liabilities$7,684

Agreement to Sell Philippines Consumer Banking Business
On December 23, 2021, Citi entered into an agreement to sell its Philippines consumer banking business, which is part of Asia GCB. The sale, which is subject to regulatory approvals and other closing conditions, is expected to close in the second half of 2022 and result in an after-tax gain upon closing. Income before taxes for the period in which casethe individually significant component was classified as held-for-sale and for all prior periods was as follows:

In millions of dollars202120202019
Income before taxes$145 $42 $196 

The following assets and liabilities for the Philippines consumer banking business were identified and reclassified to held-for-sale within Other assets and Other liabilities on the Consolidated Balance Sheet at December 31, 2021:

In millions of dollarsDecember 31, 2021
Assets
Cash and deposits with banks$20
Loans (net of allowance of $96 millionat December 31, 2021)
1,132
Goodwill244
Other assets, advances to/from subs588
Other assets63
Total assets$2,047
Liabilities
Deposits$1,373
Other liabilities76
Total liabilities$1,449



159

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 dollars202120202019
Income before taxes$— $— $123 

Other Business Exits

Wind-Down of Korea Consumer Banking Business
On October 25, 2021, Citi announced its decision to wind down and close its Korea consumer banking business, which is part of Asia GCB. In connection with the announcement, Citibank Korea Inc. (CKI) commenced a voluntary termination program (VERP). Due to the voluntary nature of this termination program, no liabilities for termination benefits are recorded until CKI makes formal offers to employees that are then irrevocably accepted by those employees. Related charges are recorded as Compensation and benefits.
For the year ended December 31, 2021, Citigroup recorded pretax charges of approximately $1.1 billion, composed of gross charges connected to the Korea voluntary termination program.
The following table summarizes the reserve charges related to the voluntary termination program and other initiatives reported in the GCB business segment:

In millions of dollars2021
Employee termination costs (pretax)
Original reserve charges$1,052
Utilization(1)
Foreign exchange3
Balance at December 31, 2021$1,054

The total estimated cash charges for the termination program are approximately $1.1 billion, of which most are already recognized in 2021. Citi expects to recognize the remaining charges throughout 2022, as voluntary retirements are phased in and irrevocably accepted in order to minimize business and operational impacts.
160

3. OPERATING SEGMENTS
As of December 31, 2021, Citigroup’s primary activities were conducted through the following operating segments: Institutional Clients Group (ICG) and Global Consumer Banking (GCB). Activities not assigned to the operating segments, as well as certain North America legacy consumer loan portfolios, discontinued operations and other legacy assets, were included in Corporate/Other.
The operating segments are determined based on how management allocates resources and measures financial performance to make business decisions, and are reflective of the types of customers served, and products and services provided.
ICG consisted of Banking and Markets and securities services, providing institutional, public sector and high-net-worth clients in 95 countries and jurisdictions with a broad range of banking and financial products and services.
GCB included 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 consisted of three GCB reporting units: North America, Latin America and Asia (including consumer banking activities in certain EMEA countries).
Corporate/Other included certain unallocated costs of global functions, other corporate expenses and net treasury results, offsets to certain line-item reclassifications and eliminations, and unallocated taxes.
Beginning in 2021, Citi changed its allocation for certain recurring expenses that are attributable to the operating segments from Corporate/Other to GCB and ICG. These expenses include incremental investments related to risks and controls, technology capabilities and information security initiatives, as well as some incremental spend related to the pandemic. The prior-period reportable operating segment results have been revised to conform to the current-year presentation for all periods to reflect this revised allocation methodology. Citi’s consolidated results were unchanged for all periods presented as a result of the changes discussed above.
As part of its strategic refresh, Citi is making management reporting changes to align with its vision and strategy, including to assist Citi in decisions about resources and capital allocation and to assess business performance. In the first quarter of 2022, Citi plans to revise its financial reporting structure to align with these management reporting changes.
The accounting policies of these operating segments are the same as those disclosed in Note 1 to the Consolidated Financial Statements.
The following table presents certain information regarding the Company’s continuing operations by operating segment and Corporate/Other:






Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
In millions of dollars, except identifiable assets in billions20212020201920212020201920212020201920212020
Institutional Clients Group$43,887 $45,088 $39,824 $4,524 $3,303 $3,524 $15,763 $11,553 $12,776 $1,762 $1,730 
Global Consumer Banking27,330 30,342 33,221 1,745 143 1,708 6,046 663 5,579 432 434 
Corporate/Other667 71 2,022 (818)(921)(802)209 (1,109)1,116 97 96 
Total$71,884 $75,501 $75,067 $5,451 $2,525 $4,430 $22,018 $11,107 $19,471 $2,291 $2,260 

(1)     Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $34.2 billion, $36.8 billion and $34.1 billion; in EMEA of $13.1 billion, $13.0 billion and $12.2 billion; in Latin America of $9.2 billion, $9.4 billion and $10.6 billion; and in Asia of $14.7 billion, $16.2 billion and $16.2 billion in 2021, 2020 and 2019, respectively. These regional numbers exclude Corporate/Other, which largely reflects U.S. activities.
(2)     Includes pretax provisions for credit losses and for benefits and claims in the ICG results of $(2.9) billion, $5.6 billion and $0.6 billion; in the GCB results of $(0.5) billion, $11.7 billion and $7.9 billion; and in the Corporate/Other results of $(0.4) billion, $0.2 billion and $(0.1) billion in 2021, 2020 and 2019, respectively.

161

4.  INTEREST REVENUE AND EXPENSE

Interest revenue and Interest expense consisted of the following:

In millions of dollars202120202019
Interest revenue   
Loan interest, including fees$35,440 $40,185 $47,751 
Deposits with banks577 928 2,682 
Securities borrowed and purchased under agreements to resell1,052 2,283 6,872 
Investments, including dividends7,388 7,989 9,860 
Trading account assets(2)
5,365 6,125 7,672 
Other interest-bearing assets653 579 1,673 
Total interest revenue$50,475 $58,089 $76,510 
Interest expense   
Deposits(1)
$2,896 $5,334 $11,852 
Securities loaned and sold under agreements to repurchase1,012 2,077 6,263 
Trading account liabilities(2)
482 628 1,308 
Short-term borrowings and other interest-bearing liabilities121 630 2,465 
Long-term debt3,470 4,669 6,494 
Total interest expense$7,981 $13,338 $28,382 
Net interest income$42,494 $44,751 $48,128 
Provision for credit losses on loans(3,103)15,922 8,218 
Net interest income after provision for credit losses on loans$45,597 $28,829 $39,910 

(1)During 2021, Citi reclassified deposit insurance expenses from Interest expense to Other operating expenses for all periods presented. Amounts reclassified for each year were $1,207 million for 2021, $1,203 million for 2020 and $781 million for 2019. For additional information, see Note 1 to the Consolidated Financial Statements.
(2)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.



162

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. 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 $639 million, $495 million and $485 million of revenue related to such variable consideration for the years ended December 31, 2021, 2020 and 2019, 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. Citi’s credit card programs have certain partner sharing agreements that vary by partner. These partner sharing agreements are subject to contractually based performance thresholds that, if met, would haverequire Citi to sell or purchasemake ongoing payments to the financial instruments at prevailing market prices. Credit riskpartner. The threshold is reducedbased on the profitability of a program and is
generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner sharing agreements, program expenses include net credit losses and, to the extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, it would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions. 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 $260 million, $290 million and $322 million of revenue related to such variable consideration for the years ended December 31, 2021, 2020 and 2019, 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.












163

The following table presents Commissions and fees revenue:

202120202019
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Investment banking$6,007 $— $— $6,007 $4,483 $— $— $4,483 $3,767 $— $— $3,767 
Brokerage commissions2,080 1,156 — 3,236 1,986 974 — 2,960 1,771 841 — 2,612 
Credit card and bank card income
Interchange fees817 9,004 — 9,821 703 7,301 — 8,004 1,222 8,621 — 9,843 
Card-related loan fees28 667 — 695 23 626 — 649 60 718 — 778 
Card rewards and partner payments(1)
(405)(9,830)— (10,235)(380)(8,293)— (8,673)(691)(8,883)— (9,574)
Deposit-related fees(2)
1,044 287 — 1,331 958 376 — 1,334 1,048 470 — 1,518 
Transactional service fees1,003 95 — 1,098 886 88 — 974 824 123 — 947 
Corporate finance(3)
709 — — 709 457 — — 457 616 — — 616 
Insurance distribution revenue11 462 — 473 11 492 — 503 12 524 — 536 
Insurance premiums— 94 — 94 — 125 — 125 — 186 — 186 
Loan servicing43 40 15 98 82 30 25 137 78 55 21 154 
Other104 237 4 345 118 310 4 432 99 261 3 363 
Total commissions and fees(4)
$11,441 $2,212 $19 $13,672 $9,327 $2,029 $29 $11,385 $8,806 $2,916 $24 $11,746 

(1)Citi’s consumer credit card programs have certain partner-sharing agreements that vary by partner. These agreements are subject to contractually based performance thresholds that, if met, would require Citi to make ongoing payments to the partner. The threshold is based on the profitability of a program and is generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner-sharing agreements, program expenses include net credit losses and, to the extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions.
(2)Includes overdraft fees of $107 million, $100 million and $127 million for the years ended December 31, 2021, 2020 and 2019, respectively. Overdraft fees are accounted for under ASC 310.
(3)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(4)Commissions and fees include $(8,516) million, $(7,160) million and $(7,695) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the years ended December 31, 2021, 2020 and 2019, 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.

164

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 exchangeescrow agent, Citi receives, safe-keeps, services and manages clients’ escrowed assets, such as cash, securities, property (including intellectual property), contracts or clearing organizationother collateral. Citi performs its escrow agent duties by safekeeping the assets 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:

202120202019
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Custody fees$1,872 $25 $1 $1,898 $1,590 $29 $38 $1,657 $1,453 $16 $73 $1,542 
Fiduciary fees798 659 7 1,464 668 602 4 1,274 647 621 28 1,296 
Guarantee fees569 8 4 581 529 7 5 541 558 8 7 573 
Total administration and other fiduciary fees(1)
$3,239 $692 $12 $3,943 $2,787 $638 $47 $3,472 $2,658 $645 $108 $3,411 

(1)    Administration and other fiduciary fees include $581 million, $541 million and $573 million for the years ended December 31, 2021, 2020 and 2019, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These generally include guarantee fees.

165

6. PRINCIPAL TRANSACTIONS

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 counterpartyportfolio basis and characterized below based on the primary risk managed by each trading desk. Not included in the table below is the impact of net interest income related to trading activities, which is an integral part of trading activities’ profitability. See Note 4 to the transactionConsolidated
Financial Statements for information about net interest income related to trading activities. Principal transactions include CVA (credit valuation adjustments) and replacesFVA (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 broker, dealer 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 dollars202120202019
Interest rate risks(1)
$2,790 $5,561 $3,831 
Foreign exchange risks(2)
3,886 4,158 3,850 
Equity risks(3)
2,197 1,343 808 
Commodity and other risks(4)
1,123 1,133 546 
Credit products and risks(5)
158 1,690 (143)
Total$10,154 $13,885 $8,892 

(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.
166

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.
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 customerregulatory requirements, certain employees are subject to mandatory deferrals of incentive pay and generally receive 25%–60% of their awards in question.the form of deferred stock and deferred cash stock units. 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).
Subject to certain exceptions (principally, for retirement-eligible employees), continuous employment within Citigroup is required to vest in deferred annual incentive 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 may be subject to performance conditions and are subject to one or more cancellation and clawback provisions that apply in certain circumstances, including gross misconduct.












Outstanding (Unvested) Stock Awards
A summary of the status of unvested stock awards granted as discretionary annual incentive or sign-on and replacement awards is presented below:

Unvested stock awardsSharesWeighted-
average grant
date fair
value per share
Unvested at December 31, 202028,226,292 $69.25 
Granted(1)
17,535,978 62.10 
Canceled(1,453,029)67.01 
Vested(2)
(12,664,557)67.17 
Unvested at December 31, 202131,644,684 $66.22 

(1)The weighted-average fair value of the shares granted during 2020 and 2019 was $76.68 and $61.78, respectively.
(2)The weighted-average fair value of the shares vesting during 2021 was approximately $64.23 per share on the vesting date, compared to $67.17 on the grant date.

Total unrecognized compensation cost related to unvested stock awards was $654 million at December 31, 2021. The cost is expected to be recognized over a weighted-average period of 1.6 years.

167

Performance Share Units
Executive officers were awarded performance share units (PSUs) every February from 2018 to 2021, for performance in the year prior to the award date based on two performance metrics. For PSUs awarded in 2018, 2019 and 2020, those metrics were return on tangible common equity and earnings per share. For PSUs awards in 2021, the metrics were return on tangible common equity and tangible book value per share. In each year, the metrics were equally weighted.
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 against performance goals and/or peer firms. The number of PSUs 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.
For all award years, the value of each PSU is equal to the value of 1 share of Citi seekscommon stock. Dividend equivalents are accrued and paid on the number of earned PSUs after the end of the performance period.
PSUs are subject to protect itselfvariable 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 and taking into account any mandatory equitable adjustments as per the terms of the award agreement, 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 assumptions202120202019
Expected volatility40.88 %22.26 %25.33 %
Expected dividend yield4.21 2.82 2.67 

A summary of the performance share unit activity for 2021 is presented below:

Performance share unitsUnitsWeighted-
average grant
date fair
value per unit
Outstanding, beginning of year1,333,803 $79.39 
Granted(1)
418,098 78.55 
Canceled(344,131)83.24 
Payments(133,497)83.24 
Outstanding, end of year1,274,273 $77.67 

(1)The weighted-average grant date fair value per unit awarded in 2020 and 2019 was $83.45 and $72.83, respectively.

Transformation Program
In order to provide an incentive for select employees to effectively execute Citi’s transformation program, in August 2021 the Personnel and Compensation (P&C) Committee of Citigroup’s Board of Directors approved a program for them to earn additional compensation based on the achievement of Citi’s transformation goals from August 2021 through December 2024 and satisfaction of other conditions. Eligible employees were notified of their award under the program in November 2021. Performance under the program is divided into three consecutive periods, ending on December 31, 2022, 2023 and 2024. The awards will be subject to variable accounting, pursuant to which the associated value of the award will fluctuate with the attainment of the performance conditions for each tranche and changes to Citigroup’s stock price. The amortization commenced after the service inception date of November 2021. Payment for each period will be in cash, in a lump sum, with the third payment indexed to changes in the value of Citi’s common stock from the risks associatedservice inception date through the payment date. Earnings generally will be based on collective performance with customer activitiesrespect to Citi’s transformation goals and will be evaluated and approved by requiring customersthe Committee on an annual basis.
Payments in the event of any category of employment termination or change in job title or employment status are subject to maintain margin collateralCiti’s discretion. Cancellation and clawback is provided for in compliance with regulatorythe event of misconduct 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 instrumentscertain other circumstances. The program applies to bring the customer into compliancesenior leaders critical to helping deliver a successful transformation with the value varying based on individual compensation levels.



168

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: 

 202120202019
 OptionsWeighted-
average
exercise
price		Intrinsic
value
per share		OptionsWeighted-
average
exercise
price		Intrinsic
value
per share		OptionsWeighted-
average
exercise
price		Intrinsic
value
per share
Outstanding, beginning of year166,650 $47.42 $14.24 166,650 $47.42 $32.47 762,225 $101.84 $— 
Canceled— — — — — — (11,365)40.80 — 
Expired— — — — — — (449,916)142.30 — 
Exercised(166,650)52.50 20.49 — — — (134,294)39.00 23.50 
Outstanding, end of year— $— $— 166,650 $47.42 $14.24 166,650 $47.42 $32.47 
Exercisable, end of year—  166,650   166,650   

As of December 31, 2021, Citigroup no longer has any stock options outstanding.


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, Citi recognizes the expense each year equal to the grant date fair value of the awards that it estimates will be granted in the following year.
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 margin level.holding periods. Recipients of 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 stock payment awards generally are entitled to vote the shares in their award during the sale-restriction 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.
Exposure
All equity awards granted since April 19, 2005 have been made pursuant to credit riskstockholder-approved stock incentive plans that are administered by the P&C Committee, which is impacted by market volatility,composed entirely of independent non-employee directors.
At December 31, 2021, approximately 39.0 million shares of Citigroup common stock were authorized and available for grant under Citigroup’s 2019 Stock Incentive Plan, the only plan from which may impairequity awards are currently granted.
The 2019 Stock Incentive Plan and predecessor plans permit the abilityuse of clientstreasury stock or newly issued shares in connection with awards granted under the plans. Treasury shares were used to satisfy their obligationssettle vestings from 2018 to Citi. Credit limits are established and closely monitored for customers2021, and for brokers and dealers engagedthe first quarter of 2022, 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 forwards, futures and other transactions deemed to be credit sensitive.the Consolidated Statement of Income for equity awards.
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 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.   INVESTMENTS169


Overview
Incentive Compensation Cost
The following table presents Citi’s investments by category:shows components of compensation expense, relating to certain of the incentive compensation programs described above:

In millions of dollars202120202019
Charges for estimated awards to retirement-eligible colleagues$807 $748 $683 
Amortization of deferred cash awards, deferred cash stock units and performance stock units384 201 355 
Immediately vested stock award expense(1)
99 95 82 
Amortization of restricted and deferred stock awards(2)
395 420 404 
Other variable incentive compensation435 627 666 
Total$2,120 $2,091 $2,190 

(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 colleagues.



 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
170
(1)Carried at adjusted amortized cost basis, net of any credit-related impairment.
(2)Unrealized gains and losses for non-marketable equity securities carried at fair value 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.


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, 2021. All other plans (All Other Plans) are measured annually with a December 31 measurement date.

Net (Benefit) Expense
The following table presents interestsummarizes the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and dividend income on investments: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 dollars202120202019202120202019202120202019202120202019
Benefits earned during the year$— $— $1 $149 $147 $146 $— $— $— $6 $7 $8 
Interest cost on benefit obligation351 378 469 268 246 287 13 17 24 96 93 104 
Expected return on assets(683)(824)(821)(253)(245)(281)(13)(17)(18)(84)(77)(84)
Amortization of unrecognized:            
Prior service cost (benefit)2 2 2 (6)5 (4)(9)(2)— (9)(9)(10)
Net actuarial loss (gain)228 233 200 62 70 61 (3)— — 13 20 23 
Curtailment loss (gain)(1)
— — 1 1 (8)(6)— — — — — — 
Settlement loss (gain)(1)
— — — 10 (1)6 — — — — — — 
Total net (benefit) expense$(102)$(211)$(148)$231 $214 $209 $(12)$(2)$6 $22 $34 $41 

(1)Losses (gains) due to curtailment and settlement relate to repositioning and divestiture activities.

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 2021 or 2020.
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 summarizes the Company’s actual contributions for the years ended December 31, 2021 and 2020, as well as expected Company contributions for 2022. 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 dollars202220212020202220212020202220212020202220212020
Contributions made by the Company$— $— $— $74 $104 $115 $— $— $— $3 $3 $4 
Benefits paid directly by (reimbursements to) the Company(3)
57 56 56 413 51 43 5 22 (15)6 5 5 

(1)    Amounts reported for 2022 are expected amounts.     
(2)     The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans.
(3)    Estimated 2022 benefit payments have increased due to the wind-down of Citi’s consumer banking business in Korea, as it is expected that employees who elected the VERP plan will be withdrawing their pension plan assets. See Note 2 to the Consolidated Financial Statements for additional information.

171

Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following table presents realized gainssummarizes the funded status and lossesamounts recognized on the saleConsolidated 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 dollars20212020202120202021202020212020
Change in projected benefit obligation        
Projected benefit obligation at beginning of year$13,815 $13,453 $8,629 $8,105 $559 $692 $1,390 $1,384 
Benefits earned during the year— — 149 147 — — 6 7 
Interest cost on benefit obligation351 378 268 246 13 17 96 93 
Plan amendments(1)
— — 6 (4)— (104)— — 
Actuarial (gain) loss(2)
(447)950 (344)518 (28)(18)(110)30 
Benefits paid, net of participants’ contributions and government subsidy(3)
(953)(966)(345)(298)(43)(28)(78)(64)
Settlement gain(4)
— — (124)(110)— — — — 
Curtailment gain(4)
— — (30)(14)— — — — 
Foreign exchange impact and other— — (208)39 — — (135)(60)
Projected benefit obligation at year end$12,766 $13,815 $8,001 $8,629 $501 $559 $1,169 $1,390 
Change in plan assets        
Plan assets at fair value at beginning of year$13,309 $12,717 $7,831 $7,556 $331 $345 $1,146 $1,127 
Actual return on assets(2)
565 1,502 217 584 9 29 97 129 
Company contributions (reimbursements)56 56 155 158 22 (15)8 9 
Benefits paid, net of participants’ contributions and government subsidy(3)
(953)(966)(345)(298)(43)(28)(78)(64)
Settlement gain(4)
— — (124)(110)— — — — 
Foreign exchange impact and other— — (120)(59)— — (130)(55)
Plan assets at fair value at year end$12,977 $13,309 $7,614 $7,831 $319 $331 $1,043 $1,146 
Funded status of the plans
Qualified plans(5)
$894 $230 $(387)$(798)$(182)$(228)$(126)$(244)
Nonqualified plans(6)
(683)(736)— — — — — — 
Funded status of the plans at year end$211 $(506)$(387)$(798)$(182)$(228)$(126)$(244)
Net amount recognized        
Qualified plans
Benefit asset$894 $230 $963 $741 $— $— $165 $25 
Benefit liability— — (1,350)(1,539)(182)(228)(291)(269)
Qualified plans$894 $230 $(387)$(798)$(182)$(228)$(126)$(244)
Nonqualified plans(683)(736)— — — — — — 
Net amount recognized on the balance sheet$211 $(506)$(387)$(798)$(182)$(228)$(126)$(244)
Amounts recognized in AOCI(7)
    
Net transition obligation$— $— $— $— $— $— $— $— 
Prior service (cost) benefit(8)(10)5 12 92 101 47 63 
Net actuarial (loss) gain(6,575)(7,132)(1,400)(1,863)77 56 (182)(348)
Net amount recognized in equity (pretax)$(6,583)$(7,142)$(1,395)$(1,851)$169 $157 $(135)$(285)
Accumulated benefit obligation at year end$12,765 $13,812 $7,559 $8,116 $501 $559 $1,169 $1,390 

(1)The U.S. postretirement benefit plan was amended in 2020 to move grandfathered Medicare-eligible retirees to the Medicare individual marketplace.
(2)During 2021, the actuarial gain was primarily due to the increase in global discount rates partially offset by lower than expected asset returns. During 2020, the actuarial loss was primarily due to the decline in global discount rates partially offset by favorable asset returns.
(3)U.S. postretirement benefit plans were net of investments, which excludes losses from other-than-temporary impairment (OTTI):Employer Group Waiver Plan subsidies of $11 million and $40 million in 2021 and 2020, respectively.
(4)Curtailment and settlement gains relate to repositioning and divestiture activities.
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
(5)The U.S. qualified pension plan was fully funded under specified Employee Retirement Income Security Act (ERISA) funding rules as of January 1, 2022 and no minimum required funding is expected for 2022.
(6)The nonqualified plans of the Company are unfunded.

172

(7)The Company has sold certain debt securities that were classified as HTM. These sales were in response toframework for the Company’s pension oversight process includes monitoring of potential settlement charges for all plans. Settlement accounting is triggered when either the sum of all settlements (including lump sum payments) for the year is greater than service plus interest costs or if more than 10% of the plan’s projected benefit obligation will be settled. Because some of Citi’s significant deteriorationplans are frozen and have no material service cost, settlement accounting may apply 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
future.


significant credit deterioration. Because the Company generally intends to sell these reclassified securities, Citi recorded OTTI on the securities. The following table sets forth,shows the change in AOCI related to the Company’s pension, postretirement and post employment plans:

In millions of dollars202120202019
Beginning of year balance, net of tax(1)(2)
$(6,864)$(6,809)$(6,257)
Actuarial assumptions changes and plan experience963 (1,464)(2,300)
Net asset gain (loss) due to difference between actual and expected returns(148)1,076 1,427 
Net amortization280 318 274 
Prior service credit (cost)(7)108 (7)
Curtailment/settlement gain(3)
11 (8)1 
Foreign exchange impact and other153 (108)(66)
Change in deferred taxes, net(240)23 119 
Change, net of tax$1,012 $(55)$(552)
End of year balance, net of tax(1)(2)
$(5,852)$(6,864)$(6,809)

(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 periods indicated,U.S.
(3)Curtailment and settlement relate to repositioning and divestiture activities.

At December 31, 2021 and 2020, the carryingaggregate projected benefit obligation (PBO), the aggregate accumulated benefit obligation (ABO) and the aggregate fair value of HTM securities soldplan assets are presented for all defined benefit pension plans with a PBO in excess of plan assets and reclassifiedfor 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 dollars20212020202120202021202020212020
Projected benefit obligation$683 $736 $3,966 $4,849 $683 $736 $3,809 $4,723 
Accumulated benefit obligation682 734 3,574 4,400 682 734 3,477 4,329 
Fair value of plan assets— — 2,616 3,310 — — 2,486 3,212 

(1)As of December 31, 2021 and 2020, only the nonqualified plans’ PBO and ABO exceeded plan assets.
Plan Assumptions
The Company utilizes a number of assumptions to AFS, as well asdetermine plan obligations and expenses. Changes in one or a combination of these assumptions will have an impact on the related gain (loss) orCompany’s pension and postretirement PBO, funded status and (benefit) expense. Changes in 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 costplans’ funded status resulting from changes in the PBO and fair value of AFS securities were as follows: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.

 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.

173

At
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 end20212020
Discount rate  
U.S. plans  
Qualified pension2.80%2.45%
Nonqualified pension2.802.35
Postretirement2.752.20
Non-U.S. pension plans
Range(1)
 -0.10 to 11.95 -0.25 to 11.15
Weighted average3.963.14
Non-U.S. postretirement plans
Range1.05 to 10.000.80 to 8.55
Weighted average8.287.42
Future compensation increase rate(2)
Non-U.S. pension plans
Range1.30 to 11.251.20 to 11.25
Weighted average3.103.10
Expected return on assets
U.S. plans
Qualified pension5.005.80
Postretirement(3)
5.00/1.505.80/1.50
Non-U.S. pension plans
Range0.00 to 11.500.00 to 11.50
Weighted average3.693.39
Non-U.S. postretirement plans
Range6.00 to 8.005.95 to 8.00
Weighted average7.997.99

(1)    Due to historically low global interest rates, there were negative discount rates for plans with relatively short duration in certain major markets, such as the Eurozone and Switzerland.
(2)    Not material for U.S. plans.
(3)    For the years ended 2021 and 2020, the expected return on assets for the VEBA Trust was 1.50%.


During the year202120202019
Discount rate  
U.S. plans  
Qualified pension2.45%/3.10%/ 2.75%/2.80%3.25%/3.20%/ 2.60%/2.55%4.25%/3.85%/ 3.45%/3.10%
Nonqualified pension2.35/3.00/ 2.70/2.753.25/3.25/ 2.55/2.504.25/3.90/ 3.50/3.10
Postretirement2.20/2.85/ 2.60/2.653.15/3.20/ 2.45/2.354.20/3.80/ 3.35/3.00
Non-U.S. pension plans(1)
Range(2)
-0.25 to 11.15 -0.10 to 11.30-0.05 to 12.00
Weighted average3.143.654.47
Non-U.S. postretirement plans(1)
Range0.80 to 9.800.90 to 9.751.75 to 10.75
Weighted average7.427.769.05
Future compensation increase rate(3)
Non-U.S. pension plans(1)
Range1.20 to 11.251.50 to 11.501.30 to 13.67
Weighted average3.103.173.16
Expected return on assets
U.S. plans
Qualified pension(4)
5.80/5.60/5.60/5.006.706.70
Postretirement(4)
5.80/1.506.70/3.006.70/3.00
Non-U.S. pension plans(1)
Range0.00 to 11.500.00 to 11.501.00 to 11.50
Weighted average3.393.954.30
Non-U.S. postretirement plans(1)
Range5.95 to 8.006.20 to 8.008.00 to 9.20
Weighted average7.997.998.01

(1)    Reflects rates utilized to determine the quarterly expense for Significant non-U.S. pension and postretirement plans.
(2)    Due to historically low global interest rates, there were negative discount rates for plans with relatively short duration in certain major markets, such as the Eurozone and Switzerland.
(3)    Not material for U.S. plans.
(4)    The expected return on assets for the U.S. pension and postretirement plans was lowered from 5.80% to 5.60% effective April 1, 2021 and to 5.00% effective October 1, 2021 to reflect the change in target asset allocation.


174

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 amortizedestablished rounding convention is to the nearest 5 bps for all countries.

Expected Return on Assets
The Company determines its assumptions for the expected return on 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 return on assets 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 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 approximately 4,600 investments in equity and fixed income securities exceeded their fair value by $2,527 million. Ofpension expense to arrive at 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.

net pension (benefit) expense.
The following table shows the expected return on assets used in determining the Company’s pension expense compared to the actual return on assets during 2021, 2020 and 2019 for the U.S. pension and postretirement plans:

U.S. plans
(During the year)
202120202019
Expected return on assets
U.S. pension and postretirement trust5.80%/5.60%/5.60%/5.00%6.70%6.70%
VEBA trust1.503.003.00
Actual return on assets(1)
U.S. pension and postretirement trust5.1412.8415.20
VEBA trust1.522.111.91 to 2.76

(1)Actual return on assets is presented net of fees.


Sensitivities of Certain Key Assumptions
The following tables summarize the effect on pension expense:

Discount rate
 One-percentage-point increase
In millions of dollars202120202019
U.S. plans$35 $34 $28 
Non-U.S. plans(4)(16)(19)
 One-percentage-point decrease
In millions of dollars202120202019
U.S. plans$(49)$(52)$(44)
Non-U.S. plans25 25 32 

The U.S. Qualified Pension Plan was frozen in 2008, and as a result, most service costs have been eliminated. The pension expense for the U.S. Qualified Pension Plan is therefore 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 return on assets
 One-percentage-point increase
In millions of dollars202120202019
U.S. plans$(124)$(123)$(123)
Non-U.S. plans(70)(66)(64)
 One-percentage-point decrease
In millions of dollars202120202019
U.S. plans$124 $123 $123 
Non-U.S. plans70 66 64 

175

Health Care Cost Trend Rate
Assumed health care cost trend rates were as follows:

 20212020
Health care cost increase rate for 
U.S. plans		  
Following year6.25%6.50%
Ultimate rate to which cost increase is assumed to decline5.005.00
Year in which the ultimate rate is
reached		20272027
Health care cost increase rate for 
non-U.S. plans (weighted average)		  
Following year6.92%6.85%
Ultimate rate to which cost increase is
assumed to decline		6.926.85
Year in which the ultimate rate
is reached		20222021
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 end202120202019
U.S. plans1.80%1.45%2.25%
Non-U.S. plans1.611.601.61


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)
20222021202020212020
Equity securities(2)
0–22%7 %16 %7 %16 %
Debt securities(3)
55–11472 59 72 59 
Real estate0–42 4 2 4 
Private equity0–56 3 6 3 
Other investments0–2313 18 13 18 
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 2021 and 2020.
(3)The VEBA Trust for postretirement benefits is primarily invested in cash equivalents and debt securities in 2021 and 2020 and is 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)
20222021202020212020
Equity securities0–100%0–100%0–100%16 %15 %
Debt securities0–1000–1000–10076 77 
Real estate0–150–140–121 1 
Other investments0–1000–1000–1007 7 
Total100 %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.

176

 Non-U.S. postretirement plans
 Target asset
allocation		Actual range
at December 31,		Weighted-average
at December 31,
Asset category(1)
20222021202020212020
Equity securities0–42%0–42%0–38%41 %38 %
Debt securities54–10053–10056–10053 56 
Other investments0–40–60–66 6 
Total100 %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 AFS securities that have beenLevels 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. Investments measured using the NAV per share practical expedient are excluded from Level 1, Level 2 and Level 3 in an unrealized loss position:the tables below.
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:

 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
U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2021
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$358 $— $— $358 
Non-U.S. equities460 — — 460 
Mutual funds and other registered investment companies297 — — 297 
Commingled funds— 1,143 — 1,143 
Debt securities1,657 5,770 — 7,427 
Annuity contracts— — 4 4 
Derivatives2 17 — 19 
Other investments13 — 25 38 
Total investments$2,787 $6,930 $29 $9,746 
Cash and short-term investments$635 $75 $— $710 
Other investment liabilities(7)(17)— (24)
Net investments at fair value$3,415 $6,988 $29 $10,432 
Other investment liabilities redeemed at NAV$(87)
Securities valued at NAV2,951 
Total net assets$13,296 


(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2021, 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.
177

U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2020
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$813 $— $— $813 
Non-U.S. equities725 — — 725 
Mutual funds and other registered investment companies447 — — 447 
Commingled funds— 1,056 — 1,056 
Debt securities1,275 4,430 — 5,705 
Annuity contracts— — 1 1 
Derivatives8 6 — 14 
Other investments16 — 57 73 
Total investments$3,284 $5,492 $58 $8,834 
Cash and short-term investments$72 $1,035 $— $1,107 
Other investment liabilities(2)(10)— (12)
Net investments at fair value$3,354 $6,517 $58 $9,929 
Other investment receivables redeemed at NAV$99 
Securities valued at NAV 3,612 
Total net assets$13,640 

(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2020, 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, 2021
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$127 $19 $— $146 
Non-U.S. equities713 92 — 805 
Mutual funds and other registered investment companies2,888 66 — 2,954 
Commingled funds21 — — 21 
Debt securities4,263 1,341 — 5,604 
Real estate— 3 2 5 
Annuity contracts— — 2 2 
Derivatives— 239 — 239 
Other investments— — 318 318 
Total investments$8,012 $1,760 $322 $10,094 
Cash and short-term investments$117 $5 $— $122 
Other investment liabilities— (1,578)— (1,578)
Net investments at fair value$8,129 $187 $322 $8,638 
Securities valued at NAV $19 
Total net assets$8,657 
178

Non-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2020
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$5 $16 $— $21 
Non-U.S. equities105 670 — 775 
Mutual funds and other registered investment companies3,137 73 — 3,210 
Commingled funds24 — — 24 
Debt securities6,705 1,420 — 8,125 
Real estate— 2 2 4 
Annuity contracts— — 5 5 
Derivatives— 1,005 — 1,005 
Other investments— — 312 312 
Total investments$9,976 $3,186 $319 $13,481 
Cash and short-term investments$129 $3 $— $132 
Other investment liabilities— (4,650)— (4,650)
Net investments at fair value$10,105 $(1,461)$319 $8,963 
Securities valued at NAV $14 
Total net assets$8,977 


179

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 categoriesBeginning Level 3 fair value at
Dec. 31, 2020		Realized (losses)Unrealized gainsPurchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at
Dec. 31, 2021
Annuity contracts$1 $— $— $3 $— $4 
Other investments57 (6)2 (28)— 25 
Total investments$58 $(6)$2 $(25)$— $29 
In millions of dollarsU.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at
Dec. 31, 2019		Realized (losses)Unrealized (losses)Purchases, sales and
issuances		Transfers in and/or out of Level 3Ending Level 3 fair value at
Dec. 31, 2020
Annuity contracts$1 $— $— $— $— $1 
Other investments75 (3)3 (18)— 57 
Total investments$76 $(3)$3 $(18)$— $58 
 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at
Dec. 31, 2020		Unrealized gainsPurchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3
fair value at
Dec. 31, 2021
Debt securities$— $— $— $— $— 
Real estate2 — — — 2 
Annuity contracts5 — (3)— 2 
Other investments312 4 2 — 318 
Total investments$319 $4 $(1)$— $322 

 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at
Dec. 31, 2019		Unrealized (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3
fair value at
Dec. 31, 2020
Debt securities$10 $— $(10)$— $— 
Real estate1 1 — — 2 
Annuity contracts5 — — — 5 
Other investments274 23 15 — 312 
Total investments$290 $24 $5 $— $319 


180

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, publicly traded equity, hedge funds 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. plans
Non-U.S. plans(1)
U.S. plansNon-U.S. plans
2022$956 $958 $64 $71 
2023837 452 50 74 
2024844 460 47 78 
2025846 462 44 82 
2026838 467 41 86 
2027–20313,946 2,428 164 493 

(1)Estimated 2022 benefit payments have increased due to the wind-down of Citi’s consumer banking business in Korea, as it is expected that employees who elected the VERP plan will be withdrawing their pension plan assets. See Note 2 to the Consolidated Financial Statements for additional information.


181

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.
The following table presentssummarizes the amortized costfunded status and fair valueamounts recognized on the Company’s Consolidated Balance Sheet:

In millions of dollars20212020
Funded status of the plan at year end$(41)$(40)
Net amount recognized in AOCI (pretax)
$(15)$(17)

The following table summarizes the net expense recognized in the Consolidated Statement of AFS debt securitiesIncome for the Company’s U.S. post employment plans:

In millions of dollars202120202019
Net expense$10 $9 $9 

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 sponsored by contractual maturity dates: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 2021 and 2020, 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 dollars202120202019
Company contributions$436 $414 $404 
 Non-U.S. plans
In millions of dollars202120202019
Company contributions$364 $304 $281 
 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
182

9. INCOME TAXES

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

In millions of dollars202120202019
Current   
Federal$522 $305 $365 
Non-U.S.3,288 4,113 4,352 
State228 440 323 
Total current income taxes$4,038 $4,858 $5,040 
Deferred   
Federal$1,059 $(1,430)$(907)
Non-U.S.8 (690)10 
State346 (213)287 
Total deferred income taxes$1,413 $(2,333)$(610)
Provision for income tax on continuing operations before noncontrolling interests(1)
$5,451 $2,525 $4,430 
Provision (benefit) for income taxes on discontinued operations— — (27)
Income tax expense (benefit) reported in stockholders’ equity related to: 
FX translation(146)23 (11)
Investment securities(1,367)1,214 648 
Employee stock plans(6)(4)(16)
Cash flow hedges(476)455 269 
Benefit plans240 (23)(119)
FVO DVA64 (141)(337)
Excluded fair value hedges2 (8)8 
Retained earnings(2)
— (911)46 
Income taxes before noncontrolling interests$3,762 $3,130 $4,891 

(1)Includes the tax on realized investment gains and impairment losses resulting in a provision (benefit) of $169 million and $(57) million in 2021, $454 million and $(14) million in 2020 and $373 million and $(9) million in 2019, respectively.
(2)2020 reflects the tax effect of ASU 2016-13 for current expected credit losses (CECL). 2019 reflects the tax effect of the accounting change for ASU 2016-02 for lease transactions.

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:

 202120202019
Federal statutory rate21.0 %21.0 %21.0 %
State income taxes, net of federal benefit2.1 1.3 1.9 
Non-U.S. income tax rate differential1.6 3.5 1.3 
Nondeductible FDIC premiums0.6 1.3 0.4 
Tax advantaged investments(2.3)(4.4)(2.3)
Valuation allowance releases(1)
(1.7)(4.4)(3.0)
Other, net(1.5)0.2 (0.8)
Effective income tax rate19.8 %18.5 %18.5 %

(1)See “Deferred Tax Assets” below for a description of the components.

As set forth in the table above, Citi’s effective tax rate for 2021 was 19.8%, compared to 18.5% in 2020, primarily due to the reduced effect of permanent differences, including the valuation allowance releases, on a much higher level of pretax income.

Deferred Income Taxes
Deferred income taxes at December 31 related to the following:

In millions of dollars20212020
Deferred tax assets  
Credit loss deduction$5,330 $6,791 
Deferred compensation and employee benefits2,335 2,510 
U.S. tax on non-U.S. earnings1,138 1,195 
Investment and loan basis differences2,970 1,486 
Tax credit and net operating loss carry-forwards15,620 17,416 
Fixed assets and leases3,064 2,935 
Other deferred tax assets3,549 3,832 
Gross deferred tax assets$34,006 $36,165 
Valuation allowance$4,194 $5,177 
Deferred tax assets after valuation allowance$29,812 $30,988 
Deferred tax liabilities  
Intangibles and leases$(2,446)$(2,526)
Non-U.S. withholding taxes(987)(921)
Interest-related items— (597)
Other deferred tax liabilities(1,590)(2,104)
Gross deferred tax liabilities$(5,023)$(6,148)
Net deferred tax assets$24,789 $24,840 
183

Unrecognized Tax Benefits
The following is a rollforward of the Company’s unrecognized tax benefits:

In millions of dollars202120202019
Total unrecognized tax benefits at January 1$861 $721 $607 
Net amount of increases for current year’s tax positions97 51 50 
Gross amount of increases for prior years’ tax positions515 217 151 
Gross amount of decreases for prior years’ tax positions(107)(74)(44)
Amounts of decreases relating to settlements(64)(40)(21)
Reductions due to lapse of statutes of limitation(2)(13)(23)
Foreign exchange, acquisitions and dispositions(4)(1)1 
Total unrecognized tax benefits at December 31$1,296 $861 $721 
The portions of the total unrecognized tax benefits at December 31, 2021, 2020 and 2019 that, if recognized, would affect Citi’s tax expense are $1.0 billion, $0.7 billion and $0.6 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. 
 202120202019
In millions of dollarsPretaxNet of taxPretaxNet of taxPretaxNet of tax
Total interest and penalties on the Consolidated Balance Sheet at January 1$118 $96 $100 $82 $103 $85 
Total interest and penalties in the Consolidated Statement of Income32 24 14 10 (4)(4)
Total interest and penalties on the Consolidated Balance Sheet at December 31(1)
214 164 118 96 100 82 

(1)Includes $3 million, $4 million and $3 million for non-U.S. penalties in 2021, 2020 and 2019, respectively. Also includes $0 million, $1 million and $1 million for state penalties in 2021, 2020 and 2019, respectively.

As of December 31, 2021, 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. The potential range of amounts that could affect Citi’s effective tax rate is between $0 and $500 million.
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
Mexico2016
New York State and City2009
United Kingdom2016
India2017
(1)SingaporeIncludes mortgage-backed securities of U.S. government-sponsored agencies.
2019
(2)Hong KongInvestments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
2015
(3)IrelandIncludes corporate, asset-backed and other debt securities.2017


Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as follows:

Non-U.S. Earnings
Non-U.S. pretax earnings approximated $12.9 billion in 2021, $13.8 billion in 2020 and $16.7 billion in 2019. 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, 2021, $6.5 billion of basis differences of non-U.S. entities was indefinitely invested. At the existing tax rates (including withholding taxes), additional taxes (net of U.S. FTCs and valuation allowances) of $1.8 billion would have to be provided if such assertions were reversed.
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, 2021, the amount of the base year reserves totaled approximately $358 million (subject to a tax of $75 million).
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
(1)
For securities transferred to HTM from Trading account assets, adjusted amortized cost basis is defined as the fair value 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.
(2)HTM securities are carried on the Consolidated Balance Sheet at adjusted amortized cost basis, plus or minus any unamortized unrealized gains and losses and fair value hedge adjustments recognized in AOCI prior to reclassifying the securities from AFS to HTM. Changes in the values of these securities are not reported in the financial statements, except for the amortization of any difference between the carrying value at the transfer date 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.
(3)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.
(4)
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 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.184
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 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 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, 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
(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)

Overview
The Company conducts periodic reviews of all securities with unrealized losses to evaluate whether the impairment 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 life of the security.
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:

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.

Debt Securities

•Debt securities classified as “held-to-maturity” (HTM) 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” (AFS) 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.

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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 less impairment (if any), 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 held-to-maturity (HTM) 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.
Debt securities not measured at fair value through earnings include securities held in HTM or AFS, and equity securities accounted for under the Measurement Alternative or equity method and Federal Reserve Bank, Federal Home Loan Bank stock and certain exchange seats. These securities are subject to evaluation for impairment as described in Note 15 to the Consolidated Financial Statements for HTM securities and in Note 13 for AFS, Measurement Alternative and equity method investments. 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, except when included in a hedge relationship. 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 and debt host contract are 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 received or paid for all securities borrowing and lending transactions are recorded in Interest revenue or Interest expense at the contractually specified rate.
Where the conditions of ASC 210-20-45-1, Balance
Sheet—Offsetting: Right of Setoff Conditions, are met, securities borrowing and lending transactions are presented net on the Consolidated Balance Sheet.
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
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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, with the exception of 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 (other than for loan modifications made through the CARES Act relief provisions or banking agency guidance for pandemic-related issues) 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.
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•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.

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 uncollectible. 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.

Allowances for Credit Losses (ACL)
Commencing January 1, 2020, Citi adopted Accounting Standards Update (ASC) 326, Financial Instruments—Credit Losses, using the methodologies described below. For information about Citi’s accounting for loan losses prior to January 1, 2020, see “Superseded Accounting Principles” below.
The current expected credit losses (CECL) methodology is based on relevant information about past events, including
historical experience, current conditions and reasonable and supportable (R&S) forecasts that affect the collectability of the reported financial asset balances. If the asset’s life extends beyond the R&S forecast period, then historical experience is considered over the remaining life of the assets in the ACL. The resulting ACL is adjusted in each subsequent reporting period through Provisions for credit losses in the Consolidated Statement of Income to reflect changes in history, current conditions and forecasts as well as changes in asset positions and portfolios. ASC 326 defines the ACL as a valuation account that is deducted from the amortized cost of a financial asset to present the net amount that management expects to collect on the financial asset over its expected life. All financial assets carried at amortized cost are in the scope of ASC 326, while assets measured at fair value are excluded. See Note 13 to the Consolidated Financial Statements for a discussion of impairment on available-for-sale (AFS) securities.
Increases and decreases to the allowances are recorded in Provisions for credit losses. The CECL methodology utilizes a lifetime expected credit loss (ECL) measurement objective for the recognition of credit losses for held-for-investment (HFI) loans, held-to-maturity (HTM) debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. Within the life of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related ACL than prior U.S. GAAP.
Estimation of ECLs requires Citi to make assumptions regarding the likelihood and severity of credit loss events and their impact on expected cash flows, which drive the probability of default (PD), loss given default (LGD) and exposure at default (EAD) models and, where Citi discounts the ECL, using discounting techniques for certain products. Where the asset’s life extends beyond the R&S forecast period, Citi considers historical experience over the remaining life of the assets in estimating the ACL.
Citi uses a multitude of variables in its macroeconomic forecast as part of its calculation of both the qualitative and quantitative components of the ACL, including both domestic and international variables for its global portfolios and exposures. Citi’s forecasts of the U.S. unemployment rate and U.S. Real GDP growth rate represent the key macroeconomic variables that most significantly affect its estimate of its consumer and corporate ACLs. Under the quantitative base scenario, Citi’s 4Q21 forecasts are for U.S. unemployment to continue to improve as the U.S. continues to move past the peak of the pandemic-related health and economic crisis.
The following are the main factors and interpretations that Citi considers when estimating the ACL under the CECL methodology:

•The most important reasons for the change in the ACL during 2021 were the ACL releases resulting from the recovery from the pandemic.
•CECL reserves are estimated over the contractual term of the financial asset, which is adjusted for expected prepayments. Expected extensions are generally not considered unless the option to extend the loan cannot be canceled unilaterally by Citi. Modifications are also not
149

considered, unless Citi has a reasonable expectation that it will execute a troubled debt restructuring (TDR).
•Credit enhancements that are not freestanding (such as those that are included in the original terms of the contract or those executed in conjunction with the lending transaction) are considered loss mitigants for purposes of CECL reserve estimation.
•For unconditionally cancelable accounts such as credit cards, reserves are based on the expected life of the balance as of the evaluation date (assuming no further charges) and do not include any undrawn commitments that are unconditionally cancelable. Reserves are included for undrawn commitments for accounts that are not unconditionally cancelable (such as letters of credit and corporate loan commitments, home equity lines of credit (HELOCs), undrawn mortgage loan commitments and financial guarantees).
•CECL models are designed to be economically sensitive. They utilize the macroeconomic forecasts provided by Citi’s economic forecasting team (EFT) that are approved by senior management. Analysis is performed and documented to determine the necessary qualitative management adjustment (QMA) to capture forward-looking macroeconomic expectations and model uncertainty.
•The portion of the forecast that reflects the EFT’s reasonable and supportable (R&S) period indicates the maximum length of time its models can produce a R&S macroeconomic forecast, after which mean reversion reflecting historical loss experience is used for the remaining life of the loan to estimate expected credit losses. For the loss forecast, businesses consume the macroeconomic forecast as determined to be appropriate and justifiable.

Citi’s ability to forecast credit losses over the reasonable and supportable (R&S) period is based on the ability to forecast economic activity over a reasonable and supportable time window. The R&S period reflects the overall ability to have a reasonable and supportable forecast of credit loss based on economic forecasts.

•The loss models consume all or a portion of the R&S economic forecast and then revert to historical loss experience. The R&S forecast period for consumer loans is 13 quarters and, in most cases, reverts to historically based loss experience either immediately or using a straight-line approach thereafter, while the R&S period for corporate loans is nine quarters with an additional straight-line reversion period of three quarters for ECL parameters.
•The ACL incorporates provisions for accrued interest on products that are not subject to a non-accrual and timely write-off policy (e.g., credit cards, etc.).
•The reserves for TDRs are calculated using the discounted cash flow method and considers appropriate macroeconomic forecast data for the exposure type. For TDR loans that are collateral dependent, the ACL is based on the fair value of the collateral.
•Citi uses the most recent available information to inform its macroeconomic forecasts, allowing sufficient time for analysis of the results and corresponding approvals. Key variables are reviewed for significant changes through year end and changes to portfolio positions are reflected in the ACL.
•Reserves are calculated at an appropriately granular level and on a pooled basis where financial assets share risk characteristics. At a minimum, reserves are calculated at a portfolio level (product and country). Where a financial asset does not share risk characteristics with any of the pools, it is evaluated for credit losses individually.

Quantitative and Qualitative Components of the ACL
The loss likelihood and severity models use both internal and external information and are sensitive to forecasts of different macroeconomic conditions. For the quantitative component, Citi uses a single forward-looking macroeconomic forecast, complemented by the qualitative component that reflects economic uncertainty due to a different possible more adverse scenario for estimating the ACL. Estimates of these ECLs are based upon (i) Citigroup’s internal system of credit risk ratings; (ii) historical default and loss data, including comprehensive internal history and rating agency information regarding default rates and internal data on the severity of losses in the event of default; and (iii) a R&S forecast of future macroeconomic conditions. ECL is determined primarily by utilizing models for the borrowers’ PD, LGD and EAD. 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.
Any adjustments needed to the modeled expected losses in the quantitative calculations are addressed through a qualitative adjustment. The qualitative adjustment considers, among other things: the uncertainty of forward-looking scenarios based on the likelihood and severity of a possible recession; the uncertainty of economic conditions related to an alternative downside scenario; certain portfolio characteristics and concentrations; collateral coverage; model limitations; idiosyncratic events; and other relevant criteria under banking supervisory guidance for loan loss reserves. The qualitative adjustment also reflects the estimated impact of the pandemic on the economic forecasts and the impact on credit loss estimates. The total ACL is composed of the quantitative and qualitative components.
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Consumer Loans
For consumer loans, most portfolios including North America cards, mortgages and personal installment loans (PILs) are covered by the PD, LGD and EAD loss forecasting models. Some smaller international portfolios are covered by econometric models where the gross credit loss (GCL) rate is forecasted. The modeling of all retail products is performed by examining risk drivers for a given portfolio; these drivers relate to exposures with similar credit risk characteristics and consider past events, current conditions and R&S forecasts. Under the PD x LGD x EAD approach, GCLs and recoveries are captured on an undiscounted basis. Citi incorporates expected recoveries on loans into its reserve estimate, including expected recoveries on assets previously written off.
CECL defines the exposure’s expected life as the remaining contractual maturity including any expected prepayments. Subsequent changes to the contractual terms that are the result of a re-underwriting are not included in the loan’s expected CECL life.
Citi does not establish reserves for the uncollectible accrued interest on non-revolving consumer products, such as mortgages and installment loans, which are subject to a non-accrual and timely write-off policy. As such, only the principal balance is subject to the CECL reserve methodology and interest does not attract a further reserve. FAS 91-deferred origination costs and fees related to new account originations are amortized within a 12-month period, and an ACL is provided for components in the scope of the ASC.
Separate valuation allowances are determined for impaired smaller-balance homogeneous loans whose terms have been modified in a 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 ACL for TDRs is determined using a discounted cash flow (DCF) approach. When a DCF approach is used, the initial allowance for ECLs is calculated as the expected contractual cash flows discounted at the loan’s original effective interest rate. DCF techniques are applied only for consumer loans classified as TDR loan exposures.
For credit cards, Citi uses the payment rate approach, which leverages payment rate curves, to determine the payments that should be applied to liquidate the end-of-period balance (CECL balance) in the estimation of EAD. The payment rate approach uses customer payment behavior (payment rate) to establish the portion of the CECL balance that will be paid each month. These payment rates are defined as the percentage of principal payments received in the respective month divided by the prior month’s billed principal balance. The liquidation (CECL payment) amount for each forecast period is determined by multiplying the CECL balance by that period’s forecasted payment rate. The cumulative sum of these payments less the CECL balance produces the balance liquidation curve. Citi does not apply a non-accrual policy to credit card receivables; rather, they are subject to full charge-off at 180 days past due. As such, the entire customer balance up until write-off, including accrued
interest and fees, will be subject to the CECL reserve methodology.

Corporate Loans and HTM Securities
Citi records allowances for credit losses on all financial assets carried at amortized cost that are in the scope of CECL, including corporate loans classified as HFI and HTM debt securities. Discounting techniques are applied for corporate loans classified as HFI and HTM securities and non-accrual/TDR loan exposures. All cash flows are fully discounted to the reporting date. The ACL includes Citi’s estimate of all credit losses expected to be incurred over the estimated full contractual life of the financial asset. The contractual life of the financial asset does not include expected extensions, renewals or modifications, except for instances where the Company reasonably expects to extend the tenor of the financial asset pursuant to a future TDR. Where Citi has an unconditional option to extend the contractual term, Citi does not consider the potential extension in determining the contractual term; however, where the borrower has the sole right to exercise the extension option without Citi’s approval, Citi does consider the potential extension in determining the contractual term. The decrease in credit losses under CECL at the date of adoption on January 1, 2020, compared with the prior incurred loss methodology, was largely due to more precise contractual maturities that resulted in shorter remaining tenors, the incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies.
The Company primarily bases its ACL on models that assess the likelihood and severity of credit events and their impact on cash flows under R&S forecasted economic scenarios. Allowances consider the probability of the borrower’s default, the loss the Company would incur upon default and the borrower’s exposure at default. Such models discount the present value of all future cash flows, using the asset’s effective interest rate (EIR). Citi applies a more simplified approach based on historical loss rates to certain exposures recorded in Other assets and certain loan exposures in the private bank.
The Company considers the risk of nonpayment to be zero for U.S. Treasuries and U.S. government-sponsored agency guaranteed mortgage-backed securities (MBS) and, as such, Citi does not have an ACL for these securities. For all other HTM debt securities, ECLs are estimated using PD models and discounting techniques, which incorporate assumptions regarding the likelihood and severity of credit losses. For structured securities, specific models use relevant assumptions for the underlying collateral type. A discounting approach is applied to HTM direct obligations of a single issuer, similar to that used for corporate HFI loans.

Other Financial Assets with Zero Expected Credit Losses
For certain financial assets, zero expected credit losses will be recognized where the expectation of nonpayment of the amortized cost basis is zero, based on there being no history of loss and the nature of the receivables.


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Secured Financing Transactions
Most of Citi’s reverse repurchase agreements, securities borrowing arrangements and margin loans require that the borrower continually adjust the amount of the collateral securing Citi’s interest, primarily resulting from changes in the fair value of such collateral. In such arrangements, ACLs are recorded based only on the amount by which the asset’s amortized cost basis exceeds the fair value of the collateral. No ACLs are recorded where the fair value of the collateral is equal to or exceeds the asset’s amortized cost basis, as Citi does not expect to incur credit losses on such well-collateralized exposures. For certain margin loans presented in Loans on the Consolidated Balance Sheet, credit losses are estimated using the same approach as corporate loans.

Accrued Interest
CECL permits entities to make an accounting policy election not to reserve for interest, if the entity has a policy in place that will result in timely reversal or write-off of interest. However, when a non-accrual or timely charge-off policy is not applied, an ACL is recognized on accrued interest. For HTM debt securities, Citi established a non-accrual policy that results in timely write-off of accrued interest. For corporate loans, where a timely charge-off policy is used, Citi has elected to recognize an ACL on accrued interest receivable. The LGD models for corporate loans include an adjustment for estimated accrued interest.

Reasonably Expected TDRs
For corporate loans, the reasonable expectation of TDR concept requires that the contractual life over which ECLs are estimated be extended when a TDR that results in a tenor extension is reasonably expected. Reasonably expected TDRs are included in the life of the asset. A discounting technique or collateral-dependent practical expedient is used for non-accrual and TDR loan exposures that do not share risk characteristics with other loans and are individually assessed. Loans modified in accordance with the CARES Act and bank regulatory guidance are not classified as TDRs.

Purchased Credit-Deteriorated (PCD) Assets
ASC 326 requires entities that have acquired financial assets (such as loans and HTM securities) with an intent to hold, to evaluate whether those assets have experienced a more-than-insignificant deterioration in credit quality since origination. These assets are subject to specialized accounting at initial recognition under CECL. Subsequent measurement of PCD assets will remain consistent with other purchased or originated assets, i.e., non-PCD assets. CECL introduces the notion of PCD assets, which replaces purchased credit impaired (PCI) accounting under prior U.S. GAAP.
CECL requires the estimation of credit losses to be performed on a pool basis unless a PCD asset does not share characteristics with any pool. If certain PCD assets do not meet the conditions for aggregation, those PCD assets should be accounted for separately. This determination must be made at the date the PCD asset is purchased. In estimating ECLs from day 2 onward, pools can potentially be reassembled based upon similar risk characteristics. When PCD assets are pooled, Citi determines the amount of the initial ACL at the
pool level. The amount of the initial ACL for a PCD asset represents the portion of the total discount at acquisition that relates to credit and is recognized as a “gross-up” of the purchase price to arrive at the PCD asset’s (or pool’s) amortized cost. Any difference between the unpaid principal balance and the amortized cost is considered to be related to non-credit factors and results in a discount or premium, which is amortized to interest income over the life of the individual asset (or pool). Direct expenses incurred related to the acquisition of PCD assets and other assets and liabilities in a business combination are expensed as incurred. Subsequent accounting for acquired PCD assets is the same as the accounting for originated assets; changes in the allowance are recorded in Provisions for credit losses.

Consumer
Citi does not purchase whole portfolios of PCD assets in its retail businesses. However, there may be a small portion of a purchased portfolio that is identified as PCD at the purchase date. Interest income recognition does not vary between PCD and non-PCD assets. A consumer financial asset is considered to be more-than-insignificantly credit deteriorated if it is more than 30 days past due at the purchase date.

Corporate
Citi generally classifies wholesale loans and debt securities classified as HTM or AFS as PCD when both of the following criteria are met: (i) the purchase price discount is at least 10% of par and (ii) the purchase date is more than 90 days after the origination or issuance date. Citi classifies HTM beneficial interests rated AA- and lower obtained at origination from certain securitization transactions as PCD when there is a significant difference (i.e., 10% or greater) between contractual cash flows, adjusted for prepayments, and expected cash flows at the date of recognition.

Reserve Estimates and Policies
Management provides reserves for an estimate of lifetime ECLs in the funded loan portfolio on the Consolidated Balance Sheet in the form of an ACL. 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 risk management and finance representatives for each applicable business area. Applicable business areas include those having classifiably managed portfolios, where internal credit risk ratings are assigned (primarily ICG) and delinquency managed portfolios (primarily 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:


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Estimated Credit Losses in the Delinquency-Managed Portfolios for Performing Exposures
In addition, risk management and finance representatives 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 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, size and diversity of individual large credits and 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
Credit loss reserves are recognized on all off-balance sheet commitments that are not unconditionally cancelable. Corporate loan EAD models include an incremental usage factor (or credit conversion factor) to estimate ECLs on amounts undrawn at the reporting date. Off-balance sheet commitments include unfunded exposures, revolving facilities, securities underwriting commitments, letters of credit, HELOCs and financial guarantees (excluding performance guarantees). 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 credit losses on 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 and upon the adoption of ASU No. 2017-04 on January 1, 2020, 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 quantitative 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 quantitative test.
The quantitative test 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, an impairment loss is recognized in an amount equal to that excess, limited to the total amount of goodwill allocated to that reporting unit.
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 payables.

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.


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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, purchased options and commodities, 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.


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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.


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ACCOUNTING CHANGES

Accounting for Deposit Insurance Expenses
During the fourth quarter of 2021, Citi changed its presentation of accounting for deposit insurance costs paid to the Federal Deposit Insurance Corporation (FDIC) and similar foreign regulators. These costs were previously presented within Interest expense and, as a result of this change, are now presented within Other operating expenses. Citi concluded that this presentation was preferable in Citi’s circumstances, as it better reflected the nature of these deposit insurance costs in that these costs do not directly represent interest payments to creditors, but are similar in nature to other payments to regulatory agencies that are accounted for as operating expenses.
This change in income statement presentation represents a “change in accounting principle” under ASC Topic 250, Accounting Changes and Error Corrections, with retrospective application to the earliest period presented. This change in accounting principle resulted in a reclassification of $1,207 million, $1,203 million and $781 million of deposit insurance expenses from Interest expense to Other operating expenses, for the years ended December 31, 2021, 2020 and 2019, respectively. This change had no impact on Citi’s net income or the total deposit insurance expense incurred by Citi.

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 introduced a new credit loss methodology, the CECL methodology, which requires earlier recognition of credit losses while also providing additional disclosure 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, HTM debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. The ACL is adjusted each period for changes in lifetime expected 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 ACL 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 ACL 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 quality of 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 and discounts inputs for the corporate classifiably managed portfolios, 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 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.
The qualitative management adjustment component includes, among other things, management adjustments to reflect economic uncertainty based on the likelihood and severity of downside scenarios and certain portfolio characteristics not captured in the quantitative component, such as concentrations, collateral coverage, model limitations, idiosyncratic events and other factors as required by banking supervisory guidance for the ACL. The qualitative management adjustment component also includes management adjustments to reflect the uncertainty around the estimated impact of the pandemic on credit loss estimates.

Accounting for Variable Post-Charge-Off Third-Party Collection Costs
During the second quarter of 2020, Citi changed its accounting for variable post-charge-off third-party collection costs, whereby these costs were accounted for as an increase in expenses as incurred rather than a reduction in expected credit recoveries. Citi concluded that such a change in the method of accounting is preferable in Citi’s circumstances as it better
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reflects the nature of these collection costs. That is, these costs do not represent reduced payments from borrowers and are similar to Citi’s other executory third-party vendor contracts that are accounted for as operating expenses as incurred. As a result of this change, Citi had a consumer ACL release of $426 million in the second quarter of 2020 for its U.S. cards portfolios and $122 million in the third quarter of 2020 for its international portfolios.
In the fourth quarter of 2020, Citi revised the second quarter of 2020 accounting conclusion from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to opening retained earnings rather than net income, with retrospective application to the earliest period presented. Citi considered the guidance in ASC Topic 250, Accounting Changes and Error Corrections; ASC Topic 270, Interim Reporting; ASC Topic 250-S99-1, Assessing Materiality; and ASC Topic 250-S99-23, Accounting Changes Not Retroactively Applied Due to Immateriality, Considering the Effects of Prior Year Misstatements when Quantifying Misstatements in Current Year Financial Statements. Citi believes that the effects of the revisions were not material to any previously reported quarterly or annual period. As a result, Citi’s full-year and quarterly results were revised to reflect this change as if it were effective as of January 1, 2020 (impacts to 2018 and 2019 were de minimis). Accordingly, Citi recorded an increase to its beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million to its ACL. Further, Citi recorded a decrease of $18 million to its provisions for credit losses on loans in the first quarter of 2020 and an increase of $339 million and $122 million to its provisions for credit losses on loans in the second and third quarters of 2020, respectively. In addition, Citi`s operating expenses increased by $49 million and $45 million, with a corresponding decrease in net credit losses, in the first and second quarters of 2020, respectively. As a result of these changes, Citi’s net income for the year ended December 31, 2020 was $330 million lower, or $0.16 per share lower, than under the previous presentation as a change in accounting estimate effected by a change in accounting principle.

Reference Rate Reform
In March 2020, the FASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance permits an entity, when certain criteria are met, to consider amendments to contracts made to comply with reference rate reform to meet the definition of a modification under U.S. GAAP. It further allows hedge accounting to be maintained and permits a one-time transfer or sale of qualifying held-to-maturity securities. The expedients and exceptions provided by the amendments are permitted to be adopted any time through December 31, 2022 and do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for certain optional expedients elected for certain hedging relationships existing as of December 31, 2022. The ASU was adopted by Citi as of
June 30, 2020 with prospective application and did not impact financial results in 2020.
In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Scope, which clarifies that the scope of the initial accounting relief issued by the FASB in March 2020 includes derivative instruments that do not reference a rate that is expected to be discontinued but that use an interest rate for margining, discounting or contract price alignment that is modified as a result of reference rate reform (commonly referred to as the “discounting transition”). The amendments do not apply to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022 and existing hedging relationships evaluated for effectiveness in periods after December 31, 2022, except for hedging relationships existing as of December 31, 2022 that apply certain optional expedients in which the accounting effects are recorded through the end of the hedging relationship. The ASU was adopted by Citi on a full retrospective basis upon issuance and did not impact financial results in 2020.

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, is largely unchanged.
Effective January 1, 2019, Citi 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, Citi 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.
Citi 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. Citi uses its incremental borrowing rate, factoring in the lease term, to
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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 Citi 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.


FUTURE ACCOUNTING CHANGES

Long-Duration Insurance Contracts
In August 2018, the FASB issued ASU No. 2018-12, Financial Services—Insurance: Targeted Improvements to the Accounting for Long-Duration Contracts, which changes the existing recognition, measurement, presentation and disclosures for long-duration contracts issued by an insurance entity. Specifically, the guidance (i) improves the timeliness of recognizing changes in the liability for future policy benefits and prescribes the rate used to discount future cash flows for long-duration insurance contracts, (ii) simplifies and improves the accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, (iii) simplifies the amortization of deferred acquisition costs and (iv) introduces additional quantitative and qualitative disclosures. Citi has certain insurance subsidiaries, primarily in Mexico, that issue long-duration insurance contracts such as traditional life insurance policies and life-contingent annuity contracts that will be impacted by the requirements of ASU 2018-12.
The effective date of ASU 2018-12 was deferred for all insurance entities by ASU 2019-09, Finance Services—Insurance: Effective Date (issued in October 2019) and by ASU 2020-11, Financial Services—Insurance: Effective Date and Early Application (issued in November 2020). Citi plans to adopt the targeted improvements in ASU 2018-12 on January 1, 2023 and is currently evaluating the impact of the standard on its insurance subsidiaries. Citi does not expect a material impact to its results of operations as a result of adopting the standard.

SUPERSEDED ACCOUNTING PRINCIPLES

The following accounting principle was in effect for 2019 since ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326) became effective beginning on January 1, 2020.
Allowance for Credit Losses
The allowance for credit losses on loans represents management’s best estimate of probable credit losses inherent in the portfolio, including probable losses related to large individually evaluated impaired loans and troubled debt restructurings. Additions to the allowance are made through the Provision for credit losses on loans. 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.




158

2. DISCONTINUED OPERATIONS, SIGNIFICANT DISPOSALS AND OTHER BUSINESS EXITS

Summary of Discontinued Operations
The Company’s results from Discontinued operations consisted of residual activities related to the sales of 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 table summarizes financial information for all Discontinued operations:

In millions of dollars202120202019
Total revenues, net of interest expense$— $— $— 
Income (loss) from discontinued operations$7 $(20)$(31)
Benefit for income taxes— — (27)
Income (loss) from discontinued operations, net of taxes$7 $(20)$(4)

Cash flows from Discontinued operations were not material for any period presented.

Significant Disposals
The following transactions were identified as significant disposals that are recorded within the GCB segment, including the assets and liabilities that were reclassified to held-for-sale within Other assets and Other liabilities on the Consolidated Balance Sheet and the Income (loss) before taxes (benefits) related to each business.

Agreement to Sell Australia Consumer Banking Business
On August 9, 2021, Citi entered into an agreement to sell its Australia consumer banking business, which is part of Asia GCB. The sale, which is subject to regulatory approvals and other closing conditions, is expected to close in the first half of 2022. As of December 31, 2021, Citi reported the business as held-for-sale, resulting in a pretax loss on sale of approximately $700 million recorded in Other revenue ($600 million after-tax), subject to closing adjustments. The loss on sale primarily reflected the impact of a pretax $625 million currency translation adjustment (CTA) loss (net of hedges) ($475 million after-tax) already reflected in the Accumulated other comprehensive income (AOCI) component of equity. Upon closing, the CTA-related balance will be removed from the AOCI component of equity, resulting in a neutral CTA impact to Citi’s Common Equity Tier 1 Capital. Income before taxes, excluding the above referenced pretax loss on sale, for the Australia consumer banking business was as follows:

In millions of dollars202120202019
Income before taxes$306 $181 $302 

The following assets and liabilities for the Australia consumer banking business were identified and reclassified to held-for-sale within Other assets and Other liabilities on the Consolidated Balance Sheet at December 31, 2021:

In millions of dollarsDecember 31, 2021
Assets
Cash and deposits with banks$24
Loans (net of allowance of $242 millionat December 31, 2021)
8,813
Goodwill and intangible assets257
Other assets81
Total assets$9,175
Liabilities
Deposits$7,034
Long-term debt479
Other liabilities171
Total liabilities$7,684

Agreement to Sell Philippines Consumer Banking Business
On December 23, 2021, Citi entered into an agreement to sell its Philippines consumer banking business, which is part of Asia GCB. The sale, which is subject to regulatory approvals and other closing conditions, is expected to close in the second half of 2022 and result in an after-tax gain upon closing. Income before taxes for the period in which the individually significant component was classified as held-for-sale and for all prior periods was as follows:

In millions of dollars202120202019
Income before taxes$145 $42 $196 

The following assets and liabilities for the Philippines consumer banking business were identified and reclassified to held-for-sale within Other assets and Other liabilities on the Consolidated Balance Sheet at December 31, 2021:

In millions of dollarsDecember 31, 2021
Assets
Cash and deposits with banks$20
Loans (net of allowance of $96 millionat December 31, 2021)
1,132
Goodwill244
Other assets, advances to/from subs588
Other assets63
Total assets$2,047
Liabilities
Deposits$1,373
Other liabilities76
Total liabilities$1,449



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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 dollars202120202019
Income before taxes$— $— $123 

Other Business Exits

Wind-Down of Korea Consumer Banking Business
On October 25, 2021, Citi announced its decision to wind down and close its Korea consumer banking business, which is part of Asia GCB. In connection with the announcement, Citibank Korea Inc. (CKI) commenced a voluntary termination program (VERP). Due to the voluntary nature of this termination program, no liabilities for termination benefits are recorded until CKI makes formal offers to employees that are then irrevocably accepted by those employees. Related charges are recorded as Compensation and benefits.
For the year ended December 31, 2021, Citigroup recorded pretax charges of approximately $1.1 billion, composed of gross charges connected to the Korea voluntary termination program.
The following table summarizes the reserve charges related to the voluntary termination program and other initiatives reported in the GCB business segment:

In millions of dollars2021
Employee termination costs (pretax)
Original reserve charges$1,052
Utilization(1)
Foreign exchange3
Balance at December 31, 2021$1,054

The total estimated cash charges for the termination program are approximately $1.1 billion, of which most are already recognized in 2021. Citi expects to recognize the remaining charges throughout 2022, as voluntary retirements are phased in and irrevocably accepted in order to minimize business and operational impacts.
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3. OPERATING SEGMENTS
As of December 31, 2021, Citigroup’s primary activities were conducted through the following operating segments: Institutional Clients Group (ICG) and Global Consumer Banking (GCB). Activities not assigned to the operating segments, as well as certain North America legacy consumer loan portfolios, discontinued operations and other legacy assets, were included in Corporate/Other.
The operating segments are determined based on how management allocates resources and measures financial performance to make business decisions, and are reflective of the types of customers served, and products and services provided.
ICG consisted of Banking and Markets and securities services, providing institutional, public sector and high-net-worth clients in 95 countries and jurisdictions with a broad range of banking and financial products and services.
GCB included 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 consisted of three GCB reporting units: North America, Latin America and Asia (including consumer banking activities in certain EMEA countries).
Corporate/Other included certain unallocated costs of global functions, other corporate expenses and net treasury results, offsets to certain line-item reclassifications and eliminations, and unallocated taxes.
Beginning in 2021, Citi changed its allocation for certain recurring expenses that are attributable to the operating segments from Corporate/Other to GCB and ICG. These expenses include incremental investments related to risks and controls, technology capabilities and information security initiatives, as well as some incremental spend related to the pandemic. The prior-period reportable operating segment results have been revised to conform to the current-year presentation for all periods to reflect this revised allocation methodology. Citi’s consolidated results were unchanged for all periods presented as a result of the changes discussed above.
As part of its strategic refresh, Citi is making management reporting changes to align with its vision and strategy, including to assist Citi in decisions about resources and capital allocation and to assess business performance. In the first quarter of 2022, Citi plans to revise its financial reporting structure to align with these management reporting changes.
The accounting policies of these operating segments are the same as those disclosed in Note 1 to the Consolidated Financial Statements.
The following table presents certain information regarding the Company’s continuing operations by operating segment and Corporate/Other:






Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
In millions of dollars, except identifiable assets in billions20212020201920212020201920212020201920212020
Institutional Clients Group$43,887 $45,088 $39,824 $4,524 $3,303 $3,524 $15,763 $11,553 $12,776 $1,762 $1,730 
Global Consumer Banking27,330 30,342 33,221 1,745 143 1,708 6,046 663 5,579 432 434 
Corporate/Other667 71 2,022 (818)(921)(802)209 (1,109)1,116 97 96 
Total$71,884 $75,501 $75,067 $5,451 $2,525 $4,430 $22,018 $11,107 $19,471 $2,291 $2,260 

(1)     Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $34.2 billion, $36.8 billion and $34.1 billion; in EMEA of $13.1 billion, $13.0 billion and $12.2 billion; in Latin America of $9.2 billion, $9.4 billion and $10.6 billion; and in Asia of $14.7 billion, $16.2 billion and $16.2 billion in 2021, 2020 and 2019, respectively. These regional numbers exclude Corporate/Other, which largely reflects U.S. activities.
(2)     Includes pretax provisions for credit losses and for benefits and claims in the ICG results of $(2.9) billion, $5.6 billion and $0.6 billion; in the GCB results of $(0.5) billion, $11.7 billion and $7.9 billion; and in the Corporate/Other results of $(0.4) billion, $0.2 billion and $(0.1) billion in 2021, 2020 and 2019, respectively.

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4.  INTEREST REVENUE AND EXPENSE

Interest revenue and Interest expense consisted of the following:

In millions of dollars202120202019
Interest revenue   
Loan interest, including fees$35,440 $40,185 $47,751 
Deposits with banks577 928 2,682 
Securities borrowed and purchased under agreements to resell1,052 2,283 6,872 
Investments, including dividends7,388 7,989 9,860 
Trading account assets(2)
5,365 6,125 7,672 
Other interest-bearing assets653 579 1,673 
Total interest revenue$50,475 $58,089 $76,510 
Interest expense   
Deposits(1)
$2,896 $5,334 $11,852 
Securities loaned and sold under agreements to repurchase1,012 2,077 6,263 
Trading account liabilities(2)
482 628 1,308 
Short-term borrowings and other interest-bearing liabilities121 630 2,465 
Long-term debt3,470 4,669 6,494 
Total interest expense$7,981 $13,338 $28,382 
Net interest income$42,494 $44,751 $48,128 
Provision for credit losses on loans(3,103)15,922 8,218 
Net interest income after provision for credit losses on loans$45,597 $28,829 $39,910 

(1)During 2021, Citi reclassified deposit insurance expenses from Interest expense to Other operating expenses for all periods presented. Amounts reclassified for each year were $1,207 million for 2021, $1,203 million for 2020 and $781 million for 2019. For additional information, see Note 1 to the Consolidated Financial Statements.
(2)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.



162

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. 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 $639 million, $495 million and $485 million of revenue related to such variable consideration for the years ended December 31, 2021, 2020 and 2019, 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. Citi’s credit card programs have certain partner sharing agreements that vary by partner. These partner sharing agreements are subject to contractually based performance thresholds that, if met, would require Citi to make ongoing payments to the partner. The threshold is based on the profitability of a program and is
generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner sharing agreements, program expenses include net credit losses and, to the extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, it would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions. 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 $260 million, $290 million and $322 million of revenue related to such variable consideration for the years ended December 31, 2021, 2020 and 2019, 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.












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The following table presents Commissions and fees revenue:

202120202019
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Investment banking$6,007 $— $— $6,007 $4,483 $— $— $4,483 $3,767 $— $— $3,767 
Brokerage commissions2,080 1,156 — 3,236 1,986 974 — 2,960 1,771 841 — 2,612 
Credit card and bank card income
Interchange fees817 9,004 — 9,821 703 7,301 — 8,004 1,222 8,621 — 9,843 
Card-related loan fees28 667 — 695 23 626 — 649 60 718 — 778 
Card rewards and partner payments(1)
(405)(9,830)— (10,235)(380)(8,293)— (8,673)(691)(8,883)— (9,574)
Deposit-related fees(2)
1,044 287 — 1,331 958 376 — 1,334 1,048 470 — 1,518 
Transactional service fees1,003 95 — 1,098 886 88 — 974 824 123 — 947 
Corporate finance(3)
709 — — 709 457 — — 457 616 — — 616 
Insurance distribution revenue11 462 — 473 11 492 — 503 12 524 — 536 
Insurance premiums— 94 — 94 — 125 — 125 — 186 — 186 
Loan servicing43 40 15 98 82 30 25 137 78 55 21 154 
Other104 237 4 345 118 310 4 432 99 261 3 363 
Total commissions and fees(4)
$11,441 $2,212 $19 $13,672 $9,327 $2,029 $29 $11,385 $8,806 $2,916 $24 $11,746 

(1)Citi’s consumer credit card programs have certain partner-sharing agreements that vary by partner. These agreements are subject to contractually based performance thresholds that, if met, would require Citi to make ongoing payments to the partner. The threshold is based on the profitability of a program and is generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner-sharing agreements, program expenses include net credit losses and, to the extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions.
(2)Includes overdraft fees of $107 million, $100 million and $127 million for the years ended December 31, 2021, 2020 and 2019, respectively. Overdraft fees are accounted for under ASC 310.
(3)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(4)Commissions and fees include $(8,516) million, $(7,160) million and $(7,695) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the years ended December 31, 2021, 2020 and 2019, 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.

164

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 assets 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:

202120202019
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Custody fees$1,872 $25 $1 $1,898 $1,590 $29 $38 $1,657 $1,453 $16 $73 $1,542 
Fiduciary fees798 659 7 1,464 668 602 4 1,274 647 621 28 1,296 
Guarantee fees569 8 4 581 529 7 5 541 558 8 7 573 
Total administration and other fiduciary fees(1)
$3,239 $692 $12 $3,943 $2,787 $638 $47 $3,472 $2,658 $645 $108 $3,411 

(1)    Administration and other fiduciary fees include $581 million, $541 million and $573 million for the years ended December 31, 2021, 2020 and 2019, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These generally include guarantee fees.

165

6. PRINCIPAL TRANSACTIONS

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 and characterized below based on the primary risk managed by each trading desk. Not included in the table below is the impact of net interest income 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 income 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 dollars202120202019
Interest rate risks(1)
$2,790 $5,561 $3,831 
Foreign exchange risks(2)
3,886 4,158 3,850 
Equity risks(3)
2,197 1,343 808 
Commodity and other risks(4)
1,123 1,133 546 
Credit products and risks(5)
158 1,690 (143)
Total$10,154 $13,885 $8,892 

(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.
166

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.
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 are subject to mandatory deferrals of incentive pay and generally receive 25%–60% of their awards in the form of deferred stock and deferred cash stock units. 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).
Subject to certain exceptions (principally, for retirement-eligible employees), continuous employment within Citigroup is required to vest in deferred annual incentive 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 may be subject to performance conditions and are subject to one or more cancellation and clawback provisions that apply in certain circumstances, including gross misconduct.












Outstanding (Unvested) Stock Awards
A summary of the status of unvested stock awards granted as discretionary annual incentive or sign-on and replacement awards is presented below:

Unvested stock awardsSharesWeighted-
average grant
date fair
value per share
Unvested at December 31, 202028,226,292 $69.25 
Granted(1)
17,535,978 62.10 
Canceled(1,453,029)67.01 
Vested(2)
(12,664,557)67.17 
Unvested at December 31, 202131,644,684 $66.22 

(1)The weighted-average fair value of the shares granted during 2020 and 2019 was $76.68 and $61.78, respectively.
(2)The weighted-average fair value of the shares vesting during 2021 was approximately $64.23 per share on the vesting date, compared to $67.17 on the grant date.

Total unrecognized compensation cost related to unvested stock awards was $654 million at December 31, 2021. The cost is expected to be recognized over a weighted-average period of 1.6 years.

167

Performance Share Units
Executive officers were awarded performance share units (PSUs) every February from 2018 to 2021, for performance in the year prior to the award date based on two performance metrics. For PSUs awarded in 2018, 2019 and 2020, those metrics were return on tangible common equity and earnings per share. For PSUs awards in 2021, the metrics were return on tangible common equity and tangible book value per share. In each year, the metrics were equally weighted.
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 against performance goals and/or peer firms. The number of PSUs 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.
For all award years, the value of each PSU is equal to the value of 1 share of Citi common stock. Dividend equivalents are 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 and taking into account any mandatory equitable adjustments as per the terms of the award agreement, 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 assumptions202120202019
Expected volatility40.88 %22.26 %25.33 %
Expected dividend yield4.21 2.82 2.67 

A summary of the performance share unit activity for 2021 is presented below:

Performance share unitsUnitsWeighted-
average grant
date fair
value per unit
Outstanding, beginning of year1,333,803 $79.39 
Granted(1)
418,098 78.55 
Canceled(344,131)83.24 
Payments(133,497)83.24 
Outstanding, end of year1,274,273 $77.67 

(1)The weighted-average grant date fair value per unit awarded in 2020 and 2019 was $83.45 and $72.83, respectively.

Transformation Program
In order to provide an incentive for select employees to effectively execute Citi’s transformation program, in August 2021 the Personnel and Compensation (P&C) Committee of Citigroup’s Board of Directors approved a program for them to earn additional compensation based on the achievement of Citi’s transformation goals from August 2021 through December 2024 and satisfaction of other conditions. Eligible employees were notified of their award under the program in November 2021. Performance under the program is divided into three consecutive periods, ending on December 31, 2022, 2023 and 2024. The awards will be subject to variable accounting, pursuant to which the associated value of the award will fluctuate with the attainment of the performance conditions for each tranche and changes to Citigroup’s stock price. The amortization commenced after the service inception date of November 2021. Payment for each period will be in cash, in a lump sum, with the third payment indexed to changes in the value of Citi’s common stock from the service inception date through the payment date. Earnings generally will be based on collective performance with respect to Citi’s transformation goals and will be evaluated and approved by the Committee on an annual basis.
Payments in the event of any category of employment termination or change in job title or employment status are subject to Citi’s discretion. Cancellation and clawback is provided for in the event of misconduct and certain other circumstances. The program applies to senior leaders critical to helping deliver a successful transformation with the value varying based on individual compensation levels.



168

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: 

 202120202019
 OptionsWeighted-
average
exercise
price		Intrinsic
value
per share		OptionsWeighted-
average
exercise
price		Intrinsic
value
per share		OptionsWeighted-
average
exercise
price		Intrinsic
value
per share
Outstanding, beginning of year166,650 $47.42 $14.24 166,650 $47.42 $32.47 762,225 $101.84 $— 
Canceled— — — — — — (11,365)40.80 — 
Expired— — — — — — (449,916)142.30 — 
Exercised(166,650)52.50 20.49 — — — (134,294)39.00 23.50 
Outstanding, end of year— $— $— 166,650 $47.42 $14.24 166,650 $47.42 $32.47 
Exercisable, end of year—  166,650   166,650   

As of December 31, 2021, Citigroup no longer has any stock options outstanding.


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, Citi recognizes the expense each year equal to the grant date fair value of the awards that it estimates will be granted in the following year.
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 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 stock payment awards generally are entitled to vote the shares in their award during the sale-restriction 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 P&C Committee, which is composed entirely of independent non-employee directors.
At December 31, 2021, approximately 39.0 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 2018 to 2021, and for the first quarter of 2022, 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.























169

Incentive Compensation Cost
The following table shows components of compensation expense, relating to certain of the incentive compensation programs described above:

In millions of dollars202120202019
Charges for estimated awards to retirement-eligible colleagues$807 $748 $683 
Amortization of deferred cash awards, deferred cash stock units and performance stock units384 201 355 
Immediately vested stock award expense(1)
99 95 82 
Amortization of restricted and deferred stock awards(2)
395 420 404 
Other variable incentive compensation435 627 666 
Total$2,120 $2,091 $2,190 

(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 colleagues.



170

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, 2021. 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 dollars202120202019202120202019202120202019202120202019
Benefits earned during the year$— $— $1 $149 $147 $146 $— $— $— $6 $7 $8 
Interest cost on benefit obligation351 378 469 268 246 287 13 17 24 96 93 104 
Expected return on assets(683)(824)(821)(253)(245)(281)(13)(17)(18)(84)(77)(84)
Amortization of unrecognized:            
Prior service cost (benefit)2 2 2 (6)5 (4)(9)(2)— (9)(9)(10)
Net actuarial loss (gain)228 233 200 62 70 61 (3)— — 13 20 23 
Curtailment loss (gain)(1)
— — 1 1 (8)(6)— — — — — — 
Settlement loss (gain)(1)
— — — 10 (1)6 — — — — — — 
Total net (benefit) expense$(102)$(211)$(148)$231 $214 $209 $(12)$(2)$6 $22 $34 $41 

(1)Losses (gains) due to curtailment and settlement relate to repositioning and divestiture activities.

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 2021 or 2020.
The following table summarizes the Company’s actual contributions for the years ended December 31, 2021 and 2020, as well as expected Company contributions for 2022. 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 dollars202220212020202220212020202220212020202220212020
Contributions made by the Company$— $— $— $74 $104 $115 $— $— $— $3 $3 $4 
Benefits paid directly by (reimbursements to) the Company(3)
57 56 56 413 51 43 5 22 (15)6 5 5 

(1)    Amounts reported for 2022 are expected amounts.     
(2)     The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans.
(3)    Estimated 2022 benefit payments have increased due to the wind-down of Citi’s consumer banking business in Korea, as it is expected that employees who elected the VERP plan will be withdrawing their pension plan assets. See Note 2 to the Consolidated Financial Statements for additional information.

171

Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following table summarizes the funded status and amounts recognized on 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 dollars20212020202120202021202020212020
Change in projected benefit obligation        
Projected benefit obligation at beginning of year$13,815 $13,453 $8,629 $8,105 $559 $692 $1,390 $1,384 
Benefits earned during the year— — 149 147 — — 6 7 
Interest cost on benefit obligation351 378 268 246 13 17 96 93 
Plan amendments(1)
— — 6 (4)— (104)— — 
Actuarial (gain) loss(2)
(447)950 (344)518 (28)(18)(110)30 
Benefits paid, net of participants’ contributions and government subsidy(3)
(953)(966)(345)(298)(43)(28)(78)(64)
Settlement gain(4)
— — (124)(110)— — — — 
Curtailment gain(4)
— — (30)(14)— — — — 
Foreign exchange impact and other— — (208)39 — — (135)(60)
Projected benefit obligation at year end$12,766 $13,815 $8,001 $8,629 $501 $559 $1,169 $1,390 
Change in plan assets        
Plan assets at fair value at beginning of year$13,309 $12,717 $7,831 $7,556 $331 $345 $1,146 $1,127 
Actual return on assets(2)
565 1,502 217 584 9 29 97 129 
Company contributions (reimbursements)56 56 155 158 22 (15)8 9 
Benefits paid, net of participants’ contributions and government subsidy(3)
(953)(966)(345)(298)(43)(28)(78)(64)
Settlement gain(4)
— — (124)(110)— — — — 
Foreign exchange impact and other— — (120)(59)— — (130)(55)
Plan assets at fair value at year end$12,977 $13,309 $7,614 $7,831 $319 $331 $1,043 $1,146 
Funded status of the plans
Qualified plans(5)
$894 $230 $(387)$(798)$(182)$(228)$(126)$(244)
Nonqualified plans(6)
(683)(736)— — — — — — 
Funded status of the plans at year end$211 $(506)$(387)$(798)$(182)$(228)$(126)$(244)
Net amount recognized        
Qualified plans
Benefit asset$894 $230 $963 $741 $— $— $165 $25 
Benefit liability— — (1,350)(1,539)(182)(228)(291)(269)
Qualified plans$894 $230 $(387)$(798)$(182)$(228)$(126)$(244)
Nonqualified plans(683)(736)— — — — — — 
Net amount recognized on the balance sheet$211 $(506)$(387)$(798)$(182)$(228)$(126)$(244)
Amounts recognized in AOCI(7)
    
Net transition obligation$— $— $— $— $— $— $— $— 
Prior service (cost) benefit(8)(10)5 12 92 101 47 63 
Net actuarial (loss) gain(6,575)(7,132)(1,400)(1,863)77 56 (182)(348)
Net amount recognized in equity (pretax)$(6,583)$(7,142)$(1,395)$(1,851)$169 $157 $(135)$(285)
Accumulated benefit obligation at year end$12,765 $13,812 $7,559 $8,116 $501 $559 $1,169 $1,390 

(1)The U.S. postretirement benefit plan was amended in 2020 to move grandfathered Medicare-eligible retirees to the Medicare individual marketplace.
(2)During 2021, the actuarial gain was primarily due to the increase in global discount rates partially offset by lower than expected asset returns. During 2020, the actuarial loss was primarily due to the decline in global discount rates partially offset by favorable asset returns.
(3)U.S. postretirement benefit plans were net of Employer Group Waiver Plan subsidies of $11 million and $40 million in 2021 and 2020, respectively.
(4)Curtailment and settlement gains relate to repositioning and divestiture activities.
(5)The U.S. qualified pension plan was fully funded under specified Employee Retirement Income Security Act (ERISA) funding rules as of January 1, 2022 and no minimum required funding is expected for 2022.
(6)The nonqualified plans of the Company are unfunded.
172

(7)The framework for the Company’s pension oversight process includes monitoring of potential settlement charges for all plans. Settlement accounting is triggered when either the sum of all settlements (including lump sum payments) for the year is greater than service plus interest costs or if more than 10% of the plan’s projected benefit obligation will be settled. Because some of Citi’s significant plans are frozen and have no material service cost, settlement accounting may apply in the future.

The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans:

In millions of dollars202120202019
Beginning of year balance, net of tax(1)(2)
$(6,864)$(6,809)$(6,257)
Actuarial assumptions changes and plan experience963 (1,464)(2,300)
Net asset gain (loss) due to difference between actual and expected returns(148)1,076 1,427 
Net amortization280 318 274 
Prior service credit (cost)(7)108 (7)
Curtailment/settlement gain(3)
11 (8)1 
Foreign exchange impact and other153 (108)(66)
Change in deferred taxes, net(240)23 119 
Change, net of tax$1,012 $(55)$(552)
End of year balance, net of tax(1)(2)
$(5,852)$(6,864)$(6,809)

(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.

At December 31, 2021 and 2020, 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 dollars20212020202120202021202020212020
Projected benefit obligation$683 $736 $3,966 $4,849 $683 $736 $3,809 $4,723 
Accumulated benefit obligation682 734 3,574 4,400 682 734 3,477 4,329 
Fair value of plan assets— — 2,616 3,310 — — 2,486 3,212 

(1)As of December 31, 2021 and 2020, only the nonqualified plans’ PBO and 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.

173

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 end20212020
Discount rate  
U.S. plans  
Qualified pension2.80%2.45%
Nonqualified pension2.802.35
Postretirement2.752.20
Non-U.S. pension plans
Range(1)
 -0.10 to 11.95 -0.25 to 11.15
Weighted average3.963.14
Non-U.S. postretirement plans
Range1.05 to 10.000.80 to 8.55
Weighted average8.287.42
Future compensation increase rate(2)
Non-U.S. pension plans
Range1.30 to 11.251.20 to 11.25
Weighted average3.103.10
Expected return on assets
U.S. plans
Qualified pension5.005.80
Postretirement(3)
5.00/1.505.80/1.50
Non-U.S. pension plans
Range0.00 to 11.500.00 to 11.50
Weighted average3.693.39
Non-U.S. postretirement plans
Range6.00 to 8.005.95 to 8.00
Weighted average7.997.99

(1)    Due to historically low global interest rates, there were negative discount rates for plans with relatively short duration in certain major markets, such as the Eurozone and Switzerland.
(2)    Not material for U.S. plans.
(3)    For the years ended 2021 and 2020, the expected return on assets for the VEBA Trust was 1.50%.


During the year202120202019
Discount rate  
U.S. plans  
Qualified pension2.45%/3.10%/ 2.75%/2.80%3.25%/3.20%/ 2.60%/2.55%4.25%/3.85%/ 3.45%/3.10%
Nonqualified pension2.35/3.00/ 2.70/2.753.25/3.25/ 2.55/2.504.25/3.90/ 3.50/3.10
Postretirement2.20/2.85/ 2.60/2.653.15/3.20/ 2.45/2.354.20/3.80/ 3.35/3.00
Non-U.S. pension plans(1)
Range(2)
-0.25 to 11.15 -0.10 to 11.30-0.05 to 12.00
Weighted average3.143.654.47
Non-U.S. postretirement plans(1)
Range0.80 to 9.800.90 to 9.751.75 to 10.75
Weighted average7.427.769.05
Future compensation increase rate(3)
Non-U.S. pension plans(1)
Range1.20 to 11.251.50 to 11.501.30 to 13.67
Weighted average3.103.173.16
Expected return on assets
U.S. plans
Qualified pension(4)
5.80/5.60/5.60/5.006.706.70
Postretirement(4)
5.80/1.506.70/3.006.70/3.00
Non-U.S. pension plans(1)
Range0.00 to 11.500.00 to 11.501.00 to 11.50
Weighted average3.393.954.30
Non-U.S. postretirement plans(1)
Range5.95 to 8.006.20 to 8.008.00 to 9.20
Weighted average7.997.998.01

(1)    Reflects rates utilized to determine the quarterly expense for Significant non-U.S. pension and postretirement plans.
(2)    Due to historically low global interest rates, there were negative discount rates for plans with relatively short duration in certain major markets, such as the Eurozone and Switzerland.
(3)    Not material for U.S. plans.
(4)    The expected return on assets for the U.S. pension and postretirement plans was lowered from 5.80% to 5.60% effective April 1, 2021 and to 5.00% effective October 1, 2021 to reflect the change in target asset allocation.


174

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 Return on Assets
The Company determines its assumptions for the expected return on 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 return on assets 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 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 return on assets used in determining the Company’s pension expense compared to the actual return on assets during 2021, 2020 and 2019 for the U.S. pension and postretirement plans:

U.S. plans
(During the year)
202120202019
Expected return on assets
U.S. pension and postretirement trust5.80%/5.60%/5.60%/5.00%6.70%6.70%
VEBA trust1.503.003.00
Actual return on assets(1)
U.S. pension and postretirement trust5.1412.8415.20
VEBA trust1.522.111.91 to 2.76

(1)Actual return on assets is presented net of fees.


Sensitivities of Certain Key Assumptions
The following tables summarize the effect on pension expense:

Discount rate
 One-percentage-point increase
In millions of dollars202120202019
U.S. plans$35 $34 $28 
Non-U.S. plans(4)(16)(19)
 One-percentage-point decrease
In millions of dollars202120202019
U.S. plans$(49)$(52)$(44)
Non-U.S. plans25 25 32 

The U.S. Qualified Pension Plan was frozen in 2008, and as a result, most service costs have been eliminated. The pension expense for the U.S. Qualified Pension Plan is therefore 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 return on assets
 One-percentage-point increase
In millions of dollars202120202019
U.S. plans$(124)$(123)$(123)
Non-U.S. plans(70)(66)(64)
 One-percentage-point decrease
In millions of dollars202120202019
U.S. plans$124 $123 $123 
Non-U.S. plans70 66 64 

175

Health Care Cost Trend Rate
Assumed health care cost trend rates were as follows:

 20212020
Health care cost increase rate for 
U.S. plans		  
Following year6.25%6.50%
Ultimate rate to which cost increase is assumed to decline5.005.00
Year in which the ultimate rate is
reached		20272027
Health care cost increase rate for 
non-U.S. plans (weighted average)		  
Following year6.92%6.85%
Ultimate rate to which cost increase is
assumed to decline		6.926.85
Year in which the ultimate rate
is reached		20222021
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 end202120202019
U.S. plans1.80%1.45%2.25%
Non-U.S. plans1.611.601.61


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)
20222021202020212020
Equity securities(2)
0–22%7 %16 %7 %16 %
Debt securities(3)
55–11472 59 72 59 
Real estate0–42 4 2 4 
Private equity0–56 3 6 3 
Other investments0–2313 18 13 18 
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 2021 and 2020.
(3)The VEBA Trust for postretirement benefits is primarily invested in cash equivalents and debt securities in 2021 and 2020 and is 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)
20222021202020212020
Equity securities0–100%0–100%0–100%16 %15 %
Debt securities0–1000–1000–10076 77 
Real estate0–150–140–121 1 
Other investments0–1000–1000–1007 7 
Total100 %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.

176

 Non-U.S. postretirement plans
 Target asset
allocation		Actual range
at December 31,		Weighted-average
at December 31,
Asset category(1)
20222021202020212020
Equity securities0–42%0–42%0–38%41 %38 %
Debt securities54–10053–10056–10053 56 
Other investments0–40–60–66 6 
Total100 %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. Investments measured using the NAV per share practical expedient are excluded from Level 1, Level 2 and Level 3 in the tables below.
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, 2021
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$358 $— $— $358 
Non-U.S. equities460 — — 460 
Mutual funds and other registered investment companies297 — — 297 
Commingled funds— 1,143 — 1,143 
Debt securities1,657 5,770 — 7,427 
Annuity contracts— — 4 4 
Derivatives2 17 — 19 
Other investments13 — 25 38 
Total investments$2,787 $6,930 $29 $9,746 
Cash and short-term investments$635 $75 $— $710 
Other investment liabilities(7)(17)— (24)
Net investments at fair value$3,415 $6,988 $29 $10,432 
Other investment liabilities redeemed at NAV$(87)
Securities valued at NAV2,951 
Total net assets$13,296 

(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2021, 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.
177

U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2020
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$813 $— $— $813 
Non-U.S. equities725 — — 725 
Mutual funds and other registered investment companies447 — — 447 
Commingled funds— 1,056 — 1,056 
Debt securities1,275 4,430 — 5,705 
Annuity contracts— — 1 1 
Derivatives8 6 — 14 
Other investments16 — 57 73 
Total investments$3,284 $5,492 $58 $8,834 
Cash and short-term investments$72 $1,035 $— $1,107 
Other investment liabilities(2)(10)— (12)
Net investments at fair value$3,354 $6,517 $58 $9,929 
Other investment receivables redeemed at NAV$99 
Securities valued at NAV 3,612 
Total net assets$13,640 

(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2020, 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, 2021
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$127 $19 $— $146 
Non-U.S. equities713 92 — 805 
Mutual funds and other registered investment companies2,888 66 — 2,954 
Commingled funds21 — — 21 
Debt securities4,263 1,341 — 5,604 
Real estate— 3 2 5 
Annuity contracts— — 2 2 
Derivatives— 239 — 239 
Other investments— — 318 318 
Total investments$8,012 $1,760 $322 $10,094 
Cash and short-term investments$117 $5 $— $122 
Other investment liabilities— (1,578)— (1,578)
Net investments at fair value$8,129 $187 $322 $8,638 
Securities valued at NAV $19 
Total net assets$8,657 
178

Non-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2020
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$5 $16 $— $21 
Non-U.S. equities105 670 — 775 
Mutual funds and other registered investment companies3,137 73 — 3,210 
Commingled funds24 — — 24 
Debt securities6,705 1,420 — 8,125 
Real estate— 2 2 4 
Annuity contracts— — 5 5 
Derivatives— 1,005 — 1,005 
Other investments— — 312 312 
Total investments$9,976 $3,186 $319 $13,481 
Cash and short-term investments$129 $3 $— $132 
Other investment liabilities— (4,650)— (4,650)
Net investments at fair value$10,105 $(1,461)$319 $8,963 
Securities valued at NAV $14 
Total net assets$8,977 


179

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 categoriesBeginning Level 3 fair value at
Dec. 31, 2020		Realized (losses)Unrealized gainsPurchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at
Dec. 31, 2021
Annuity contracts$1 $— $— $3 $— $4 
Other investments57 (6)2 (28)— 25 
Total investments$58 $(6)$2 $(25)$— $29 
In millions of dollarsU.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at
Dec. 31, 2019		Realized (losses)Unrealized (losses)Purchases, sales and
issuances		Transfers in and/or out of Level 3Ending Level 3 fair value at
Dec. 31, 2020
Annuity contracts$1 $— $— $— $— $1 
Other investments75 (3)3 (18)— 57 
Total investments$76 $(3)$3 $(18)$— $58 
 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at
Dec. 31, 2020		Unrealized gainsPurchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3
fair value at
Dec. 31, 2021
Debt securities$— $— $— $— $— 
Real estate2 — — — 2 
Annuity contracts5 — (3)— 2 
Other investments312 4 2 — 318 
Total investments$319 $4 $(1)$— $322 

 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at
Dec. 31, 2019		Unrealized (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3
fair value at
Dec. 31, 2020
Debt securities$10 $— $(10)$— $— 
Real estate1 1 — — 2 
Annuity contracts5 — — — 5 
Other investments274 23 15 — 312 
Total investments$290 $24 $5 $— $319 


180

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, publicly traded equity, hedge funds 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. plans
Non-U.S. plans(1)
U.S. plansNon-U.S. plans
2022$956 $958 $64 $71 
2023837 452 50 74 
2024844 460 47 78 
2025846 462 44 82 
2026838 467 41 86 
2027–20313,946 2,428 164 493 

(1)Estimated 2022 benefit payments have increased due to the wind-down of Citi’s consumer banking business in Korea, as it is expected that employees who elected the VERP plan will be withdrawing their pension plan assets. See Note 2 to the Consolidated Financial Statements for additional information.


181

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.
The following table summarizes the funded status and amounts recognized on the Company’s Consolidated Balance Sheet:

In millions of dollars20212020
Funded status of the plan at year end$(41)$(40)
Net amount recognized in AOCI (pretax)
$(15)$(17)

The following table summarizes the net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:

In millions of dollars202120202019
Net expense$10 $9 $9 

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 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 2021 and 2020, 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 dollars202120202019
Company contributions$436 $414 $404 
 Non-U.S. plans
In millions of dollars202120202019
Company contributions$364 $304 $281 
182

9. INCOME TAXES

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

In millions of dollars202120202019
Current   
Federal$522 $305 $365 
Non-U.S.3,288 4,113 4,352 
State228 440 323 
Total current income taxes$4,038 $4,858 $5,040 
Deferred   
Federal$1,059 $(1,430)$(907)
Non-U.S.8 (690)10 
State346 (213)287 
Total deferred income taxes$1,413 $(2,333)$(610)
Provision for income tax on continuing operations before noncontrolling interests(1)
$5,451 $2,525 $4,430 
Provision (benefit) for income taxes on discontinued operations— — (27)
Income tax expense (benefit) reported in stockholders’ equity related to: 
FX translation(146)23 (11)
Investment securities(1,367)1,214 648 
Employee stock plans(6)(4)(16)
Cash flow hedges(476)455 269 
Benefit plans240 (23)(119)
FVO DVA64 (141)(337)
Excluded fair value hedges2 (8)8 
Retained earnings(2)
— (911)46 
Income taxes before noncontrolling interests$3,762 $3,130 $4,891 

(1)Includes the tax on realized investment gains and impairment losses resulting in a provision (benefit) of $169 million and $(57) million in 2021, $454 million and $(14) million in 2020 and $373 million and $(9) million in 2019, respectively.
(2)2020 reflects the tax effect of ASU 2016-13 for current expected credit losses (CECL). 2019 reflects the tax effect of the accounting change for ASU 2016-02 for lease transactions.

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:

 202120202019
Federal statutory rate21.0 %21.0 %21.0 %
State income taxes, net of federal benefit2.1 1.3 1.9 
Non-U.S. income tax rate differential1.6 3.5 1.3 
Nondeductible FDIC premiums0.6 1.3 0.4 
Tax advantaged investments(2.3)(4.4)(2.3)
Valuation allowance releases(1)
(1.7)(4.4)(3.0)
Other, net(1.5)0.2 (0.8)
Effective income tax rate19.8 %18.5 %18.5 %

(1)See “Deferred Tax Assets” below for a description of the components.

As set forth in the table above, Citi’s effective tax rate for 2021 was 19.8%, compared to 18.5% in 2020, primarily due to the reduced effect of permanent differences, including the valuation allowance releases, on a much higher level of pretax income.

Deferred Income Taxes
Deferred income taxes at December 31 related to the following:

In millions of dollars20212020
Deferred tax assets  
Credit loss deduction$5,330 $6,791 
Deferred compensation and employee benefits2,335 2,510 
U.S. tax on non-U.S. earnings1,138 1,195 
Investment and loan basis differences2,970 1,486 
Tax credit and net operating loss carry-forwards15,620 17,416 
Fixed assets and leases3,064 2,935 
Other deferred tax assets3,549 3,832 
Gross deferred tax assets$34,006 $36,165 
Valuation allowance$4,194 $5,177 
Deferred tax assets after valuation allowance$29,812 $30,988 
Deferred tax liabilities  
Intangibles and leases$(2,446)$(2,526)
Non-U.S. withholding taxes(987)(921)
Interest-related items— (597)
Other deferred tax liabilities(1,590)(2,104)
Gross deferred tax liabilities$(5,023)$(6,148)
Net deferred tax assets$24,789 $24,840 
183

Unrecognized Tax Benefits
The following is a rollforward of the Company’s unrecognized tax benefits:

In millions of dollars202120202019
Total unrecognized tax benefits at January 1$861 $721 $607 
Net amount of increases for current year’s tax positions97 51 50 
Gross amount of increases for prior years’ tax positions515 217 151 
Gross amount of decreases for prior years’ tax positions(107)(74)(44)
Amounts of decreases relating to settlements(64)(40)(21)
Reductions due to lapse of statutes of limitation(2)(13)(23)
Foreign exchange, acquisitions and dispositions(4)(1)1 
Total unrecognized tax benefits at December 31$1,296 $861 $721 
The portions of the total unrecognized tax benefits at December 31, 2021, 2020 and 2019 that, if recognized, would affect Citi’s tax expense are $1.0 billion, $0.7 billion and $0.6 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. 
 202120202019
In millions of dollarsPretaxNet of taxPretaxNet of taxPretaxNet of tax
Total interest and penalties on the Consolidated Balance Sheet at January 1$118 $96 $100 $82 $103 $85 
Total interest and penalties in the Consolidated Statement of Income32 24 14 10 (4)(4)
Total interest and penalties on the Consolidated Balance Sheet at December 31(1)
214 164 118 96 100 82 

(1)Includes $3 million, $4 million and $3 million for non-U.S. penalties in 2021, 2020 and 2019, respectively. Also includes $0 million, $1 million and $1 million for state penalties in 2021, 2020 and 2019, respectively.

As of December 31, 2021, 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. The potential range of amounts that could affect Citi’s effective tax rate is between $0 and $500 million.
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
Mexico2016
New York State and City2009
United Kingdom2016
India2017
Singapore2019
Hong Kong2015
Ireland2017

Non-U.S. Earnings
Non-U.S. pretax earnings approximated $12.9 billion in 2021, $13.8 billion in 2020 and $16.7 billion in 2019. 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, 2021, $6.5 billion of basis differences of non-U.S. entities was indefinitely invested. At the existing tax rates (including withholding taxes), additional taxes (net of U.S. FTCs and valuation allowances) of $1.8 billion would have to be provided if such assertions were reversed.
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, 2021, the amount of the base year reserves totaled approximately $358 million (subject to a tax of $75 million).
184

Deferred Tax Assets
As of December 31, 2021, Citi had a valuation allowance of $4.2 billion, composed of valuation allowances of $0.8 billion on its general basket FTC carry-forwards, $1.7 billion on its branch basket FTC carry-forwards, $1.0 billion on its U.S. residual DTA related to its non-U.S. branches, $0.6 billion on local non-U.S. DTAs and $0.1 billion on state net operating loss carry-forwards. There was a decrease of $1.0 billion from the December 31, 2020 balance of $5.2 billion. The amount of Citi’s valuation allowances (VA) may change in future years.
In 2021, Citi’s VA for carry-forward FTCs in its branch basket decreased by $0.7 billion and the related VA for the U.S. tax effect on non-U.S. branch temporary differences was unchanged. Of this total branch-related change of $0.7 billion, $0.3 billion impacted the tax provision as discussed below. The remainder of the branch basket-related VA decrease of $0.4 billion was primarily due to carry-forward expirations.
The level of branch pretax income, the local branch tax rate and the allocations of overall domestic losses (ODL) and expenses for U.S. tax purposes to the branch basket are the main factors in determining the branch VA. The allocated ODL was enhanced by significant taxable income generated in the current year. In addition, the global interest rate environment and balance sheet requirements in non-U.S. branches resulted in a lower relative allocation of interest expense to non-U.S. branches. The combination of the factors enumerated resulted in a VA release of $0.2 billion in Citi’s full-year effective tax rate. Citi also released branch basket VA of $0.1 billion with respect to future years, based upon Citi’s Operating Plan and estimates of future branch basket factors, as outlined above.
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., in addition to tax examination changes from prior years, could alter the amount of VA that is needed against such FTCs. The VA for the general basket decreased by $0.2 billion to $0.8 billion, primarily due to audit adjustments. Citi continues to look for additional actions that may become prudent and feasible, taking into account client, regulatory and operational considerations.
The VA for U.S. residual DTA related to its non-U.S. branches was unchanged at $1.0 billion. In addition, the non-U.S. local VA was unchanged at $0.6 billion.
The following table summarizes Citi’s DTAs:

In billions of dollars
Jurisdiction/component(1)
DTAs balance December 31, 2021DTAs balance December 31, 2020
U.S. federal(2)
  
Net operating losses (NOLs)(3)
$3.2 $3.0 
Foreign tax credits (FTCs)2.8 4.4 
General business credits (GBCs)4.5 3.6 
Future tax deductions and credits8.4 7.9 
Total U.S. federal$18.9 $18.9 
State and local 
New York NOLs$1.2 $1.5 
Other state NOLs0.2 0.1 
Future tax deductions1.8 1.7 
Total state and local$3.2 $3.3 
Non-U.S.  
NOLs$0.5 $0.6 
Future tax deductions2.2 2.0 
Total non-U.S.$2.7 $2.6 
Total$24.8 $24.8 
(1)All amounts are net of valuation allowances.
(2)Included in the net U.S. federal DTAs of $18.9 billion as of December 31, 2021 were deferred tax liabilities of $2.7 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. 

185

The following table summarizes the amounts of tax carry-forwards and their expiration dates: 

In billions of dollars
Year of expirationDecember 31, 2021December 31, 2020
U.S. tax return general basket foreign tax credit carry-forwards(1)
  
2022$0.5 $2.3 
20230.4 0.4 
20251.5 1.4 
20271.1 1.2 
Total U.S. tax return general basket foreign tax credit carry-forwards$3.5 $5.3 
U.S. tax return branch basket foreign tax credit carry-forwards(1)
  
2021$— $0.7 
20221.0 1.0 
20280.6 0.6 
20290.2 0.2 
Total U.S. tax return branch basket foreign tax credit carry-forwards$1.8 $2.5 
U.S. tax return general business credit carry-forwards
2032$0.4 $0.3 
20330.3 0.3 
20340.2 0.2 
20350.2 0.2 
20360.2 0.2 
20370.5 0.5 
20380.5 0.5 
20390.7 0.7 
20400.7 0.7 
20410.8 — 
Total U.S. tax return general business credit carry-forwards$4.5 $3.6 
U.S. subsidiary separate federal NOL carry-forwards  
2027$0.1 $0.1 
20280.1 0.1 
20300.3 0.3 
20331.6 1.5 
20342.0 2.0 
20353.3 3.3 
20362.1 2.1 
20371.0 1.0 
Unlimited carry-forward period4.6 3.9 
Total U.S. subsidiary separate federal NOL carry-forwards(2)
$15.1 $14.3 
New York State NOL carry-forwards(2)
  
2034$6.6 $8.1 
New York City NOL carry-forwards(2)
 
2034$7.2 $8.7 
Non-U.S. NOL carry-forwards(1)
  
Various$1.1 $1.2 

(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 $24.8 billion at December 31, 2021 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).
The majority of Citi’s U.S. federal net operating loss carry-forward and all of its New York State and City net operating loss carry-forwards are subject to a carry-forward period of 20 years. This provides enough time to fully utilize the DTAs pertaining to these existing NOL carry-forwards. This is due to Citi’s forecast of sufficient U.S. taxable income and because 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, ODL that Citi has incurred of approximately $15 billion as of December 31, 2021 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 support the realization of the FTC carry-forwards after VA. As noted in the tables above, Citi’s FTC carry-forwards were $2.8 billion ($5.3 billion before VA) as of December 31, 2021, compared to $4.4 billion as of December 31, 2020. Citi believes that it will more-likely-than-not generate sufficient U.S. taxable income within the 10-year carry-forward period to be able to utilize the net FTCs after the VA, after considering any FTCs produced in the tax return for such period, which must be used prior to any carry-forward utilization.

186

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 amounts202120202019
Earnings per common share
Income from continuing operations before attribution of noncontrolling interests$22,018 $11,107 $19,471 
Less: Noncontrolling interests from continuing operations73 40 66 
Net income from continuing operations (for EPS purposes)$21,945 $11,067 $19,405 
Loss from discontinued operations, net of taxes7 (20)(4)
Citigroup’s net income$21,952 $11,047 $19,401 
Less: Preferred dividends(1)
1,040 1,095 1,109 
Net income available to common shareholders$20,912 $9,952 $18,292 
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares
with rights to dividends, applicable to basic EPS
154 73 121 
Net income allocated to common shareholders for basic EPS$20,758 $9,879 $18,171 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,033.0 2,085.8 2,249.2 
Basic earnings per share(2)
   
Income from continuing operations$10.21 $4.75 $8.08 
Discontinued operations— (0.01)— 
Net income per share—basic$10.21 $4.74 $8.08 
Diluted earnings per share  
Net income allocated to common shareholders for basic EPS$20,758 $9,879 $18,171 
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends
that are forfeitable		31 30 33 
Net income allocated to common shareholders for diluted EPS$20,789 $9,909 $18,204 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
$2,033.0 $2,085.8 $2,249.2 
Effect of dilutive securities
   Options(3)
— 0.1 0.1 
   Other employee plans16.4 13.1 16.0 
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4)
2,049.4 2,099.0 2,265.3 
Diluted earnings per share(2)
Income from continuing operations$10.14 $4.73 $8.04 
Discontinued operations— (0.01)— 
Net income per share—diluted$10.14 $4.72 $8.04 

(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 2021, there were no weighted-average options outstanding. During 2021, no significant options to purchase shares of common stock were outstanding. During 2020, weighted-average options to purchase 0.1 million shares of common stock were outstanding but not included in the computation of earnings per share because the weighted-average exercise price of $56.25 per share was anti-dilutive.
(4)Due to rounding, weighted-average common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to weighted-average common shares outstanding applicable to diluted EPS.


187

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,
In millions of dollars20212020
Securities purchased under agreements to resell$236,252 $204,655 
Deposits paid for securities borrowed91,042 90,067 
Total, net(1)
$327,294 $294,722 
Allowance for credit losses on securities purchased and borrowed(2)
(6)(10)
Total, net of allowance$327,288 $294,712 
Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:

December 31,
In millions of dollars20212020
Securities sold under agreements to repurchase$174,255 $181,194 
Deposits received for securities loaned17,030 18,331 
Total, net(1)
$191,285 $199,525 

(1)     The above tables do not include securities-for-securities lending transactions of $3.6 billion and $6.8 billion at December 31, 2021 and 2020, 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.
(2)    See Note 15 to the Consolidated Financial Statements for further information.

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.
188

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, 2021
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$367,594 $131,342 $236,252 $205,349 $30,903 
Deposits paid for securities borrowed107,041 15,999 91,042 17,326 73,716 
Total$474,635 $147,341 $327,294 $222,675 $104,619 
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$305,597 $131,342 $174,255 $85,184 $89,071 
Deposits received for securities loaned33,029 15,999 17,030 2,868 14,162 
Total$338,626 $147,341 $191,285 $88,052 $103,233 

 As of December 31, 2020
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$362,025 $157,370 $204,655 $159,232 $45,423 
Deposits paid for securities borrowed96,425 6,358 90,067 13,474 76,593 
Total$458,450 $163,728 $294,722 $172,706 $122,016 
189

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$338,564 $157,370 $181,194 $95,563 $85,631 
Deposits received for securities loaned24,689 6,358 18,331 7,982 10,349 
Total$363,253 $163,728 $199,525 $103,545 $95,980 

(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, 2021
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$127,679 $93,257 $32,908 $51,753 $305,597 
Deposits received for securities loaned23,387 6 1,392 8,244 33,029 
Total$151,066 $93,263 $34,300 $59,997 $338,626 

As of December 31, 2020
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$160,754 $98,226 $41,679 $37,905 $338,564 
Deposits received for securities loaned17,038 3 2,770 4,878 24,689 
Total$177,792 $98,229 $44,449 $42,783 $363,253 

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, 2021
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$85,861 $90 $85,951 
State and municipal securities1,053 — 1,053 
Foreign government securities133,352 212 133,564 
Corporate bonds20,398 152 20,550 
Equity securities25,653 32,517 58,170 
Mortgage-backed securities33,573 — 33,573 
Asset-backed securities1,681 — 1,681 
Other4,026 58 4,084 
Total$305,597 $33,029 $338,626 

190

As of December 31, 2020
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$112,437 $— $112,437 
State and municipal securities664 2 666 
Foreign government securities130,017 194 130,211 
Corporate bonds20,149 78 20,227 
Equity securities21,497 24,149 45,646 
Mortgage-backed securities45,566 — 45,566 
Asset-backed securities3,307 — 3,307 
Other4,927 266 5,193 
Total$338,564 $24,689 $363,253 

191

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 dollars20212020
Receivables from customers, net$26,403 $18,097 
Receivables from brokers, dealers and clearing organizations27,937 26,709 
Total brokerage receivables(1)
$54,340 $44,806 
Payables to customers$52,158 $39,319 
Payables to brokers, dealers and clearing organizations9,272 11,165 
Total brokerage payables(1)
$61,430 $50,484 

(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.
192

13.  INVESTMENTS

The following table presents Citi’s investments by category:

December 31,
In millions of dollars20212020
Debt securities available-for-sale (AFS)$288,522 $335,084 
Debt securities held-to-maturity (HTM)(1)
216,963 104,943 
Marketable equity securities carried at fair value(2)
543 515 
Non-marketable equity securities carried at fair value(2)
489 551 
Non-marketable equity securities measured using the measurement alternative(3)
1,413 962 
Non-marketable equity securities carried at cost(4)
4,892 5,304 
Total investments$512,822 $447,359 

(1)Carried at adjusted amortized cost basis, net of any ACL.
(2)Unrealized gains and losses are recognized in earnings.
(3)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See “Non-Marketable Equity Securities Not Carried at Fair Value” below.
(4)Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.

The following table presents interest and dividend income on investments:

In millions of dollars202120202019
Taxable interest$6,975 $7,554 $9,269 
Interest exempt from U.S. federal income tax279 301 404 
Dividend income134 134 187 
Total interest and dividend income on investments$7,388 $7,989 $9,860 

The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:

In millions of dollars202120202019
Gross realized investment gains$860 $1,895 $1,599 
Gross realized investment losses(195)(139)(125)
Net realized gains on sales of investments$665 $1,756 $1,474 

193

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

 December 31, 2021December 31, 2020
In millions of dollarsAmortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value		Amortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value
Debt securities AFS        
Mortgage-backed securities(1)
        
U.S. government-sponsored agency guaranteed$33,064 $453 $301 $— $33,216 $42,836 $1,134 $52 $— $43,918 
Non-U.S. residential380 1 1 — 380 568 3 — — 571 
Commercial25 — — — 25 49 1 — — 50 
Total mortgage-backed securities$33,469 $454 $302 $— $33,621 $43,453 $1,138 $52 $— $44,539 
U.S. Treasury and federal agency securities
U.S. Treasury$122,669 $615 $844 $— $122,440 $144,094 $2,108 $49 $— $146,153 
Agency obligations— — — — — 50 1 — — 51 
Total U.S. Treasury
and federal agency securities		$122,669 $615 $844 $— $122,440 $144,144 $2,109 $49 $— $146,204 
State and municipal$2,643 $79 $101 $— $2,621 $3,753 $123 $157 $— $3,719 
Foreign government119,426 337 1,023 — 118,740 123,467 1,623 122 — 124,968 
Corporate5,972 33 77 8 5,920 10,444 152 91 5 10,500 
Asset-backed securities(1)
304 — 1 — 303 277 5 4 — 278 
Other debt securities4,880 1 4 — 4,877 4,871 5 — — 4,876 
Total debt securities AFS$289,363 $1,519 $2,352 $8 $288,522 $330,409 $5,155 $475 $5 $335,084 

(1)The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 21 to the Consolidated Financial Statements.

At December 31, 2021, the amortized cost of fixed income securities exceeded their fair value by $2,352 million. Of the $2,352 million, $1,895 million represented unrealized losses on fixed income investments that have been in a gross-unrealized-loss position for less than a year and, of these, 77% were rated investment grade; and $457 million represented unrealized losses on fixed income investments that have been in a gross-unrealized-loss position for a year or more and, of these, 99% were rated investment grade. Of the $457 million, $197 million represents foreign government securities.
194

The following table shows the fair value of AFS debt securities that have been in an unrealized loss position:

 Less than 12 months12 months or longerTotal
In millions of dollarsFair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses
December 31, 2021      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$17,039 $270 $698 $31 $17,737 $301 
Non-U.S. residential96 1 1 — 97 1 
Commercial— — — — — — 
Total mortgage-backed securities$17,135 $271 $699 $31 $17,834 $302 
U.S. Treasury and federal agency securities    
U.S. Treasury$56,448 $713 $6,310 $131 $62,758 $844 
Agency obligations— — — — — — 
Total U.S. Treasury and federal agency securities$56,448 $713 $6,310 $131 $62,758 $844 
State and municipal$229 $3 $874 $98 $1,103 $101 
Foreign government64,319 826 9,924 197 74,243 1,023 
Corporate2,655 77 22 — 2,677 77 
Asset-backed securities108 1 — — 108 1 
Other debt securities3,439 4 — — 3,439 4 
Total debt securities AFS$144,333 $1,895 $17,829 $457 $162,162 $2,352 
December 31, 2020      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$3,588 $30 $298 $22 $3,886 $52 
Non-U.S. residential1 — — — 1 — 
Commercial7 — 4 — 11 — 
Total mortgage-backed securities$3,596 $30 $302 $22 $3,898 $52 
U.S. Treasury and federal agency securities 
U.S. Treasury$25,031 $49 $— $— $25,031 $49 
Agency obligations50 — — — 50 — 
Total U.S. Treasury and federal agency securities$25,081 $49 $— $— $25,081 $49 
State and municipal$836 $34 $893 $123 $1,729 $157 
Foreign government29,344 61 3,502 61 32,846 122 
Corporate1,083 90 24 1 1,107 91 
Asset-backed securities194 3 39 1 233 4 
Other debt securities182 — — — 182 — 
Total debt securities AFS$60,316 $267 $4,760 $208 $65,076 $475 

195

The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:

December 31,
 20212020
In millions of dollarsAmortized
cost		Fair
value
Weighted average yield(1)
Amortized
cost		Fair
value
Mortgage-backed securities(2)
    
Due within 1 year$188 $189 0.79 %$27 $27 
After 1 but within 5 years211 211 1.07 567 571 
After 5 but within 10 years523 559 3.41 688 757 
After 10 years32,547 32,662 2.73 42,171 43,184 
Total$33,469 $33,621 2.72 %$43,453 $44,539 
U.S. Treasury and federal agency securities    
Due within 1 year$34,321 $34,448 1.05 %$34,834 $34,951 
After 1 but within 5 years87,987 87,633 0.81 108,160 110,091 
After 5 but within 10 years361 359 1.42 1,150 1,162 
After 10 years— — — — — 
Total$122,669 $122,440 0.87 %$144,144 $146,204 
State and municipal    
Due within 1 year$40 $40 2.09 %$427 $428 
After 1 but within 5 years121 124 3.16 189 198 
After 5 but within 10 years156 161 3.18 276 267 
After 10 years2,326 2,296 3.15 2,861 2,826 
Total$2,643 $2,621 3.14 %$3,753 $3,719 
Foreign government    
Due within 1 year$49,263 $49,223 2.53 %$48,133 $48,258 
After 1 but within 5 years64,555 63,961 3.14 67,365 68,586 
After 5 but within 10 years3,736 3,656 1.72 5,908 6,011 
After 10 years1,872 1,900 1.52 2,061 2,113 
Total$119,426 $118,740 2.82 %$123,467 $124,968 
All other(3)
    
Due within 1 year$5,175 $5,180 0.94 %$6,661 $6,665 
After 1 but within 5 years5,177 5,149 1.91 7,814 7,891 
After 5 but within 10 years750 750 2.08 1,018 1,034 
After 10 years54 21 4.28 99 64 
Total$11,156 $11,100 1.48 %$15,592 $15,654 
Total debt securities AFS$289,363 $288,522 1.94 %$330,409 $335,084 

(1)Weighted average yields are weighted based on the amortized cost of each security. The average yield considers the contractual coupon, amortization of premiums and accretion of discounts and excludes the effects of any related hedging derivatives.
(2)Includes mortgage-backed securities of U.S. government-sponsored agencies. The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions.
(3)Includes corporate, asset-backed and other debt securities.



196

Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as follows:

In millions of dollars
Amortized
cost, net(1)
Gross
unrealized
gains		Gross
unrealized
losses		Fair
value
December 31, 2021    
Debt securities HTM    
Mortgage-backed securities(2)
    
U.S. government-sponsored agency guaranteed$63,885 $1,076 $925 $64,036 
Non-U.S. residential736 3 — 739 
Commercial1,070 4 2 1,072 
Total mortgage-backed securities$65,691 $1,083 $927 $65,847 
U.S. Treasury securities$111,819 $30 $1,632 $110,217 
State and municipal(3)
8,923 589 12 9,500 
Foreign government1,651 4 36 1,619 
Asset-backed securities(2)
28,879 8 32 28,855 
Total debt securities HTM, net$216,963 $1,714 $2,639 $216,038 
December 31, 2020    
Debt securities HTM    
Mortgage-backed securities(2)
    
U.S. government-sponsored agency guaranteed$49,004 $2,162 $15 $51,151 
Non-U.S. residential1,124 3 1 1,126 
Commercial825 1 1 825 
Total mortgage-backed securities$50,953 $2,166 $17 $53,102 
U.S. Treasury securities(4)
$21,293 $4 $55 $21,242 
State and municipal9,185 755 11 9,929 
Foreign government1,931 91 — 2,022 
Asset-backed securities(2)
21,581 6 92 21,495 
Total debt securities HTM$104,943 $3,022 $175 $107,790 

(1)Amortized cost is reported net of ACL of $87 million and $86 million at December 31, 2021 and December 31, 2020, respectively.
(2)The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 21 to the Consolidated Financial Statements.
(3)In February 2021, the Company transferred $237 million of state and municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $14 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.
(4)In August 2020, Citibank transferred $13.1 billion of investments in U.S. Treasury securities from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $144 million. The gain amounts will remain in AOCI and will 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, until the exercise of any issuer call option, 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 debt 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.
197

The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:

December 31,
 20212020
In millions of dollars
Amortized cost(1)
Fair value
Weighted average yield(2)
Amortized cost(1)
Fair value
Mortgage-backed securities    
Due within 1 year$152 $151 1.70 %$81 $81 
After 1 but within 5 years684 725 3.01 463 477 
After 5 but within 10 years1,655 1,739 2.74 1,699 1,873 
After 10 years63,200 63,232 2.55 48,710 50,671 
Total$65,691 $65,847 2.56 %$50,953 $53,102 
U.S. Treasury securities
After 1 but within 5 years$65,498 $64,516 0.69 %$18,955 $19,127 
After 5 but within 10 years46,321 45,701 1.15 2,338 2,115 
After 10 years— — — — — 
Total$111,819 $110,217 0.88 %$21,293 $21,242 
State and municipal  
Due within 1 year$51 $50 3.82 %$6 $6 
After 1 but within 5 years166 170 2.82 139 142 
After 5 but within 10 years908 951 3.23 818 869 
After 10 years7,798 8,329 2.65 8,222 8,912 
Total$8,923 $9,500 2.72 %$9,185 $9,929 
Foreign government  
Due within 1 year$292 $291 7.86 %$361 $360 
After 1 but within 5 years1,359 1,328 6.30 1,570 1,662 
After 5 but within 10 years— — — — — 
After 10 years— — — — — 
Total$1,651 $1,619 6.58 %$1,931 $2,022 
All other(3)
  
Due within 1 year$— $— — %$— $— 
After 1 but within 5 years— — — — — 
After 5 but within 10 years11,520 11,515 2.78 11,795 15,020 
After 10 years17,359 17,340 1.34 9,786 6,475 
Total$28,879 $28,855 1.92 %$21,581 $21,495 
Total debt securities HTM$216,963 $216,038 1.65 %$104,943 $107,790 

(1)Amortized cost is reported net of ACL of $87 million and $86 million at December 31, 2021 and December 30, 2020, respectively.
(2)Weighted average yields are weighted based on the amortized cost of each security. The average yield considers the contractual coupon, amortization of premiums and accretion of discounts and excludes the effects of any related hedging derivatives.
(3)Includes corporate and asset-backed securities.


HTM Debt Securities Delinquency and Non-Accrual
Details
Citi did not have any HTM debt securities that were delinquent or on non-accrual status at December 31, 2021 and 2020.

There were no purchased credit-deteriorated HTM debt
securities held by the Company as of December 31, 2021 and 2020.
198

Evaluating Investments for Impairment

AFS Debt Securities

Overview—AFS Debt Securities
The Company conducts periodic reviews of all AFS debt securities with unrealized losses to evaluate whether the impairment resulted from expected credit losses or from other factors and to evaluate the Company’s intent to sell such securities.
An AFS debt security is impaired when the current fair value of an individual AFS debt security is less than its amortized cost basis.
The Company recognizes the entire difference between the adjusted amortized cost basis and fair value is recognized in earnings as OTTI for impaired AFS debt securities that the CompanyCiti has an intent to sell or for which the CompanyCiti believes it will more-likely-than-not be required to sell prior to recovery of the adjusted amortized cost basis. However, for those AFS 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 impairmentby recording an allowance for credit losses. Any remaining fair value decline for such securities is recorded in AOCI.AOCI. The Company does not consider the length of time that the fair value of a security is below its amortized cost when determining if a credit loss exists.
For AFS debt securities, credit impairment existslosses exist where the present value of cash flows management expectsCiti does not expect to receive is notcontractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security. The allowance for credit losses is limited to the amount by which the AFS debt security’s amortized cost basis exceeds its fair value. The allowance is increased or decreased if credit conditions subsequently worsen or improve. Reversals of credit losses are recognized in earnings.

The Company’s review for impairment of AFS debt securities generally entails:
Equity
•identification and evaluation of impaired investments;
•consideration of evidential matter, including an evaluation of factors or triggers that could cause individual positions to qualify as credit impaired and those that would not support credit impairment; and
•documentation of the results of these analyses, as required under business policies.

The sections below describe the Company’s process for identifying expected credit impairments for debt security types that have the most significant unrealized losses as of December 31, 2021.

Mortgage-Backed Securities
Citi records no allowances for credit losses on U.S. government-agency-guaranteed mortgage-backed securities, because the Company expects to incur no credit losses in the event of default due to a history of incurring no credit losses and due to the nature of the counterparties.

State and Municipal Securities
The process for estimating credit losses in Citigroup’s AFS state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. Citi monitors the bond issuers and any insurers providing default protection in the form of financial guarantee insurance. The average external credit rating, disregarding any insurance, is Aa2/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 equity securities, management considersAFS state and municipal bonds with unrealized losses that Citi plans to sell or would more-likely-than-not be required to sell, the various factors described above, including itsfull impairment is recognized in earnings. For AFS state and municipal bonds where Citi has no intent and ability to hold the equity security for a period of time sufficient for recovery or whethersell and it is more-likely-than-not that the Company will not be required to sell, Citi records an allowance for expected credit losses for the security prioramount it expects not to recovery of its cost basis. Where management lacks that intent or ability,collect, capped at 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 the bond’s amortized cost basis and fair value and cost recognized in earnings.value.

Equity Method Investments
Management also assesses equity method investments that have fair values that are less than their respective carrying values for OTTI.other-than-temporary impairment (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 likelymore-likely-than-not 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 in Other revenue 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 likelymore-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, regardless of the time and extent of impairment: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.

The sections below describe the Company’s process for identifying credit-related impairments for security types that have the most significant unrealized losses as of December 31, 2017.

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) or that will be subject to an issuer call deemed probable of exercise prior to the expected recovery of its amortized cost basis (for AFS and HTM), the full impairment is recognized in earnings as OTTI.

199

Recognition and Measurement of OTTIImpairment
The following tables present total OTTIimpairment on Investments recognized in earnings:

Year ended
December 31, 2021
In millions of dollarsAFSOther
assets		Total
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:
Total impairment losses recognized during the period$— $— $— 
Less: portion of impairment loss recognized in AOCI (before taxes)
— — — 
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$— $— $— 
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise181 — 181 
Total impairment losses recognized in earnings$181 $— $181 

Year ended
December 31, 2020
In millions of dollarsAFSHTMOther
assets		Total
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:
Total impairment losses recognized during the period$— $— $— $— 
Less: portion of impairment loss recognized in AOCI (before taxes)
— — — — 
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$— $— $— $— 
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise109 — — 109 
Total impairment losses recognized in earnings$109 $— $— $109 

Year ended
December 31, 2019
In millions of dollarsAFSHTMOther
assets		Total
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:
Total impairment losses recognized during the period$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 more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise20 — 1 21 
Total impairment losses recognized in earnings$21 $— $2 $23 







200
OTTI on Investments and Other AssetsYear ended 
  December 31, 2017
In millions of dollars
AFS(1)
HTM
Other
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
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
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
Total impairment 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 ofpresents the credit-related impairments recognized in earnings for AFS and HTM debt securities held that the Company does not intend to sell nor will likely will be required to sell:sell at December 31, 2021 and 2020:


Allowance for Credit Losses on AFS Debt Securities

Year ended December 31, 2021
In millions of dollarsMortgage-backedU.S. Treasury and federal agencyState and municipalForeign governmentCorporateTotal AFS
Allowance for credit losses at beginning of year$— $— $— $— $5 $5 
Gross write-offs— — — — — — 
Gross recoveries— — — — — — 
Net credit losses (NCLs)$— $— $— $— $— $— 
NCLs$— $— $— $— $— $— 
Credit losses on securities without previous credit losses— — — — 3 3 
Net reserve builds (releases) on securities with previous credit losses— — — — — — 
Total provision for credit losses$— $— $— $— $3 $3 
Initial allowance on newly purchased credit-deteriorated securities during the year— — — — — — 
Allowance for credit losses at end of year$— $— $— $— $8 $8 

Year ended December 31, 2020
In millions of dollarsMortgage-backedU.S. Treasury and federal agencyState and municipalForeign governmentCorporateTotal AFS
Allowance for credit losses at beginning of year$— $— $— $— $— $— 
Gross write-offs— — — — — — 
Gross recoveries— — — — 2 2 
Net credit losses (NCLs)$— $— $— $— $2 $2 
NCLs$— $— $— $— $(2)$(2)
Credit losses on securities without previous credit losses— — — 3 5 8 
Net reserve builds (releases) on securities with previous credit losses— — — (3)— (3)
Total provision for credit losses$— $— $— $— $3 $3 
Initial allowance on newly purchased credit-deteriorated securities during the year— — — — — — 
Allowance for credit losses at end of year$— $— $— $— $5 $5 
 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
201

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.
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, 2021 and 2020:

In millions of dollarsDecember 31, 2021December 31, 2020
Measurement alternative:
Carrying value$1,413 $962 

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 dollars20212020
Measurement alternative(1):
Impairment losses$25 $56 
Downward changes for observable prices— 19 
Upward changes for observable prices406 144 

(1)     Includes $38 million in cumulative OTTI reclassified from HTM to AFS dueSee Note 24 to the transfer of the related securities from HTM to AFS.Consolidated Financial Statements for additional information on these nonrecurring fair value measurements.
(2) Primarily consists of Prime securities.
(3) Primarily consists of Alt-A securities.


 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 consistsLife-to-date amounts on securities still held
In millions of Alt-A securities.dollarsDecember 31, 2021
Measurement alternative:
Impairment losses$87
Downward changes for observable prices3
Upward changes for observable prices699



A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the years ended December 31, 2021 and 2020, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.
202

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
In millions of dollarsDecember 31, 2021December 31, 2020December 31, 2021December 31, 2020
Private equity funds(1)(2)
$123 $123 $60 $62 ——
Real estate funds(2)(3)
2 9 1 20 ——
Mutual/collective investment funds20 20 — — 
Total$145 $152 $61 $82 ——

(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.

203

 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  
Hedge funds$1
$4
$—
$—
Generally quarterly10–95 days
Private equity funds(1)(2)
372
348
62
82
——
Real estate funds(2)(3)
31
56
20
20
——
Total$404
$408
$82
$102
——
(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 operating segment and subsegmentbusiness 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.















































204

The following tables provide Citi’s consumer loans by type:


Consumer Loan DelinquencyLoans, Delinquencies and Non-Accrual DetailsStatus at December 31, 2017
2021
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
(1)Loans less than 30 days past due are presented as current.
(2)Includes $25 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 $1.0 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 GCB or Corporate/Other consumer credit metrics.


In millions of dollars
Total
current(1)(2)
30–89 
days past 
due(3)(4)
≥ 90 days
past 
due(3)(4)
Past due
government
guaranteed(5)
Total
loans		Non-accrual loans for which there is no ACLLNon-accrual loans for which there is an ACLLTotal
non-accrual		90 days 
past due and accruing
In North America offices(6)
      
Residential first mortgages(7)
$42,894 $245 $280 $394 $43,813 $134 $339 $473 $282 
Home equity loans(8)(9)
4,899 43 159 — 5,101 63 206 269 — 
Credit cards132,050 947 871 — 133,868 — — — 871 
Personal, small business and other3,091 19 10 38 3,158 2 15 17 28 
Total$182,934 $1,254 $1,320 $432 $185,940 $199 $560 $759 $1,181 
In offices outside North America(6)
       
Residential mortgages(7)
$34,289 $159 $153 $— $34,601 $— $403 $403 $— 
Credit cards17,428 192 188 — 17,808 — 140 140 120 
Personal, small business and other32,662 144 81 — 32,887 — 200 200 22 
Total$84,379 $495 $422 $— $85,296 $— $743 $743 $142 
Total Citigroup(10)
$267,313 $1,749 $1,742 $432 $271,236 $199 $1,303 $1,502 $1,323 

Consumer Loan DelinquencyLoans, Delinquencies and Non-Accrual DetailsStatus at December 31, 20162020

In millions of dollars
Total
current(1)(2)
30–89
 days past
 due(3)(4)
≥ 90 days
past
 due(3)(4)
Past due
government
guaranteed(5)
Total
loans		Non-accrual loans for which there is no ACLLNon-accrual loans for which there is an ACLLTotal
non-accrual		90 days 
past due and accruing
In North America offices(6)
       
Residential first mortgages(7)
$46,471 $402 $381 $524 $47,778 $136 $509 $645 $332 
Home equity loans(8)(9)
6,829 78 221 — 7,128 72 307 379 — 
Credit cards127,827 1,228 1,330 — 130,385 — — — 1,330 
Personal, small business and other4,472 27 10 — 4,509 2 33 35 — 
Total$185,599 $1,735 $1,942 $524 $189,800 $210 $849 $1,059 $1,662 
In offices outside North America(6)
       
Residential mortgages(7)
$39,557 $213 $199 $— $39,969 $— $486 $486 $— 
Credit cards21,718 429 545 — 22,692 — 384 384 324 
Personal, small business and other35,925 319 134 — 36,378 — 212 212 52 
Total$97,200 $961 $878 $— $99,039 $— $1,082 $1,082 $376 
Total Citigroup(10)
$282,799 $2,696 $2,820 $524 $288,839 $210 $1,931 $2,141 $2,038 

(1)Loans less than 30 days past due are presented as current.
(2)Includes $12 million and $14 million at December 31, 2021 and 2020, respectively, of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification. Most modified loans in North America would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020 and began to age at that time.
(5)Consists of loans that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and $0.2 billion and 90 days or more past due of $0.3 billion and $0.3 billion at December 31, 2021 and 2020, respectively.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion and $0.1 billion at December 31, 2021 and 2020, respectively, of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion and $0.1 billion at December 31, 2021 and 2020, respectively, of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $659 million and $749 million at December 31, 2021 and 2020, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.



205


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
Interest Income Recognized for Non-Accrual Consumer Loans
(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.

For the years ended
In millions of dollarsDecember 31, 2021December 31, 2020
In North America offices(1)
Residential first mortgages$13 $15 
Home equity loans7 8 
Credit cards— — 
Personal, small business and other— — 
Total$20 $23 
In offices outside North America(1)
Residential mortgages$1 $— 
Credit cards— — 
Personal, small business and other— — 
Total$1 $— 
Total Citigroup$21 $23 

(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

During the years ended December 31, 2021 and 2020, the Company sold and/or reclassified to HFS $1,473 million and $414 million of consumer loans, respectively. Loans of businesses that are HFS are not included in the above. For additional information, see Note 2 to the Consolidated Financial Statements.
206


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” (FairFair Isaac Corporation)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).by year of origination. 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)
December 31, 2021
In millions of dollarsLess than
680		680
to 760		Greater
than 760		FICO not availableTotal loans
Residential first mortgages
2021$201 $3,415 $7,363 
20202002,7327,339
20191401,1783,082
2018196431747
20172406251,143
Prior1,5073,8177,903
Total residential first mortgages$2,484 $12,198 $27,577 $1,554 $43,813 
Home equity loans (pre-reset)$222 $836 $1,309 
Home equity loans (post-reset)609 989 1,095 
Total home equity loans$831 $1,825 $2,404 $41 $5,101 
Credit cards(3)
$23,115 $52,907 $55,137 $2,192 $133,351 
Personal, small business and other
2021$59 $201 $319 
202022 41 64 
201942 53 68 
201834 35 37 
20177 8 9 
Prior120 179 143 
Total personal, small business and other$284 $517 $640 $1,717 $3,158 
Total$26,714 $67,447 $85,758 $5,504 $185,423 
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
207


FICO score distribution in U.S. portfolio(1)(2)
December 31, 2020
In millions of dollarsLess than
680		680
to 760		Greater
than 760		FICO not availableTotal
loans
Residential first mortgages
2020$187 $3,741 $9,052 
20191501,8575,384
20182466551,227
20172988461,829
20163231,3683,799
Prior1,7084,1339,105
Total residential first mortgages$2,912 $12,600 $30,396 $1,870 $47,778 
Home equity loans (pre-reset)$292 $1,014 $1,657 
Home equity loans (post-reset)1,055 1,569 1,524 
Total home equity loans$1,347 $2,583 $3,181 $17 $7,128 
Credit cards(3)
$26,227 $52,778 $49,767 $1,041 $129,813 
Personal, small business and other
2020$23 $58 $95 
201979 106 134 
201882 80 84 
201726 27 30 
201610 9 8 
Prior214 393 529 
Total personal, small business and other$434 $673 $880 $2,522 $4,509 
Total$30,920 $68,634 $84,224 $5,450 $189,228 


(1)The FICO bands in the tables are consistent with general industry peer presentations.
(2)FICO scores are updated on either a monthly or quarterly basis. For updates that are made only quarterly, certain current-period loans by year of origination are greater than those disclosed in the prior periods. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available.
(3)Excludes $517 million and $572 million of balances related to Canada for December 31, 2021 and December 31, 2020, respectively.

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)Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (LTSCs) with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where FICO was not available. Such amounts are not material.

208

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.portfolios by year of origination. 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. portfolioDecember 31, 2021
In millions of dollarsLess than
or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%		LTV not availableTotal
Residential first mortgages
2021$10,515 $474 $1 
202010,206 75 — 
20194,372 35 1 
20181,300 74 5 
20171,986 27 2 
Prior13,271 34 8 
Total residential first mortgages$41,650 $719 $17 $1,427 $43,813 
Home equity loans (pre-reset)$2,315 $26 $9 
Home equity loans (post-reset)2,608 48 25 
Total home equity loans$4,923 $74 $34 $70 $5,101 
Total$46,573 $793 $51 $1,497 $48,914 
LTV distribution in U.S. portfolioDecember 31, 2020
In millions of dollarsLess than
or equal
to 80%		> 80% but less
than or equal
to 100%		Greater
than
100%		LTV not availableTotal
Residential first mortgages
2020$11,447 $1,543 $— 
20197,029 376 2 
20181,617 507 11 
20172,711 269 4 
20165,423 84 2 
Prior14,966 66 16 
Total residential first mortgages$43,193 $2,845 $35 $1,705 $47,778 
Home equity loans (pre-reset)$2,876 $50 $16 
Home equity loans (post-reset)3,782 290 58 
Total home equity loans$6,658 $340 $74 $56 $7,128 
Total$49,851 $3,185 $109 $1,761 $54,906 



LTV distribution in U.S. portfolio(1)(2)
December 31, 2017
In millions of dollars
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
Home equity loans11,403
2,147
800
Total$55,029
$4,725
$1,047
209

LTV distribution in U.S. portfolio(1)(2)
December 31, 2016
In millions of dollars
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
Home equity loans12,869
3,653
1,305
Total$58,718
$7,120
$1,629
(1)Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities 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, 2021
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)(4)
Average
carrying value(5)
Interest income
recognized(6)
Mortgage and real estate   
Residential first mortgages$1,457 $1,531 $87 $1,548 $87 
Home equity loans188 342 (1)335 9 
Credit cards1,582 1,609 594 1,795 116 
Personal, small business and other454 461 120 505 52 
Total$3,681 $3,943 $800 $4,183 $264 

 At and for the year ended December 31, 2020
In millions of dollars
Recorded
investment
(1)(2)
Unpaid
principal
balance
Related
specific allowance(3)
Average
carrying 
value(5)
Interest income
recognized(6)
Mortgage and real estate    
Residential first mortgages$1,787 $1,962 $157 $1,661 $68 
Home equity loans478 651 60 527 13 
Credit cards1,982 2,135 918 1,926 106 
Personal, small business and other552 552 210 463 63 
Total$4,799 $5,300 $1,345 $4,577 $250 

 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
(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)For December 31, 2021, $190 million of residential first mortgages and $94 million of home equity loans do not have a specific allowance. For December 31, 2020, $211 million of residential first mortgages and $147 million of home equity loans do not have a specific allowance.
(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)$607 million of residential first mortgages, $370 million of home equity loans and $10 million of commercial market loans do not have a specific allowance.
(3)Included in the Allowance for loancredit losses on loans.
(4)The negative allowance on home equity loans resulted from expected recoveries on previously written-off accounts.
(5)Average carrying value represents the average recorded investment ending balance for the last four4 quarters and does not include the related specific allowance.
(5)(6)    Includes amounts recognized on both an accrual and cash basis.





210

 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
Consumer Troubled Debt Restructurings(1)
(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

 
For the year ended December 31, 2021(1)
In millions of dollars, except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(2)(3)
Deferred
principal(4)
Contingent
principal
forgiveness(5)
Principal
forgiveness(6)
Average
interest rate
reduction
North America      
Residential first mortgages1,333 $227 $— $— $— 1 %
Home equity loans187 12 — — — 1 
Credit cards165,098 794 — — — 18 
Personal, small business and other1,000 13 — — — 3 
Total(7)
167,618 $1,046 $— $— $— 
International      
Residential mortgages1,975 $86 $— $— $— — %
Credit cards74,202 339 — — 13 13 
Personal, small business and other28,206 201 — — 7 10 
Total(7)
104,383 $626 $— $— $20  
 
For the year ended December 31, 2020(1)
In millions of dollars, except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(2)(8)
Deferred
principal(4)
Contingent
principal
forgiveness(5)
Principal
forgiveness(6)
Average
interest rate
reduction
North America      
Residential first mortgages1,225 $209 $— $— $— — %
Home equity loans296 27 — — — 1 
Credit cards215,466 1,038 — — — 17 
Personal, small business and other2,452 28 — — — 5 
Total(7)
219,439 $1,302 $— $— $— 
International      
Residential mortgages2,542 $141 $3 $— $— 2 %
Credit cards90,694 401 — — 12 15 
Personal, small business and other41,079 301 — — 8 10 
Total(7)
134,315 $843 $3 $— $20 

(1)The above tables do not include loan modifications that meet the TDR relief criteria in the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) or the interagency guidance.
(2)Post-modification balances include past-due amounts that are capitalized at the modification date.
(3)Post-modification balances in North America include $15 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 four quarters and does not include the related specific allowance.
(5) Includes amounts recognized on both an accrual and cash basis.
(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, 2017
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%
Home equity loans2,807
247
16
—
1
1
Credit cards230,042
880
—
—
—
17
Installment and other revolving1,088
8
—
—
—
5
Commercial banking(6)
112
117
—
—
—
—
Total(8)
238,112
$1,832
$22
$—
$3
 
International      
Residential first mortgages4,477
$123
$—
$—
$—
—%
Credit cards115,941
399
—
—
7
11
Installment and other revolving44,880
254
—
—
11
9
Commercial banking(6)
370
50
—
—
—
—
Total(8)
165,668
$826
$—
$—
$18
 
 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 million of residential first mortgages and $21 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2017. These amounts include $36 million of residential first mortgages and $18 million of home equity loans that were newly classified as TDRs during 2017, 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) 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, 2016.2021. These amounts include $48$5 million of residential first mortgages and $20 million of home equity loans that were newly classified as TDRs during 2016,2021, based on previously received OCC guidance.
(8)(4)Represents the 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.
(5)Represents the portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(6)Represents the portion of contractual loan principal that was forgiven at the time of permanent modification.
(7)    The above tables reflect activity for restructured loans outstanding as of the end of the reporting period that were considered TDRs.TDRs during the year.

(8)    Post-modification balances in North America include $13 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2020. These amounts include $9 million of residential first mortgages that were newly classified as TDRs during 2020, based on previously received OCC guidance.




211

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 dollars20212020
North America  
Residential first mortgages$57 $71 
Home equity loans8 14 
Credit cards252 317 
Personal, small business and other4 4 
Total$321 $406 
International  
Residential mortgages$38 $26 
Credit cards152 178 
Personal, small business and other96 78 
Total$286 $282 

Purchased Credit-Deteriorated Assets

Years ended December 31,
 20212020
In millions of dollarsCredit
cards
Mortgages(1)
Installment and otherCredit
cards
Mortgages(1)
Installment and other
Purchase price$— $23 $— $4 $49 $— 
Allowance for credit losses at acquisition date— — — 4 — — 
Discount or premium attributable to non-credit factors— — — — — — 
Par value (amortized cost basis)$— $23 $— $8 $49 $— 


(1)    Includes loans sold to agencies that were bought back at par due to repurchase agreements.

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


212

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,
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)Loans secured primarily by real estate.
In millions of dollarsDecember 31,
2021		December 31,
2020
In North America offices(1)
  
Commercial and industrial$51,999 $57,731 
Financial institutions66,936 55,809 
Mortgage and real estate(2)
63,357 60,675 
Installment and other29,143 26,744 
Lease financing413 673 
Total$211,848 $201,632 
In offices outside North America(1)
  
Commercial and industrial$103,167 $104,072 
Financial institutions32,203 32,334 
Mortgage and real estate(2)
10,412 11,371 
Installment and other34,436 33,759 
Lease financing42 65 
Governments and official institutions4,423 3,811 
Total$184,683 $185,412 
Corporate loans, net of unearned income(3)
$396,531 $387,044 

(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 ($799) million and ($844) million at December 31, 2021 and 2020, 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$5.9 billion and $4.2$2.2 billion of corporate loans during the years ended December 31, 20172021 and 2016,2020, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the years ended December 31, 20172021 or 2016.2020.

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 $0.5 billion of lease financing receivables, as of December 31, 2021, 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, 2021 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 $0.2 billion as of December 31, 2021, while the amount covered by residual value guarantees is nil.
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.

213

Corporate Loan DelinquencyDelinquencies and Non-Accrual Details at December 31, 2017
2021
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

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$1,100 $249 $1,349 $1,264 $148,459 $151,072 
Financial institutions505 233 738 33 98,172 98,943 
Mortgage and real estate283 1 284 419 73,066 73,769 
Lease financing— — — 14 441 455 
Other128 26 154 147 65,921 66,222 
Loans at fair value6,070 
Total$2,016 $509 $2,525 $1,877 $386,059 $396,531 

Corporate Loan DelinquencyDelinquencies and Non-Accrual Details at December 31, 2016
2020
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$143
$52
$195
$1,909
$127,012
$129,116
Financial institutions119
2
121
185
61,254
61,560
Mortgage and real estate148
137
285
139
43,607
44,031
Leases27
8
35
56
1,678
1,769
Other349
12
361
132
58,880
59,373
Loans at fair value









3,457
Total$786
$211
$997
$2,421
$292,431
$299,306

(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 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.

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$400 $109 $509 $2,795 $153,036 $156,340 
Financial institutions668 65 733 92 86,864 87,689 
Mortgage and real estate450 247 697 505 70,836 72,038 
Lease financing62 12 74 24 640 738 
Other112 19 131 111 63,157 63,399 
Loans at fair value6,840 
Total$1,692 $452 $2,144 $3,527 $374,533 $387,044 

(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 gradeinvestment-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, doubtful and doubtfulloss will have risk ratings within the non-investment gradenon-investment-grade categories.
















214

Corporate Loans Credit Quality Indicators

 
Recorded investment in loans(1)
In millions of dollarsDecember 31, 2017December 31,
2016
Investment grade(2)
  
Commercial and industrial$101,313
$87,201
Financial institutions60,404
50,597
Mortgage and real estate23,213
18,718
Leases1,090
1,303
Other56,306
52,828
Total investment grade$242,326
$210,647
Non-investment grade(2)
  
Accrual  
Commercial and industrial$38,503
$39,874
Financial institutions13,261
10,873
Mortgage and real estate2,881
1,821
Leases518
410
Other3,924
6,450
Non-accrual  
Commercial and industrial1,506
1,909
Financial institutions92
185
Mortgage and real estate195
139
Leases46
56
Other103
132
Total non-investment grade$61,029
$61,849
Private bank loans managed on a delinquency basis(2)
$25,674
$23,353
Loans at fair value4,349
3,457
Corporate loans, net of unearned income$333,378
$299,306
(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.
 
Recorded investment in loans(1)
Term loans by year of origination
Revolving line
of credit arrangements(2)
December 31,
2021
In millions of dollars20212020201920182017Prior
Investment grade(3)
 
Commercial and industrial(4)
$42,730 $5,744 $4,762 $3,825 $3,060 $8,928 $32,894 $101,943 
Financial institutions(4)
14,096 1,985 1,290 1,118 599 2,536 67,184 88,808 
Mortgage and real estate4,423 6,013 5,421 3,630 1,801 3,561 1,341 26,190 
Other(5)
11,928 3,993 1,392 2,974 524 6,321 32,807 59,939 
Total investment grade$73,177 $17,735 $12,865 $11,547 $5,984 $21,346 $134,226 $276,880 
Non-investment grade(3)
 
Accrual 
Commercial and industrial(4)
$16,814 $2,313 $2,466 $2,024 $1,412 $3,987 $18,849 $47,865 
Financial institutions(4)
4,471 399 571 107 74 586 3,894 10,102 
Mortgage and real estate1,819 980 1,842 1,163 640 761 644 7,849 
Other(5)
1,517 399 594 384 148 383 3,152 6,577 
Non-accrual
Commercial and industrial(4)
54 119 64 104 94 117 712 1,264 
Financial institutions— — — — — — 33 33 
Mortgage and real estate13 10 2 49 10 25 310 419 
Other(5)
19 5 19 19 — 90 9 161 
Total non-investment grade$24,707 $4,225 $5,558 $3,850 $2,378 $5,949 $27,603 $74,270 
Non-rated private bank loans managed on a delinquency basis(3)(6)
$9,984 $8,901 $5,926 $2,895 $2,925 $8,680 $— $39,311 
Loans at fair value(7)
6,070 
Corporate loans, net of unearned income$107,868 $30,861 $24,349 $18,292 $11,287 $35,975 $161,829 $396,531 
215

 
Recorded investment in loans(1)
Term loans by year of origination
Revolving line
of credit arrangements(2)
December 31, 2020
In millions of dollars20202019201820172016Prior
Investment grade(3)
 
Commercial and industrial(4)
$38,398 $7,607 $5,929 $3,909 $2,094 $8,670 $25,819 $92,426 
Financial institutions(4)
10,560 2,964 2,106 782 681 2,030 56,239 75,362 
Mortgage and real estate6,793 6,714 5,174 2,568 1,212 1,719 1,557 25,737 
Other(5)
10,874 3,566 4,597 952 780 5,290 31,696 57,755 
Total investment grade$66,625 $20,851 $17,806 $8,211 $4,767 $17,709 $115,311 $251,280 
Non-investment grade(3)
 
Accrual 
Commercial and industrial(4)
$19,683 $4,794 $4,645 $2,883 $1,182 $4,533 $23,400 $61,120 
Financial institutions(4)
7,413 700 654 274 141 197 2,855 12,234 
Mortgage and real estate1,882 1,919 2,058 1,457 697 837 551 9,401 
Other(5)
1,407 918 725 370 186 657 1,986 6,249 
Non-accrual
Commercial and industrial(4)
260 203 192 143 57 223 1,717 2,795 
Financial institutions1 — — — — — 91 92 
Mortgage and real estate13 4 3 18 8 32 427 505 
Other(5)
15 3 12 29 2 65 9 135 
Total non-investment grade$30,674 $8,541 $8,289 $5,174 $2,273 $6,544 $31,036 $92,531 
Non-rated private bank loans managed on a delinquency basis(3)(6)
$9,823 $7,121 $3,533 $3,674 $4,300 $7,942 $— $36,393 
Loans at fair value(7)
6,840 
Corporate loans, net of unearned income$107,122 $36,513 $29,628 $17,059 $11,340 $32,195 $146,347 $387,044 

(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)There were no significant revolving line of credit arrangements that converted to term loans during the year.
(3)Held-for-investment loans are accounted for on an amortized cost basis.
(4)Includes certain short-term loans with less than one year in tenor.
(5)Other includes installment and other, lease financing and loans to government and official institutions.
(6)Non-rated private bank loans mainly include mortgage and real estate loans to private banking clients.
(7)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.

Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral and there arewith 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.















216

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, 2021
At and for the year ended December 31, 2017
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance		Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
Non-accrual corporate loans   Non-accrual corporate loans  
Commercial and industrial$1,506
$1,775
$368
$1,547
$23
Commercial and industrial$1,264 $1,863 $198 $1,840 $37 
Financial institutions92
102
41
212
1
Financial institutions33 98 4 40 — 
Mortgage and real estate195
324
11
183
10
Mortgage and real estate419 582 15 448 — 
Lease financing46
46
4
59
—
Lease financing14 14 — 20 — 
Other103
212
2
108
1
Other147 241 8 142 18 
Total non-accrual corporate loans$1,942
$2,459
$426
$2,109
$35
Total non-accrual corporate loans$1,877 $2,798 $225 $2,490 $55 
At and for the year ended December 31, 2020
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance		Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
Non-accrual corporate loans    
Commercial and industrial$2,795 $3,664 $442 $2,649 $14 
Financial institutions92 181 17 132 — 
Mortgage and real estate505 803 38 413 — 
Lease financing24 24 — 34 — 
Other111 235 18 174 21 
Total non-accrual corporate loans$3,527 $4,907 $515 $3,402 $35 
At and for the year ended December 31, 2016 December 31, 2021December 31, 2020
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans  
Non-accrual corporate loans with specific allowancesNon-accrual corporate loans with specific allowances   
Commercial and industrial$1,909
$2,259
$362
$1,919
$25
Commercial and industrial$638 $198 $1,523 $442 
Financial institutions185
192
16
183
3
Financial institutions27 4 90 17 
Mortgage and real estate139
250
10
174
6
Mortgage and real estate294 15 246 38 
Lease financing56
56
4
44
—
Lease financing— — — — 
Other132
197
—
87
6
Other37 8 68 18 
Total non-accrual corporate loans$2,421
$2,954
$392
$2,407
$40
Total non-accrual corporate loans with specific allowancesTotal non-accrual corporate loans with specific allowances$996 $225 $1,927 $515 
Non-accrual corporate loans without specific allowancesNon-accrual corporate loans without specific allowances   
Commercial and industrialCommercial and industrial$626 $1,272  
Financial institutionsFinancial institutions6 2  
Mortgage and real estateMortgage and real estate125 259  
Lease financingLease financing14 24  
OtherOther110 43  
Total non-accrual corporate loans without specific allowancesTotal non-accrual corporate loans without specific allowances$881 N/A$1,600 N/A


(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
 December 31, 2017December 31, 2016
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans with valuation allowances    
Commercial and industrial$1,017
$368
$1,343
$362
Financial institutions88
41
45
16
Mortgage and real estate51
11
41
10
Lease financing46
4
55
4
Other13
2
1
—
Total non-accrual corporate loans with specific allowance$1,215
$426
$1,485
$392
Non-accrual corporate loans without specific allowance    
Commercial and industrial$489
 
$566
 
Financial institutions4
 
140
 
Mortgage and real estate144
 
98
 
Lease financing—
 
1
 
Other90
 
131
 
Total non-accrual corporate loans without specific allowance$727
N/A
$936
N/A
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowances.
(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)
(3)Interest income recognized for the year ended December 31, 2015 was $11 million.
N/A Not applicable


Corporate Troubled Debt Restructurings

The following table presents corporate TDR activity at and for the year ended December 31, 2017:2019 was $42 million.
N/A Not applicable

217

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
Corporate Troubled Debt Restructurings(1)


The following table presents corporate TDR activity at and forFor the year ended December 31, 2016:
2021
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$338
$176
$34
$128
Financial institutions10
10
—
—
Mortgage and real estate15
6
—
9
Other142
—
142
—
Total$505
$192
$176
$137
(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.



In millions of dollarsCarrying value of TDRs modified
during the year
TDRs
involving changes
in the amount
and/or timing of
principal payments(2)
TDRs
involving changes
in the amount
and/or timing of
interest payments(3)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$82 $— $— $82 
Mortgage and real estate8 — — 8 
Other10 1 09 
Total$100 $1 $— $99 

For the year ended December 31, 2020

In millions of dollarsCarrying value of TDRs modified during the year
TDRs
involving changes
in the amount
and/or timing of
principal payments(2)
TDRs
involving changes
in the amount
and/or timing of
interest payments(3)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$247 $— $— $247 
Mortgage and real estate19 — — 19 
Other19 6 — 13 
Total$285 $6 $— $279 

(1)The above tables do not include loan modifications that meet the TDR relief criteria in the CARES Act or the interagency guidance.
(2)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 uncollectible 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.
(3)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, 2021TDR loans that re-defaulted in 2021 within one year of modificationTDR balances at
December 31, 2020		TDR loans that re-defaulted in 2020 within one year of modification
Commercial and industrial$236 $— $325 $— 
Financial institutions— — — — 
Mortgage and real estate73 — 92 — 
Lease financing— — — — 
Other41 — 33 — 
Total(1)
$350 $— $450 $— 

(1)The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.




218
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 reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.





15. ALLOWANCE FOR CREDIT LOSSES
 
In millions of dollars202120202019
Allowance for credit losses on loans (ACLL) at beginning of year$24,956 $12,783 $12,315 
Adjustments to opening balance(1):
Financial instruments—credit losses (CECL) adoption— 4,201 — 
Variable post-charge-off third-party collection costs— (443)— 
Adjusted ACLL at beginning of year$24,956 $16,541 $12,315 
Gross credit losses on loans$(6,720)$(9,263)$(9,341)
Gross recoveries on loans1,825 1,652 1,573 
Net credit losses on loans (NCLs)$(4,895)$(7,611)$(7,768)
Replenishment of NCLs$4,895 $7,611 $7,768 
Net reserve builds (releases) for loans(7,283)7,635 364 
Net specific reserve builds (releases) for loans(715)676 86 
Total provision for credit losses on loans (PCLL)$(3,103)$15,922 $8,218 
Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period— 4 — 
Other, net (see table below)(503)100 18 
ACLL at end of year$16,455 $24,956 $12,783 
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of year(2)
$2,655 $1,456 $1,367 
Adjustment to opening balance for CECL adoption(1)
— (194)— 
Provision (release) for credit losses on unfunded lending commitments(788)1,446 92 
Other, net(3)
4 (53)(3)
ACLUC at end of year(2)
$1,871 $2,655 $1,456 
Total allowance for credit losses on loans, leases and unfunded lending commitments$18,326 $27,611 $14,239 

Other, net details
In millions of dollars202120202019
Sales or transfers of various consumer loan portfolios to HFS
Reclass of Australia consumer ACLL to HFS$(280)$— $— 
Reclass of the Philippines consumer ACLL to HFS(90)— — 
Transfer of real estate loan portfolios— (4)(42)
Sales or transfers of various consumer loan portfolios to HFS$(370)$(4)$(42)
FX translation and other(133)104 60 
Other, net$(503)$100 $18 

(1)See “Accounting Changes” in Note 1 to the Consolidated Financial Statements for additional details.
(2)Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.
(3)2020 includes a non-provision transfer of $68 million, representing reserves on performance guarantees. The reserves on these contracts have been reclassified out of the allowance for credit losses on unfunded lending commitments and into Other liabilities on the Consolidated Balance Sheetbeginning in 2020.

219

In millions of dollars201720162015
Allowance for loan losses at beginning of period$12,060
$12,626
$15,994
Gross credit losses(8,673)(8,222)(9,041)
Gross recoveries(1)
1,597
1,661
1,739
Net credit losses (NCLs)$(7,076)$(6,561)$(7,302)
NCLs$7,076
$6,561
$7,302
Net reserve builds (releases)544
340
139
Net specific reserve releases(117)(152)(333)
Total provision for loan losses$7,503
$6,749
$7,108
Other, net (see table below)(132)(754)(3,174)
Allowance for loan losses at end of period$12,355
$12,060
$12,626
Allowance for credit losses on unfunded lending commitments at beginning of period$1,418
$1,402
$1,063
Provision (release) for unfunded lending commitments(161)29
74
Other, net(2)
1
(13)265
Allowance for credit losses on unfunded lending commitments at end of period(3)
$1,258
$1,418
$1,402
Total allowance for loans, leases and unfunded lending commitments$13,613
$13,478
$14,028

(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 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 on Loans and Investment inEnd-of-Period Loans at December 31, 20172021

In millions of dollarsCorporateConsumerTotal
ACLL at beginning of year$5,402 $19,554 $24,956 
Gross credit losses on loans(522)$(6,198)$(6,720)
Gross recoveries on loans127 1,698 1,825 
Replenishment of NCLs395 4,500 4,895 
Net reserve builds (releases)(2,254)(5,029)(7,283)
Net specific reserve builds (releases)(278)(437)(715)
Initial allowance for credit losses on newly purchased credit-deteriorated assets
during the year		— — — 
Other(31)(472)(503)
Ending balance$2,839 $13,616 $16,455 
ACLL   
Collectively evaluated$2,614 $12,816 $15,430 
Individually evaluated225 800 1,025 
Purchased credit deteriorated— — — 
Total ACLL$2,839 $13,616 $16,455 
Loans, net of unearned income
Collectively evaluated$388,584 $267,424 $656,008 
Individually evaluated1,877 3,681 5,558 
Purchased credit deteriorated— 119 119 
Held at fair value6,070 12 6,082 
Total loans, net of unearned income$396,531 $271,236 $667,767 



220

In millions of dollarsCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,702
$9,358
$12,060
Charge-offs(491)(8,182)(8,673)
Recoveries112
1,485
1,597
Replenishment of net charge-offs379
6,697
7,076
Net reserve builds (releases)(267)811
544
Net specific reserve builds (releases)28
(145)(117)
Other23
(155)(132)
Ending balance$2,486
$9,869
$12,355
Allowance for loan losses 
 
 
Collectively evaluated in accordance with ASC 450$2,060
$8,531
$10,591
Individually evaluated in accordance with ASC 310-10-35426
1,334
1,760
Purchased credit-impaired in accordance with ASC 310-30—
4
4
Total allowance for loan losses$2,486
$9,869
$12,355
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
Held at fair value4,349
25
4,374
Total loans, net of unearned income$333,378
$333,656
$667,034


Allowance for Credit Losses on Loans and Investment inEnd-of-Period Loans at December 31, 20162020

In millions of dollarsCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,791
$9,835
$12,626
Charge-offs(580)(7,642)(8,222)
Recoveries67
1,594
1,661
Replenishment of net charge-offs513
6,048
6,561
Net reserve builds (releases)(85)425
340
Net specific reserve builds (releases)—
(152)(152)
Other(4)(750)(754)
Ending balance$2,702
$9,358
$12,060
Allowance for loan losses 
 
 
Collectively evaluated in accordance with ASC 450$2,310
$7,744
$10,054
Individually evaluated in accordance with ASC 310-10-35392
1,608
2,000
Purchased credit-impaired in accordance with ASC 310-30—
6
6
Total allowance for loan losses$2,702
$9,358
$12,060
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
Held at fair value3,457
29
3,486
Total loans, net of unearned income$299,306
$325,063
$624,369
In millions of dollarsCorporateConsumerTotal
ACLL at beginning of year$2,886 $9,897 $12,783 
Adjustments to opening balance:
   Financial instruments—credit losses (CECL)(1)
(721)4,922 4,201 
  Variable post-charge-off third-party collection costs(1)
— (443)(443)
Adjusted ACLL at beginning of year$2,165 $14,376 $16,541 
Gross credit losses on loans$(1,072)$(8,191)$(9,263)
Gross recoveries on loans86 1,566 1,652 
Replenishment of NCLs986 6,625 7,611 
Net reserve builds (releases)2,890 4,745 7,635 
Net specific reserve builds (releases)282 394 676 
Initial allowance for credit losses on newly purchased credit-deteriorated assets
during the year		— 4 4 
Other65 35 100 
Ending balance$5,402 $19,554 $24,956 
ACLL   
Collectively evaluated$4,887 $18,207 $23,094 
Individually evaluated515 1,345 1,860 
Purchased credit deteriorated— 2 2 
Total ACLL$5,402 $19,554 $24,956 
Loans, net of unearned income
Collectively evaluated$376,677 $283,885 $660,562 
Individually evaluated3,527 4,799 8,326 
Purchased credit deteriorated— 141 141 
Held at fair value6,840 14 6,854 
Total loans, net of unearned income$387,044 $288,839 $675,883 



(1)See “Accounting Changes” in Note 1 to the Consolidated Financial Statements for additional details.



Allowance for Credit Losses on Loans at December 31, 20152019


In millions of dollarsCorporateConsumerTotal
ACLL at beginning of year$2,811 $9,504 $12,315 
Gross credit losses on loans(487)(8,854)(9,341)
Gross recoveries on loans95 1,478 1,573 
Replenishment of NCLs392 7,376 7,768 
Net reserve builds (releases)96 268 364 
Net specific reserve builds (releases)(21)107 86 
Other— 18 18 
Ending balance$2,886 $9,897 $12,783 



221

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
Allowance for Credit Losses on HTM Debt Securities



Year ended December 31, 2021
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-backedAll other debt securitiesTotal HTM
Allowance for credit losses on HTM debt securities at beginning of year$3 $74 $6 $3 $— $86 
Gross credit losses— — — — — — 
Gross recoveries3 — — — — 3 
Net credit losses (NCLs)$3 $— $— $— $— $3 
Replenishment of NCLs$(3)$— $— $— $— $(3)
Net reserve builds (releases)7 1 (2)(2)— 4 
Net specific reserve builds (releases)(4)— — — — (4)
Total provision for credit losses on HTM debt securities$— $1 $(2)$(2)$— $(3)
Other, net$— $— $— $1 $— $1 
Initial allowance for credit losses on newly purchased credit-deteriorated securities during the year— — — — — — 
Allowance for credit losses on HTM debt securities at end of year$6 $75 $4 $2 $— $87 



Allowance for Credit Losses on HTM Debt Securities

Year ended December 31, 2020
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-
backed		All other debt securitiesTotal HTM
Allowance for credit losses on HTM debt securities at beginning of year$— $— $— $— $— $— 
Adjustment to opening balance for CECL adoption— 61 4 5 070 
Gross credit losses— — — — — — 
Gross recoveries— — — — — — 
Net credit losses (NCLs)$— $— $— $— $— $— 
Replenishment of NCLs$— $— $— $— $— $— 
Net reserve builds (releases)(2)10 (2)1 — 7 
Net specific reserve builds (releases)— — — — — — 
Total provision for credit losses on HTM debt securities$(2)$10 $(2)$1 $— $7 
Other, net$5 $3 $4 $(3)$— $9 
Initial allowance for credit losses on newly purchased credit-deteriorated securities during the year— — — — — — 
Allowance for credit losses on HTM debt securities at
end of year		$3 $74 $6 $3 $— $86 




222

Allowance for Credit Losses on Other Assets

Year ended December 31, 2021
In millions of dollarsCash and due from banksDeposits with banksSecurities borrowed and purchased under agreements
to resell		Brokerage receivables
All other assets(1)
Total
Allowance for credit losses on other assets at beginning of year$— $20 $10 $— $25 $55 
Gross credit losses— — — — (2)(2)
Gross recoveries— — — — — — 
Net credit losses (NCLs)$— $— $— $— $(2)$(2)
Replenishment of NCLs$— $— $— $— $2 $2 
Net reserve builds (releases)— 2 (4)— — (2)
Total provision for credit losses$— $2 $(4)$— $2 $— 
Other, net$— $(1)$— $— $1 $— 
Allowance for credit losses on other assets at
end of year		$— $21 $6 $— $26 $53 

(1)Primarily accounts receivable.

Allowance for Credit Losses on Other Assets

Year ended December 31, 2020
In millions of dollarsCash and
due from banks		Deposits with banksSecurities borrowed and purchased under agreements
to resell		Brokerage receivables
All other assets(1)
Total
Allowance for credit losses on other assets at beginning of year$— $— $— $— $— $— 
Adjustment to opening balance for CECL adoption6 14 2 1 3 26 
Gross credit losses— — — — — — 
Gross recoveries— — — — — — 
Net credit losses (NCLs)$— $— $— $— $— $— 
Replenishment of NCLs$— $— $— $— $— $— 
Net reserve builds (releases)(6)5 8 (1)1 7 
Total provision for credit losses$(6)$5 $8 $(1)$1 $7 
Other, net$— $1 $— $— $21 $22 
Allowance for credit losses on other assets at end of year$— $20 $10 $— $25 $55 

(1)Primarily accounts receivable.

For ACL on AFS debt securities, see Note 13 to the Consolidated Financial Statements.
223

16.  GOODWILL AND INTANGIBLE ASSETS

Goodwill
The changes in Goodwillwere 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


In millions of dollarsInstitutional Clients GroupGlobal Consumer BankingTotal
Balance at December 31, 2018$9,959 $12,087 $22,046 
Foreign exchange translation65 15 80 
Balance at December 31, 2019$10,024 $12,102 $22,126 
Foreign exchange translation(4)40 36 
Balance at December 31, 2020$10,020 $12,142 $22,162 
Foreign exchange translation(267)(116)(383)
Divestitures(1)
— (480)(480)
Balance at December 31, 2021$9,753 $11,546 $21,299 
The changes in
(1)    Goodwill by segmentallocated primarily to the Australia and the Philippines consumer banking businesses, which were reclassified as follows:HFS during 2021. See Note 2 to the Consolidated Financial Statements.
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

(1)Primarily related to the sales of the Latin America Retirement Services and Japan cards businesses completed in 2015, and agreements to sell certain businesses in Citi Holdings as of December 31, 2015. See Note 2 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.
(3)Primarily related to the sale of the private equity services business completed in 2016 and agreements to sell Argentina and Brazil consumer operations as of December 31, 2016.
(4)Primarily related to the sale of a fixed income analytics business and a fixed income index business completed 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 presented 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.



GoodwillThe Company performed its annual goodwill impairment testing is performedtest using data as of July 1, 2021, at the level below each businessoperating segment (referred to as a reporting unit). The Company performed its annual goodwill impairment test as of July 1, 2017. The fair values of the Company’s reporting units exceeded their carrying values by approximately 32% to 168% and no reporting unit is at risk of impairment, except for 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 quarters 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 valuetheir carrying values ranged from approximately 125% to 153%, resulting in no impairment. While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations, the economic and business environments continue to evolve as management implements its strategic refresh, which includes, among others, the exits of December 31, 2017 was 111%. Subsequently, on January 31, 2018, Citi executed a definitive agreement to sellconsumer businesses in 13 markets in Asia and EMEA, as well as the exit of the Mexico consumer, small business and middle-market banking operations, and Citi’s implementation of its new operating segment and reporting unit structure in the first quarter of 2022. If management’s future estimate of key economic and allocatedmarket assumptions were to differ from its current assumptions, Citi could potentially experience material goodwill impairment charges in the entirefuture. Citi expects that the implementation of its new operating segments and reporting units in the first quarter of 2022, as well as the timing and sequencing of the sales of its Asia consumer banking businesses, may result in goodwill impairment.
For additional information regarding Citi’s goodwill impairment testing process, see the following Notes to the sale, which is expected to result inConsolidated Financial Statements: Note 1 for Citi’s accounting policy for goodwill, and Note 3 for a pre-tax gain upon closing.description of Citi’s operating segments.


Further, effective January 1, 2017, the mortgage servicing business in North America GCB was reorganized and is now reported as part of Corporate/Other. Goodwill was allocated to the transferred business based on its relative fair value to the legacy North America GCB reporting unit. An interim test was performed under both the legacy and current reporting unit structures, which resulted in full impairment of the $28 million of allocated goodwill upon transfer to Citi Holdings—REL, recorded in Operating expenses in 2017.

224







Intangible Assets
The components of intangible assets were as follows:

December 31, 2017December 31, 2016 December 31, 2021December 31, 2020
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
In millions of dollarsGross
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
Purchased credit card relationships$5,579 $4,348 $1,231 $5,648 $4,229 $1,419 
Credit card contract related intangibles5,045
2,456
2,589
5,149
2,177
2,972
Credit card contract-related intangibles(1)
Credit card contract-related intangibles(1)
3,912 1,372 2,540 3,929 1,276 2,653 
Core deposit intangibles639
628
11
801
771
30
Core deposit intangibles39 39 — 45 44 1 
Other customer relationships459
272
187
474
272
202
Other customer relationships429 305 124 455 314 141 
Present value of future profits32
28
4
31
27
4
Present value of future profits31 29 2 32 30 2 
Indefinite-lived intangible assets244
—
244
210
—
210
Indefinite-lived intangible assets183 — 183 190 — 190 
Other100
86
14
504
474
30
Other37 26 11 72 67 5 
Intangible assets (excluding MSRs)$11,894
$7,306
$4,588
$15,384
$10,270
$5,114
Intangible assets (excluding MSRs)$10,210 $6,119 $4,091 $10,371 $5,960 $4,411 
Mortgage servicing rights (MSRs)(1)
558
—
558
1,564
—
1,564
Mortgage servicing rights (MSRs)(2)
Mortgage servicing rights (MSRs)(2)
404 — 404 336 — 336 
Total intangible assets$12,452
$7,306
$5,146
$16,948
$10,270
$6,678
Total intangible assets$10,614 $6,119 $4,495 $10,707 $5,960 $4,747 
(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.


(1)     Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 97% of the aggregate net carrying amount as of December 31, 2021.
(2)    For additional information on Citi’s MSRs, see Note 21 to the Consolidated Financial Statements.

Intangible assets amortization expense was $603$360 million, $595$419 million and $625$564 million for 2017, 20162021, 2020 and 2015,2019, respectively. Intangible assets amortization expense is estimated to be $503$345 million in 2018, $4792022, $347 million in 2019, $3322023, $367 million in 2020, $3142024, $371 million in 20212025 and $866$342 million in 2022.


2026.
The changes in intangible assets were as follows:


Net carrying
amount at		Acquisitions/Net carrying
amount at
In millions of dollarsDecember 31, 2020renewals/ divestituresAmortizationImpairmentsFX translation and otherDecember 31,
2021
Purchased credit card relationships(1)
$1,419 $(15)$(171)$— $(2)$1,231 
Credit card contract-related intangibles(2)
2,653 29 (140)(1)(1)2,540 
Core deposit intangibles1 — (1)— — — 
Other customer relationships141 20 (24)— (13)124 
Present value of future profits2 — — — — 2 
Indefinite-lived intangible assets190 — — — (7)183 
Other5 29 (24)— 1 11 
Intangible assets (excluding MSRs)$4,411 $63 $(360)$(1)$(22)$4,091 
Mortgage servicing rights (MSRs)(3)
336 404 
Total intangible assets$4,747 $4,495 

(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract-related intangibles, and includes 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 97% and 96% of the aggregate net carrying amount at December 31, 2021 and 2020, respectively.
(3)For additional information on Citi’s MSRs, including the rollforward from 2020 to 2021, see Note 21 to the Consolidated Financial Statements.

 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
225

(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% of the aggregate net carrying amount as of December 31, 2017.
(2)For additional information on Citi’s MSRs, including the rollforward from 2016 to 2017, see Note 21 to the Consolidated Financial Statements.



17.  DEBT

Short-Term Borrowings

December 31,December 31,

2017201620212020
In millions of dollarsBalanceWeighted average couponBalanceWeighted average couponIn millions of dollarsBalanceWeighted average couponBalanceWeighted average coupon
Commercial paper$9,940
1.28%$9,989
0.79%Commercial paper
Other borrowings(1)
34,512
1.62
20,712
1.39
Bank(1)
Bank(1)
$9,026 $10,022 
Broker-dealer and other(2)
Broker-dealer and other(2)
6,992 7,988 
Total commercial paperTotal commercial paper$16,018 0.22 %$18,010 0.24 %
Other borrowings(3)
Other borrowings(3)
11,955 0.91 11,504 0.48 
Total$44,452
 $30,701

Total$27,973 $29,514 


(1)Includes borrowings from the Federal Home Loan Banks and other market participants. At December 31, 2017 and December 31, 2016, collateralized short-term advances from the Federal Home Loan Banks were $23.8 billion and $12.0 billion, respectively.

(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 Federal Home Loan Banks and other market participants. At December 31, 2021 and 2020, collateralized short-term advances from Federal Home Loan Banks were $0.0 billion and $4.0 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,
In millions of dollars
Weighted
average
coupon
Maturities20172016
Citigroup Inc.(1)




Senior debt4.15%2018-2098$123,488
$118,881
Subordinated debt(2)
4.48
2018-204626,963
26,758
Trust preferred
    securities
6.90
2036-20671,712
1,694
Bank(3)
    
Senior debt2.06
2018-204965,856
49,454
Broker-dealer(4)
    
Senior debt3.44
2018-205718,666
9,387
Subordinated debt(2)
5.37
2021-203724
4
Total3.57% $236,709
$206,178
Senior debt  $208,010
$177,722
Subordinated debt(2)
  26,987
26,762
Trust preferred
    securities
  1,712
1,694
Total  $236,709
$206,178
Balances at
December 31,
In millions of dollars
Weighted
average
coupon(1)
Maturities20212020
Citigroup Inc.(2)
Senior debt2.88 %
2022–2098
$137,651 $142,197 
Subordinated debt(3)
4.65 
2022–2046
25,560 26,636 
Trust preferred securities6.30 
2036–2067
1,734 1,730 
Bank(4)
Senior debt1.54 
2022–2039
23,567 44,742 
Broker-dealer(5)
Senior debt0.84 
2022–2070
65,652 55,896 
Subordinated debt(3)
— 
2022–2046
210 485 
Total2.94 %$254,374 $271,686 
Senior debt$226,870 $242,835 
Subordinated debt(3)
25,770 27,121 
Trust preferred securities1,734 1,730 
Total$254,374 $271,686 


(1)Represents the parent holding company.
(2)Includes notes that are subordinated within certain countries, regions or subsidiaries.
(3)Represents Citibank entities as well as other bank entities. At December 31, 2017 and December 31, 2016, collateralized long-term advances from the Federal Home Loan Banks were $19.3 billion and $21.6 billion, respectively.
(4)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.

(1)The weighted average coupon excludes structured notes accounted for at fair value.
(2)Represents the parent holding company.
(3)Includes notes that are subordinated within certain countries, regions or subsidiaries.
(4)Represents Citibank entities as well as other bank entities. At December 31, 2021 and 2020, collateralized long-term advances from Federal Home Loan Banks were $5.3 billion and $10.9 billion, respectively.
(5)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company. Certain Citigroup consolidated hedging activities are also included in this line.

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, 2017,2021, the Company’s overall weighted average interest rate for long-term debt, excluding structured notes accounted for at fair value, was 3.57%2.94% on a contractual basis and 2.70%3.12% including the effects of derivative contracts.





226

Aggregate annual maturities of long-term debt obligations (based on final maturity dates) including trust preferred securities are as follows:

In millions of dollars2018
2019
2020
2021
2022
Thereafter
Total
In millions of dollars20222023202420252026ThereafterTotal
Citigroup Inc.$20,050
$16,656
$9,565
$15,499
$9,627
$80,766
$152,163
Citigroup Inc.$9,955 $14,440 $12,475 $16,798 $21,483 $89,794 $164,945 
Bank29,270
17,245
10,302
4,077
1,471
3,491
65,856
Bank9,839 4,227 5,028 473 68 3,932 23,567 
Broker-dealer4,158
2,388
3,321
1,443
1,266
6,114
18,690
Broker-dealer13,199 11,813 8,066 3,995 5,499 23,290 65,862 
Total$53,478
$36,289
$23,188
$21,019
$12,364
$90,371
$236,709
Total$32,993 $30,480 $25,569 $21,266 $27,050 $117,016 $254,374 



The following table summarizes the Company’sCiti’s outstanding trust preferred securities at December 31, 2017:2021:

    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
TrustIssuance
date		Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent		AmountMaturityRedeemable
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 redeemableCitigroup Capital IIIDec. 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, 2015Citigroup Capital XIIISept. 201089,840,000 2,246 3 mo LIBOR + 637 bps1,000 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, 2017Citigroup Capital XVIIIJune 200799,901 135 3 mo sterling LIBOR + 88.75 bps50 135 June 28, 2067June 28, 2017
Total obligated  
$2,575
  $2,581
 Total obligated $2,575  $2,581  


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 investors from the trusts at the time of issuance.
(2)In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.

(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.
227

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 millions of dollars, except ratiosStated
minimum
Citigroup(4)
Citibank(4)
Well-
capitalized
minimum		December 31, 2021December 31, 2020Well-
capitalized
minimum		December 31, 2021December 31, 2020
Common Equity Tier 1 Capital  $149,305 $147,274  $148,548 $142,854 
Tier 1 Capital  169,568 167,053  150,679 144,962 
Total Capital (Tier 1 Capital + Tier 2 Capital)—Standardized Approach
203,838 205,002 175,427 169,449 
Total Capital (Tier 1 Capital + Tier 2 Capital)—Advanced Approaches
194,006 196,051 166,921 161,447 
Total risk-weighted assets—Standardized Approach1,219,175 1,242,381 1,066,015 1,054,056 
Total risk-weighted assets—Advanced Approaches1,209,374 1,278,977 1,017,774 1,047,088 
Quarterly adjusted average total assets(1)
 2,351,434 2,265,615 1,716,596 1,667,105 
Total Leverage Exposure(2)
2,957,764 2,391,033 2,236,839 2,172,052 
Common Equity Tier 1 Capital ratio(3)
4.5 %    N/A12.25 %11.51 %6.5 %13.93 %13.55 %
Tier 1 Capital ratio(3)
6.0 6.0 %13.91 13.06 8.0 14.13 13.75 
Total Capital ratio(3)
8.0 10.0 16.04 15.33 10.0 16.40 15.42 
Tier 1 Leverage ratio4.0 N/A7.21 7.37 5.0 8.78 8.70 
Supplementary Leverage ratio3.0 N/A5.73 6.99 6.0 6.74 6.67 

(1)Tier 1 Leverage ratio denominator.
(2)Supplementary Leverage ratio denominator.
(3)Citigroup’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios in accordance with current regulatory standards (reflectingwere the lower derived under the Basel III Transition Arrangements):
Standardized Approach and the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework as of December 31, 2021, whereas Citigroup’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios as of December 31, 2020 were the lower derived under the Basel III Advanced Approaches framework. As of December 31, 2021 and 2020, 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 Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(4)Certain of the above prior-period amounts have been revised to conform with enhancements made in the current period.
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

(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)Supplementary Leverage ratio denominator.
(5)As of December 31, 2017, 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 1, 2018, Citigroup 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.”
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, 2017.2021 and 2020.



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$6.2 billion and $13.8$2.3 billion in dividends from Citibank during 20172021 and 2016,2020, respectively.

228


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 debt securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)(5)
Excluded component of fair value hedgesAccumulated
other
comprehensive income (loss)
Balance, December 31, 2018$(2,250)$192 $(728)$(6,257)$(28,070)$(57)$(37,170)
Other comprehensive income before reclassifications3,065 (1,151)549 (758)(321)25 1,409 
Increase (decrease) due to amounts
reclassified from AOCI
(1,080)15 302 206 — — (557)
Change, net of taxes
$1,985 $(1,136)$851 $(552)$(321)$25 $852 
Balance, December 31, 2019$(265)$(944)$123 $(6,809)$(28,391)$(32)$(36,318)
Other comprehensive income before reclassifications4,837 (490)2,027 (287)(250)(15)5,822 
Increase (decrease) due to amounts
reclassified from AOCI
(1,252)15 (557)232 — — (1,562)
Change, net of taxes
$3,585 $(475)$1,470 $(55)$(250)$(15)$4,260 
Balance, December 31, 2020$3,320 $(1,419)$1,593 $(6,864)$(28,641)$(47)$(32,058)
Other comprehensive income before reclassifications(3,556)121 (679)797 (2,537)(11)(5,865)
Increase (decrease) due to amounts
reclassified from AOCI
(378)111 (813)215 12 11 (842)
Change, net of taxes$(3,934)$232 $(1,492)$1,012 $(2,525)$— $(6,707)
Balance, December 31, 2021$(614)$(1,187)$101 $(5,852)$(31,166)$(47)$(38,765)

(1)Reflects the after-tax valuation of Citi’s fair value option liabilities. See “Market Valuation Adjustments” in Note 24 to the Consolidated Financial Statements.
(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 the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.
(4)Primarily reflects the movements in (by order of impact) the Mexican peso, Euro, South Korean won, Chilean peso and Japanese yen against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2021. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, South Korean won and Euro against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2020. 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. Amounts recorded in the CTA component of AOCI remain in AOCI until the sale or substantial liquidation of the foreign entity, at which point such amounts related to the foreign entity are reclassified into earnings.
(5)December 31, 2021 includes an approximate $475 million (after-tax) ($625 million pretax) currency translation adjustment (CTA) loss (net of hedges) associated with Citi’s agreement to sell its consumer banking business in Australia (see Note 2 to the Consolidated Financial Statements). The loss on sale primarily reflects the impact of the CTA loss (net of hedges) already reflected in AOCI. Upon closing, the CTA-related balance will be removed from AOCI, resulting in a neutral impact from CTA to Citi’s Common Equity Tier 1 Capital.

229

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)
Balance, December 31, 2014$57
$—
$(909)$(5,159)$(17,205)$(23,216)
Other comprehensive income before reclassifications(695)—
83
(143)(5,465)(6,220)
Increase (decrease) due to amounts reclassified from AOCI(269)—
209
186
(34)92
Change, net of taxes$(964)$—
$292
$43
$(5,499)$(6,128)
Balance, December 31, 2015$(907)$—
$(617)$(5,116)$(22,704)$(29,344)
Adjustment to opening balance, net of taxes(1)
$—
$(15)$—
$—
$—
$(15)
Adjusted balance, beginning of period$(907)$(15)$(617)$(5,116)$(22,704)$(29,359)
Other comprehensive income before reclassifications$530
$(335)$(88)$(208)$(2,802)$(2,903)
Increase (decrease) due to amounts reclassified from AOCI 
(422)(2)145
160
—
(119)
Change, net of taxes 
$108
$(337)$57
$(48)$(2,802)$(3,022)
Balance, December 31, 2016$(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)
(1)Beginning in the first quarter of 2016, 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’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in Other comprehensive income.
(4)Primarily reflects the movements in (by order of impact) the Euro, Mexican peso, Polish zloty and Korean won against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2017. Primarily reflects the movements in (by order of impact) the Mexican peso, Euro, British pound and Indian rupee against 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.
(5)
In the second quarter of 2017, Citi early adopted ASU No. 2017-08. Upon adoption, a cumulative effect adjustment was recorded to reduce retained 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)
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.






The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) are were as follows:

In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2018$(44,082)$6,912 $(37,170)
Change in net unrealized gains (losses) on 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)
Change in net unrealized gains (losses) on debt securities4,799 (1,214)3,585 
Debt valuation adjustment (DVA)(616)141 (475)
Cash flow hedges1,925 (455)1,470 
Benefit plans(78)23 (55)
Foreign currency translation adjustment(227)(23)(250)
Excluded component of fair value hedges(23)8 (15)
Change$5,780 $(1,520)$4,260 
Balance, December 31, 2020$(36,992)$4,934 $(32,058)
Change in net unrealized gains (losses) on debt securities(5,301)1,367 (3,934)
Debt valuation adjustment (DVA)296 (64)232 
Cash flow hedges(1,969)477 (1,492)
Benefit plans1,252 (240)1,012 
Foreign currency translation adjustment(2,671)146 (2,525)
Excluded component of fair value hedges2 (2)— 
Change$(8,391)$1,684 $(6,707)
Balance, December 31, 2021$(45,383)$6,618 $(38,765)



230

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)
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.
(2) Represents the $(15) million adjustment related to the initial adoption of ASU 2016-01. See Note 1 to the Consolidated Financial Statements.
(3)
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 cumulative fair value hedge adjustments on callable state and municipal debt securities. 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
Year ended December 31,
In millions of dollars202120202019
Realized (gains) losses on sales of investments$(665)$(1,756)$(1,474)
Gross impairment losses181 109 23 
Subtotal, pretax$(484)$(1,647)$(1,451)
Tax effect106 395 371 
Net realized (gains) losses on investments, after-tax(1)
$(378)$(1,252)$(1,080)
Realized DVA (gains) losses on fair value option liabilities, pretax$144 $20 $20 
Tax effect(33)(5)(5)
Net realized DVA, after-tax$111 $15 $15 
Interest rate contracts$(1,075)$(734)$384 
Foreign exchange contracts4 4 7 
Subtotal, pretax$(1,071)$(730)$391 
Tax effect258 173 (89)
Amortization of cash flow hedges, after-tax(2)
$(813)$(557)$302 
Amortization of unrecognized:
Prior service cost (benefit)$(23)$(5)$(12)
Net actuarial loss302 322 286 
Curtailment/settlement impact(3)
11 (8)1 
Subtotal, pretax$290 $309 $275 
Tax effect(75)(77)(69)
Amortization of benefit plans, after-tax(3)
$215 $232 $206 
Excluded component of fair value hedges, pretax$15 $— $— 
Tax effect(4)— — 
Excluded component of fair value hedges, after-tax$11 $— $— 
Foreign currency translation adjustment, pretax$19 $— $— 
Tax effect(7)— — 
Foreign currency translation adjustment, after-tax$12 $— $— 
Total amounts reclassified out of AOCI, pretax
$(1,087)$(2,048)$(765)
Total tax effect245 486 208 
Total amounts reclassified out of AOCI, after-tax
$(842)$(1,562)$(557)

(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.

231
 Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
 Year ended December 31,
In millions of dollars201720162015
Realized (gains) losses on sales of investments$(778)$(948)$(682)
OTTI gross impairment losses63
288
265
Subtotal, pretax$(715)$(660)$(417)
Tax effect261
238
148
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)$—
Tax effect3
1
—
Net realized debt valuation adjustment, after-tax$(4)$(2)$—
Interest rate contracts$126
$140
$186
Foreign exchange contracts10
93
146
Subtotal, pretax$136
$233
$332
Tax effect(50)(88)(123)
Amortization of cash flow hedges, after-tax(2)
$86
$145
$209
Amortization of unrecognized   
Prior service cost (benefit)$(42)$(40)$(40)
Net actuarial loss271
272
276
Curtailment/settlement impact(3)
17
18
57
Subtotal, pretax$246
$250
$293
Tax effect(87)(90)(107)
Amortization of benefit plans, after-tax(3)
$159
$160
$186
Foreign currency translation adjustment$—
$—
$(53)
Tax effect—
—
19
Foreign currency translation adjustment$—
$—
$(34)
Total amounts reclassified out of AOCI, pretax$(340)$(180)$155
Total tax effect127
61
(63)
Total amounts reclassified out of AOCI, after-tax$(213)$(119)$92
(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,
2021		December 31,
2020
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 M(6)
April 30, 2014May 15, 20246.300 1,000 1,750,000 1,750 1,750 
Series P(7)
April 24, 2015May 15, 20255.950 1,000 2,000,000 2,000 2,000 
Series Q(8)
August 12, 2015August 15, 20204.316 1,000 1,250,000 — 1,250 
Series R(9)
November 13, 2015November 15, 20204.699 1,000 1,500,000 — 1,500 
Series S(10)
February 2, 2016February 12, 20216.300 25 41,400,000 — 1,035 
Series T(11)
April 25, 2016August 15, 20266.250 1,000 1,500,000 1,500 1,500 
Series U(12)
September 12, 2019September 12, 20245.000 1,000 1,500,000 1,500 1,500 
Series V(13)
January 23, 2020January 30, 20254.700 1,000 1,500,000 1,500 1,500 
Series W(14)
December 10, 2020December 10, 20254.000 1,000 1,500,000 1,500 1,500 
Series X(15)
February 18, 2021February 18, 20263.875 1,000 2,300,000 2,300 — 
Series Y(16)
October 20, 2021October 20, 20264.150 1,000 1,000,000 1,000 — 
  $18,995 $19,480 
(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

(1)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, but excluding, 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)
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)
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)
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)
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)
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.
(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 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)
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)
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)
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)
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)
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)
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 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.



During 2017, Citi distributed $1,213 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 February 15, 2018, Citi estimates it will distribute preferred dividends of approximately $1,179 million during 2018, assuming such dividends are 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 February 15 and August 15 at a fixed rate until, but excluding, 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.

(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 May 15 and November 15 at a fixed rate until, but excluding, 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.
(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, but excluding, 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.
(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, but excluding, 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.
(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, but excluding, 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.
(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, 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.
(8)The Series Q preferred stock was redeemed in full on May 17, 2021.
(9)The Series R preferred stock was redeemed in full on May 17, 2021.
(10)The Series S preferred stock was redeemed in full on February 12, 2021.
(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, 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.
(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 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.
(13)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, but excluding, January 30, 2025, 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.
(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 quarterly on March 10, June 10, September 10 and December 10 at a fixed rate until, but excluding, December 10, 2025, 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.
232

(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 quarterly on February 18, May 18, August 18 and November 18 at a fixed rate until, but excluding, February 18, 2026, 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.
(16)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 quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, November 15, 2026, 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.








233

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.clients and to obtain liquidity and optimize capital efficiency by securitizing certain of Citi’s financial assets. 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 insufficientdescribed in Note 1 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).Consolidated Financial Statements. 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,(e.g., 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.



234

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, 2021
Maximum exposure to loss in significant unconsolidated VIEs(1)
Funded exposures(2)
Unfunded exposures
In millions of dollarsTotal
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$31,518 $31,518 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored113,641 — 113,641 1,582 — — 43 1,625 
Non-agency-sponsored60,851 632 60,219 2,479 — 5 — 2,484 
Citi-administered asset-backed commercial paper conduits14,018 14,018 — — — — — — 
Collateralized loan obligations (CLOs)8,302 — 8,302 2,636 — — — 2,636 
Asset-based financing(5)
246,632 11,085 235,547 32,242 1,139 12,189 — 45,570 
Municipal securities tender option bond trusts (TOBs)3,251 905 2,346 2 — 1,498 — 1,500 
Municipal investments20,597 3 20,594 2,512 3,617 3,562 — 9,691 
Client intermediation904 297 607 75 — — 224 299 
Investment funds498 179 319 — — 12 1 13 
Other— — — — — — — — 
Total$500,212 $58,637 $441,575 $41,528 $4,756 $17,266 $268 $63,818 
As of December 31, 2020
Maximum exposure to loss in significant unconsolidated VIEs(1)
Funded exposures(2)
Unfunded exposures
In millions of dollarsTotal
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$32,423 $32,423 $— $— $— $— $— $— 
Mortgage securitizations(4)
U.S. agency-sponsored123,999 — 123,999 1,948 — — 61 2,009 
Non-agency-sponsored46,132 939 45,193 2,550 — 2 1 2,553 
Citi-administered asset-backed commercial paper conduits16,730 16,730 — — — — — — 
Collateralized loan obligations (CLOs)18,332 — 18,332 4,273 — — — 4,273 
Asset-based financing(5)
222,274 8,069 214,205 25,153 1,587 9,114 — 35,854 
Municipal securities tender option bond trusts (TOBs)3,349 835 2,514 0 — 1,611 — 1,611 
Municipal investments20,335 — 20,335 2,569 4,056 3,041 — 9,666 
Client intermediation1,352 910 442 88 — — 56 144 
Investment funds488 153 335 — — 15 — 15 
Other0 0 0 0 — — — 0 
Total$485,414 $60,059 $425,355 $36,581 $5,643 $13,783 $118 $56,125 

(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)    Included on Citigroup’s December 31, 2021 and 2020 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) re-securitization activities. These re-securitization SPEs are not consolidated. See “Re-securitizations” below for further discussion.
(5)    Included within this line are loans to third-party sponsored private equity funds, which represent $100 billion and $78 billion in unconsolidated VIE assets and $497 million and $425 million in maximum exposure to loss as of December 31, 2021 and 2020, respectively.
 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
235
 As of December 31, 2016 
    
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$50,171
$50,171
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
        
U.S. agency-sponsored214,458
—
214,458
3,852
—
—
78
3,930
Non-agency-sponsored15,965
1,092
14,873
312
35
—
1
348
Citi-administered asset-backed commercial paper conduits (ABCP)19,693
19,693
—
—
—
—
—
—
Collateralized loan obligations (CLOs)18,886
—
18,886
5,128
—
—
62
5,190
Asset-based financing53,168
733
52,435
16,553
475
4,915
—
21,943
Municipal securities tender option bond trusts (TOBs)7,070
2,843
4,227
40
—
2,842
—
2,882
Municipal investments17,679
14
17,665
2,441
3,578
2,580
—
8,599
Client intermediation515
371
144
49
—
—
3
52
Investment funds2,788
767
2,021
32
120
27
3
182
Other1,429
607
822
116
11
58
43
228
Total$401,822
$76,291
$325,531
$28,523
$4,219
$10,422
$190
$43,354


(1)The definition of maximum exposure to loss is included in the text that follows this table.
(2)Included on Citigroup’s December 31, 2017 and 2016 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) 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. As of December 31, 2021 and 2020, the Company’s maximum exposure to loss related to these deals was $55.6 billion and $57.0 billion, respectively (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-backedmortgage- 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 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 formclassification of the asset (e.g., loan or security) and the Company’s standardassociated accounting policies for the asset type and line of business.model ascribed to that classification.
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.

236

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, 2017December 31, 2016December 31, 2021December 31, 2020
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
In millions of dollarsLiquidity
facilities		Loan/equity
commitments		Liquidity
facilities		Loan/equity
commitments
Non-agency-sponsored mortgage securitizationsNon-agency-sponsored mortgage securitizations$— $5 $— $2 
Asset-based financing$—
$5,878
$5
$4,910
Asset-based financing— 12,189 — 9,114 
Municipal securities tender option bond trusts (TOBs)3,035
—
2,842
—
Municipal securities tender option bond trusts (TOBs)1,498 — 1,611 — 
Municipal investments—
2,344
—
2,580
Municipal investments— 3,562 — 3,041 
Investment funds—
13
—
27
Investment funds— 12 — 15 
Other—
34
—
58
Other— — — — 
Total funding commitments$3,035
$8,269
$2,847
$7,575
Total funding commitments$1,498 $15,768 $1,611 $12,172 

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 of 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
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, 2021December 31, 2020
Cash$— $— 
Trading account assets1.4 2.0 
Investments8.8 10.6 
Total loans, net of allowance35.4 29.3 
Other0.8 0.3 
Total assets$46.4 $42.2 
In billions of dollarsDecember 31, 2017December 31, 2016
Cash$—
$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
237


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 no 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, 2017December 31, 2016In billions of dollarsDecember 31, 2021December 31, 2020
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$28.8
$22.7
Sold to investors via trust-issued securities$9.7 $15.7 
Retained by Citigroup as trust-issued securities7.6
7.4
Retained by Citigroup as trust-issued securities7.2 7.9 
Retained by Citigroup via non-certificated interests14.4
20.6
Retained by Citigroup via non-certificated interests16.1 11.1 
Total$50.8
$50.7
Total$33.0 $34.7 


The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:

In billions of dollars201720162015In billions of dollars202120202019
Proceeds from new securitizations$11.1
$3.3
$—
Proceeds from new securitizations$— $0.3 $— 
Pay down of maturing notes(5.0)(10.3)(7.4)Pay down of maturing notes(6.0)(4.3)(7.6)


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 2.63.6 years as of December 31, 20172021 and 2016.2.9 years as of December 31, 2020.


Master
In billions of dollarsDec. 31, 2021Dec. 31, 2020
Term notes issued to third parties$8.4 $13.9 
Term notes retained by Citigroup affiliates2.2 2.7 
Total Master Trust liabilities$10.6 $16.6 

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, 20172021 and 2016.1.1 years as of December 31, 2020.


Omni Trust Liabilities (at Par Value)
In billions of dollarsDec. 31, 2021Dec. 31, 2020
Term notes issued to third parties$1.3 $1.8 
Term notes retained by Citigroup affiliates5.0 5.2 
Total Omni Trust liabilities$6.3 $7.0 
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



238

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 that most significantly impact the entities’ economic performance 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:
201720162015202120202019
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		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
Principal securitizedPrincipal securitized$6.1 $25.2 $9.4 $11.3 $5.3 $15.6 
Proceeds from new securitizations(1)
$33.9
$7.9
$41.3
$11.8
$35.0
$12.1
Proceeds from new securitizations(1)
6.4 25.4 10.0 11.4 5.5 15.5 
Contractual servicing fees received0.2
—
0.4
—
0.5
—
Contractual servicing fees received0.1 — 0.1 — 0.1 —
Cash flows received on retained interests and other net cash flows—
—
0.1
—
0.1
—
Cash flows received on retained interests and other net cash flows— 0.1 — — — —
Purchases of previously transferred financial assetsPurchases of previously transferred financial assets0.2 — 0.4 — 0.2 —


Note: Excludes re-securitization transactions.
(1)    The proceeds from new securitizations in 2016 and 20152019 include $0.5$0.2 billion and $0.7 billion, respectively, 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).

Agency and non-agency securitization gains for the year ended December 31, 20172021 were $73$3.9 million and $77$493.4 million, respectively.

Agency and non-agency securitization gains for the year ended December 31, 20162020 were $105$88.4 million and $107$139.4 million, respectively, and $149$16 million and $41$73.4 million, respectively, for the year ended December 31, 2015.2019.


20212020
Non-agency-sponsored mortgages(1)
Non-agency-sponsored mortgages(1)
In millions of dollarsU.S. agency-
sponsored mortgages
Senior
interests(2)
Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests(3)
$374 $1,452 $955 $315 $1,210 $145 

239

(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)    Senior interests in non-agency-sponsored mortgages include $73 million related to personal loan securitizations at December 31, 2021.
(3)    Retained interests consist of Level 2 and 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.

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, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate8.7 %2.2 %2.8 %
Weighted average constant prepayment rate5.5 %6.3 %11.0 %
Weighted average anticipated net credit losses(2)
   NM1.8 %1.0 %
Weighted average life7.4 years3.9 years5.4 years

December 31, 2020
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate5.4 %1.7 %3.0 %
Weighted average constant prepayment rate25.8 %3.4 %25.0 %
Weighted average anticipated net credit losses(2)
   NM1.7 %0.5 %
Weighted average life4.8 years3.8 years2.3 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.
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
—
—
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.


(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 toin measuring the fair value of retained interests in securitizations of mortgage receivables at period end were as follows:

December 31, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate3.7 %16.2 %4.0 %
Weighted average constant prepayment rate14.5 %6.8 %9.0 %
Weighted average anticipated net credit losses(2)
NM1.0 %2.0 %
Weighted average life5.1 years8.8 years18.0 years
December 31, 2020
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate5.9 %7.2 %4.3 %
Weighted average constant prepayment rate22.7 %5.3 %4.7 %
Weighted average anticipated net credit losses(2)
   NM1.2 %1.4 %
Weighted average life4.5 years5.3 years4.7 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.
240

(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.
NM    Anticipated 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 set forthis 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, 2021
Non-agency-sponsored mortgages
In millions of dollars
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate
Adverse change of 10%$(6)$(1)$— 
Adverse change of 20%(11)(1)— 
Constant prepayment rate
Adverse change of 10%(19)— — 
Adverse change of 20%(37)— — 
Anticipated net credit losses
Adverse change of 10%NM— — 
Adverse change of 20%NM— — 
December 31, 2020
Non-agency-sponsored mortgages
In millions of dollars
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate
Adverse change of 10%$(8)$— $(1)
Adverse change of 20%(15)(1)(1)
Constant prepayment rate
Adverse change of 10%(21)— — 
Adverse change of 20%(40)— — 
Anticipated net credit losses
Adverse change of 10%NM— — 
Adverse change of 20%NM— — 

NM    Anticipated 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 millions202120202021202020212020
Securitized assets
Residential mortgages(1)
$29.2 $16.9 $0.4 $0.5 $10.6 $26.2 
Commercial and other26.2 23.9 — — — — 
Total$55.4 $40.8 $0.4 $0.5 $10.6 $26.2 

(1)     Securitized assets include $0.2 billion of personal loan securitizations as of December 31, 2021.



 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, 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

(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.

 December 31, 2017
  Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Carrying value of retained interests(1)
$1,634
$214
$139
Discount rates   
   Adverse change of 10%$(44)$(2)$(3)
   Adverse change of 20%(85)(4)(5)
Constant prepayment rate   
   Adverse change of 10%(41)(1)(1)
   Adverse change of 20%(84)(1)(2)
Anticipated net credit losses   
   Adverse change of 10%NM
(3)—
   Adverse change of 20%NM
(7)—

241

 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.

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$404 million and $1.6 billion$336 million at December 31, 20172021 and 2016,2020, respectively. The MSRs correspond to principal loan balances of $66$47 billion and $168$53 billion as of December 31, 20172021 and 2016,2020, respectively.
The following table summarizes the changes in capitalized MSRs:

In millions of dollars20212020
Balance, beginning of year$336 $495 
Originations92 123 
Changes in fair value of MSRs due to changes in inputs and assumptions43 (204)
Other changes(1)
(67)(78)
Sales of MSRs— — 
Balance, as of December 31$404 $336 
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


(1)(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 dollars201720162015In millions of dollars202120202019
Servicing fees$276
$484
$552
Servicing fees$131 $142 $148 
Late fees10
14
16
Late fees3 58
Ancillary fees13
17
31
Ancillary fees— — 1
Total MSR fees$299
$515
$599
Total MSR fees$134 $147 $157 


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, 20172021 and 2016.2020. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of December 31, 2017, the fair value of Citi-retained2021 and December 31, 2020, Citi held no 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 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-label re-securitization transactions in which Citi holds a retained interest as of December 31, 2017 and 2016 was approximately $887 million and $1.3 billion, respectively.Citi.
The Company also re-securitizes U.S. government-agency guaranteedgovernment-agency-guaranteed mortgage-backed (agency) securities. During the years ended December 31, 20172021 and 2016,2020, Citi transferred
agency securities with a fair value of approximately $26.6$46.6 billion and $26.5$42.8 billion, respectively, to re-securitization entities.
As of December 31, 2017,2021, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.1$1.2 billion (including $854$641 million related to re-securitization transactions executed in 2017)2021) compared to $2.3$1.6 billion as of December 31, 20162020 (including $741$916 million related to re-securitization transactions executed in 2016)2020), which is recorded in Trading account assets. The original fair valuevalues of agency re-securitization transactions in which Citi holds a retained interest as of December 31, 20172021 and 2016 was2020 were approximately $68.3$78.4 billion and $71.8$83.6 billion, respectively.
As of December 31, 20172021 and 2016,2020, 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.
242

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, 20172021 and 2016,2020, the commercial paper conduits administered by Citi had approximately $19.3$14.0 billion and $19.7$16.7 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $14.5$18.3 billion and $12.8$17.1 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At December 31, 20172021 and 2016,2020, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 5170 and 5554 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. 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. In addition to the transaction-specific credit enhancements, the conduits, other than the governmentgovernment- guaranteed loan conduit, have obtained a letterletters 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$1.3 billion as of December 31, 20172021 and 2016, respectively.$1.5 billion as of December 31, 2020. 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, 20172021 and 2016,2020, the Company owned $9.3$4.9 billion and $9.7$6.6 billion, respectively, of the commercial paper issued by its administered conduits. The Company's purchases
Company’s 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
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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 makingmarket-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 billions of dollars201720162015In billions of dollars202120202019
Principal securitizedPrincipal securitized$— $0.1 $— 
Proceeds from new securitizations$3.5
$5.0
$5.9
Proceeds from new securitizations— 0.1 — 
Cash flows received on retained interests and other net cash flows0.1
—
—
Cash flows received on retained interests and other net cash flows1.1 — — 
Purchases of previously transferred financial assetsPurchases of previously transferred financial assets0.2 — — 

In millions of dollarsDec. 31, 2021Dec. 31, 2020Dec. 31, 2019
Carrying value of retained interests$921 $1,611 $1,404 
The key assumptions used to value
    All of Citi’s retained interests in CLOs,were held-to-maturity securities as of December 31, 2021 and the sensitivity of the fair value to adverse changes of 10% and 20%, are set forth in the tables below:2020.

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, 2021
In millions of dollars
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated VIEs
Type
Commercial and other real estate$32,932 $7,461 
Corporate loans18,257 12,581 
Other (including investment funds, airlines and shipping)184,358 25,528 
Total$235,547 $45,570 
December 31, 2020
In millions of dollars
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated VIEs
Type
Commercial and other real estate$34,570 $7,758 
Corporate loans12,022 7,654 
Other (including investment funds, airlines and shipping)167,613 20,442 
Total$214,205 $35,854 
 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, 2016
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$8,784
$2,368
Corporate loans4,051
2,684
Hedge funds and equities370
54
Airplanes, ships and other assets39,230
16,837
Total$52,435
$21,943
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, 2017,2021, Citi had no outstanding voluntary advances to customer TOB trusts.
For certain non-customer trusts, the Company also provides credit enhancement. At December 31, 20172021 and 2016, approximately $62 million and $82 million, respectively,2020, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
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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, 20172021 and 2016,2020, liquidity agreements provided with respect to customer TOB trusts totaled $3.2$1.5 billion and $2.9$1.6 billion, respectively, of which $2.0$0.6 billion and $2.1$0.8 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$2 billion as of December 31, 20172021 and 2016, respectively.$3.6 billion as of December 31, 2020. 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,(e.g., 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 employeescolleagues to invest in private equity investments. The Company acts as investment manager for these funds and may provide employeescolleagues with financing on both recourse and non-recourse bases for a portion of the employees’colleagues’ investment commitments.



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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 andthat 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-
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 the creditworthiness of a party’sparty 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

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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.















Information pertaining to Citigroup’s derivativederivatives 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.


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Derivative Notionals

Hedging instruments under
ASC 815(1)(2)
Other derivative instruments

Trading derivatives
Management hedges(3)
 Hedging instruments under
ASC 815		Trading derivative instruments
In millions of dollarsDecember 31,
2017		December 31,
2016		December 31,
2017		December 31,
2016		December 31,
2017		December 31,
2016		In millions of dollarsDecember 31,
2021		December 31,
2020		December 31,
2021		December 31,
2020
Interest rate contracts     Interest rate contracts   
Swaps$189,779
$151,331
$18,718,224
$19,145,250
$35,995
$47,324
Swaps$267,035 $334,351 $21,873,538 $17,724,147 
Futures and forwards—
97
6,447,886
6,864,276
12,653
30,834
Futures and forwards— — 2,383,702 4,142,514 
Written options—
—
3,513,759
2,921,070
2,372
4,759
Written options— — 1,584,451 1,573,483 
Purchased options—
—
3,230,915
2,768,528
3,110
7,320
Purchased options— — 1,428,376 1,418,255 
Total interest rate contract notionals$189,779
$151,428
$31,910,784
$31,699,124
$54,130
$90,237
Total interest rate contractsTotal interest rate contracts$267,035 $334,351 $27,270,067 $24,858,399 
Foreign exchange contracts      Foreign exchange contracts
Swaps$37,162
$19,042
$5,538,231
$5,492,145
$38,126
$22,676
Swaps$47,298 $65,709 $6,288,193 $6,567,304 
Futures, forwards and spot33,103
56,964
3,080,361
3,251,132
17,339
3,419
Futures, forwards and spot50,926 37,080 4,316,242 3,945,391 
Written options3,951
—
1,127,728
1,194,325
—
—
Written options— 47 664,942 907,338 
Purchased options6,427
—
1,148,686
1,215,961
—
—
Purchased options— 53 651,958 900,626 
Total foreign exchange contract notionals$80,643
$76,006
$10,895,006
$11,153,563
$55,465
$26,095
Total foreign exchange contractsTotal foreign exchange contracts$98,224 $102,889 $11,921,335 $12,320,659 
Equity contracts      Equity contracts
Swaps$—
$—
$215,834
$192,366
$—
$—
Swaps$— $— $269,062 $274,098 
Futures and forwards—
—
72,616
37,557
—
—
Futures and forwards— — 71,363 67,025 
Written options—
—
389,961
304,579
—
—
Written options— — 492,433 441,003 
Purchased options—
—
328,154
266,070
—
—
Purchased options— — 398,129 328,202 
Total equity contract notionals$—
$—
$1,006,565
$800,572
$—
$—
Total equity contractsTotal equity contracts$— $— $1,230,987 $1,110,328 
Commodity and other contracts      Commodity and other contracts
Swaps$—
$—
$82,039
$70,774
$—
$—
Swaps$— $— $91,962 $80,127 
Futures and forwards23
182
153,248
142,530
—
—
Futures and forwards2,096 924 157,195 143,175 
Written options—
—
62,045
74,627
—
—
Written options— — 51,224 71,376 
Purchased options—
—
60,526
69,629
—
—
Purchased options— — 47,868 67,849 
Total commodity and other contract notionals$23
$182
$357,858
$357,560
$—
$—
Credit derivatives(4)
      
Total commodity and other contractsTotal commodity and other contracts$2,096 $924 $348,249 $362,527 
Credit derivatives(1)
Credit derivatives(1)
Protection sold$—
$—
$735,142
$859,420
$—
$—
Protection sold$— $— $572,486 $543,607 
Protection purchased—
—
766,565
883,003
11,148
19,470
Protection purchased— — 645,996 612,770 
Total credit derivatives$—
$—
$1,501,707
$1,742,423
$11,148
$19,470
Total credit derivatives$— $— $1,218,482 $1,156,377 
Total derivative notionals$270,445
$227,616
$45,671,920
$45,753,242
$120,743
$135,802
Total derivative notionals$367,355 $438,164 $41,989,120 $39,808,290 
(1)

(1)Credit derivatives are arrangements designed to allow one party (protection purchaser) 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 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.


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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, 20172021 and December 31, 2016.2020. 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 reflects rule changesfollowing tables reflect rules adopted by clearing organizations that require or
allow entities to elect to treat certain 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 $100$340 billion and $280 billion as of December 31, 2021 and 2020, 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.


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Derivative Mark-to-Market (MTM) Receivables/Payables

In millions of dollars at December 31, 2021
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$1,167 $6 
Cleared122 89 
Interest rate contracts$1,289 $95 
Over-the-counter$1,338 $1,472 
Cleared6 — 
Foreign exchange contracts$1,344 $1,472 
Total derivatives instruments designated as ASC 815 hedges$2,633 $1,567 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$152,524 $138,114 
Cleared11,579 11,821 
Exchange traded96 44 
Interest rate contracts$164,199 $149,979 
Over-the-counter$133,357 $133,548 
Cleared848 278 
Foreign exchange contracts$134,205 $133,826 
Over-the-counter$23,452 $28,352 
Cleared19 — 
Exchange traded21,781 21,332 
Equity contracts$45,252 $49,684 
Over-the-counter$29,279 $29,833 
Exchange traded1,065 1,546 
Commodity and other contracts$30,344 $31,379 
Over-the-counter$6,896 $6,959 
Cleared3,322 4,056 
Credit derivatives$10,218 $11,015 
Total derivatives instruments not designated as ASC 815 hedges$384,218 $375,883 
Total derivatives$386,851 $377,450 
Less: Netting agreements(3)
$(292,628)$(292,628)
Less: Netting cash collateral received/paid(4)
(24,447)(29,306)
Net receivables/payables included on the Consolidated Balance Sheet(5)
$69,776 $55,516 
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(907)$(538)
Less: Non-cash collateral received/paid(5,777)(13,607)
Total net receivables/payables(5)
$63,092 $41,371 

(1)The derivatives fair values are also presented in Note 24 to the Consolidated Financial Statements.
(2)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-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $259 billion, $14 billion and $20 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(4)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(5)The net receivables/payables include approximately $10 billion of derivative asset and $11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
250

In millions of dollars at December 31, 2020
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$1,781 $161 
Cleared74 319 
Interest rate contracts$1,855 $480 
Over-the-counter$2,037 $2,042 
Foreign exchange contracts$2,037 $2,042 
Total derivatives instruments designated as ASC 815 hedges$3,892 $2,522 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$228,519 $209,330 
Cleared11,041 12,563 
Exchange traded46 38 
Interest rate contracts$239,606 $221,931 
Over-the-counter$153,791 $152,784 
Cleared842 1,239 
Exchange traded— 1 
Foreign exchange contracts$154,633 $154,024 
Over-the-counter$29,244 $41,036 
Cleared1 18 
Exchange traded21,274 22,515 
Equity contracts$50,519 $63,569 
Over-the-counter$13,659 $17,076 
Exchange traded879 1,017 
Commodity and other contracts$14,538 $18,093 
Over-the-counter$7,826 $7,951 
Cleared1,963 2,178 
Credit derivatives$9,789 $10,129 
Total derivatives instruments not designated as ASC 815 hedges$469,085 $467,746 
Total derivatives$472,977 $470,268 
Less: Netting agreements(3)
$(364,879)$(364,879)
Less: Netting cash collateral received/paid(4)
(31,137)(37,432)
Net receivables/payables included on the Consolidated Balance Sheet(5)
$76,961 $67,957 
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(1,567)$(473)
Less: Non-cash collateral received/paid(7,408)(13,087)
Total net receivables/payables(5)
$67,986 $54,397 

(1)The derivatives fair values are also presented in Note 24 to the Consolidated Financial Statements.
(2)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-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $336 billion, $9 billion and $20 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(4)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(5)The net receivables/payables include approximately $6 billion of derivative asset and $8 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
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)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$644
$121
$1,325
$13
Cleared71
24
39
68
Interest rate contracts$715
$145
$1,364
$81
Over-the-counter$885
$1,064
$258
$86
Foreign exchange contracts$885
$1,064
$258
$86
Total derivative instruments designated as ASC 815 hedges$1,600
$1,209
$1,622
$167
Derivatives instruments not designated as ASC 815 hedges    
Over-the-counter$195,648
$173,921
$29
$16
Cleared7,051
10,268
78
113
Exchange traded102
95
—
—
Interest rate contracts$202,801
$184,284
$107
$129
Over-the-counter$118,611
$116,962
$481
$511
Cleared1,690
2,028
—
—
Exchange traded34
121
—
—
Foreign exchange contracts$120,335
$119,111
$481
$511
Over-the-counter$17,221
$21,201
$—
$—
Cleared21
25
—
—
Exchange traded9,736
10,147
—
—
Equity contracts$26,978
$31,373
$—
$—
Over-the-counter$13,499
$16,362
$—
$—
Exchange traded604
665
—
—
Commodity and other contracts$14,103
$17,027
$—
$—
Over-the-counter$12,954
$12,895
$18
$63
Cleared7,530
8,327
32
248
Credit derivatives$20,484
$21,222
$50
$311
Total derivatives instruments not designated as ASC 815 hedges$384,701
$373,017
$638
$951
Total derivatives$386,301
$374,226
$2,260
$1,118
Cash collateral paid/received(4)(5)
$7,541
$14,296
$—
$12
Less: Netting agreements(6)
(306,401)(306,401)—
—
Less: Netting cash collateral received/paid(7)
(37,506)(35,659)(1,026)(7)
Net receivables/payables included on the Consolidated Balance Sheet(8)
$49,935
$46,462
$1,234
$1,123
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet    
Less: Cash collateral received/paid$(872)$(121)$—
$—
Less: Non-cash collateral received/paid(12,453)(6,929)(286)—
Total net receivables/payables(8)
$36,610
$39,412
$948
$1,123
251
(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 traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(4)For the trading account assets/liabilities, reflects the net amount of the $43,200 million and $51,801 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $35,659 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $37,506 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)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $283 billion, $14 billion and $9 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange traded derivatives, respectively.
(7)Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.
(8)The net receivables/payables include approximately $6 billion of derivative asset and $8 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

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 traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.

(4)For the trading account assets/liabilities, reflects the net amount of the $60,999 million and $61,643 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $49,811 million was used to offset derivative liabilities and, of the gross cash collateral received, $45,912 million was used to offset 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)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $383 billion, $128 billion and $8 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange traded derivatives, respectively.
(7)Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.
(8)The net receivables/payables include approximately $7 billion of derivative asset and $9 billion of liability fair values not subject to enforceable master netting agreements, respectively.

For the years ended December 31, 2017, 20162021, 2020 and 2015, the2019, 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
Gains (losses) included in
Other revenue
Year ended December 31,
In millions of dollars201720162015In millions of dollars202120202019
Interest rate contracts$(54)$(81)$117
Interest rate contracts$(70)$63 $57 
Foreign exchange244
12
(39)Foreign exchange(102)(57)(29)
Credit derivatives(494)(1,009)476
Total$(304)$(1,078)$554
Total$(172)$6 $28 


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. These excluded items are recognized in current earnings for the hedging derivative, whileCiti excludes changes in the valuecross-currency basis associated with cross-currency swaps from the assessment of a hedged item that are not related to the hedged risk are not recorded.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.



252

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.
Citigroup has 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.inventories. 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 it is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in forward rates from the assessment is based on changes in fair value attributable to change in spot prices on both the physical commodity and the futures contract, the amount of hedge ineffectiveness is not significant.

effectiveness and records it in Other comprehensive income.

253

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,
202120202019
In millions of dollarsOther revenueNet interest incomeOther
revenue		Net interest incomeOther
revenue		Net interest income
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
Interest rate hedges$— $(5,425)$— $4,189 $— $2,273 
Foreign exchange hedges(627)— 1,442 — 337 — 
Commodity hedges(3,983)— (164)— (33)— 
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$(4,610)$(5,425)$1,278 $4,189 $304 $2,273 
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges$— $5,043 $— $(4,537)$— $(2,085)
Foreign exchange hedges628 — (1,442)— (337)— 
Commodity hedges3,973 — 164 — 33 — 
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$4,601 $5,043 $(1,278)$(4,537)$(304)$(2,085)
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedges$— $(9)$— $(23)$— $3 
Foreign exchange hedges(2)
79 — (73)— (109)— 
Commodity hedges5 — 131 — 41 — 
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges$84 $(9)$58 $(23)$(68)$3 

(1)Gain (loss) amounts for interest rate risk hedges are included in Interest revenue/Interest expense. The accrued interest income on fair value hedges is recorded in Net interest income and is excluded from this table.
(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis included in AOCI was $2 million and $(23) million for the years ended December 31, 2021 and 2020, respectively.


 
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
254
(1)
Amounts are included in Other revenue or Principal Transactions in the Consolidated Statement of Income. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.

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. This cumulative hedge basis adjustment becomes part of the carrying value of 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, 2021 and 2020, 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, 2021
Debt securities AFS(1)(3)
$62,733 $149 $212 
Long-term debt149,305 623 3,936 
As of December 31, 2020
Debt securities AFS(2)(3)
$81,082 $28 $342 
Long-term debt169,026 5,554 4,989 

(1)    These amounts include a cumulative basis adjustment of $24 million for active hedges and $(92) million for de-designated hedges as of December 31, 2021, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $6 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $25 billion as of December 31, 2021) in a last-of-layer hedging relationship.
(2)    These amounts include a cumulative basis adjustment of $(18) million for active hedges and $62 million for de-designated hedges as of December 31, 2020, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $3 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $19 billion as of December 31, 2020) in a last-of-layer hedging relationship.
(3)    Carrying amount represents the amortized cost.

255

(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates). These amounts are excluded from the assessment of hedge effectiveness and are reflected directly in earnings.

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. When the variable interest rates associated with hedged items do not qualify as benchmark interest rates,

Citigroup designates the risk being hedged as the risk of overall variability in the hedged cash flows. Because efforts are made to match the terms 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 hedges in which derivatives hedge the variability of forecasted cash flows related 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 thefrom changes in a contractually specified rate and recognizes the derivatives’ fair values will not
be included in current earnings, but will be reported inAOCI. These changesentire change in fair value will be includedof the cash flow hedging instruments in AOCI. The full change in the value of the hedging instrument is required to be recognized in AOCI, and then recognized in earnings of future periods whenin the hedgedsame period that the cash flows impact earnings. To the extent that these derivatives are not fully effective, changes in their fair values are immediately included in Other revenue. Citigroup’s cash flow hedges primarily include hedges of floating-rate assets or liabilities which may include loans as well as forecasted transactions.

Hedging of Foreign Exchange Risk
Citigroup locks in the functional currency equivalent cash flows of long-term debt and short-term borrowings that are denominated in currencies other than the functional currency 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 risk 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 hedges recognized in earnings for the years ended December 31, 2017, 2016 and 2015 is not significant. The pretax change in AOCI from cash flow hedges is presented below:




In millions of dollars202120202019
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts$(847)$2,670 $746 
Foreign exchange contracts(51)(15)(17)
Total gain (loss) recognized in AOCI
$(898)$2,655 $729 

Other revenueNet interest incomeOther
revenue		Net interest
income		Other
revenue		Net interest
income
Amount of gain (loss) reclassified from AOCI to earnings(1)
Interest rate contracts$— $1,075 $— $734 $— $(384)
Foreign exchange contracts(4)— (4)— (7)— 
Total gain (loss) reclassified from AOCI into earnings
$(4)$1,075 $(4)$734 $(7)$(384)
Net pretax change in cash flow hedges included within AOCI
$(1,969)$1,925 $1,120 

(1)All amounts reclassified into earnings for interest rate contracts are included in Interest revenue/Interest expense (Net interest income). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest incomein the table below:Consolidated Statement of Income.

 Year ended December 31,
In millions of dollars201720162015
Effective portion of cash flow hedges included in AOCI   
Interest rate contracts$(165)$(219)$357
Foreign exchange contracts(8)69
(220)
Total effective portion of cash flow hedges included in AOCI$(173)$(150)$137
Effective portion of cash flow hedges reclassified from AOCI to earnings   
Interest rate contracts$(126)$(140)$(186)
Foreign exchange contracts(10)(93)(146)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)
$(136)$(233)$(332)
(1)
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, 20172021 is approximately $0.4 billion.$614 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.
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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), no 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 $2,528was $855 million, $(220)$(600) million and $2,475$(569) million for the years ended December 31, 2017, 20162021, 2020 and 2015,2019, 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, 20172021 and December 31, 2016,2020, approximately 98%99% and 97%, respectively, of the gross receivables are from counterparties with which Citi maintains master netting agreements, collateral agreements.agreements or settles daily. 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 creditentity and are generally limited to the market standard of failure to pay on indebtedness and bankruptcy of the reference creditentity 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

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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.entity. 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.


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The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:

 Fair valuesNotionals
In millions of dollars at December 31, 2021
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty
Banks$2,375 $3,031 $108,415 $103,756 
Broker-dealers1,962 1,139 44,364 40,068 
Non-financial113 306 2,785 2,728 
Insurance and other financial institutions5,768 6,539 490,432 425,934 
Total by industry of counterparty$10,218 $11,015 $645,996 $572,486 
By instrument
Credit default swaps and options$9,923 $10,234 $628,136 $565,131 
Total return swaps and other295 781 17,860 7,355 
Total by instrument$10,218 $11,015 $645,996 $572,486 
By rating of reference entity
Investment grade$4,149 $4,258 $511,652 $448,944 
Non-investment grade6,069 6,757 134,344 123,542 
Total by rating of reference entity$10,218 $11,015 $645,996 $572,486 
By maturity
Within 1 year$878 $1,462 $133,866 $115,603 
From 1 to 5 years6,674 6,638 454,617 413,174 
After 5 years2,666 2,915 57,513 43,709 
Total by maturity$10,218 $11,015 $645,996 $572,486 

(1)The fair value amount receivable is composed of $3,705 million under protection purchased and $6,513 million under protection sold.
(2)The fair value amount payable is composed of $7,354 million under protection purchased and $3,661 million under protection sold.
 Fair valuesNotionals
In millions of dollars at December 31, 2020
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty
Banks$2,902 $3,187 $117,685 $120,739 
Broker-dealers1,770 1,215 46,928 44,692 
Non-financial109 90 5,740 2,217 
Insurance and other financial institutions5,008 5,637 442,417 375,959 
Total by industry of counterparty$9,789 $10,129 $612,770 $543,607 
By instrument
Credit default swaps and options$9,254 $9,254 $599,633 $538,426 
Total return swaps and other535 875 13,137 5,181 
Total by instrument$9,789 $10,129 $612,770 $543,607 
By rating of reference entity
Investment grade$4,136 $4,037 $478,643 $418,147 
Non-investment grade5,653 6,092 134,127 125,460 
Total by rating of reference entity$9,789 $10,129 $612,770 $543,607 
By maturity
Within 1 year$914 $1,355 $134,080 $125,464 
From 1 to 5 years6,022 5,991 421,682 374,376 
After 5 years2,853 2,783 57,008 43,767 
Total by maturity$9,789 $10,129 $612,770 $543,607 

(1)The fair value amount receivable is composed of $3,514 million under protection purchased and $6,275 million under protection sold.
(2)The fair value amount payable is composed of $7,037 million under protection purchased and $3,092 million under protection sold.
 Fair valuesNotionals
In millions of dollars at December 31, 2017
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty    
Banks$7,471
$6,669
$264,414
$273,711
Broker-dealers2,325
2,285
73,273
83,229
Non-financial70
91
1,288
1,140
Insurance and other financial institutions10,668
12,488
438,738
377,062
Total by industry/counterparty$20,534
$21,533
$777,713
$735,142
By instrument    
Credit default swaps and options$20,251
$20,554
$754,114
$724,228
Total return swaps and other283
979
23,599
10,914
Total by instrument$20,534
$21,533
$777,713
$735,142
By rating    
Investment grade$10,473
$10,616
$588,324
$557,987
Non-investment grade10,061
10,917
189,389
177,155
Total by rating$20,534
$21,533
$777,713
$735,142
By maturity    
Within 1 year$2,477
$2,914
$231,878
$218,097
From 1 to 5 years16,098
16,435
498,606
476,345
After 5 years1,959
2,184
47,229
40,700
Total by maturity$20,534
$21,533
$777,713
$735,142
(1)The fair value amount receivable is composed of $3,195 million under protection purchased and $17,339 million under protection sold.
(2)The fair value amount payable is composed of $3,147 million under protection purchased and $18,386 million under protection sold.

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 Fair valuesNotionals
In millions of dollars at December 31, 2016
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty    
Banks$11,895
$10,930
$407,992
$414,720
Broker-dealers3,536
3,952
115,013
119,810
Non-financial82
99
4,014
2,061
Insurance and other financial institutions9,308
10,844
375,454
322,829
Total by industry/counterparty$24,821
$25,825
$902,473
$859,420
By instrument    
Credit default swaps and options$24,502
$24,631
$883,719
$852,900
Total return swaps and other319
1,194
18,754
6,520
Total by instrument$24,821
$25,825
$902,473
$859,420
By rating    
Investment grade$9,605
$9,995
$675,138
$648,247
Non-investment grade15,216
15,830
227,335
211,173
Total by rating$24,821
$25,825
$902,473
$859,420
By maturity    
Within 1 year$4,113
$4,841
$293,059
$287,262
From 1 to 5 years17,735
17,986
551,155
523,371
After 5 years2,973
2,998
58,259
48,787
Total by maturity$24,821
$25,825
$902,473
$859,420

(1)The fair value amount receivable is composed of $9,077 million under protection purchased and $15,744 million under protection sold.
(2)The fair value amount payable is composed of $17,110 million under protection purchased and $8,715 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 gradenon-investment-grade reference creditentity represent greater payment risk to the Company. The non-investment gradenon-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, 20172021 and December 31, 20162020 was $29$19 billion and $26$25 billion, respectively. The Company posted $28$16 billion and $26$22 billion as collateral for this exposure in the normal course of business as of December 31, 20172021 and December 31, 2016,2020, 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, 2017,2021, the Company could be required to post an additional $0.9$1.3 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$0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.2$1.4 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
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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$2.9 billion and $1.0$2.0 billion as of December 31, 2021 and 2020, respectively.
At December 31, 2017,2021, the fair value of these previously derecognized assets was $3.1$2.9 billion. The fair value of the total return swaps as of December 31, 2021 was $13 million recorded as gross derivative assets and $58 million recorded as gross derivative liabilities. At December 31, 2020, the fair value of these previously derecognized assets was $2.2 billion, and the fair value of the total return swaps was $89$135 million recorded as gross derivative assets and $15$7 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.


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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, 2017,2021, 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$414.5 billion and $228.5$370.1 billion at December 31, 20172021 and 2016,2020, respectively. The German, United Kingdom and Japanese 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 Germany amounted to $38.3$48.9 billion and $26.7$51.8 billion at December 31, 20172021 and 2016, respectively,2020, respectively. The Company’s exposure to the United Kingdom amounted to $31.1 billion and was composed of investment securities, loans$26.0 billion at December 31, 2021 and trading assets.2020, respectively. The Company’s exposure to Japan amounted to $25.8$30.1 billion and $27.3$35.5 billion at December 31, 20172021 and 2016, respectively, and was2020, respectively. The foreign government exposures are composed of investment securities, loans and trading assets.
The Company’s exposure to states and municipalities amounted to $30.6$22.0 billion and $30.7$26.1 billion at December 31, 20172021 and 2016,2020, respectively, and was composed of trading assets, investment securities, derivatives and lending activities.


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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 counterparty default of a counterparty is factored into the valuation of derivative and other positions, as well asand the impact of Citigroup’s own credit risk onis also factored into the valuation of derivatives and other liabilities that are 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;markets, quoted prices for identical or similar instruments in markets that are not active;active and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.
the market.
•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 classification approach typically utilizes rules-based and data driven selection criteria to determine whether an instrument is classified as Level 1, Level 2, or Level 3:

•The determination of whether an instrument is quoted in an active market and therefore considered a Level 1 instrument is based upon the frequency of observed transactions and the quality of independent market data available on the measurement date.
•A Level 2 classification is assigned where there is observability of prices / market inputs to recognize transfers intomodels, or where any unobservable inputs are not significant to the valuation. The determination of whether an input is considered observable is based on the availability of independent market data and out of each levelits corroboration, for example through observed transactions in the market.
•Otherwise, an instrument is classified as of the end of the reporting period.Level 3.


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, a non-recurring lower-of-cost-or-market (LOCOM) adjustment, or whetherbecause they are required to be measured at fair value.
When available, the Company uses quoted market prices from active markets 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 acceptableapply practical expedients (such as matrix pricing) to calculate fair value, in which case the items aremay be classified as Level 2.
The Company may also apply a price-based methodology whichthat 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 activity and the amount of the bid-ask spread are among the factors considered in determining the liquidity of markets and the observability of prices from those markets. If relevant and observable prices are available, those valuations may be classified as Level 2. When less liquidity exists for a securityHowever, when there are one or loan,more significant unobservable “price” inputs, those valuations will be classified as Level 3. Furthermore, when a quoted price is considered stale, a significant adjustment to the price of a similar security ismay be necessary to reflect differences in the terms of the actual security or loan being valued, or alternatively, when prices from independent sources aremay be insufficient to corroborate thea 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.value. 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
263

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.
The FVA reflectsrepresents 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 consistsmethodologies consist 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 unsecuredterm funding risk, 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-creditown 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.exposures (e.g., the market liquidity spread used to represent the term funding premium associated with certain OTC derivatives).

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, 20172021 and 2016:2020:
 Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsDecember 31,
2021		December 31,
2020
Counterparty CVA$(705)$(800)
Asset FVA(433)(525)
Citigroup (own credit) CVA379 403 
Liability FVA110 67 
Total CVA and FVA —derivative instruments$(649)$(855)


264

 
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsDecember 31,
2017		December 31,
2016
Counterparty CVA$(970)$(1,488)
Asset FVA(447)(536)
Citigroup (own-credit) CVA287
459
Liability FVA47
62
Total CVA—derivative instruments(1)
$(1,083)$(1,503)

(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 dollars201720162015In millions of dollars202120202019
Counterparty CVA$276
$157
$(115)Counterparty CVA$79 $(101)$149 
Asset FVA90
47
(66)Asset FVA96 (95)13 
Own-credit CVA(153)17
(28)
Own credit CVAOwn credit CVA(33)133 (131)
Liability FVA(15)(44)97
Liability FVA(22)(6)(63)
Total CVA—derivative instruments$198
$177
$(112)
Total CVA and FVA —derivative instrumentsTotal CVA and FVA —derivative instruments$120 $(69)$(32)
DVA related to own FVO liabilities(1)
$(680)$(538)$367
DVA related to own FVO liabilities(1)
$296 $(616)$(1,473)
Total CVA and DVA(2)
$(482)$(361)$255
Total CVA, FVA and FVO DVATotal CVA, FVA and FVO DVA$416 $(685)$(1,505)

(1)
Effective January 1, 2016, Citigroup early adopted on a prospective basis only the provisions of ASU No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, related 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.
(2)FVA is included with CVA for presentation purposes.



Valuation Process for Fair Value Measurements
Price verification procedures(1)    See Notes 1, 17 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 reports19 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.Consolidated Financial Statements.
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, sosince 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 various 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 adjustmentthe primary inputs 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,valuation are unobservable, 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 downFair value estimates from these internal valuation techniques are verified, where possible, to zero.
prices obtained from independent sources, including third-party vendors.
When the Company’s principal exit market for a portfolio of loans is thethrough securitization, market, the Company uses the securitization price to determineas a key input into the fair value of the loan portfolio. The securitization price is determined from the assumed proceeds of a hypothetical securitization inwithin the current market adjusted for transformation costs (i.e., direct costs other than transaction costs) and securitization uncertaintiesenvironment. Where 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 beenis possible, since these markets have remained active. Accordingly, this loan portfolio isportfolios are typically classified as Level 2 ofin the fair value hierarchy.
For most of the lending and structured direct subprime mortgage backed security (MBS) exposures, fair value is determined utilizing observable transactions where available, or other valuation techniques such as discounted cash flow analysis utilizing valuation assumptions derived from similar, more observable securities as market data for similar assets in markets that are not active and other internal valuation techniques.proxies. The valuation of certain asset-backed security (ABS) CDO positions utilizes prices based onis inferred through the net asset value of 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 uses overnight indexed swap (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 managementmanagement’s judgment, as no quoted prices exist and such securities are not 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.guideline public company analysis and comparable
transactions. 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.
265

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 beenare 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.


266


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, 20172021 and December 31, 2016.2020. The Company may hedge positions that have
been classified in the Level 3 category with
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.2. 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, 2021In millions of dollars at December 31, 2021Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets Assets    
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$188,571
$16
$188,587
$(55,638)$132,949
Securities borrowed and purchased under agreements to resellSecurities borrowed and purchased under agreements to resell$— $342,030 $231 $342,261 $(125,795)$216,466 
Trading non-derivative assets Trading non-derivative assets
Trading mortgage-backed securities Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed—
22,801
163
22,964
—
22,964
U.S. government-sponsored agency guaranteed— 34,534 496 35,030 — 35,030 
Residential—
649
164
813
—
813
Residential1 643 104 748 — 748 
Commercial—
1,309
57
1,366
—
1,366
Commercial— 778 81 859 — 859 
Total trading mortgage-backed securities$—
$24,759
$384
$25,143
$—
$25,143
Total trading mortgage-backed securities$1 $35,955 $681 $36,637 $— $36,637 
U.S. Treasury and federal agency securities$17,524
$3,613
$—
$21,137
$—
$21,137
U.S. Treasury and federal agency securities$44,900 $3,230 $4 $48,134 $— $48,134 
State and municipal—
4,426
274
4,700
—
4,700
State and municipal— 1,995 37 2,032 — 2,032 
Foreign government39,347
20,843
16
60,206
—
60,206
Foreign government39,176 31,485 23 70,684 — 70,684 
Corporate301
15,129
275
15,705
—
15,705
Corporate1,544 16,156 412 18,112 — 18,112 
Equity securities53,305
6,794
120
60,219
—
60,219
Equity securities53,833 10,047 174 64,054 — 64,054 
Asset-backed securities—
1,198
1,590
2,788
—
2,788
Asset-backed securities— 981 613 1,594 — 1,594 
Other trading assets(3)
3
11,105
615
11,723
—
11,723
Other trading assets(2)
Other trading assets(2)
— 20,346 576 20,922 — 20,922 
Total trading non-derivative assets$110,480
$87,867
$3,274
$201,621
$—
$201,621
Total trading non-derivative assets$139,454 $120,195 $2,520 $262,169 $— $262,169 
Trading derivatives
 Trading derivatives
Interest rate contracts$145
$201,663
$1,708
$203,516
 Interest rate contracts$90 $161,500 $3,898 $165,488 
Foreign exchange contracts19
120,624
577
121,220
 Foreign exchange contracts— 134,912 637 135,549 
Equity contracts2,364
24,170
444
26,978
 Equity contracts41 43,904 1,307 45,252 
Commodity contracts282
13,252
569
14,103
 Commodity contracts— 28,547 1,797 30,344 
Credit derivatives—
19,574
910
20,484
 Credit derivatives— 9,299 919 10,218 
Total trading derivatives$2,810
$379,283
$4,208
$386,301
 
Cash collateral paid(4)
 $7,541
 
Total trading derivatives—before netting and collateralTotal trading derivatives—before netting and collateral$131 $378,162 $8,558 $386,851 
Netting agreements $(306,401) Netting agreements$(292,628)
Netting of cash collateral received (37,506) 
Total trading derivatives$2,810
$379,283
$4,208
$393,842
$(343,907)$49,935
Netting of cash collateral received (3)
Netting of cash collateral received (3)
(24,447)
Total trading derivatives—after netting and collateralTotal trading derivatives—after netting and collateral$131 $378,162 $8,558 $386,851 $(317,075)$69,776 
Investments Investments
Mortgage-backed securities Mortgage-backed securities
U.S. government-sponsored agency guaranteed$—
$41,717
$24
$41,741
$—
$41,741
U.S. government-sponsored agency guaranteed$— $33,165 $51 $33,216 $— $33,216 
Residential—
2,884
—
2,884
—
2,884
Residential— 286 94 380 — 380 
Commercial—
329
3
332
—
332
Commercial— 25 — 25 — 25 
Total investment mortgage-backed securities$—
$44,930
$27
$44,957
$—
$44,957
Total investment mortgage-backed securities$— $33,476 $145 $33,621 $— $33,621 
U.S. Treasury and federal agency securities$106,964
$11,182
$—
$118,146
$—
$118,146
U.S. Treasury and federal agency securities$122,271 $168 $1 $122,440 $— $122,440 
State and municipal—
8,028
737
8,765
—
8,765
State and municipal— 1,849 772 2,621 — 2,621 
Foreign government56,456
43,985
92
100,533
—
100,533
Foreign government56,842 61,112 786 118,740 — 118,740 
Corporate1,911
12,127
71
14,109
—
14,109
Corporate2,861 2,871 188 5,920 — 5,920 
Equity securities176
11
2
189
—
189
Marketable equity securitiesMarketable equity securities350 177 16 543 — 543 
Asset-backed securities—
3,091
827
3,918
—
3,918
Asset-backed securities— 300 3 303 — 303 
Other debt securities—
297
—
297
—
297
Other debt securities— 4,877 — 4,877 — 4,877 
Non-marketable equity securities(5)
—
121
681
802
—
802
Non-marketable equity securities(4)
Non-marketable equity securities(4)
— 28 316 344 — 344 
Total investments$165,507
$123,772
$2,437
$291,716
$—
$291,716
Total investments$182,324 $104,858 $2,227 $289,409 $— $289,409 

Table continues on the next page, including footnotes.

page.
267

In millions of dollars at December 31, 2021In millions of dollars at December 31, 2021Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
LoansLoans$— $5,371 $711 $6,082 $— $6,082 
Mortgage servicing rightsMortgage servicing rights— — 404 404 — 404 
In millions of dollars at December 31, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$3,824
$550
$4,374
$—
$4,374
Mortgage servicing rights—
—
558
558
—
558
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
Non-trading derivatives and other financial assets measured on a recurring basis$4,075 $8,194 $73 $12,342 $— $12,342 
Total assets$292,700
$790,217
$11,059
$1,101,517
$(400,571)$700,946
Total assets$325,984 $958,810 $14,724 $1,299,518 $(442,870)$856,648 
Total as a percentage of gross assets(7)
26.8%72.2%1.0%





Total as a percentage of gross assets(5)
Total as a percentage of gross assets(5)
25.1 %73.8 %1.1 %
Liabilities Liabilities
Interest-bearing deposits$—
$1,179
$286
$1,465
$—
$1,465
Interest-bearing deposits$— $1,483 $183 $1,666 $— $1,666 
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 repurchaseSecurities loaned and sold under agreements to repurchase— 174,318 643 174,961 (118,267)56,694 
Trading account liabilities Trading account liabilities
Securities sold, not yet purchased65,843
10,306
22
76,171
—
76,171
Securities sold, not yet purchased82,675 23,268 65 106,008 — 106,008 
Other trading liabilities—
1,409
5
1,414
—
1,414
Other trading liabilities— 5 — 5 — 5 
Total trading liabilities$65,843
$11,715
$27
$77,585
$—
$77,585
Total trading liabilities$82,675 $23,273 $65 $106,013 $— $106,013 
Trading derivatives Trading derivatives
Interest rate contracts$137
$182,162
$2,130
$184,429
 Interest rate contracts$56 $147,846 $2,172 $150,074 
Foreign exchange contracts9
119,719
447
120,175
 Foreign exchange contracts— 134,572 726 135,298 
Equity contracts2,430
26,472
2,471
31,373
 Equity contracts60 46,177 3,447 49,684 
Commodity contracts115
14,482
2,430
17,027
 Commodity contracts— 30,004 1,375 31,379 
Credit derivatives—
19,513
1,709
21,222
 Credit derivatives— 10,065 950 11,015 
Total trading derivatives$2,691
$362,348
$9,187
$374,226
 
Cash collateral received(8)
 $14,296
 
Total trading derivatives—before netting and collateralTotal trading derivatives—before netting and collateral$116 $368,664 $8,670 $377,450 
Netting agreements $(306,401) Netting agreements$(292,628)
Netting of cash collateral paid (35,659) 
Total trading derivatives$2,691
$362,348
$9,187
$388,522
$(342,060)$46,462
Netting of cash collateral paid (3)
Netting of cash collateral paid (3)
(29,306)
Total trading derivatives—after netting and collateralTotal trading derivatives—after netting and collateral$116 $368,664 $8,670 $377,450 $(321,934)$55,516 
Short-term borrowings$—
$4,609
$18
$4,627
$—
$4,627
Short-term borrowings$— $7,253 $105 $7,358 $— $7,358 
Long-term debt—
18,310
13,082
31,392
—
31,392
Long-term debt— 57,100 25,509 82,609 — 82,609 
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
Total non-trading derivatives and other financial liabilities measured on a recurring basis$3,574 $— $1 $3,575 $— $3,575 
Total liabilities$82,437
$494,879
$23,334
$614,958
$(397,705)$217,253
Total liabilities$86,365 $632,091 $35,176 $753,632 $(440,201)$313,431 
Total as a percentage of gross liabilities(7)
13.7%82.4%3.9% 
Total as a percentage of gross liabilities(5)
Total as a percentage of gross liabilities(5)
11.5 %83.9 %4.7 %


(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)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)Reflects the net amount of $43,200 million of gross cash collateral paid, of which $35,659 million was used to offset trading derivative liabilities.
(5)
Amounts exclude $0.4 billion of investments measured at Net 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).
(1)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.
(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.
(3)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(4)Amounts exclude $0.1 billion of investments measured at net 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).
(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.

268

(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)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)Reflects the net amount of $51,802 million of gross cash collateral received, of which $37,506 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, 2020Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$— $335,073 $320 $335,393 $(150,189)$185,204 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed— 42,903 27 42,930 — 42,930 
Residential— 391 340 731 — 731 
Commercial— 893 136 1,029 — 1,029 
Total trading mortgage-backed securities$— $44,187 $503 $44,690 $— $44,690 
U.S. Treasury and federal agency securities$64,529 $2,269 $— $66,798 $— $66,798 
State and municipal— 1,224 94 1,318 — 1,318 
Foreign government68,195 15,143 51 83,389 — 83,389 
Corporate1,607 18,840 375 20,822 — 20,822 
Equity securities54,117 12,289 73 66,479 — 66,479 
Asset-backed securities— 776 1,606 2,382 — 2,382 
Other trading assets(2)
— 11,295 945 12,240 — 12,240 
Total trading non-derivative assets$188,448 $106,023 $3,647 $298,118 $— $298,118 
Trading derivatives
Interest rate contracts$42 $238,026 $3,393 $241,461 
Foreign exchange contracts2 155,994 674 156,670 
Equity contracts66 48,362 2,091 50,519 
Commodity contracts— 13,546 992 14,538 
Credit derivatives— 8,634 1,155 9,789 
Total trading derivatives—before netting and collateral$110 $464,562 $8,305 $472,977 
Netting agreements$(364,879)
Netting of cash collateral received(3)
(31,137)
Total trading derivatives—after netting and collateral$110 $464,562 $8,305 $472,977 $(396,016)$76,961 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$— $43,888 $30 $43,918 $— $43,918 
Residential— 571 — 571 — 571 
Commercial— 50 — 50 — 50 
Total investment mortgage-backed securities$— $44,509 $30 $44,539 $— $44,539 
U.S. Treasury and federal agency securities$146,032 $172 $— $146,204 $— $146,204 
State and municipal— 2,885 834 3,719 — 3,719 
Foreign government77,056 47,644 268 124,968 — 124,968 
Corporate6,326 4,114 60 10,500 — 10,500 
Marketable equity securities287 228 — 515 — 515 
Asset-backed securities— 277 1 278 — 278 
Other debt securities— 4,876 — 4,876 — 4,876 
Non-marketable equity securities(4)
— 50 349 399 — 399 
Total investments$229,701 $104,755 $1,542 $335,998 $— $335,998 

Table continues on the next page.
269

In millions of dollars at December 31, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$172,394
$1,496
$173,890
$(40,686)$133,204
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed—
22,718
176
22,894
—
22,894
Residential—
291
399
690
—
690
Commercial—
1,000
206
1,206
—
1,206
Total trading mortgage-backed securities$—
$24,009
$781
$24,790
$—
$24,790
U.S. Treasury and federal agency securities$16,368
$4,811
$1
$21,180
$—
$21,180
State and municipal—
3,780
296
4,076
—
4,076
Foreign government32,164
17,492
40
49,696
—
49,696
Corporate424
14,199
324
14,947
—
14,947
Equity securities45,056
5,260
127
50,443
—
50,443
Asset-backed securities—
892
1,868
2,760
—
2,760
Other trading assets(3)
—
9,466
2,814
12,280
—
12,280
Total trading non-derivative assets$94,012
$79,909
$6,251
$180,172
$—
$180,172
Trading derivatives      
Interest rate contracts$105
$366,995
$2,225
$369,325
  
Foreign exchange contracts53
184,776
833
185,662
  
Equity contracts2,306
21,209
595
24,110
  
Commodity contracts261
12,999
505
13,765
  
Credit derivatives—
23,021
1,594
24,615
  
Total trading derivatives$2,725
$609,000
$5,752
$617,477
  
Cash collateral paid(4)
   $11,188
  
Netting agreements    $(519,000) 
Netting of cash collateral received    (45,912) 
Total trading derivatives$2,725
$609,000
$5,752
$628,665
$(564,912)$63,753
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$—
$38,304
$101
$38,405
$—
$38,405
Residential—
3,860
50
3,910
—
3,910
Commercial—
358
—
358
—
358
Total investment mortgage-backed securities$—
$42,522
$151
$42,673
$—
$42,673
U.S. Treasury and federal agency securities$112,916
$10,753
$2
$123,671
$—
$123,671
State and municipal—
8,909
1,211
10,120
—
10,120
Foreign government54,028
43,934
186
98,148
—
98,148
Corporate3,215
13,598
311
17,124
—
17,124
Equity securities336
46
9
391
—
391
Asset-backed securities—
6,134
660
6,794
—
6,794
Other debt securities—
503
—
503
—
503
Non-marketable equity securities(5)
—
35
1,331
1,366
—
1,366
Total investments$170,495
$126,434
$3,861
$300,790
$—
$300,790
In millions of dollars at December 31, 2020Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$— $4,869 $1,985$6,854 $— $6,854 
Mortgage servicing rights— — 336 336 — 336 
Non-trading derivatives and other financial assets measured on a recurring basis$6,230 $8,383 $— $14,613 $— $14,613 
Total assets$424,489 $1,023,665 $16,135 $1,464,289 $(546,205)$918,084 
Total as a percentage of gross assets(5)
29.0 %69.9 %1.1 %
Liabilities
Interest-bearing deposits$— $1,752 $206 $1,958 $— $1,958 
Securities loaned and sold under agreements to repurchase— 156,644 631 157,275 (97,069)60,206 
Trading account liabilities
Securities sold, not yet purchased85,353 14,477 214 100,044 — 100,044 
Other trading liabilities— — 26 26 — 26 
Total trading account liabilities$85,353 $14,477 $240 $100,070 $— $100,070 
Trading derivatives
Interest rate contracts$25 $220,607 $1,779 $222,411 
Foreign exchange contracts3 155,441 622 156,066 
Equity contracts53 58,212 5,304 63,569 
Commodity contracts— 17,393 700 18,093 
Credit derivatives— 9,022 1,107 10,129 
Total trading derivatives—before netting and collateral$81 $460,675 $9,512 $470,268 
Netting agreements$(364,879)
Netting of cash collateral paid (3)
(37,432)
Total trading derivatives—after netting and collateral$81 $460,675 $9,512 $470,268 $(402,311)$67,957 
Short-term borrowings$— $4,464 $219 $4,683 $— $4,683 
Long-term debt— 41,853 25,210 67,063 — 67,063 
Non-trading derivatives and other financial liabilities measured on a recurring basis$6,762 $72 $1 $6,835 $— $6,835 
Total liabilities$92,196 $679,937 $36,019 $808,152 $(499,380)$308,772 
Total as a percentage of gross liabilities(5)
11.4 %84.1 %4.5 %


(1)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.
(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.
(3)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(4)Amounts exclude $0.2 billion of investments measured at 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).
(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.





















270
In millions of dollars at December 31, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$2,918
$568
$3,486
$—
$3,486
Mortgage servicing rights—
—
1,564
1,564
—
1,564
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
Total assets$276,532
$998,387
$19,526
$1,305,641
$(606,943)$698,698
Total as a percentage of gross assets(7)
21.4%77.1%1.5%   
Liabilities      
Interest-bearing deposits$—
$919
$293
$1,212
$—
$1,212
Federal funds purchased and securities loaned or sold under agreements to repurchase—
73,500
849
74,349
(40,686)33,663
Trading account liabilities      
Securities sold, not yet purchased67,429
12,184
1,177
80,790
—
80,790
Other trading liabilities—
1,827
1
1,828
—
1,828
Total trading liabilities$67,429
$14,011
$1,178
$82,618
$—
$82,618
Trading account derivatives      
Interest rate contracts$107
$351,766
$2,888
$354,761
  
Foreign exchange contracts13
187,328
420
187,761
  
Equity contracts2,245
22,119
2,152
26,516
  
Commodity contracts196
12,386
2,450
15,032
  
Credit derivatives—
22,842
2,595
25,437
  
Total trading derivatives$2,561
$596,441
$10,505
$609,507
  
Cash collateral received(8)
   $15,731
  
Netting agreements    $(519,000) 
Netting of cash collateral paid    (49,811) 
Total trading derivatives$2,561
$596,441
$10,505
$625,238
$(568,811)$56,427
Short-term borrowings$—
$2,658
$42
$2,700
$—
$2,700
Long-term debt—
16,510
9,744
26,254
—
26,254
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
Total liabilities$79,290
$705,579
$22,619
$823,220
$(609,550)$213,670
Total as a percentage of gross liabilities(6)
9.8%87.4%2.8%   


(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; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)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)Reflects the net amount of $60,999 million of gross cash collateral paid, of which $49,811 million was used to offset trading derivative liabilities.
(5)
Amounts exclude $0.4 billion investments measured at Net Asset Value (NAV) in accordance with ASU 2015-07.
(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)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)Reflects the net amount of $61,643 million of gross cash collateral received, of which $45,912 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, 20172021 and 2016.2020. 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(1)
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, 2017In millions of dollarsDec. 31, 2020Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2021
Assets 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 resellSecurities borrowed and purchased under agreements to resell$320 $(36)$— $45 $(49)$362 $— $— $(411)$231 $— 
Trading non-derivative assets Trading non-derivative assets
Trading mortgage-backed securities Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed176
23
—
176
(174)463
—
(504)3
163
2
U.S. government-sponsored agency guaranteed27 8 — 355 (131)447 — (210)— 496 11 
Residential399
86
—
95
(118)126
—
(424)—
164
14
Residential340 25 — 89 (96)282 — (536)— 104 13 
Commercial206
15
—
69
(57)450
—
(626)—
57
(5)Commercial136 23 — 96 (58)62 — (178)— 81 — 
Total trading mortgage-backed securities$781
$124
$—
$340
$(349)$1,039
$—
$(1,554)$3
$384
$11
Total trading mortgage-backed securities$503 $56 $— $540 $(285)$791 $— $(924)$— $681 $24 
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
U.S. Treasury and federal agency securities$— $— $— $4 $— $— $— $— $— $4 $— 
State and municipal296
28
—
24
(48)161
(23)(164)—
274
8
State and municipal94 (4)— 20 (29)17 — (61)— 37 (6)
Foreign government40
1
—
89
(228)291
—
(177)—
16
—
Foreign government51 29 — 143 (129)83 — (154)— 23 (2)
Corporate324
344
—
140
(185)482
(8)(828)6
275
81
Corporate375 74 — 461 (384)867 — (981)— 412 (38)
Equity securities127
54
—
210
(58)51
(3)(261)—
120
—
Equity securities73 67 — 156 (52)118 — (188)— 174 23 
Asset-backed securities1,868
284
—
44
(178)1,457
—
(1,885)—
1,590
36
Asset-backed securities1,606 371 — 173 (297)1,313 — (2,553)— 613 (43)
Other trading assets2,814
117
—
474
(2,691)2,195
11
(2,285)(20)615
60
Other trading assets945 97 — 158 (457)980 4 (1,147)(4)576 (37)
Total trading non-derivative assets$6,251
$952
$—
$1,321
$(3,737)$5,676
$(23)$(7,155)$(11)$3,274
$196
Total trading non-derivative assets$3,647 $690 $— $1,655 $(1,633)$4,169 $4 $(6,008)$(4)$2,520 $(79)
Trading derivatives, net(4)
 
Trading derivatives, net(4)
Interest rate contracts$(663)$(44)$—
$(28)$610
$154
$(13)$(322)$(116)$(422)$77
Interest rate contracts$1,614 $(376)$— $102 $562 $27 $(84)$— $(119)$1,726 $4 
Foreign exchange contracts413
(438)—
54
(60)33
14
(21)135
130
(139)Foreign exchange contracts52 (8)— (57)104 220 — (326)(74)(89)7 
Equity contracts(1,557)129
—
(159)28
184
(216)(333)(103)(2,027)(214)Equity contracts(3,213)964 — (1,101)1,923 364 — (364)(713)(2,140)(729)
Commodity contracts(1,945)(384)—
77
35
—
23
(3)336
(1,861)149
Commodity contracts292 474 — 174 (454)162 — (238)12 422 261 
Credit derivatives(1,001)(484)—
(28)18
6
16
(6)680
(799)(169)Credit derivatives48 (136)— (96)40 — — — 113 (31)(130)
Total trading derivatives, net(4)
$(4,753)$(1,221)$—
$(84)$631
$377
$(176)$(685)$932
$(4,979)$(296)
Total trading derivatives, net(4)
$(1,207)$918 $— $(978)$2,175 $773 $(84)$(928)$(781)$(112)$(587)

Table continues on the next page, including footnotes.

page.
271

  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, 2017
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$101
$—
$16
$1
$(94)$—
$—
$—
$—
$24
$(2)
Residential50
—
2
—
(47)—
—
(5)—
—
—
Commercial—
—
—
3
—
12
—
(12)—
3
—
Total investment mortgage-backed securities$151
$—
$18
$4
$(141)$12
$—
$(17)$—
$27
$(2)
U.S. Treasury and federal agency securities$2
$—
$—
$—
$—
$—
$—
$(2)$—
$—
$—
State and municipal1,211
—
58
70
(517)127
—
(212)—
737
44
Foreign government186
—
—
2
(284)523
—
(335)—
92
1
Corporate311
—
9
77
(47)227
—
(506)—
71
—
Equity securities9
—
(1)—
—
—
—
(6)—
2
—
Asset-backed securities660
—
(89)31
(32)883
—
(626)—
827
12
Other debt securities—
—
—
—
—
21
—
(21)—
—
—
Non-marketable equity securities1,331
—
(170)2
—
19
—
(233)(268)681
44
Total investments$3,861
$—
$(175)$186
$(1,021)$1,812
$—
$(1,958)$(268)$2,437
$99
Loans$568
$—
$75
$80
$(16)$188
$—
$(337)$(8)$550
$211
Mortgage servicing rights1,564
—
65
—
—
—
96
(1,057)(110)558
74
Other financial assets measured on a recurring basis34
—
(128)10
(8)1
318
(14)(197)16
(152)
Liabilities           
Interest-bearing deposits$293
$—
$25
$40
$—
$—
$2
$—
$(24)$286
$22
Federal funds purchased and securities loaned or sold under agreements to repurchase849
14
—
—
—
—
36
—
(145)726
10
Trading account liabilities           
Securities sold, not yet purchased1,177
385
—
22
(796)—
17
277
(290)22
8
Other trading liabilities1
—
—
4
—
—
—
—
—
5
—
Short-term borrowings42
32
—
4
(7)—
31
—
(20)18
(3)
Long-term debt9,744
(1,083)—
1,251
(1,836)44
2,712
—
84
13,082
(1,554)
Other financial liabilities measured on a recurring basis8
—
—
5
—
—
5
(1)(9)8
(1)
(1)
Changes in fair value for 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 the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on 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.
(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(1)
Transfers     
Unrealized
gains (losses)
still held(3)
In millions of dollarsDec. 31, 2020Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2021
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$30 $— $2 $42 $(10)$3 $— $(16)$— $51 $2 
Residential— — — 54 (12)52 — — — 94 (1)
Commercial— — — — — — — — — — — 
Total investment mortgage-backed securities$30 $— $2 $96 $(22)$55 $— $(16)$— $145 $1 
U.S. Treasury and federal agency securities$— $— $— $1 $— $— $— $— $— $1 $— 
State and municipal834 — (21)58 (108)49 — (40)— 772 (12)
Foreign government268 — (49)512 (565)871 — (251)— 786 (2)
Corporate60 — (14)183 (44)37 — (34)— 188 2 
Marketable equity securities— — — 16 — — — — — 16 — 
Asset-backed securities1 — (21)36 — — — (13)— 3 (2)
Other debt securities— — — — — — — — — — — 
Non-marketable equity securities349 — (27)2 — — — (8)— 316 (6)
Total investments$1,542 $— $(130)$904 $(739)$1,012 $— $(362)$— $2,227 $(19)
Loans$1,985 $— $90 $311 $(2,071)$— $529 $— $(133)$711 $(77)
Mortgage servicing rights336 — 43 — — — 92 — (67)404 52 
Other financial assets measured on a recurring basis— — 6 65 (27)58 — (26)(3)73 — 
Liabilities
Interest-bearing deposits$206 $— $(18)$— $(44)$— $38 $— $(35)$183 $(19)
Securities loaned and sold under agreements to repurchase631 (9)— 183 (483)488 — — (185)643 32 
Trading account liabilities
Securities sold, not yet purchased214 48 — 87 (34)59 — — (213)65 (4)
Other trading liabilities26 26 — — — — — — — — — 
Short-term borrowings219 43 — 137 (57)— 49 — (200)105 (2)
Long-term debt25,210 2,774 — 8,611 (9,771)— 10,262 — (6,029)25,509 1,756 
Other financial liabilities measured on a recurring basis1 — (3)— (4)— 14 — (13)1 — 



(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.

(2)Unrealized gains (losses) on MSRs are recorded in Other revenue 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 debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 2021.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.



272

 Net realized/unrealized
gains (losses) included in		Transfers 
Unrealized
gains/
(losses)
still held(3)
  
Net realized/unrealized
gains (losses) included in(1)
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, 2016In millions of dollarsDec. 31, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2020
Assets 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 resellSecurities borrowed and purchased under agreements to resell$303 $23 $— $— $— $194 $— $— $(200)$320 $43 
Trading non-derivative assets Trading non-derivative assets        
Trading mortgage-backed securities Trading mortgage-backed securities        
U.S. government-sponsored agency guaranteed744
6
—
510
(1,087)941
—
(961)23
176
(7)U.S. government-sponsored agency guaranteed10 (79)— 21 (11)392 — (306)— 27 (1)
Residential1,326
104
—
189
(162)324
—
(1,376)(6)399
26
Residential123 79 — 234 (68)486 — (514)— 340 (20)
Commercial517
(1)—
193
(234)759
—
(1,028)—
206
(27)Commercial61 — — 162 (35)174 — (226)— 136 (14)
Total trading mortgage-backed securities$2,587
$109
$—
$892
$(1,483)$2,024
$—
$(3,365)$17
$781
$(8)Total trading mortgage-backed securities$194 $— $— $417 $(114)$1,052 $— $(1,046)$— $503 $(35)
U.S. Treasury and federal agency securities$1
$—
$—
$2
$—
$—
$—
$(2)$—
$1
$—
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal351
23
—
195
(256)322
—
(339)—
296
(88)State and municipal64 2 — 33 (3)62 — (64)— 94 4 
Foreign government197
(9)—
21
(49)115
—
(235)—
40
(16)Foreign government52 (35)— 9 (1)169 — (143)— 51 (7)
Corporate376
330
—
171
(132)867
—
(1,295)7
324
69
Corporate313 246 — 211 (136)770 — (1,023)(6)375 (37)
Equity securities3,684
(527)—
279
(4,057)955
(11)(196)—
127
(457)
Marketable equity securitiesMarketable equity securities100 (16)— 43 (2)240 — (292)— 73 (11)
Asset-backed securities2,739
53
—
205
(360)2,199
—
(2,965)(3)1,868
(46)Asset-backed securities1,177 (105)— 677 (131)1,406 — (1,418)— 1,606 (248)
Other trading assets2,483
(58)—
2,070
(2,708)2,894
19
(1,838)(48)2,814
(101)Other trading assets555 315 — 471 (343)387 19 (440)(19)945 (56)
Total trading non-derivative assets$12,418
$(79)$—
$3,835
$(9,045)$9,376
$8
$(10,235)$(27)$6,251
$(647)Total trading non-derivative assets$2,455 $407 $— $1,861 $(730)$4,086 $19 $(4,426)$(25)$3,647 $(390)
Trading derivatives, net(4)
 
Trading derivatives, net(4)
Interest rate contracts$(495)$(146)$—
$301
$(239)$163
$(18)$(142)$(87)$(663)$26
Interest rate contracts$1 $429 $— $1,644 $16 $41 $134 $(34)$(617)$1,614 $161 
Foreign exchange contracts620
(276)—
75
(106)200
—
(181)81
413
23
Foreign exchange contracts(5)105 — (61)48 74 — (55)(54)52 130 
Equity contracts(800)(89)—
63
(772)92
38
(128)39
(1,557)(33)Equity contracts(1,596)(536)— (519)378 35 — (886)(89)(3,213)(3,868)
Commodity contracts(1,861)(352)—
(425)(39)357
—
(347)722
(1,945)(164)Commodity contracts(59)(1)— 99 (108)101 — (61)321 292 407 
Credit derivatives307
(1,970)—
8
(29)37
—
(34)680
(1,001)(1,854)Credit derivatives(56)123 — 173 (334)— — — 142 48 (136)
Total trading derivatives, net(4)
$(2,229)$(2,833)$—
$22
$(1,185)$849
$20
$(832)$1,435
$(4,753)$(2,002)
Total trading derivatives, net(4)
$(1,715)$120 $— $1,336 $— $251 $134 $(1,036)$(297)$(1,207)$(3,306)
Investments Investments
Mortgage-backed securities Mortgage-backed securities
U.S. government-sponsored agency guaranteed$139
$—
$(26)$25
$(72)$45
$—
$(9)$(1)$101
$54
U.S. government-sponsored agency guaranteed$32 $— $(5)$2 $— $1 $— $— $— $30 $(104)
Residential4
—
3
49
—
26
—
(32)—
50
2
Residential— — 76 — — — — (76)— — 5 
Commercial2
—
(1)6
(7)—
—
—
—
—
—
Commercial— — — — — — — — — — — 
Total investment mortgage-backed securities$145
$—
$(24)$80
$(79)$71
$—
$(41)$(1)$151
$56
Total investment mortgage-backed securities$32 $— $71 $2 $— $1 $— $(76)$— $30 $(99)
U.S. Treasury and federal agency securities$4
$—
$—
$—
$—
$—
$—
$(2)$—
$2
$—
U.S. Treasury and federal agency securities$— $— $— $— $— $— $— $— $— $— $— 
State and municipal2,192
—
39
467
(1,598)351
—
(240)—
1,211
23
State and municipal623 — (3)322 (131)121 — (98)— 834 (20)
Foreign government260
—
10
38
(39)259
—
(339)(3)186
(104)Foreign government96 — 11 27 (64)381 — (183)— 268 (4)
Corporate603
—
77
11
(240)693
—
(468)(365)311
—
Corporate45 — 6 49 (152)162 — (50)— 60 — 
Equity securities124
—
10
5
(5)1
—
(131)5
9
—
Marketable equity securitiesMarketable equity securities— — (1)1 — — — — — — — 
Asset-backed securities596
—
(92)7
(61)435
—
(306)81
660
(102)Asset-backed securities22 — (1)— — — — (20)— 1 (4)
Other debt securities—
—
—
10
—
6
—
(16)—
—
—
Other debt securities— — — — — — — — — — — 
Non-marketable equity securities1,135
—
79
336
(32)26
—
(14)(199)1,331
18
Non-marketable equity securities441 — (35)— (2)2 3 (3)(57)349 10 
Total investments$5,059
$—
$99
$954
$(2,054)$1,842
$—
$(1,557)$(482)$3,861
$(109)Total investments$1,259 $— $48 $401 $(349)$667 $3 $(430)$(57)$1,542 $(117)

Table continues on the next page, including footnotes.

page.
273

 Net realized/unrealized
gains (losses) included in		Transfers 
Unrealized
gains
(losses)
still held(3)
  
Net realized/unrealized
gains (losses) included in(1)
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, 2016In millions of dollarsDec. 31, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2020
Loans$2,166
$—
$(61)$89
$(1,074)$708
$219
$(813)$(666)$568
$26
Loans$402 $— $1,143 $451 $(6)$— $— $— $(5)$1,985 $1,424 
Mortgage servicing rights1,781
—
(36)—
—
—
152
(20)(313)1,564
(21)Mortgage servicing rights495 — (204)— — — 123 — (78)336 (180)
Other financial assets measured on a recurring basis180
—
80
55
(47)1
236
(133)(338)34
39
Other financial assets measured on a recurring basis1 — — — — — — (1)— — — 
Liabilities Liabilities
Interest-bearing deposits$434
$—
$43
$322
$(309)$—
$5
$—
$(116)$293
$46
Interest-bearing deposits$215 $— $11 $278 $(152)$— $34 $— $(158)$206 $(142)
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 repurchaseSecurities loaned and sold under agreements to repurchase757 5 — — — — — — (121)631 (18)
Trading account liabilities Trading account liabilities
Securities sold, not yet purchased199
17
—
1,185
(109)(70)(41)367
(337)1,177
(43)Securities sold, not yet purchased48 (102)— 271 (17)— — 10 (200)214 (163)
Other trading liabilities—
—
—
1
—
—
—
—
—
1
—
Other trading liabilities— 9 — 35 — — — — — 26 23 
Short-term borrowings9
(16)—
19
(37)—
87
—
(52)42
—
Short-term borrowings13 78 — 220 (6)— 86 — (16)219 (91)
Long-term debt7,543
(282)—
3,792
(4,350)—
4,845
(3)(2,365)9,744
(419)Long-term debt17,169 (1,489)— 6,553 (2,615)— 10,270 — (7,656)25,210 (1,679)
Other financial liabilities measured on a recurring basis14
—
(11)2
(12)(8)12
—
(11)8
(13)Other financial liabilities measured on a recurring basis— — — — — — 3 — (2)1 — 

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue 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 debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 2020.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.
(1)
Changes in fair value of 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 the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on 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, 2016.
(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, 20162020 to December 31, 2017:2021:


Transfers•During the 12 months ended December 31, 2021, transfers of Federal funds sold and securities borrowed or purchased under agreements to resell Loansof $1.2$2.1 billion from Level 3 to Level 2 relatedwere primarily driven by equity forward and volatility inputs that have been assessed as not significant to the significance of unobservable inputs as well as certain underlying market inputs becoming more observable and shortening of the remaining tenoroverall valuation of certain reverse repos. There is more transparencyhybrid loan instruments, including equity options and observability for repo curves used inlong dated equity call spreads.
•During the valuation12 months ended December 31, 2021, transfers of structured reverse repos with tenors up to five years.
TransfersEquity contracts 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$1.1 billion from Level 2 to Level 3 were due to equity forward and volatility inputs becoming an unobservable and/or significant input relative to the overall valuation of $1.8equity options and equity swaps. In other instances, market changes have resulted in observable equity forward and volatility inputs becoming an insignificant input to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has resulted in $1.9 billion of certain Equity contracts being transferred from Level 3 to Level 2.
•During the 12 months ended December 31, 2021, transfers of Long-term debt were $8.6 billion from Level 2 to Level 3. Of the $8.6 billion transfer in, approximately $7.2 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their
overall valuation, and $1.0 billion related to equity volatility inputs (in addition toothervolatility inputs, e.g., interest rate volatility inputs) becoming unobservable and/or significant to their overall valuation. In other instances, market changes have resulted in some inputs becoming more observable, and some unobservable inputs becoming less significant to the overall valuation of the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has resulted in $9.8 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 mainly related to structured debt, reflecting changes induring the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.
12 months ended December 31, 2021.


The following were the significant Level 3 transfers for the period December 31, 20152019 to December 31, 2016:2020:


Transfers•During the 12 months ended December 31, 2020, transfers of U.S. government-sponsored agency guaranteed MBS in Trading account assetsInterest rate contracts of $0.5$1.6 billion from Level 2 to Level 3 were due to interest rate option volatility becoming an unobservable and/or significant input relative to the overall valuation of inflation and other interest rate derivatives.
•During the 12 months ended December 31, 2020, $6.6 billion of Long-term debt containing embedded derivatives was transferred from Level 2 to Level 3, as a result of $1.1interest rate option volatility, equity correlation and credit derivative inputs becoming unobservable and/or significant input relative to the overall valuation of certain structured long-term debt products. In other instances, market changes resulted in unobservable
274

volatility inputs becoming insignificant to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has resulted in $2.6 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 primarily related to Agency Guaranteed MBS securities for which there were changes in volume of market quotations.during the 12 months ended December 31, 2020.
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
275

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.

As of December 31, 2021
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets      
Securities borrowed and purchased under agreements to resell$231 Model-basedCredit spread15 bps15 bps15 bps
Interest rate0.26 %0.72 %0.50 %
Mortgage-backed securities$279 Price-basedPrice$4 $118 $79 
526 Yield analysisYield1.43 %23.79 %7.25 %
State and municipal, foreign government, corporate and other debt securities$2,264 Price-basedPrice$— $995 $193 
415 Model-basedEquity volatility0.08 %290.64 %53.94 %
Marketable equity securities(5)
$128 Price-basedPrice$— $73,000 $6,477 
43 Model-basedWAL1.73 years1.73 years1.73 years
Recovery
(in millions)
$7,148 $7,148 $7,148 
Asset-backed securities$386 Price-basedPrice$5 $754 $87 
208 Yield analysisYield2.43 %19.35 %8.18 %
Non-marketable equities$121 Price-basedIlliquidity discount10.00 %36.00 %26.43 %
112 Comparables analysisPE ratio11.00x29.00x15.42x
83 Model-basedPrice$3 $2,601 $2,029 
Adjustment factor0.33x0.44x0.34x
Revenue multiple19.80x30.00x20.48x
Cost of capital17.50 %20.00 %17.57 %
Derivatives—gross(6)
Interest rate contracts (gross)$6,054 Model-basedIR normal volatility0.24 %0.94 %0.70 %
Foreign exchange contracts (gross)$1,364 Model-basedIR Normal volatility0.24 %0.74 %0.58 %
FX volatility2.13 %107.42 %11.21 %
Credit spread140 bps696 bps639 bps
Equity contracts (gross)(7)
$4,690 Model-basedEquity volatility0.08 %290.64 %47.67 %
Equity forward57.99 %165.83 %89.45 %
Equity-FX Correlation(95.00)%80.00 %(16.00)%
Equity-Equity Correlation(6.49)%99.00 %85.61 %
Commodity and other contracts (gross)$3,172 Model-basedForward price8.00 %599.44 %123.22 %
Commodity volatility10.87 %188.30 %26.85 %
Commodity correlation(50.52)%89.83 %(7.11)%
Credit derivatives (gross)$1,480 Model-basedCredit spread1.00 bps874.72 bps68.83 bps
427 Price-basedRecovery rate20.00 %75.00 %44.72 %
Upfront points2.74 %99.96 %59.37 %
Price$40 $103 $80 
Credit correlation30.00 %80.00 %54.57 %
Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross)$69 Price-basedPrice$94 $2,598 $591 
Loans and leases$691 Model-basedEquity volatility22.48 %85.44 %50.56 %
276

As of December 31, 2021
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Forward price26.95 %333.08 %106.97 %
Commodity volatility10.87 %188.30 %26.85 %
Commodity correlation(50.52)%89.83 %(7.11)%
Mortgage servicing rights$331 Cash flowYield(1.20)%12.10 %4.51 %
73 Model-basedWAL2.75 years5.86 years5.14 years
Liabilities
Interest-bearing deposits$183 Model-basedIR Normal volatility0.34 %0.88 %0.68 %
Equity volatility0.08 %290.64 %54.05 %
Equity forward57.99 %165.83 %89.39 %
Securities loaned and sold under agreements to repurchase$643 Model-basedInterest rate0.12 %1.95 %1.47 %
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities$63 Price-basedPrice$— $12,875 $1,707 
Short-term borrowings and long-term debt$25,514 Model-basedIR Normal volatility0.07 %0.88 %0.60 %
Equity volatility0.08 %290.64 %53.21 %
Equity-IR correlation(3.53)%60.00 %32.12 %
Equity-FX correlation(95.00)%80.00 %(15.98)%
FX volatility0.06 %41.76 %9.38 %
As of December 31, 2020
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Securities borrowed and purchased under agreements to resell$320 Model-basedCredit spread15 bps15 bps15 bps
Interest rate0.30 %0.35 %0.32 %
Mortgage-backed securities$344 Price-basedPrice$30 $111 $80 
168 Yield analysisYield2.63 %21.80 %10.13 %
State and municipal, foreign government, corporate and other debt securities$1,566 Price-basedPrice$— $2,265 $90 
852 Model-basedCredit spread35 bps375 bps226 bps
Marketable equity securities(5)
$36 Model-basedPrice$— $31,000 $5,132 
36 Price-basedWAL1.48 years1.48 years1.48 years
Recovery
(in millions)
$5,733 $5,733 $5,733 
Asset-backed securities$863 Price-basedPrice$2 $157 $59 
744 Yield analysisYield3.77 %21.77 %9.01 %
Non-marketable equities$205 Comparables analysisIlliquidity discount10.00 %45.00 %25.29 %
PE ratio13.60x28.00x22.83x
142 Price-basedPrice$136 $2,041 $1,647 
EBITDA multiples3.30x36.70x15.10x
Adjustment factor0.20x0.61x0.25x
Appraised value
(in thousands)
$287 $39,745 $21,754 
Revenue multiple2.70x28.00x8.92x
Derivatives—gross(6)
Interest rate contracts (gross)$5,143 Model-basedInflation volatility0.27 %2.36 %0.78 %
IR normal volatility0.11 %0.73 %0.52 %
Foreign exchange contracts (gross)$1,296 Model-basedFX volatility1.70 %12.63 %5.41 %
277

As of December 31, 2020
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Contingent event100.00 %100.00 %100.00 %
Interest rate0.84 %84.09 %17.55 %
IR normal volatility0.11 %0.52 %0.46 %
IR-FX correlation40.00 %60.00 %50.00 %
IR-IR correlation(21.71)%40.00 %38.09 %
Equity contracts (gross)(7)
$7,330 Model-basedEquity volatility5.00 %91.43 %42.74 %
Forward price65.88 %105.20 %91.82 %
Commodity and other contracts (gross)$1,636 Model-basedCommodity correlation(44.92)%95.91 %70.60 %
Commodity volatility0.16 %80.17 %23.72 %
Forward price15.40 %262.00 %98.53 %
Credit derivatives (gross)$1,854 Model-basedCredit spread3.50 bps352.35 bps99.89 bps
408 Price-basedRecovery rate20.00 %60.00 %41.60 %
Credit correlation25.00 %80.00 %43.36 %
Upfront points— %107.20 %48.10 %
Loans and leases$1,804 Model-basedEquity volatility24.65 %83.09 %58.23 %
Mortgage servicing rights$258 Cash flowYield2.86 %16.00 %6.32 %
78 Model-basedWAL2.66 years5.40 years4.46 years
Liabilities
Interest-bearing deposits$206 Model-basedIR Normal volatility0.11 %0.73 %0.54 %
Securities loaned and sold under agreements to repurchase$631 Model-basedInterest rate0.08 %1.86 %0.71 %
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities$178 Model-basedIR lognormal volatility52.06 %128.87 %89.82 %
$62 Price-basedPrice$— $866 $80 
Interest rate10.03 %20.07 %13.70 %
Short-term borrowings and long-term debt$24,827 Model-basedIR normal volatility0.11 %0.73 %0.51 %
Forward price15.40 %262.00 %92.48 %

(1)The tables above include the fair values for the items listed and may not foot to the total population for each category.
(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 inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)Both trading and non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)Includes hybrid products.


278

Uncertainty of Fair Value Measurements Relating to Unobservable Inputs
Valuation Techniques and Inputs foruncertainty 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 Measurements
As of December 31, 2017
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%
    





Mortgage-backed securities$214
Price-basedPrice$2.96
$101.00
$56.52
 184
Yield analysisYield2.52 %14.06%5.97
State and municipal, foreign government, corporate and other debt securities$949
Model-basedPrice$—
$184.04
$91.74
 914
Price-basedCredit spread35 bps
500 bps
249 bps
   Yield2.36 %14.25%6.03%
Equity securities(5)
$65
Price-basedPrice$—
$25,450.00
$2,526.62
 55
Model-basedWAL2.50 years
2.50 years
2.50 years
Asset-backed securities$2,287
Price-basedPrice$4.25
$100.60
$74.57
Non-marketable equity$423
Comparables analysisEBITDA multiples6.90x12.80x8.66x
 223
Price-basedDiscount to price— %100.00%11.83%
   Price-to-book ratio0.05x1.00x0.32x
Derivatives—gross(6)
      
Interest rate contracts (gross)$3,818
Model-basedIR normal volatility9.40 %77.40%58.86%
   Mean reversion1.00 %20.00%10.50%
Foreign exchange contracts (gross)$940
Model-basedForeign exchange (FX) volatility4.58 %15.02%8.16%
 

 Interest rate(0.55)%0.28%0.04%
   IR-IR correlation(51.00)%40.00%36.56%
   IR-FX correlation(7.34)%60.00%49.04%
   Credit spread11 bps
717 bps
173 bps
Equity contracts (gross)(7)
$2,897
Model-basedEquity volatility3.00 %68.93%24.66%
   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%
   Credit spread3 bps
1,636 bps
173 bps
   Price$1.00
$100.24
$57.63

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%
   Redemption rate10.72 %99.50%74.24%
   Credit spread38 bps
275 bps
127 bps
   Upfront points61.00 %61.00%61.00%
Loans and leases$391
Model-basedEquity volatility3.00 %68.93%22.52%
 148
Price-basedCredit spread134 bps
500 bps
173 bps
   Yield3.09 %4.40%3.13%
Mortgage servicing rights$471
Cash flowYield8.00 %16.38%11.47%
 87
Model-basedWAL3.83 years
6.89 years
5.93 years
Liabilities      
Interest-bearing deposits$286
Model-basedMean reversion1.00 %20.00%10.50%
   Forward price99.56 %99.95%99.72%
Federal funds purchased and securities loaned or sold under agreements to repurchase$726
Model-basedInterest rate1.43 %2.16%2.09%
Trading account liabilities      
Securities sold, not yet purchased$21
Price-basedPrice$1.00
$287.64
$88.19
Short-term borrowings and long-term debt$13,100
Model-basedForward price69.74 %161.11%100.70%
As of December 31, 2016
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 %
Mortgage-backed securities$509
Price-basedPrice$5.50
$113.48
$61.74
 368
Yield analysisYield1.90 %14.54 %4.34 %
State and municipal, foreign government, corporate and other debt securities$3,308
Price-basedPrice$15.00
$103.60
$89.93
 1,513
Cash flowCredit spread35 bps
600 bps
230 bps
Equity securities(5)
$69
Model-basedPrice$0.48
$104.00
$22.19
 58
Price-based 





Asset-backed securities$2,454
Price-basedPrice$4.00
$100.00
$71.51
Non-marketable equity$726
Price-basedDiscount to price— %90.00 %13.36 %
 565
Comparables analysisEBITDA multiples6.80x10.10x8.62x
   Price-to-book ratio0.32x1.03x0.87x
   Price$—
$113.23
$54.40
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 %

As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Foreign exchange contracts (gross)$1,110
Model-basedForeign exchange (FX) volatility1.39 %26.85 %15.18 %
 134
Cash flowInterest rate(0.85)%(0.49)%(0.84)%
   Credit spread4 bps
657 bps
266 bps
   IR-IR correlation40.00 %50.00 %41.27 %
   IR-FX correlation16.41 %60.00 %49.52 %
Equity contracts (gross)(7)
$2,701
Model-basedEquity volatility3.00 %97.78 %29.52 %
 

 Forward price69.05 %144.61 %94.28 %
   Equity-FX correlation(60.70)%28.20 %(26.28)%
   Equity-IR correlation(35.00)%41.00 %(15.65)%
   Yield volatility3.55 %14.77 %9.29 %
 

 Equity-equity correlation(87.70)%96.50 %67.45 %
Commodity contracts (gross)$2,955
Model-basedForward price35.74 %235.35 %119.99 %
   Commodity volatility2.00 %32.19 %17.07 %
 

 Commodity correlation(41.61)%90.42 %52.85 %
Credit derivatives (gross)$2,786
Model-basedRecovery rate20.00 %75.00 %39.75 %
 1,403
Price-basedCredit correlation5.00 %90.00 %34.27 %
   Upfront points6.00 %99.90 %72.89 %
   Price$1.00
$167.00
$77.35


 Credit spread3 bps
1,515 bps
256 bps
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
 221
Yield analysisYield2.75 %20.00 %11.09 %
 79
Model-based 





Mortgage servicing rights$1,473
Cash flowYield4.20 %20.56 %9.32 %
 

 WAL3.53 years
7.24 years
5.83 years
Liabilities   





Interest-bearing deposits$293
Model-basedMean reversion1.00 %20.00 %10.50 %
 

 Forward price98.79 %104.07 %100.19 %
Federal funds purchased and securities loaned or sold under agreements to repurchase$849
Model-basedInterest rate0.62 %2.19 %1.99 %
Trading account liabilities   





Securities sold, not yet purchased$1,056
Model-basedIR Normal volatility12.86 %75.50 %61.73 %
Short-term borrowings and long-term debt$9,774
Model-basedMean reversion1.00 %20.00 %10.50 %
 
 Commodity correlation(41.61)%90.42 %52.85 %
   Commodity volatility2.00 %32.19 %17.07 %
 
 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.

Sensitivityfair value instruments, where uncertainty exists in valuation inputs that may be both unobservable and significant to Unobservable Inputs and Interrelationships between Unobservable Inputs
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 mortgagesCredit Index Tranches 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 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 an instrument (or a portfolioportfolio) 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)equities) 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 prepaymentprepayments and high delinquencies amplifies each input’s negative impact on a 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(e.g., commercial mortgage backed securities), therethe expected recovery amount of a defaulted property is no directly observable market input for recovery, but indicationstypically unknown until a liquidation of recovery levels are available from pricing services.the property is imminent. 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.




279

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,
280

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 3In millions of dollarsFair valueLevel 2Level 3
December 31, 2017 
Loans held-for-sale(1)
$5,675
$2,066
$3,609
December 31, 2021December 31, 2021   
Loans HFS(1)
Loans HFS(1)
$2,298 $986 $1,312 
Other real estate owned54
10
44
Other real estate owned11 — 11 
Loans(2)
630
216
414
Loans(2)
144 — 144 
Non-marketable equity securities measured using the measurement alternativeNon-marketable equity securities measured using the measurement alternative655 104 551 
Total assets at fair value on a nonrecurring basis$6,359
$2,292
$4,067
Total assets at fair value on a nonrecurring basis$3,108 $1,090 $2,018 
In millions of dollarsFair valueLevel 2Level 3
December 31, 2020   
Loans HFS(1)
$2,430 $207 $2,223 
Other real estate owned17 4 13 
Loans(2)
703 — 703 
Non-marketable equity securities measured using the measurement alternative458 403 55 
Total assets at fair value on a nonrecurring basis$3,608 $614 $2,994 
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, recognized within 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, primarily real estate secured loans.

(1)Net of fair value amounts on the unfunded portion of loans HFS recognized 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.

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 there are insufficient market observations to conclude the inputs are observable, where significant adjustments are made to the observed transaction prices 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.


281

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, 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, 2021
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFS$1,312 Price-basedPrice$89 $100 $99 
Other real estate owned$4 Price-based
Appraised value(4)
$14,000 $2,392,464 $1,660,120 
5 Recovery analysis
Loans(5)
$120 Recovery analysis
Appraised value(4)
$10,000 $3,900,000 $247,018 
24 Price-basedPrice$3 $75 $35 
Recovery rate84.00 %100.00 %84.00 %
Non-marketable equity securities measured using the measurement alternative$551 Price-basedPrice$6 $1,339 $52 
As of December 31, 2020
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFS$2,182 Price-basedPrice$78 $100 $97 
Other real estate owned$7 Price-based
Appraised value(4)
$3,110,711 $4,241,357 $3,586,975 
4 Recovery analysisPrice51 51 51 
Loans(5)
$96 Price-basedPrice$2 $49 $23 
429 Recovery analysis
Appraised value(4)
$95 $43,646,426 $1,698,938 
Non-marketable equity securities measured using the measurement alternative$36 Comparable analysisRevenue multiple1.70x15.10x10.88x
18 Net asset approachIlliquidity discount20.00 %20.00 %20.00 %
Price$— $17 $6 

(1)The table above includes the fair values for the items listed and may not foot to the total population for each category.
(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)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.

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 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,
In millions of dollars2016
Loans held-for-sale$(2)
Other real estate owned(5)
Loans(1)
(105)
Total nonrecurring fair value gains (losses)$(112)
(1)Represents loans held for investment whose carrying amount is based onYear ended December 31,
In millions of dollars2021
Loans HFS$(31)
Other real estate owned—
Loans(1)
9
Non-marketable equity securities measured using the measurement alternative468
Total nonrecurring fair value gains (losses)$446
Year ended December 31,
In millions of the underlying collateral, primarilydollars2020
Loans HFS$(93)
Other real estate loans.owned(1)
Loans(1)
109 
Non-marketable equity securities measured using the measurement alternative221 
Total nonrecurring fair value gains (losses)$236 


(1)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.
282

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.

 December 31, 2021Estimated fair value
 Carrying
value		Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3
Assets��    
Investments, net of allowance$221.9 $221.0 $111.8 $106.4 $2.8 
Securities borrowed and purchased under agreements to resell110.8 110.8 — 106.4 4.4 
Loans(1)(2)
644.8 659.6 — — 659.6 
Other financial assets(2)(3)
351.9 351.9 242.1 19.9 89.9 
Liabilities     
Deposits$1,315.6 $1,316.2 $— $1,153.9 $162.3 
Securities loaned and sold under agreements to repurchase134.6 134.6 — 134.5 0.1 
Long-term debt(4)
171.8 184.6 — 171.9 12.7 
Other financial liabilities(5)
111.1 111.1 — 17.0 94.1 
 December 31, 2020Estimated fair value
 Carrying
value		Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3
Assets     
Investments, net of allowance$110.3 $113.2 $23.3 $87.0 $2.9 
Securities borrowed and purchased under agreements to resell109.5 109.5 — 109.5 — 
Loans(1)(2)
643.3 663.9 — 0.6 663.3 
Other financial assets(2)(3)
383.2 383.2 291.5 18.1 73.6 
Liabilities     
Deposits$1,278.7 $1,278.8 $— $1,093.3 $185.5 
Securities loaned and sold under agreements to repurchase139.3 139.3 — 139.3 — 
Long-term debt(4)
204.6 221.2 — 197.8 23.4 
Other financial liabilities(5)
102.4 102.4 — 19.2 83.2 

(1)The estimated fair valuescarrying value of loans reflect changesis net of the Allowance for credit losses on loans of $16.5 billion for December 31, 2021 and $25.0 billion for December 31, 2020. In addition, the carrying values exclude $0.5 billion and $0.7 billion of lease finance receivables at December 31, 2021 and 2020, 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 credit status sinceOther assets on the loans were made, changesConsolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
283

(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 interest rates inOther liabilities on the caseConsolidated Balance Sheet, for all of fixed-rate loans and premium values at originationwhich the carrying value is a reasonable estimate of certain loans.fair value.

The estimated fair values of the Company’s corporate unfunded lending commitments at December 31, 20172021 and December 31, 20162020 were off-balance liabilities of $3.2$8.1 billion and $5.2$7.3 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 cancelablecancellable by providing notice to the borrower.


284


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
fair value are recorded in current earnings, other thanearnings. Movements in DVA which from January 1, 2016 isare reported in AOCI.as a component of 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 ofadditional details on Citi’s 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—gains (losses) for the years ended December 31,
In millions of dollars20212020
Assets
Securities borrowed and purchased under agreements to resell$(87)$— 
Trading account assets59 (136)
Investments— — 
Loans
Certain corporate loans
(171)2,486 
Certain consumer loans— 1 
Total loans$(171)$2,487 
Other assets
MSRs$43 $(204)
Certain mortgage loans HFS(1)
70 299 
Total other assets$113 $95 
Total assets$(86)$2,446 
Liabilities
Interest-bearing deposits$(118)$(154)
Securities loaned and sold under agreements to repurchase66 (559)
Trading account liabilities17 (1)
Short-term borrowings(2)
675 802 
Long-term debt(2)
386 (2,700)
Total liabilities$1,026 $(2,612)

(1)    Includes gains (losses) associated with interest rate lock 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.

 
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)
285
(1)Includes gains (losses) associated with interest rate lock-commitments for those loans that have been originated and elected under the fair value option.


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 gain of $680$296 million and $538a loss of $616 million for the years ended December 31, 20172021 and 2016,2020, 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-CollateralizedUncollateralized 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, 2017December 31, 2016 December 31, 2021December 31, 2020
In millions of dollarsTrading assetsLoansTrading assetsLoansIn millions of dollarsTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$8,851
$4,374
$9,824
$3,486
Carrying amount reported on the Consolidated Balance Sheet$9,530 $6,082 $8,063 $6,854 
Aggregate unpaid principal balance in excess of fair value623
682
758
18
Aggregate unpaid principal balance in excess of (less than) fair valueAggregate unpaid principal balance in excess of (less than) fair value(100)226 (915)(14)
Balance of non-accrual loans or loans more than 90 days past due—
1
—
1
Balance of non-accrual loans or loans more than 90 days past due— 1 — 4 
Aggregate unpaid principal balance in excess of fair value for 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 dueAggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due— — — — 

In addition to the amounts reported above, $508$719 million and $1,828$1,068 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of December 31, 20172021 and 2016,2020, respectively.
286

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, 20172021 and 20162020 due to instrument-specific credit risk totaled to gainsa loss of $10$21 million and $76a loss of $16 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$0.3 billion and $0.6$0.5 billion at December 31, 20172021 and 2016,2020, 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, 2017,2021, there were approximately $10.3$15.2 billion and $9.3$10.5 billion of 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,
2017		December 31, 2016In millions of dollarsDecember 31,
2021		December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet$426
$915
Carrying amount reported on the Consolidated Balance Sheet$3,035 $1,742 
Aggregate fair value in excess of (less than) unpaid principal balance14
8
Aggregate fair value in excess of (less than) unpaid principal balance70 91 
Balance of non-accrual loans or loans more than 90 days past due—
—
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—
—
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, 20172021 and 20162020 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.
287


Certain StructuredDebt 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.debt liabilities. The Company elected the fair value option because these exposures are considered to be trading-related positions and, therefore, they are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (classified as 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 carried at fair value, disaggregated by type of embedded derivative instrument:risk:

In billions of dollarsDecember 31, 2017December 31, 2016In billions of dollarsDecember 31, 2021December 31, 2020
Interest rate linked$13.9
$10.6
Interest rate linked$38.9 $34.5 
Foreign exchange linked0.3
0.2
Foreign exchange linked— 1.2 
Equity linked13.0
12.3
Equity linked36.1 27.3 
Commodity linked0.2
0.3
Commodity linked3.9 1.4 
Credit linked1.9
0.9
Credit linked3.7 2.6 
Total$29.3
$24.3
Total$82.6 $67.0 

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) are(i.e., DVA) is 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)(i.e., 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, 2017December 31, 2016In millions of dollarsDecember 31, 2021December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet$31,392
$26,254
Carrying amount reported on the Consolidated Balance Sheet$82,609 $67,063 
Aggregate unpaid principal balance in excess of (less than) fair value(579)(128)Aggregate unpaid principal balance in excess of (less than) fair value(2,459)(5,130)

The following table provides information about short-term borrowings carried at fair value:

In millions of dollarsDecember 31, 2021December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet$7,358 $4,683 
Aggregate unpaid principal balance in excess of (less than) fair value(644)68 
288
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 dollars20172016In millions of dollarsDecember 31, 2021December 31,
2020
Investment securities$138,807
$161,914
Investment securities$252,192 $231,696 
Loans229,552
231,833
Loans232,319 239,699 
Trading account assets102,892
84,371
Trading account assets140,980 174,717 
Total$471,251
$478,118
Total$625,491 $646,112 


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 Commodity 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,
2021		December 31,
2020
Cash and due from banks$2,786 $3,774 
Deposits with banks, net of allowance10,636 14,203 
Total$13,422 $17,977 

In addition, included in Cash and due from banks and Deposits with banks at December 31, 20172021 and 20162020 were $7.4$13.7 billion and $6.8$9.4 billion, respectively, of cash segregated under federal and other brokerage regulations or deposited with clearing organizations.


Collateral
At December 31, 20172021 and 2016,2020, the approximate fair value of collateral received by Citi that may be resold or repledged, excluding the impact of allowable netting, was $457.5$650.8 billion and $378.1$671.6 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, 20172021 and 2016,2020, 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,lendings, pledges to clearing organizations, segregation requirements under securities laws and regulations, derivative transactions and bank loans.
In addition, at December 31, 20172021 and 2016,2020, Citi had pledged $362$481.0 billion and $388$470.7 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 may contain renewal and extension options and early termination features. However, these options do not impact the lease term unless the Company is reasonably certain that it will exercise the options. These leases have a weighted-average remaining lease term of approximately six years as of December 31, 2021 and 2020. The operating lease ROU asset was $2.9 billion and $2.8 billion, as of December 31, 2021 and 2020, respectively. The operating lease ROU liability was $3.1 billion and $3.1 billion, as of December 31, 2021 and 2020, respectively. 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 $12 million and $27 million of sublease income, was $1.1 billion, $1.1 billion$1,061 million and $1.3 billion$1,054 million for the years ended December 31, 2017, 20162021 and 2015,2020, respectively.
Future minimum annual rentals under non-cancelable leases, netThe table below provides the Cash Flow Statement Supplemental Information:

In millions of dollarsDecember 31,
2021		December 31,
2020
Cash paid for amounts included in the measurement of lease liabilities$806 $814 
Right-of-use assets obtained in exchange for new operating lease liabilities(1)(2)
845 447 

(1)     Represents non-cash activity and, accordingly, is not reflected in the Consolidated Statement of sublease income,Cash Flows.
(2)    Excludes the decrease in the right-of-use assets related to the purchase of a previously leased property.

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Citi’s future lease payments are as follows:

In millions of dollars
2022$763 
2023648 
2024542 
2025445 
2026346 
Thereafter753 
Total future lease payments$3,497 
Less imputed interest (based on weighted-average discount rate of 3.0%)$(381)
Lease liability$3,116 

Operating lease expense was $1.1 billion for the year ended December 31, 2019.
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, 2021Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
(in millions of dollars)
Financial standby letters of credit$34.3 $58.4 $92.7 $791 
Performance guarantees6.6 6.4 13.0 47 
Derivative instruments considered to be guarantees14.6 48.9 63.5 514 
Loans sold with recourse— 1.7 1.7 15 
Securities lending indemnifications(1)
121.9 — 121.9 — 
Credit card merchant processing(2)
119.4 — 119.4 1 
Credit card arrangements with partners— 0.8 0.8 7 
Other2.0 12.0 14.0 34 
Total$298.8 $128.2 $427.0 $1,409 
 Maximum potential amount of future payments 
In billions of dollars at December 31, 2020Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
(in millions of dollars)
Financial standby letters of credit$25.3 $68.4 $93.7 $1,407 
Performance guarantees7.3 6.0 13.3 72 
Derivative instruments considered to be guarantees20.0 60.9 80.9 671 
Loans sold with recourse— 1.2 1.2 9 
Securities lending indemnifications(1)
112.2 — 112.2 — 
Credit card merchant processing(2)
101.9 — 101.9 3 
Credit card arrangements with partners0.2 0.8 1.0 7 
Other— 12.0 12.0 35 
Total$266.9 $149.3 $416.2 $2,204 

(1)The carrying values of securities lending indemnifications were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At December 31, 2021 and 2020, this maximum potential exposure was estimated to be $119 billion and $102 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.


290

 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 
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)
Financial standby letters of credit$26.0
$67.1
$93.1
$141
Performance guarantees7.5
3.6
11.1
19
Derivative instruments considered to be guarantees7.2
80.0
87.2
747
Loans sold with recourse—
0.2
0.2
12
Securities lending indemnifications(1)
80.3
—
80.3
—
Credit card merchant processing(1)(2)
86.4
—
86.4
—
Credit card arrangements with partners

—
1.5
1.5
206
Custody indemnifications and other—
45.4
45.4
58
Total$207.4
$197.8
$405.2
$1,183
(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, 2017 and 2016, this maximum potential exposure was estimated to be $86 billion and $86 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 sellersellers 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$19 million and $107$31 million at December 31, 20172021 and 2016,2020, 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, 20172021 and 2016,2020, this maximum potential exposure was estimated to be $86$119.4 billion and $86$101.9 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
291

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, 20172021 and 2016,2020, 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 certainone 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.certain travel-related purchases. 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, 20172021 and 2016,2020, 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. No 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 no 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, 20172021 or 20162020 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.
292

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 is approximately $7.5 billion as of December 31, 2017, compared to $7.0 billion at December 31, 2016. 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 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 no liability reflected on the Consolidated Balance Sheet as of December 31, 20172021 and 20162020 related to this indemnification. However, if both events become reasonably possible (meaning more than remote but less than probable), Citi continueswill be required to closely monitor its potential exposure under this indemnification obligation.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.
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)(CCP) 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$18.7 billion and $9.4$16.6 billion as of December 31, 20172021 and 2016,2020, 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.


293

Carrying Value—Guarantees and Indemnifications
At December 31, 20172021 and 2016,2020, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to
approximately $0.8$1.4 billion and $1.2$2.2 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$56.5 billion and $48$51.6 billion at December 31, 20172021 and 2016,2020, respectively. Securities and other marketable assets held as collateral amounted to $70$84.2 billion and $41$80.1 billion at December 31, 20172021 and 2016,2020, 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$4.1 billion and $5.4$6.6 billion at December 31, 20172021 and 2016,2020, 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 uponon 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 payments
In billions of dollars at December 31, 2021Investment
grade		Non-investment
grade		Not
rated		Total
Financial standby letters of credit$81.4 $11.3 $— $92.7 
Performance guarantees10.5 2.5 — 13.0 
Derivative instruments deemed to be guarantees— — 63.5 63.5 
Loans sold with recourse— — 1.7 1.7 
Securities lending indemnifications— — 121.9 121.9 
Credit card merchant processing— — 119.4 119.4 
Credit card arrangements with partners— — 0.8 0.8 
Other— 12.0 2.0 14.0 
Total$91.9 $25.8 $309.3 $427.0 
Maximum potential amount of future payments
Maximum 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, 2020In billions of dollars at December 31, 2020Investment
grade		Non-investment
grade		Not
rated		Total
Financial standby letters of credit$68.1
$10.9
$14.8
$93.8
Financial standby letters of credit$78.5 $14.6 $0.6 $93.7 
Performance guarantees7.9
2.4
1.0
11.3
Performance guarantees9.8 3.0 0.5 13.3 
Derivative instruments deemed to be guarantees—
—
95.9
95.9
Derivative instruments deemed to be guarantees— — 80.9 80.9 
Loans sold with recourse—
—
0.2
0.2
Loans sold with recourse— — 1.2 1.2 
Securities lending indemnifications—
—
103.7
103.7
Securities lending indemnifications— — 112.2 112.2 
Credit card merchant processing—
—
85.5
85.5
Credit card merchant processing— — 101.9 101.9 
Credit card arrangements with partners—
—
1.4
1.4
Credit card arrangements with partners— — 1.0 1.0 
Custody indemnifications and other23.7
12.3
—
36.0
OtherOther— 12.0 — 12.0 
Total$99.7
$25.6
$302.5
$427.8
Total$88.3 $29.6 $298.3 $416.2 


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 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,
2017		December 31, 2016In millions of dollarsU.S.Outside of 
U.S.		December 31,
2021		December 31, 2020
Commercial and similar letters of credit$904
$4,096
$5,000
$5,736
Commercial and similar letters of credit$654 $5,256 $5,910 $5,221 
One- to four-family residential mortgages988
1,686
2,674
2,838
One- to four-family residential mortgages1,752 2,599 4,351 5,002 
Revolving open-end loans secured by one- to four-family residential properties10,825
1,498
12,323
13,405
Revolving open-end loans secured by one- to four-family residential properties6,790 1,123 7,913 9,626 
Commercial real estate, construction and land development9,594
1,557
11,151
10,781
Commercial real estate, construction and land development15,877 1,966 17,843 12,867 
Credit card lines578,634
99,666
678,300
664,335
Credit card lines601,018 99,541 700,559 710,399 
Commercial and other consumer loan commitments171,383
101,272
272,655
259,934
Commercial and other consumer loan commitments207,234 113,322 320,556 322,458 
Other commitments and contingencies2,182
889
3,071
3,202
Other commitments and contingencies5,276 373 5,649 5,715 
Total$774,510
$210,664
$985,174
$960,231
Total$838,601 $224,180 $1,062,781 $1,071,288 

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, 2017,2021 and December 31, 2016,2020, Citigroup had $35.0approximately $126.6 billion and $43.1$71.8 billion of unsettled reverse repurchase and securities borrowing agreements, and $19.1approximately $41.1 billion and $14.9$62.5 billion of 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.



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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 theany litigation, and regulatory or tax 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

amount of damages or scope of any penalties or other relief sought as appropriate in each pending matter.
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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-yearmultiyear 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, 2017,2021, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $1.0$1.5 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, regulatory and regulatorytax 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 incurredamounts accrued in relation to matters 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 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.


CARD ActANZ Underwriting Matter
On February 11, 2022, the Australian Commonwealth Director of Public Prosecutions discontinued the prosecution of charges that were brought against Citigroup Global Markets Australia Pty Limited (CGMA) and two Citi identified certain methodological issuesemployees for alleged criminal cartel offenses in relation to CGMA’s role as a joint underwriter and lead manager with other banks in the 2015 institutional share placement by Australia and New Zealand Banking Group Limited (ANZ). The case, captioned R v. CITIGROUP GLOBAL MARKETS AUSTRALIA PTY LIMITED is before the Federal Court in New South Wales, Australia. Additional information concerning this action is publicly available in court filings under the docket number NSD 1316–NSD 1324/2020.


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Facilitation Trading Matters
On January 28, 2022, the Securities and Futures Commission of Hong Kong (SFC) entered into a resolution with Citigroup Global Markets Asia Limited (CGMAL) of the SFC’s investigation into CGMAL’s equity sales trading desks in connection with determining annual percentage rates (APRs)facilitation trades. As part of the resolution, CGMAL agreed to pay a civil penalty of $44.6 million. Citigroup is cooperating with related investigations and inquiries by other government and regulatory agencies in Asia Pacific countries and elsewhere.

Foreign Exchange Matters
Regulatory Actions: Government and regulatory agencies in the U.S. and 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 previously disclosed August 2018 final settlement filed an action against Citigroup, Citibank, Citigroup Global Markets Inc. (CGMI) and other defendants, captioned ALLIANZ GLOBAL INVESTORS, ET AL. v. BANK OF AMERICA CORP., ET AL., in the United States District Court for certain cardholdersthe Southern District of New York. Plaintiffs allege that defendants manipulated, and colluded to manipulate, the foreign exchange markets. Plaintiffs assert claims under the rate re-evaluation provisionsSherman Act and unjust enrichment claims, and seek consequential and punitive damages and other forms of relief. On July 28, 2020, plaintiffs filed a third amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 18-CV-10364 (S.D.N.Y.) (Schofield, J.).
In 2018, a group of institutional investors issued a claim against Citigroup, Citibank and other defendants, captioned ALLIANZ GLOBAL INVESTORS GMBH AND OTHERS v. BARCLAYS BANK PLC AND OTHERS, in the High Court of Justice in London. Claimants allege that defendants manipulated, and colluded to manipulate, the foreign exchange market in violation of EU and U.K. competition laws. In December 2021, the High Court ordered that the case be transferred to the U.K.’s Competition Appeal Tribunal. Additional information concerning this action is publicly available in court filings under the case number CL-2018-000840 in the High Court and under the case number 1430/5/7/22 (T) in the Competition Appeal Tribunal.
In 2015, a putative class of consumers and businesses in the U.S. 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 (later transferred to the United States District Court for the Southern District of New York). Subsequently, plaintiffs filed an amended class action complaint against 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 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-CV-2290 (N.D. Cal.) (Chhabria, J.) and 15-CV-9300 (S.D.N.Y.) (Schofield, J.).
In 2019, two applications, captioned MICHAEL O’HIGGINS FX CLASS REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS and PHILLIP EVANS v. BARCLAYS BANK PLC AND OTHERS, were made to the U.K.’s Competition Appeal Tribunal requesting permission to commence collective proceedings against Citigroup, Citibank and other defendants. The applications seek 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 these actions is publicly available in court filings under the case numbers 1329/7/7/19 and 1336/7/7/19.
In 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.
In 2019, two motions for certification of class actions filed against Citigroup, Citibank 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. Citibank’s motion to dismiss plaintiffs’ petition for certification was denied on April 12, 2021. A motion for leave to appeal this decision is currently pending before the Supreme Court of Israel. Additional information concerning this action is publicly available in court filings under the docket number CA 29013-09-18.

Hong Kong Private Bank Litigation
In 2007, a claim was filed in the High Court of Hong Kong claiming damages of over $51 million against Citibank. The case, captioned PT ASURANSI TUGU PRATAMA INDONESIA TBK v. CITIBANK N.A., was dismissed in 2018 by the Hong Kong Court of First Instance on grounds that the claim was time-barred. Plaintiff has appealed the court’s dismissal. Additional information concerning this action is publicly available in court filings under the docket number CACV 548/2018.

Interbank Offered Rates-Related Litigation
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 for the Southern District of New York. Plaintiffs allege that defendants suppressed ICE LIBOR. Plaintiffs assert
298

claims under the Sherman Act, the Clayton Act, and unjust enrichment, and seek compensatory damages, disgorgement, and treble damages. In March 2020, the court granted defendants’ motion to dismiss the action for failure to state a claim, which plaintiffs appealed to 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 19-CV-439 (S.D.N.Y.) (Daniels, J.) and 20-1492 (2d Cir.).
In August 2020, individual borrowers and consumers of loans and credit cards filed an action against Citigroup, Citibank, CGMI and other defendants, captioned MCCARTHY, ET AL. v. INTERCONTINENTAL EXCHANGE, INC., ET AL., in the United States District Court for the Northern District of California. Plaintiffs allege that defendants conspired to fix ICE LIBOR, assert claims under the Sherman Act and the Clayton Act, and seek declaratory relief, injunctive relief, and treble damages. Additional information concerning this action is publicly available in court filings under the docket number 20-CV-5832 (N.D. Cal.) (Donato, 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, and 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 Credit Card Accountability ResponsibilitySherman Act and Disclosurecertain 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, (CARD Act) and Regulation Z. Citi self-reportedthat MasterCard’s initial public offering constituted a fraudulent conveyance.
In 2016, the issues to its regulatorsCourt of Appeals reversed the district court’s approval of a class settlement and will be providing remediation to affected customers. Citi is cooperating fully withremanded 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 regulatory reviews.

Credit Crisis-Related Litigationputative classes and Other Matters
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, including Citigroup and affiliates.
In 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, later 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. On September 27, 2021, the court granted the injunctive relief class plaintiffs’ motion to certify a non-opt-out class. 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 actions 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 damages and related relief for losses arising fromunjust enrichment. Also consolidated under the global financial credit crisis that began 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 majority of these matters have been resolved as of December 31, 2017.


Mortgage-Related Litigation and Other Matters
Mortgage-Backed Securities and CDO Investor Actions: Beginning in July 2010, Citigroup and Related Parties were named as defendants in complaintssame caption are individual actions filed by purchasers of MBSswap execution facilities, asserting federal and CDOs sold or underwritten by Citigroup. The complaints generally assert that defendants made material misrepresentationsstate antitrust claims, as well as claims for unjust enrichment and omissions abouttortious interference with business relations. Plaintiffs in these actions seek treble damages, fees, costs and injunctive relief. Lead plaintiffs in the credit quality of the assets underlying the securities or the mannerclass action moved for class certification in which those assets were selected,2019, 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 withsubsequently filed 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.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 motionwhich defendants later moved 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.dismiss. 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.).


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Madoff-Related Litigation
In December 2008, a Securities Investor Protection Act (SIPA) trustee was appointed for the SIPA liquidation of Bernard L. Madoff Investment Securities LLC (BLMIS), in the United States Bankruptcy Court for the Southern District of New York. Beginning in 2010, he commenced actions against multiple Citi entities, including Citibank, Citicorp North America, Inc., CGML and Citibank (Switzerland) AG, seeking recovery of monies that originated at BLMIS and were allegedly received by the Citi entities as subsequent transferees. On August 19, 2015,30, 2021, the Federal Deposit Insurance Corporation (FDIC), as receiverUnited States Court of Appeals for the Second Circuit reversed the bankruptcy court’s denial of the SIPA trustee’s motion for leave to amend his complaint and remanded the case to the bankruptcy court for further proceedings. On January 27, 2022, Citibank and Citicorp North America, Inc. filed a petition for a financial institution,writ of certiorari in the United States Supreme Court seeking review of the Second Circuit’s holding that good faith is an affirmative defense. The SIPA trustee filed a civilan amended complaint against Citibank, Citicorp North America, Inc. and CGML on February 11, 2022. The action against Citibank (Switzerland) AG was dismissed on February 23, 2022. Additional information concerning these actions is publicly available in court filings under the docket numbers 10-5345, 12-1700 (Bankr. S.D.N.Y.) (Morris, J.); 12-MC-115 (S.D.N.Y.) (Rakoff, J.); and 17-2992, 17-3076, 17-3139, 19-4282, 20-1333 (2d Cir.).
Also beginning in 2010, the British Virgin Islands liquidators of Fairfield Sentry Limited, whose assets were invested with BLMIS, commenced multiple actions in the United States Bankruptcy Court for the Southern District of New York against over 400 defendants, including CGML Citibank (Switzerland) AG; Citibank, N.A., London; Citivic Nominees Limited; and Cititrust (Bahamas) Limited. The actions seek recovery of monies that were allegedly received directly or indirectly by Citi entities from Fairfield Sentry. Appeals concerning various dismissed claims and a petition for interlocutory review on the one claim remaining are pending before the United States District 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 remedies against the sponsorremaining claim is proceeding in the Bankruptcy Court. Citi (Switzerland) AG and servicers of that trust. On September 30, 2016, the court granted Citibank’sCitivic Nominees Limited filed a motion to dismiss for lack of personal jurisdiction on October 29, 2021. These actions are captioned FAIRFIELD SENTRY LTD., ET AL. v. CGML, ET AL.; FAIRFIELD SENTRY LTD., ET AL. v. CITIBANK NA LONDON, ET AL.; and FAIRFIELD SENTRY LTD., ET AL. v. ZURICH CAPITAL MARKETS COMPANY, ET AL. Additional information is publicly available in court filings under the groundsdocket numbers 10-13164, 10-3496, 10-3622, 10-3634, 11-2770 (Bankr. S.D.N.Y.) (Morris, J.); and 19-3911, 19-4267, 19-4396, 19-4484, 19-5106, 19-5135, 21-2997, 21-3243, 21-3526, 21-3529, 21-3530, 21-4307, 21-4498, 21-4496 (S.D.N.Y.) (Broderick, J.).

Parmalat Litigation
In 2004, an Italian commissioner appointed to oversee the administration of various Parmalat companies filed a complaint against Citigroup, Citibank and related parties, alleging that the FDIC lacked standingdefendants facilitated a number of frauds by
Parmalat insiders. In 2008, a jury rendered a verdict in Citigroup’s favor and awarded Citi $431 million. In 2019, the Italian Supreme Court affirmed the decision in the full amount awarded. Citigroup has taken steps to pursue its claims. On October 14, 2016,enforce the FDICjudgment in Italian and Belgian courts. Additional information concerning these actions is publicly available in court filings under (in Italy) the docket numbers 4133/2019 and 224/2022 (Court of Milan Enforcement Section) and (in Belgium) 20/3617/A (Brussels Court of First Instance) and 21/AR/1658 (Brussels Court of Appeal).
In 2015, Parmalat filed a motion for reconsideration or relief from judgment fromclaim in an Italian civil court in Milan claiming damages of €1.8 billion against Citigroup, Citibank and related parties, which the court later dismissed on grounds it was duplicative of Parmalat’s previously unsuccessful claims. In 2019, the Milan Court of Appeal rejected Parmalat’s appeal of the Milan court’s dismissal, order. On July 10, 2017,which Parmalat appealed to 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.).20598/2019.

Lehman Brothers Bankruptcy Proceedings
On February 8, 2012,In January 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, and certain Citigroup affiliates were named as defendants in an adversary proceeding asserting objections to certain proofs of claim totaling approximately $2.6 billion filed by Citibank and those affiliates, and claims under federal bankruptcy and state law to recover $2 billion deposited by Lehman Brothers Holdings Inc. (LBHI) with Citibank against which Citibank asserted a right of setoff. A global settlement between 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 returnedis seeking 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.dismiss. Additional information concerning this action is publicly available in court filings

under the docket number 8611/2020.

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 U.K. Financial Conduct Authority, and to defend claims filed in U.K. courts.

Record-Keeping Matters
The U.S. Securities and Exchange Commission is conducting an investigation of CGMI and other firms regarding compliance with record-keeping obligations for broker-dealers and investment advisers in connection with business-related communications sent over unapproved electronic messaging channels. CGMI is cooperating with the investigation.

Revlon-Related Wire Transfer Litigation
In August 2020, Citibank filed actions in the United States District Court for the Southern District of New York, which have been consolidated under the caption IN RE CITIBANK AUGUST 11, 2020 WIRE TRANSFERS. The actions relate to a payment erroneously made by Citibank in its capacity as administrative agent for a Revlon credit facility. The action seeks the return of the erroneously transferred funds from certain fund managers. Citibank has asserted claims for unjust enrichment, conversion, money had and received, and payment by mistake. The court issued temporary restraining orders related to the subject funds. On February 16, 2021, the court issued a judgment in favor of the defendants, which Citibank later appealed in the United States Court of Appeals for the Second Circuit. In response to the district court’s denial of Citibank’s motion to extend the temporary restraining
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orders, Citibank filed a motion for an injunction with the United States Court of Appeals. Additional information concerning this action is publicly available in court filings under docket numbers 12-0104420-CV-6539 (S.D.N.Y.) (Furman, J.) and 08-13555 (Bankr. S.D.N.Y.21-487 (2d Cir.).

Shareholder Derivative and Securities Litigation
Beginning in October 2020, four derivative actions were filed in the United States District Court for the Southern District of New York, purportedly on behalf of Citigroup (as nominal defendant) against certain of Citigroup’s current and former directors. The actions were later consolidated under the case name IN RE CITIGROUP INC. SHAREHOLDER DERIVATIVE LITIGATION. The consolidated complaint asserts claims for breach of fiduciary duty, unjust enrichment, and contribution and indemnification in connection with defendants’ alleged failures to implement adequate internal controls. In addition, the consolidated complaint asserts derivative claims for violations of Sections 10(b) and 14(a) of the Securities Exchange Act of 1934 in connection with statements in Citigroup’s 2019 and 2020 annual meeting proxy statements. On February 8, 2021, the court stayed the action pending resolution of defendants’ motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-09438 (S.D.N.Y.) (Chapman,(Nathan, J.).

Beginning in December 2020, two derivative actions were filed in the Supreme Court of the State of New York, purportedly on behalf of Citigroup (as nominal defendant) against certain of Citigroup’s current and former directors, and certain current and former officers. The actions were later consolidated under the case name IN RE CITIGROUP INC. DERIVATIVE LITIGATION, and the court stayed the action pending resolution of defendants’ motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 656759/2020 (N.Y. Sup. Ct.) (Schecter, J.).
Beginning in October 2020, three putative class action complaints were filed in the United States District Court for the Southern District of New York against Citigroup and certain of its current and former officers, asserting violations of Sections 10(b) and 20(a) of the Securities Exchange Act of 1934 in connection with defendants’ alleged misstatements concerning Citigroup’s internal controls. The actions were later consolidated under the case name IN RE CITIGROUP SECURITIES LITIGATION. The consolidated complaint later added certain of Citigroup’s current and former directors as defendants. Defendants have moved to dismiss the consolidated amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-9132 (S.D.N.Y.) (Nathan, J.).

Sovereign Securities Litigation
In 2015, putative class actions filed against CGMI and other defendants were consolidated under the caption IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION in the United States District Court for the
Southern District of New York. Plaintiffs allege that defendants colluded to fix U.S. 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 the U.S. Treasuries secondary market. Plaintiffs assert claims under antitrust laws, and seek damages, including treble damages where authorized by statute, and injunctive relief. On March 31, 2021, the court granted defendants’ motion to dismiss, without prejudice. On May 14, 2021, plaintiffs filed an amended consolidated complaint. On June 14, 2021, certain defendants, including CGMI, moved to dismiss the amended 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 2017, purchasers of supranational, sub-sovereign and agency (SSA) bonds filed a proposed class action on behalf of direct and indirect purchasers of SSA 296 bonds 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. Plaintiffs have filed an amended claim that alleges defendants manipulated, and colluded to manipulate, the SSA bonds market, asserts claims for breach of the Competition Act, breach of foreign law, civil conspiracy, unjust enrichment, waiver of tort and breach of contract, and seeks compensatory and punitive damages, among other relief. Additional information concerning this action is publicly available in court filings under the docket number T-1871-17 (Fed. Ct.).
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. The complaint alleges that defendants colluded in the Mexican sovereign bond market. In September 2019, the court granted defendants’ motion to dismiss. In December 2019, 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 U.S. 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 seeks treble damages, restitution and injunctive relief. In February 2020, certain defendants, including Citibanamex, moved to dismiss the amended complaint, which the court later granted. On June 10, 2021, plaintiffs moved for reconsideration of the decision dismissing certain defendants, including Citibanamex, which those defendants have jointly opposed. Additional information concerning this action is publicly available in court filings under the docket number 18 Civ. 2830 (S.D.N.Y.) (Oetken, J.).
On February 9, 2021, purchasers of Euro-denominated sovereign debt issued by European central governments added CGMI, CGML and others as defendants to a putative class
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action, captioned IN RE EUROPEAN GOVERNMENT BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants engaged in a conspiracy to inflate prices of European government bonds in primary market auctions and to fix the prices of European government bonds in secondary markets. Plaintiffs assert a claim under the Sherman Act and seek treble damages and attorneys’ fees. On June 4, 2021, certain defendants, including CGMI and CGML, filed a pre-motion letter with the court requesting leave to move to dismiss the action. Additional information concerning this action is publicly available in court filings under the docket number 19-CV-2601 (S.D.N.Y.) (Marrero, J.).

Transaction Tax Matters
Citigroup and Citibank are engaged in litigation or examinations with non-U.S. tax authorities, including in the U.K., 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, 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, and various membership associations that claim to represent certain groups of merchants, allege, among other things, that defendants have beenengaged 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 2016, the Court of Appeals reversed the district court’s approval of a 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 Parties. In addition, numerous merchants have filed amended or new
complaints against Visa, MasterCard, and in some instances one or more issuing banks, including Citigroup and affiliates.
In 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, later 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. On September 27, 2021, the court granted the injunctive relief class plaintiffs’ motion to certify a non-opt-out class. 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 adversary proceedingsa number of industry-wide putative class actions related to the Chapter 11 cases of Tribune Company (Tribune) filedIRS trading. These actions have been consolidated in the United States BankruptcyDistrict Court for the Southern District of Delaware,New York under the caption IN RE INTEREST RATE SWAPS ANTITRUST LITIGATION. The actions 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, arising out of the approximately $11 billion leveraged buyout of Tribuneas well as claims for unjust enrichment and tortious interference with business relations. Plaintiffs in 2007. On August 2, 2013, the Litigation Trustee, as successor plaintiff to the Official Committee of Unsecured Creditors, filed a fifth amended complaintthese actions seek treble damages, fees, costs and injunctive relief. Lead plaintiffs in the adversary proceeding KIRSCHNER v. FITZSIMONS, ET AL. The complaint seeks to avoidclass action moved for class certification in 2019, and recover as actual fraudulent transfers the transfers of Tribune stock that occurred as a part of the leveraged buyout. Several Citigroup affiliates are named as “Shareholder Defendants” and are alleged 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 affirmed the dismissal on appeal.  The noteholders’ petition to the United States Supreme Court for a writ of certiorari is pending.
In the FITZSIMONS action, on February 1, 2017, the Litigation Trustee requested leave to filesubsequently filed 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.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, filed motions to dismiss allstate law tort 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, fromIn 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. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 9185 (S.D.N.Y.) (McMahon, C.).

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 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 in putative class actions that are proceeding on a consolidated basis 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.
On 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, 2017,2020, 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 thewhich 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 allege that defendants engaged in a conspiracy to fix currency prices in violation of the Sherman Act and various state antitrust laws, and seek unspecified money damages (including treble damages), as well as equitable and injunctive relief. Additional information concerning these actions is publicly available in court filings under 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’ motionlater moved to dismiss. Additional information concerning this action is publicly available in court filings under the docket number 13 Civ. 281117-CV-4302 (S.D.N.Y.) (Castel,(Sullivan, J.).


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Madoff-Related Litigation
In December 2008, a Securities Investor Protection Act (SIPA) trustee was appointed for the SIPA liquidation of Bernard L. Madoff Investment Securities LLC (BLMIS), in the United States Bankruptcy Court for the Southern District of New York. Beginning in 2010, he commenced actions against multiple Citi entities, including Citibank, Citicorp North America, Inc., CGML and Citibank (Switzerland) AG, seeking recovery of monies that originated at BLMIS and were allegedly received by the Citi entities as subsequent transferees. On July 1, 2016,August 30, 2021, the United States Court of Appeals for the Second Circuit reversed the bankruptcy court’s denial of the SIPA trustee’s motion for leave to amend his complaint and remanded the case to the bankruptcy court for further proceedings. On January 27, 2022, Citibank and Citicorp North America, Inc. filed a petition for a writ of certiorari in the United States Supreme Court seeking review of the Second Circuit’s holding that good faith is an affirmative defense. The SIPA trustee filed an amended complaint against Citibank, Citicorp North America, Inc. and CGML on February 11, 2022. The action against Citibank (Switzerland) AG was dismissed on February 23, 2022. Additional information concerning these actions is publicly available in court filings under the docket numbers 10-5345, 12-1700 (Bankr. S.D.N.Y.) (Morris, J.); 12-MC-115 (S.D.N.Y.) (Rakoff, J.); and 17-2992, 17-3076, 17-3139, 19-4282, 20-1333 (2d Cir.).
Also beginning in 2010, the British Virgin Islands liquidators of Fairfield Sentry Limited, whose assets were invested with BLMIS, commenced multiple actions in the United States Bankruptcy Court for the Southern District of New York against over 400 defendants, including CGML Citibank (Switzerland) AG; Citibank, N.A., London; Citivic Nominees Limited; and Cititrust (Bahamas) Limited. The actions seek recovery of monies that were allegedly received directly or indirectly by Citi entities from Fairfield Sentry. Appeals concerning various dismissed claims and a petition for interlocutory review on the one claim remaining are pending before the United States District Court for the Southern District of New York, and the remaining claim is proceeding in the Bankruptcy Court. Citi (Switzerland) AG and Citivic Nominees Limited filed a motion to dismiss for lack of personal jurisdiction on October 29, 2021. These actions are captioned FAIRFIELD SENTRY LTD., ET AL. v. CGML, ET AL.; FAIRFIELD SENTRY LTD., ET AL. v. CITIBANK NA LONDON, ET AL.; and FAIRFIELD SENTRY LTD., ET AL. v. ZURICH CAPITAL MARKETS COMPANY, ET AL. Additional information is publicly available in court filings under the docket numbers 10-13164, 10-3496, 10-3622, 10-3634, 11-2770 (Bankr. S.D.N.Y.) (Morris, J.); and 19-3911, 19-4267, 19-4396, 19-4484, 19-5106, 19-5135, 21-2997, 21-3243, 21-3526, 21-3529, 21-3530, 21-4307, 21-4498, 21-4496 (S.D.N.Y.) (Broderick, J.).

Parmalat Litigation
In 2004, an Italian commissioner appointed to oversee the administration of various Parmalat companies filed a complaint against Citigroup, Citibank 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. In 2019, the Italian Supreme Court affirmed the decision in the full amount awarded. Citigroup has taken steps to enforce the judgment in Italian and Belgian courts. Additional information concerning these actions is publicly available in court filings under (in Italy) the docket numbers 4133/2019 and 224/2022 (Court of Milan Enforcement Section) and (in Belgium) 20/3617/A (Brussels Court of First Instance) and 21/AR/1658 (Brussels Court of Appeal).
In 2015, Parmalat filed a claim in an Italian civil court in Milan claiming damages of €1.8 billion against Citigroup, Citibank and related parties, which the court later dismissed on grounds it was duplicative of Parmalat’s previously unsuccessful claims. In 2019, the Milan Court of Appeal rejected Parmalat’s appeal of the Milan court’s dismissal, which Parmalat appealed to the Italian Supreme Court. Additional information concerning this action is publicly available in court filings under the docket number 20598/2019.
In January 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, which Citibank is seeking to dismiss. Additional information concerning this action is publicly available in court filings under the docket number 8611/2020.

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 U.K. Financial Conduct Authority, and to defend claims filed in U.K. courts.

Record-Keeping Matters
The U.S. Securities and Exchange Commission is conducting an investigation of CGMI and other firms regarding compliance with record-keeping obligations for broker-dealers and investment advisers in connection with business-related communications sent over unapproved electronic messaging channels. CGMI is cooperating with the investigation.

Revlon-Related Wire Transfer Litigation
In August 2020, Citibank filed actions in the United States District Court for the Southern District of New York, which have been consolidated under the caption IN RE CITIBANK AUGUST 11, 2020 WIRE TRANSFERS. The actions relate to a payment erroneously made by Citibank in its capacity as administrative agent for a Revlon credit facility. The action seeks the return of the erroneously transferred funds from certain fund managers. Citibank has asserted claims for unjust enrichment, conversion, money had and received, and payment by mistake. The court issued temporary restraining orders related to the subject funds. On February 16, 2021, the court issued a judgment in favor of the defendants, which Citibank later appealed in the United States Court of Appeals for the Second Circuit. In response to the district court’s denial of Citibank’s motion to extend the temporary restraining
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orders, Citibank filed a motion for an injunction with the United States Court of Appeals. Additional information concerning this action is publicly available in court filings under docket numbers 20-CV-6539 (S.D.N.Y.) (Furman, J.) and 21-487 (2d Cir.).

Shareholder Derivative and Securities Litigation
Beginning in October 2020, four derivative actions were filed in the United States District Court for the Southern District of New York, purportedly on behalf of Citigroup (as nominal defendant) against certain of Citigroup’s current and former directors. The actions were later consolidated under the case name IN RE CITIGROUP INC. SHAREHOLDER DERIVATIVE LITIGATION. The consolidated complaint asserts claims for breach of fiduciary duty, unjust enrichment, and contribution and indemnification in connection with defendants’ alleged failures to implement adequate internal controls. In addition, the consolidated complaint asserts derivative claims for violations of Sections 10(b) and 14(a) of the Securities Exchange Act of 1934 in connection with statements in Citigroup’s 2019 and 2020 annual meeting proxy statements. On February 8, 2021, the court stayed the action pending resolution of defendants’ motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-09438 (S.D.N.Y.) (Nathan, J.).
Beginning in December 2020, two derivative actions were filed in the Supreme Court of the State of New York, purportedly on behalf of Citigroup (as nominal defendant) against certain of Citigroup’s current and former directors, and certain current and former officers. The actions were later consolidated under the case name IN RE CITIGROUP INC. DERIVATIVE LITIGATION, and the court stayed the action pending resolution of defendants’ motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 656759/2020 (N.Y. Sup. Ct.) (Schecter, J.).
Beginning in October 2020, three putative class action captioned FRONTPOINT ASIAN EVENT DRIVEN FUND, LTD. ET AL v. CITIBANK, N.A. ET AL. wascomplaints were filed in the United States District Court for the Southern District of New York against Citibank, Citigroup and variouscertain of its current and former officers, asserting violations of Sections 10(b) and 20(a) of the Securities Exchange Act of 1934 in connection with defendants’ alleged misstatements concerning Citigroup’s internal controls. The actions were later consolidated under the case name IN RE CITIGROUP SECURITIES LITIGATION. The consolidated complaint later added certain of Citigroup’s current and former directors as defendants. Defendants have moved to dismiss the consolidated amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-9132 (S.D.N.Y.) (Nathan, J.).

Sovereign Securities Litigation
In 2015, putative class actions filed against CGMI and other banks.defendants were consolidated under the caption IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION in the United States District Court for the
Southern District of New York. Plaintiffs allege that defendants colluded to fix U.S. 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 the U.S. Treasuries secondary market. Plaintiffs assert claims for violation of the Sherman Act, Clayton Actunder antitrust laws, and RICO Act, as well as state law claims for alleged manipulation of the Singapore Interbank Offered Rateseek damages, including treble damages where authorized by statute, and Singapore Swap Offer Rate.injunctive relief. On August 18, 2017,March 31, 2021, the court granted in part the defendants’ motion to dismiss, dismissing all claims against

foreign bank defendants, antitrust claims asserted by one of the two namedwithout prejudice. On May 14, 2021, 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.consolidated complaint. On October 18, 2017,June 14, 2021, certain defendants, filed a motionincluding CGMI, moved to dismiss the amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 526315-MD-2673 (S.D.N.Y.) (Hellerstein,(Gardephe, J.).
On December 26, 2016, Banque DelubacIn 2017, purchasers of supranational, sub-sovereign and agency (SSA) bonds filed a summonsproposed class action on behalf of direct and indirect purchasers of SSA 296 bonds against Citigroup, Citibank, CGMI, CGML, Citibank Canada, Citigroup Global Markets Canada, Inc. and Citigroup Europe Plc beforeother defendants, captioned JOSEPH MANCINELLI, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., in the CommercialFederal Court in Canada. Plaintiffs have filed an amended claim that alleges defendants manipulated, and colluded to manipulate, the SSA bonds market, asserts claims for breach of Aubenas, France alleging that defendants suppressed its LIBOR submissions between 2005the Competition Act, breach of foreign law, civil conspiracy, unjust enrichment, waiver of tort and 2012,breach of contract, and that Banque Delubac’s EURIBOR-linked lending activity was negatively impacted as a result. Plaintiff is seekingseeks compensatory and punitive damages, for losses on LIBOR-linked loans to customers and for alleged consequential losses to its business.among other relief. Additional information concerning this action is publicly available in court filings under the case reference SCS BANQUE DELUBAC & CIE v. CITIGROUP INC. ET AL.docket number T-1871-17 (Fed. Ct.).
In 2018, a putative class action was filed against Citigroup, CGMI, Citigroup Financial Products Inc.,Commercial 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 Aubenas, RG no. 2017J00043.New York. The complaint alleges that defendants colluded in the Mexican sovereign bond market. In September 2019, the court granted defendants’ motion to dismiss. In December 2019, 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 U.S. 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 seeks treble damages, restitution and injunctive relief. In February 2020, certain defendants, including Citibanamex, moved to dismiss the amended complaint, which the court later granted. On June 10, 2021, plaintiffs moved for reconsideration of the decision dismissing certain defendants, including Citibanamex, which those defendants have jointly opposed. Additional information concerning this action is publicly available in court filings under the docket number 18 Civ. 2830 (S.D.N.Y.) (Oetken, J.).

On February 9, 2021, purchasers of Euro-denominated sovereign debt issued by European central governments added CGMI, CGML and others as defendants to a putative class
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action, captioned IN RE EUROPEAN GOVERNMENT BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants engaged in a conspiracy to inflate prices of European government bonds in primary market auctions and to fix the prices of European government bonds in secondary markets. Plaintiffs assert a claim under the Sherman Act and seek treble damages and attorneys’ fees. On June 4, 2021, certain defendants, including CGMI and CGML, filed a pre-motion letter with the court requesting leave to move to dismiss the action. Additional information concerning this action is publicly available in court filings under the docket number 19-CV-2601 (S.D.N.Y.) (Marrero, J.).

Transaction Tax Matters
Citigroup and Citibank are engaged in litigation or examinations with non-U.S. tax authorities, including in the U.K., 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 asand 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, 2014, the district court entered a final judgment approving the terms of a class settlement providing for, among other things, a total 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 thea 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. Onebanks, including Citigroup and affiliates.
In 2019, the district court granted the damages class plaintiffs’ motion for final approval of these suits, 7-ELEVEN, INC., ET AL. v. VISA INC., ET AL.,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 behalfa non-class basis by individual merchants. The settlement provides for a cash payment to the damages class of numerous individual$6.24 billion, later reduced by $700 million based on the transaction volume of class members that opted out from the settlement. Several merchants names Citigroup asand merchant groups have appealed the final approval order. On September 27, 2021, the court granted the injunctive relief class plaintiffs’ motion to certify a defendant.non-opt-out class. 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 theseThe actions 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 part2019, and denied in part defendants’ motions to dismiss.subsequently filed an 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.New York under the caption TERA GROUP, INC., ET AL. v. CITIGROUP, INC., ET AL. The complaint alleges that defendants colluded to prevent the development of exchange-like trading for credit default swaps and asserts federal and state antitrust 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 RICOand state 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,tort claims. In January 2020, plaintiffs filed an amended complaint, adding common law claims for fraud, aiding and abetting fraud, and conspiracy on behalf of all plaintiffs. Citigroup haswhich defendants later 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.17-CV-4302 (S.D.N.Y.) (Gayles,(Sullivan, J.).


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Madoff-Related Litigation
In December 2008, a Securities Investor Protection Act (SIPA) trustee was appointed for the SIPA liquidation of Bernard L. Madoff Investment Securities LLC (BLMIS), in the United States Bankruptcy Court for the Southern District of New York. Beginning in 2010, he commenced actions against multiple Citi entities, including Citibank, Citicorp North America, Inc., CGML and Citibank (Switzerland) AG, seeking recovery of monies that originated at BLMIS and were allegedly received by the Citi entities as subsequent transferees. On August 30, 2021, the United States Court of Appeals for the Second Circuit reversed the bankruptcy court’s denial of the SIPA trustee’s motion for leave to amend his complaint and remanded the case to the bankruptcy court for further proceedings. On January 27, 2022, Citibank and Citicorp North America, Inc. filed a petition for a writ of certiorari in the United States Supreme Court seeking review of the Second Circuit’s holding that good faith is an affirmative defense. The SIPA trustee filed an amended complaint against Citibank, Citicorp North America, Inc. and CGML on February 27, 2017,11, 2022. The action against Citibank (Switzerland) AG was dismissed on February 23, 2022. Additional information concerning these actions is publicly available in court filings under the docket numbers 10-5345, 12-1700 (Bankr. S.D.N.Y.) (Morris, J.); 12-MC-115 (S.D.N.Y.) (Rakoff, J.); and 17-2992, 17-3076, 17-3139, 19-4282, 20-1333 (2d Cir.).
Also beginning in 2010, the British Virgin Islands liquidators of Fairfield Sentry Limited, whose assets were invested with BLMIS, commenced multiple actions in the United States Bankruptcy Court for the Southern District of New York against over 400 defendants, including CGML Citibank (Switzerland) AG; Citibank, N.A., London; Citivic Nominees Limited; and Cititrust (Bahamas) Limited. The actions seek recovery of monies that were allegedly received directly or indirectly by Citi entities from Fairfield Sentry. Appeals concerning various dismissed claims and a petition for interlocutory review on the one claim remaining are pending before the United States District Court for the Southern District of New York, and the remaining claim is proceeding in the Bankruptcy Court. Citi (Switzerland) AG and Citivic Nominees Limited filed a motion to dismiss for lack of personal jurisdiction on October 29, 2021. These actions are captioned FAIRFIELD SENTRY LTD., ET AL. v. CGML, ET AL.; FAIRFIELD SENTRY LTD., ET AL. v. CITIBANK NA LONDON, ET AL.; and FAIRFIELD SENTRY LTD., ET AL. v. ZURICH CAPITAL MARKETS COMPANY, ET AL. Additional information is publicly available in court filings under the docket numbers 10-13164, 10-3496, 10-3622, 10-3634, 11-2770 (Bankr. S.D.N.Y.) (Morris, J.); and 19-3911, 19-4267, 19-4396, 19-4484, 19-5106, 19-5135, 21-2997, 21-3243, 21-3526, 21-3529, 21-3530, 21-4307, 21-4498, 21-4496 (S.D.N.Y.) (Broderick, J.).

Parmalat Litigation
In 2004, an Italian commissioner appointed to oversee the administration of various Parmalat companies filed a complaint was filed against Citigroup, Citibank 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. In 2019, the Italian Supreme Court affirmed the decision in the full amount awarded. Citigroup has taken steps to enforce the judgment in Italian and Belgian courts. Additional information concerning these actions is publicly available in court filings under (in Italy) the docket numbers 4133/2019 and 224/2022 (Court of Milan Enforcement Section) and (in Belgium) 20/3617/A (Brussels Court of First Instance) and 21/AR/1658 (Brussels Court of Appeal).
In 2015, Parmalat filed a claim in an Italian civil court in Milan claiming damages of €1.8 billion against Citigroup, Citibank and related parties, which the court later dismissed on grounds it was duplicative of Parmalat’s previously unsuccessful claims. In 2019, the Milan Court of Appeal rejected Parmalat’s appeal of the Milan court’s dismissal, which Parmalat appealed to the Italian Supreme Court. Additional information concerning this action is publicly available in court filings under the docket number 20598/2019.
In January 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, which Citibank is seeking to dismiss. Additional information concerning this action is publicly available in court filings under the docket number 8611/2020.

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 U.K. Financial Conduct Authority, and to defend claims filed in U.K. courts.

Record-Keeping Matters
The U.S. Securities and Exchange Commission is conducting an investigation of CGMI and other firms regarding compliance with record-keeping obligations for broker-dealers and investment advisers in connection with business-related communications sent over unapproved electronic messaging channels. CGMI is cooperating with the investigation.

Revlon-Related Wire Transfer Litigation
In August 2020, Citibank filed actions in the United States District Court for the Southern District of New York, which have been consolidated under the caption IN RE CITIBANK AUGUST 11, 2020 WIRE TRANSFERS. The actions relate to a payment erroneously made by OceanografíCitibank in its capacity as administrative agent for a S.A. de C.V. (OSA)Revlon credit facility. The action seeks the return of the erroneously transferred funds from certain fund managers. Citibank has asserted claims for unjust enrichment, conversion, money had and its controlling shareholder, Amado Yáñez Osuna.received, and payment by mistake. The complaint alleges that plaintiffs were injured when Citigroup made certain public statements about receivable financings and other financing arrangementscourt issued temporary restraining orders related to OSA.the subject funds. On February 16, 2021, the court issued a judgment in favor of the defendants, which Citibank later appealed in the United States Court of Appeals for the Second Circuit. In response to the district court’s denial of Citibank’s motion to extend the temporary restraining
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orders, Citibank filed a motion for an injunction with the United States Court of Appeals. Additional information concerning this action is publicly available in court filings under docket numbers 20-CV-6539 (S.D.N.Y.) (Furman, J.) and 21-487 (2d Cir.).

Shareholder Derivative and Securities Litigation
Beginning in October 2020, four derivative actions were filed in the United States District Court for the Southern District of New York, purportedly on behalf of Citigroup (as nominal defendant) against certain of Citigroup’s current and former directors. The actions were later consolidated under the case name IN RE CITIGROUP INC. SHAREHOLDER DERIVATIVE LITIGATION. The consolidated complaint asserts claims for malicious prosecutionbreach of fiduciary duty, unjust enrichment, and tortious interferencecontribution and indemnification in connection with existingdefendants’ alleged failures to implement adequate internal controls. In addition, the consolidated complaint asserts derivative claims for violations of Sections 10(b) and prospective business relationships.14(a) of the Securities Exchange Act of 1934 in connection with statements in Citigroup’s 2019 and 2020 annual meeting proxy statements. On February 8, 2021, the court stayed the action pending resolution of defendants’ motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-09438 (S.D.N.Y.) (Nathan, J.).
Beginning in December 4, 2017,2020, two derivative actions were filed in the Supreme Court of the State of New York, purportedly on behalf of Citigroup (as nominal defendant) against certain of Citigroup’s current and former directors, and certain current and former officers. The actions were later consolidated under the case name IN RE CITIGROUP INC. DERIVATIVE LITIGATION, and the court stayed the action pending resolution of defendants’ motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 656759/2020 (N.Y. Sup. Ct.) (Schecter, J.).
Beginning in October 2020, three putative class action complaints were filed in the United States District Court for the Southern District of New York against Citigroup and certain of its current and former officers, asserting violations of Sections 10(b) and 20(a) of the Securities Exchange Act of 1934 in connection with defendants’ alleged misstatements concerning Citigroup’s internal controls. The actions were later consolidated under the case name IN RE CITIGROUP SECURITIES LITIGATION. The consolidated complaint later added certain of Citigroup’s current and former directors as defendants. Defendants have moved to dismiss the consolidated amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-9132 (S.D.N.Y.) (Nathan, J.).

Sovereign Securities Litigation
In 2015, putative class actions filed against CGMI and other defendants were consolidated under the caption IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION in the United States District Court for the
Southern District of New York. Plaintiffs allege that defendants colluded to fix U.S. 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 the U.S. Treasuries secondary market. Plaintiffs assert claims under antitrust laws, and seek damages, including treble damages where authorized by statute, and injunctive relief. On March 31, 2021, the court granted defendants’ motion to dismiss, without prejudice. On May 14, 2021, plaintiffs filed an amended complaint addingconsolidated complaint. On June 14, 2021, certain defendants, including 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-0143415-MD-2673 (S.D.N.Y.) (Sullivan,(Gardephe, J.).

Parmalat Litigation
On July 29, 2004, Dr. Enrico Bondi, the Extraordinary Commissioner appointed under Italian law to oversee the administrationIn 2017, purchasers of various Parmalat companies,supranational, sub-sovereign and agency (SSA) bonds filed a complaint in New Jersey state courtproposed class action on behalf of direct and indirect purchasers of SSA 296 bonds against Citigroup, Citibank, CGMI, CGML, Citibank Canada, Citigroup Global Markets Canada, Inc. and Related Parties alleging,other defendants, captioned JOSEPH MANCINELLI, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., in the Federal Court in Canada. Plaintiffs have filed an amended claim that alleges defendants manipulated, and colluded to manipulate, the SSA bonds market, asserts claims for breach of the Competition Act, breach of foreign law, civil conspiracy, unjust enrichment, waiver of tort and breach of contract, and seeks compensatory and punitive damages, among other things, that the defendants “facilitated” a number of frauds by Parmalat
insiders. On October 20, 2008, following trial, a jury rendered a verdict in Citigroup’s favor on Parmalat’s claims and in favor of Citibank on three counterclaims, awarding Citi $431 million. Parmalat has exhausted all appeals, and the judgment is now final.relief. Additional information concerning this action is publicly available in court filings under the docket number A-2654-08T2 (N.J. Sup.T-1871-17 (Fed. Ct.).
In 2018, a putative class action was filed against Citigroup, has taken steps to enforce that judgmentCGMI, 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 Italian courts. On August 29, 2014,United States District Court for the CourtSouthern District of Appeal of Bologna affirmed the decisionNew York. The complaint alleges that defendants colluded in the full amount of $431 million,Mexican sovereign bond market. In September 2019, the court granted defendants’ motion to be paiddismiss. In December 2019, plaintiffs filed an amended complaint against Citibanamex and other market makers in Parmalat shares. Parmalat appealed the judgment to the Italian Supreme Court.
On June 16, 2015, Parmalat filed a claim in an Italian civil court in Milan claiming damages of €1.8 billionMexican sovereign bond market. Plaintiffs no longer assert any claims against Citigroup and Related Parties. On January 25, 2018, the 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 agenciesany other U.S. Citi affiliates. The amended complaint alleges a conspiracy to fix prices in the U.S.,Mexican sovereign bond market from January 1, 2006 to April 19, 2017, and asserts antitrust and unjust enrichment claims, and seeks treble damages, restitution and injunctive relief. In February 2020, certain defendants, including Citibanamex, moved to dismiss the SEC, are conducting investigations or making inquiries concerning compliance with 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,amended complaint, which the court grantedlater granted. On June 10, 2021, plaintiffs moved for reconsideration of the defendants’ motion to dismiss plaintiffs’ amended supplemental complaint. On January 17, 2018, plaintiffs filed a motion to reopen the judgment and for leave to file a second amended complaint in the Delaware Chancery Court, as well as an appeal with the Delaware Supreme Court.decision dismissing certain defendants, including Citibanamex, which those defendants have jointly opposed. Additional information concerning this action is publicly available in court filings under the docket numbers C.A. No. 12151-VCG (Del. Ch.number 18 Civ. 2830 (S.D.N.Y.) (Glasscock, Ch.) and 32,2018 (Del.(Oetken, J.).

Sovereign Securities Matters
Regulatory Actions: GovernmentOn February 9, 2021, purchasers of Euro-denominated sovereign debt issued by European central governments added CGMI, CGML 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 securities. Citigroup is fully cooperating with these investigations and inquiries.others as defendants to a putative class

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Antitrust and Other Litigation: Beginning in July 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, the cases were consolidatedaction, captioned IN RE EUROPEAN GOVERNMENT BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York byYork. Plaintiffs allege that defendants engaged in a conspiracy to inflate prices of European government bonds in primary market auctions and to fix the Judicial Panel on Multidistrict Litigation.prices of European government bonds in secondary markets. Plaintiffs assert a claim under the Sherman Act and seek treble damages and attorneys’ fees. On August 23, 2017,June 4, 2021, certain defendants, including CGMI and CGML, filed a pre-motion letter with the court appointed interim co-lead counsel.
Plaintiffs filed a consolidated complaint on November 16, 2017, which alleges that CGMI and other primary dealer defendants colludedrequesting leave to fix Treasury auction bids by sharing competitively sensitive information ahead ofmove to dismiss the auctions, in violation of the antitrust laws. The consolidated complaint also alleges 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, and seeks damages, including treble damages where authorized by statute, and injunctive relief.action. Additional information relating toconcerning this action is publicly available in court filings under the docket number 15-MD-267319-CV-2601 (S.D.N.Y.) (Gardephe,(Marrero, J.).
Beginning
Transaction Tax Matters
Citigroup and Citibank are engaged in May 2016, a numberlitigation or examinations with non-U.S. tax authorities, including in the U.K., India and Germany, concerning the payment of substantially similar putative class action complaints were filed against a number of financial institutionstransaction taxes and tradersother 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 supranational, sub-sovereign, and agency (SSA) bond market.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 approximate $11 billion leveraged buyout of Tribune in 2007. The actions are based upon defendants’ roles as market makers and traders of SSA bonds and assert claims of alleged collusion 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 consolidated inas 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 2019, the litigation trustee filed an appeal to the United States Court of Appeals for the Second Circuit.
CGMI was named as a defendant in a separate action, KIRSCHNER v. CGMI, in connection with its role as advisor to Tribune. In 2019, the court dismissed the action, which the litigation trustee appealed to the United States Court of Appeals for the Second Circuit.
On August 20, 2021, the United States Court of Appeals for the Second Circuit issued its decision in the consolidated appeals in KIRSCHNER v. FITZSIMONS and interim co-lead counselKIRSCHNER v. CGMI. In the FITZSIMONS action, the Second Circuit affirmed the dismissal of the actual fraudulent transfer claim against the shareholder defendants, including the Citigroup affiliates. In the CGMI action, the Second Circuit affirmed the dismissal of all claims against CGMI except for the claim of constructive fraudulent conveyance. As to that claim, the Second Circuit vacated the dismissal and remanded to the
district court for further proceedings on that claim and other claims that remain against certain other defendants that are not Citigroup affiliates. On November 29, 2021, on remand from the Second Circuit, the litigation trustee notified the United States District Court for the Southern District of New York that it was appointedvoluntarily dismissing all claims against CGMI pursuant to a settlement agreement. The district court approved the voluntary dismissal on December 10, 2021. Additional information concerning these actions is publicly available in December 2016.court filings under the docket numbers 12 MC 2296 (S.D.N.Y.) (Cote, J.), 11 MD 2296 (S.D.N.Y.) (Cote, J.), 19-0449 (2d Cir.), and 19-3049 (2d Cir.).
Plaintiffs
Variable Rate Demand Obligation Litigation
In 2019, the 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 on April 7, 2017 that namesnaming as defendants Citigroup, Citibank, CGMI, CGML and CGML among the defendants. Plaintiffs filed an amendednumerous 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 October 6, 2017,allegations that defendants served as remarketing agents for municipal bonds called variable rate demand obligations (VRDOs) and defendants filed motionscolluded to set artificially high VRDO interest rates. In November 2020, the court granted in part and denied in part defendants’ motion to dismiss the consolidated complaint.
On June 2, 2021, the Board of Directors of the San Diego Association of Governments, acting as the San Diego County Regional Transportation Commission, filed a parallel putative class action against the same defendants named in the already pending nationwide consolidated class action. The two actions were consolidated and on December 12, 2017.August 6, 2021, the plaintiffs in the nationwide putative class action filed a consolidated amended complaint, captioned THE CITY OF PHILADELPHIA, MAYOR AND CITY COUNCIL OF BALTIMORE, THE BOARD OF DIRECTORS OF THE SAN DIEGO ASSOCIATION OF GOVERNMENTS, ACTING AS THE SAN DIEGO COUNTY REGIONAL TRANSPORTATION COMMISSION v. BANK OF AMERICA CORP., ET AL. On September 14, 2021, defendants moved to dismiss the consolidated amended complaint in part. Additional information relating toconcerning this action is publicly available in court filings under the docket number 16-cv-0371119-CV-1608 (S.D.N.Y.) (Ramos,(Furman, J.).
On November 7, 2017, a class action related to the SSA bond market was filed
Wind Farm Litigations
Beginning in the Ontario Court of Justice against Citigroup, Citibank, CGMI, CGML, Citibank CanadaMarch 2021, six wind farms in Texas commenced actions in New York and Citigroup Global Markets Canada, Inc., among other defendants, asserting claimsTexas state courts for declaratory judgments and breach of contract, breachasserting that the February 2021 winter storm in Texas excused their performance to deliver energy to Citi Energy Inc. (CEI) under the force majeure provisions of their contracts with CEI. In addition, the wind farms sought temporary restraining orders and/or preliminary injunctions, preventing CEI from exercising remedies under the contracts.
Preliminary injunctions were denied with respect to five of the competition act, breach of foreign law, unjust enrichment,six wind farms: the New York court denied preliminary
302

injunctions with respect to the Stephens Ranch I and civil conspiracy. Plaintiffs seek compensatoryStephens Ranch II wind farms; the Texas court denied preliminary injunctions with respect to the Flat Top, Shannon and punitive damages, as well as declaratory relief.Midway wind farms. Later in 2021, Stephens Ranch I, Stephens Ranch II and Flat Top each voluntarily dismissed its action with prejudice. The Mariah del Norte wind farm voluntarily dismissed its action with prejudice on February 18, 2022. A motion to dismiss the remaining Shannon and Midway actions remains pending. Additional information relating to this actionconcerning these actions is publicly available in court filings under the docket number CV-17-586082-00CP (Ont. S.C.J.numbers 652078/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), 2021-01387 (1st Dep’t), 652312/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), 2021-23588 (District Court Harris County TX) (Schaffer, J.), and 2021-26150 (District Court Harris County TX) (Engelhart, J.).


Settlement Payments
Payments required in settlement agreements described above have been made or are covered by existing litigation or other accruals.








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28.  CONDENSED CONSOLIDATING FINANCIAL STATEMENTS


Citigroup amended itsCitigroup’s Registration Statement on Form S-3 on file with the SEC (File No. 33-192302) to addincludes 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, 20162021, 2020 and 2015,2019, Condensed Consolidating Balance Sheet as of December 31, 20172021 and 20162020 and Condensed Consolidating Statement of Cash Flows for the years ended December 31, 2017, 20162021, 2020 and 20152019 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, 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)
305


Condensed Consolidating Statements of Income and Comprehensive Income


Year ended December 31, 2021
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Revenues
Dividends from subsidiaries$6,482 $— $— $(6,482)$— 
Interest revenue— 3,566 46,909 — 50,475 
Interest revenue—intercompany3,757 531 (4,288)— — 
Interest expense4,791 778 2,412 — 7,981 
Interest expense—intercompany294 1,320 (1,614)— — 
Net interest income$(1,328)$1,999 $41,823 $— $42,494 
Commissions and fees$— $7,770 $5,902 $— $13,672 
Commissions and fees—intercompany(36)407 (371)— — 
Principal transactions976 10,140 (962)— 10,154 
Principal transactions—intercompany(1,375)(6,721)8,096 — — 
Other revenue(64)576 5,052 — 5,564 
Other revenue—intercompany(133)(60)193 — — 
Total non-interest revenues$(632)$12,112 $17,910 $— $29,390 
Total revenues, net of interest expense$4,522 $14,111 $59,733 $(6,482)$71,884 
Provisions for credit losses and for benefits and claims$— $6 $(3,784)$— $(3,778)
Operating expenses
Compensation and benefits$10 $5,251 $19,873 $— $25,134 
Compensation and benefits—intercompany69 — (69)— — 
Other operating83 2,868 20,108 — 23,059 
Other operating—intercompany11 2,826 (2,837)— — 
Total operating expenses$173 $10,945 $37,075 $— $48,193 
Equity in undistributed income of subsidiaries$16,596 $— $— $(16,596)$— 
Income from continuing operations before income taxes$20,945 $3,160 $26,442 $(23,078)$27,469 
Provision (benefit) for income taxes(1,007)625 5,833 — 5,451 
Income from continuing operations$21,952 $2,535 $20,609 $(23,078)$22,018 
Income (loss) from discontinued operations, net of taxes— — 7 — 7 
Net income before attribution of noncontrolling interests$21,952 $2,535 $20,616 $(23,078)$22,025 
Noncontrolling interests— — 73 — 73 
Net income$21,952 $2,535 $20,543 $(23,078)$21,952 
Comprehensive income
Add: Other comprehensive income (loss)$(6,707)$(76)$(450)$526 $(6,707)
Total Citigroup comprehensive income$15,245 $2,459 $20,093 $(22,552)$15,245 
Add: Other comprehensive income attributable to noncontrolling interests$— $— $(99)$— $(99)
Add: Net income attributable to noncontrolling interests— — 73 — 73 
Total comprehensive income$15,245 $2,459 $20,067 $(22,552)$15,219 
306
 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, 2020
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Revenues
Dividends from subsidiaries$2,355 $— $— $(2,355)$— 
Interest revenue— 5,364 52,725 — 58,089 
Interest revenue—intercompany4,162 920 (5,082)— — 
Interest expense4,992 1,989 6,357 — 13,338 
Interest expense—intercompany502 2,170 (2,672)— — 
Net interest income$(1,332)$2,125 $43,958 $— $44,751 
Commissions and fees$— $6,216 $5,169 $— $11,385 
Commissions and fees—intercompany(36)290 (254)— — 
Principal transactions(1,254)(4,252)19,391 — 13,885 
Principal transactions—intercompany693 9,064 (9,757)— — 
Other revenue(127)706 4,901 — 5,480 
Other revenue—intercompany111 23 (134)— — 
Total non-interest revenues$(613)$12,047 $19,316 $— $30,750 
Total revenues, net of interest expense$410 $14,172 $63,274 $(2,355)$75,501 
Provisions for credit losses and for benefits and claims$— $(1)$17,496 $— $17,495 
Operating expenses
Compensation and benefits$(5)$4,941 $17,278 $— $22,214 
Compensation and benefits—intercompany191 — (191)— — 
Other operating37 2,393 19,730 — 22,160 
Other operating—intercompany15 2,317 (2,332)— — 
Total operating expenses$238 $9,651 $34,485 $— $44,374 
Equity in undistributed income of subsidiaries$9,894 $— $— $(9,894)$— 
Income from continuing operations before income taxes$10,066 $4,522 $11,293 $(12,249)$13,632 
Provision (benefit) for income taxes(981)1,249 2,257 — 2,525 
Income from continuing operations$11,047 $3,273 $9,036 $(12,249)$11,107 
Income (loss) from discontinued operations, net of taxes— — (20)— (20)
Net income (loss) before attribution of noncontrolling interests$11,047 $3,273 $9,016 $(12,249)$11,087 
Noncontrolling interests— — 40 — 40 
Net income$11,047 $3,273 $8,976 $(12,249)$11,047 
Comprehensive income
Add: Other comprehensive income (loss)$4,260 $(223)$4,244 $(4,021)$4,260 
Total Citigroup comprehensive income$15,307 $3,050 $13,220 $(16,270)$15,307 
Add: Other comprehensive income attributable to noncontrolling interests$— $— $26 $— $26 
Add: Net income attributable to noncontrolling interests— — 40 — 40 
Total comprehensive income$15,307 $3,050 $13,286 $(16,270)$15,373 

307

 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 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 16,423 — 28,382 
Interest expense—intercompany1,038 4,243 (5,281)— — 
Net interest income$(896)$1,350 $47,674 $— $48,128 
Commissions and fees$— $5,265 $6,481 $— $11,746 
Commissions and fees—intercompany(21)354 (333)— — 
Principal transactions(2,537)277 11,152 — 8,892 
Principal transactions—intercompany1,252 2,464 (3,716)— — 
Other revenue767 832 4,702 — 6,301 
Other revenue—intercompany(55)102 (47)— — 
Total non-interest revenues$(594)$9,294 $18,239 $— $26,939 
Total revenues, net of interest expense$21,857 $10,644 $65,913 $(23,347)$75,067 
Provisions for credit losses and for benefits and claims$— $— $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 19,040 — 21,350 
Other operating—intercompany20 2,410 (2,430)— — 
Total operating expenses$170 $9,416 $33,197 $— $42,783 
Equity in undistributed income of subsidiaries$(3,620)$— $— $3,620 $— 
Income 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 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$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$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$20,253 $401 $20,341 $(20,676)$20,319 


308

Condensed Consolidating Balance Sheet

December 31, 2021
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Assets
Cash and due from banks$— $834 $26,681 $— $27,515 
Cash and due from banks—intercompany17 6,890 (6,907)— — 
Deposits with banks, net of allowance— 7,936 226,582 — 234,518 
Deposits with banks—intercompany3,500 11,005 (14,505)— — 
Securities borrowed and purchased under resale agreements— 269,608 57,680 — 327,288 
Securities borrowed and purchased under resale agreements—intercompany— 23,362 (23,362)— — 
Trading account assets248 189,841 141,856 — 331,945 
Trading account assets—intercompany1,215 1,438 (2,653)— — 
Investments, net of allowance1 224 512,597 — 512,822 
Loans, net of unearned income— 2,293 665,474 — 667,767 
Loans, net of unearned income—intercompany— — — — — 
Allowance for credit losses on loans (ACLL)— — (16,455)— (16,455)
Total loans, net$— $2,293 $649,019 $— $651,312 
Advances to subsidiaries$142,144 $— $(142,144)$— $— 
Investments in subsidiaries223,303 — — (223,303)— 
Other assets, net of allowance(1)
10,589 69,312 126,112 — 206,013 
Other assets—intercompany2,737 60,567 (63,304)— — 
Total assets$383,754 $643,310 $1,487,652 $(223,303)$2,291,413 
Liabilities and equity
Deposits$— $— $1,317,230 $— $1,317,230 
Deposits—intercompany— — — — — 
Securities loaned and sold under repurchase agreements— 171,818 19,467 — 191,285 
Securities loaned and sold under repurchase agreements—intercompany— 62,197 (62,197)— — 
Trading account liabilities17 122,383 39,129 — 161,529 
Trading account liabilities—intercompany777 500 (1,277)— — 
Short-term borrowings— 13,425 14,548 — 27,973 
Short-term borrowings—intercompany— 17,230 (17,230)— — 
Long-term debt164,945 61,416 28,013 — 254,374 
Long-term debt—intercompany— 76,335 (76,335)— — 
Advances from subsidiaries13,469 — (13,469)— — 
Other liabilities, including allowance2,574 68,206 65,570 — 136,350 
Other liabilities—intercompany— 11,774 (11,774)— — 
Stockholders’ equity201,972 38,026 185,977 (223,303)202,672 
Total liabilities and equity$383,754 $643,310 $1,487,652 $(223,303)$2,291,413 

(1)Other assets for Citigroup parent company at December 31, 2021 included $30.5 billion of placements to Citibank and its branches, of which $19.5 billion had a remaining term of less than 30 days.



309
 December 31, 2017
In millions of dollarsCitigroup parent company
 CGMHI
 Other Citigroup subsidiaries and eliminations
 Consolidating adjustments
 Citigroup consolidated
Assets         
Cash and due from banks$—
 $378
 $23,397
 $—
 $23,775
Cash and due from banks—intercompany13
 3,750
 (3,763) —
 —
Federal funds sold and resale agreements—
 182,685
 49,793
 —
 232,478
Federal funds sold and resale agreements—intercompany—
 16,091
 (16,091) —
 —
Trading account assets—
 139,462
 112,094
 —
 251,556
Trading account assets—intercompany38
 2,711
 (2,749) —
 —
Investments27
 181
 352,082
 —
 352,290
Loans, net of unearned income—
 900
 666,134
 —
 667,034
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,355) —
 (12,355)
Total loans, net$—
 $900
 $653,779
 $—
 $654,679
Advances to subsidiaries$139,722
 $—
 $(139,722) $—
 $—
Investments in subsidiaries210,537
 —
 —
 (210,537) —
Other assets (1)
10,844
 61,647
 255,196
 —
 327,687
Other assets—intercompany14,428
 48,832
 (63,260) —
 —
Total assets$375,609
 $456,637
 $1,220,756
 $(210,537) $1,842,465
Liabilities and equity

 
 
 
 
Deposits$—
 $—
 $959,822
 $—
 $959,822
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) —
 —
Trading account liabilities—
 80,801
 43,246
 —
 124,047
Trading account liabilities—intercompany15
 2,182
 (2,197) —
 —
Short-term borrowings251
 3,568
 40,633
 —
 44,452
Short-term borrowings—intercompany—
 32,871
 (32,871) —
 —
Long-term debt152,163
 18,048
 66,498
 —
 236,709
Long-term debt—intercompany—
 60,765
 (60,765) —
 —
Advances from subsidiaries19,136
 —
 (19,136) —
 —
Other liabilities2,673
 62,113
 54,700
 —
 119,486
Other liabilities—intercompany631
 9,753
 (10,384) —
 —
Stockholders’ equity200,740
 33,051
 178,418
 (210,537) 201,672
Total liabilities and equity$375,609
 $456,637
 $1,220,756
 $(210,537) $1,842,465


(1)
Other assets for Citigroup parent company at December 31, 2017 included $29.7 billion of placements to Citibank and its branches, of which $18.9 billion had a remaining term of less than 30 days.




Condensed Consolidating Balance Sheet

December 31, 2020
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Assets
Cash and due from banks$— $628 $25,721 $— $26,349 
Cash and due from banks—intercompany16 6,081 (6,097)— — 
Deposits with banks, net of allowance— 5,224 278,042 — 283,266 
Deposits with banks—intercompany4,500 8,179 (12,679)— — 
Securities borrowed and purchased under resale agreements— 238,718 55,994 — 294,712 
Securities borrowed and purchased under resale agreements—intercompany— 24,309 (24,309)— — 
Trading account assets307 222,278 152,494 — 375,079 
Trading account assets—intercompany(1)
723 2,340 (3,063)— — 
Investments, net of allowance1 374 446,984 — 447,359 
Loans, net of unearned income— 2,524 673,359 — 675,883 
Loans, net of unearned income—intercompany— — — — — 
Allowance for credit losses on loans (ACLL)— — (24,956)— (24,956)
Total loans, net$— $2,524 $648,403 $— $650,927 
Advances to subsidiaries$152,383 $— $(152,383)$— $— 
Investments in subsidiaries213,267 — — (213,267)— 
Other assets, net of allowance(2)
12,156 60,273 109,969 — 182,398 
Other assets—intercompany2,781 51,489 (54,270)— — 
Total assets$386,134 $622,417 $1,464,806 $(213,267)$2,260,090 
Liabilities and equity
Deposits$— $— $1,280,671 $— $1,280,671 
Deposits—intercompany— — — — — 
Securities loaned and sold under repurchase agreements— 184,786 14,739 — 199,525 
Securities loaned and sold under repurchase agreements—intercompany— 76,590 (76,590)— — 
Trading account liabilities— 113,100 54,927 — 168,027 
Trading account liabilities—intercompany(1)
397 1,531 (1,928)— — 
Short-term borrowings— 12,323 17,191 — 29,514 
Short-term borrowings—intercompany— 12,757 (12,757)— — 
Long-term debt170,563 47,732 53,391 — 271,686 
Long-term debt—intercompany— 67,322 (67,322)— — 
Advances from subsidiaries12,975 — (12,975)— — 
Other liabilities, including allowance2,692 55,217 52,558 — 110,467 
Other liabilities—intercompany65 15,378 (15,443)— — 
Stockholders’ equity199,442 35,681 178,344 (213,267)200,200 
Total liabilities and equity$386,134 $622,417 $1,464,806 $(213,267)$2,260,090 

(1)The balances of Trading account assets—intercompany and Trading account liabilities—intercompany within CGMHI and within Other Citigroup subsidiaries and eliminations have been revised to reflect the netting of $7 billion of intercompany derivative and related collateral assets and liabilities subject to enforceable netting agreements. Because the adjustment was limited to transactions between affiliated entities, it had no impact to Citigroup consolidated.
(2)Other assets for Citigroup parent company at December 31, 2020 included $29.5 billion of placements to Citibank and its branches, of which $24.3 billion had a remaining term of less than 30 days.


310
 December 31, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets         
Cash and due from banks$—
 $870
 $22,173
 $—
 $23,043
Cash and due from banks—intercompany142
 3,820
 (3,962) —
 —
Federal funds sold and resale agreements—
 196,236
 40,577
 —
 236,813
Federal funds sold and resale agreements—intercompany—
 12,270
 (12,270) —
 —
Trading account assets6
 121,484
 122,435
 —
 243,925
Trading account assets—intercompany1,173
 907
 (2,080) —
 —
Investments173
 335
 352,796
 —
 353,304
Loans, net of unearned income—
 575
 623,794
 —
 624,369
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,060) —
 (12,060)
Total loans, net$—
 $575
 $611,734
 $—
 $612,309
Advances to subsidiaries$143,154
 $—
 $(143,154) $—
 $—
Investments in subsidiaries226,279
 —
 —
 (226,279) —
Other assets(1)
23,734
 46,095
 252,854
 —
 322,683
Other assets—intercompany27,845
 38,207
 (66,052) —
 —
Total assets$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077
Liabilities and equity
 
 
 
 

Deposits$—
 $—
 $929,406
 $—
 $929,406
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) —
 —
Trading account liabilities—
 87,714
 51,331
 —
 139,045
Trading account liabilities—intercompany1,006
 868
 (1,874) —
 —
Short-term borrowings—
 1,356
 29,345
 —
 30,701
Short-term borrowings—intercompany—
 35,596
 (35,596) —
 —
Long-term debt147,333
 8,128
 50,717
 —
 206,178
Long-term debt—intercompany—
 41,287
 (41,287) —
 —
Advances from subsidiaries41,258
 —
 (41,258) —
 —
Other liabilities3,466
 57,430
 57,887
 —
 118,783
Other liabilities—intercompany4,323
 7,894
 (12,217) —
 —
Stockholders’ equity225,120
 32,789
 194,513
 (226,279) 226,143
Total liabilities and equity$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077


(1)
Other assets for Citigroup parent company at December 31, 2016 included $20.7 billion of placements to Citibank and its branches, of which $6.8 billion had a remaining term of less than 30 days.



Condensed Consolidating Statement of Cash Flows
Year ended December 31, 2021
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Net cash provided by operating activities of continuing operations$3,947 $43,227 $14,075 $— $61,249 
Cash flows from investing activities of continuing operations
Purchases of investments$— $— $(359,158)$— $(359,158)
Proceeds from sales of investments— — 126,728 — 126,728 
Proceeds from maturities of investments— — 142,100 — 142,100 
Change in loans— — (1,173)— (1,173)
Proceeds from sales and securitizations of loans— — 2,918 — 2,918 
Change in securities borrowed and purchased under agreements to resell— (29,944)(2,632)— (32,576)
Changes in investments and advances—intercompany8,260 (9,040)780 — — 
Other investing activities— (2)(3,742)— (3,744)
Net cash provided by (used in) investing activities of continuing operations$8,260 $(38,986)$(94,179)$— $(124,905)
Cash flows from financing activities of continuing operations
Dividends paid$(5,198)$(196)$196 $— $(5,198)
Issuance of preferred stock3,300 — — — 3,300 
Redemption of preferred stock(3,785)— — — (3,785)
Treasury stock acquired(7,601)— — — (7,601)
Proceeds (repayments) from issuance of long-term debt, net(86)15,071 (19,277)— (4,292)
Proceeds (repayments) from issuance of long-term debt—intercompany, net— 14,410 (14,410)— — 
Change in deposits— — 44,966 — 44,966 
Change in securities loaned and sold under agreements to repurchase— (27,241)19,001 — (8,240)
Change in short-term borrowings— 1,102 (2,643)— (1,541)
Net change in short-term borrowings and other advances—intercompany501 (917)416 — — 
Capital contributions from (to) parent— 71 (71)— — 
Other financing activities(337)12 (12)— (337)
Net cash provided by (used in ) financing activities of continuing operations$(13,206)$2,312 $28,166 $— $17,272 
Effect of exchange rate changes on cash and due from banks$— $— $(1,198)$— $(1,198)
Change in cash and due from banks and deposits with banks$(999)$6,553 $(53,136)$— $(47,582)
Cash and due from banks and deposits with banks at
beginning of year		4,516 20,112 284,987 — 309,615 
Cash and due from banks and deposits with banks at end of year$3,517 $26,665 $231,851 $— $262,033 
Cash and due from banks (including segregated cash and other deposits)$17 $7,724 $19,774 $— $27,515 
Deposits with banks, net of allowance3,500 18,941 212,077 — 234,518 
Cash and due from banks and deposits with banks at end of year$3,517 $26,665 $231,851 $— $262,033 
Supplemental disclosure of cash flow information for continuing operations
Cash paid (received) during the year for income taxes$(2,406)$919 $5,515 $— $4,028 
Cash paid during the year for interest3,101 2,210 1,832 — 7,143 
Non-cash investing activities
Decrease in net loans associated with significant disposals reclassified to HFS$— $— $9,945 $— $9,945 
Transfers to loans HFS (Other assets) from loans
— — 7,414 — 7,414 
Non-cash financing activities
Decrease in long-term debt associated with significant disposals reclassified to HFS$— $— $479 $— $479 
Decrease in deposits associated with significant disposals reclassified to HFS— — 8,407 — 8,407 
311

 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, 2020
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$5,002 $(26,195)$572 $— $(20,621)
Cash flows from investing activities of continuing operations
Purchases of investments$— $— $(334,900)$— $(334,900)
Proceeds from sales of investments— — 146,285 — 146,285 
Proceeds from maturities of investments— — 124,229 — 124,229 
Change in loans— — 14,249 — 14,249 
Proceeds from sales and securitizations of loans— — 1,495 — 1,495 
Change in securities borrowed and purchased under agreements to resell— (46,044)2,654 — (43,390)
Changes in investments and advances—intercompany(5,584)(6,917)12,501 — — 
Other investing activities— (54)(3,226)— (3,280)
Net cash used in investing activities of continuing operations$(5,584)$(53,015)$(36,713)$— $(95,312)
Cash flows from financing activities of continuing operations
Dividends paid$(5,352)$(172)$172 $— $(5,352)
Issuance of preferred stock2,995 — — — 2,995 
Redemption of preferred stock(1,500)— — — (1,500)
Treasury stock acquired(2,925)— — — (2,925)
Proceeds from issuance of long-term debt, net16,798 6,349 (10,091)— 13,056 
Proceeds (repayments) from issuance of long-term debt—intercompany, net— 3,960 (3,960)— — 
Change in deposits— — 210,081 — 210,081 
Change in securities loaned and sold under agreements to repurchase— 79,322 (46,136)— 33,186 
Change in short-term borrowings— 1,228 (16,763)— (15,535)
Net change in short-term borrowings and other advances—intercompany(7,528)(7,806)15,334 — — 
Other financing activities(411)— — — (411)
Net cash provided by financing activities of continuing operations$2,077 $82,881 $148,637 $— $233,595 
Effect of exchange rate changes on cash and due from banks$— $— $(1,966)$— $(1,966)
Change in cash and due from banks and deposits with banks$1,495 $3,671 $110,530 $— $115,696 
Cash and due from banks and deposits with banks at
beginning of year		3,021 16,441 174,457 — 193,919 
Cash and due from banks and deposits with banks at end of year$4,516 $20,112 $284,987 $— $309,615 
Cash and due from banks (including segregated cash and other deposits)$16 $6,709 $19,624 $— $26,349 
Deposits with banks, net of allowance4,500 13,403 265,363 — 283,266 
Cash and due from banks and deposits with banks at end of year$4,516 $20,112 $284,987 $— $309,615 
Supplemental disclosure of cash flow information for continuing operations 
Cash paid (received) during the year for income taxes$(1,883)$1,138 $5,542 $— $4,797 
Cash paid during the year for interest2,681 4,516 4,897 — 12,094 
Non-cash investing activities
Transfers to loans HFS (Other assets) from loans
$— $— $2,614 $— $2,614 
312

 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, 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 year		3,020 15,677 169,408 — 188,105 
Cash and due from banks and deposits with banks at end of year$3,021 $16,441 $174,457 $— $193,919 
Cash and due from banks (including segregated cash and other deposits)$21 $5,681 $18,265 $— $23,967 
Deposits with banks, net of allowance3,000 10,760 156,192 — 169,952 
Cash and due from banks and deposits with banks at end of year$3,021 $16,441 $174,457 $— $193,919 
Supplemental disclosure of cash flow information for continuing operations 
Cash paid (received) during the year for income taxes$(393)$418 $4,863 $— $4,888 
Cash paid during the year for interest3,820 12,664 11,417 — 27,901 
Non-cash investing activities
Transfers to loans HFS (Other assets) from loans
$— $— $5,500 $— $5,500 
313
 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)



 20172016
In millions of dollars, except per share amounts
Fourth(1)
ThirdSecondFirstFourthThirdSecondFirst
Revenues, net of interest expense$17,255
$18,173
$17,901
$18,120
$17,012
$17,760
$17,548
$17,555
Operating expenses10,083
10,171
10,506
10,477
10,120
10,404
10,369
10,523
Provisions for credit losses and for benefits and claims2,073
1,999
1,717
1,662
1,792
1,736
1,409
2,045
Income from continuing operations before income taxes$5,099
$6,003
$5,678
$5,981
$5,100
$5,620
$5,770
$4,987
Income taxes23,864
1,866
1,795
1,863
1,509
1,733
1,723
1,479
Income (loss) from continuing operations$(18,765)$4,137
$3,883
$4,118
$3,591
$3,887
$4,047
$3,508
Income (loss) from discontinued operations, net of taxes(109)(5)21
(18)(3)(30)(23)(2)
Net income before attribution of noncontrolling interests$(18,874)$4,132
$3,904
$4,100
$3,588
$3,857
$4,024
$3,506
Noncontrolling interests19
(1)32
10
15
17
26
5
Citigroup’s net income (loss)$(18,893)$4,133
$3,872
$4,090
$3,573
$3,840
$3,998
$3,501
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
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
 20212020
In millions of dollars, except per share amountsFourthThirdSecondFirstFourthThirdSecondFirst
Revenues, net of interest expense(1)(2)
$17,017 $17,447 $17,753 $19,667 $16,832 $17,677 $20,036 $20,956 
Operating expenses(1)(3)
13,532 11,777 11,471 11,413 11,437 11,339 10,730 10,868 
Provisions (release) for credit losses and for benefits
and claims		(465)(192)(1,066)(2,055)(46)2,384 8,197 6,960 
Income from continuing operations before income taxes$3,950 $5,862 $7,348 $10,309 $5,441 $3,954 $1,109 $3,128 
Income taxes(4)
771 1,193 1,155 2,332 1,116 777 52 580 
Income from continuing operations$3,179 $4,669 $6,193 $7,977 $4,325 $3,177 $1,057 $2,548 
Income (loss) from discontinued operations, net of taxes— (1)10 (2)6 (7)(1)(18)
Net income before attribution of noncontrolling interests$3,179 $4,668 $6,203 $7,975 $4,331 $3,170 $1,056 $2,530 
Noncontrolling interests6 24 10 33 22 24 — (6)
Citigroup’s net income$3,173 $4,644 $6,193 $7,942 $4,309 $3,146 $1,056 $2,536 
Earnings per share(5)
    
Basic    
Income from continuing operations$1.47 $2.17 $2.86 $3.64 $1.93 $1.37 $0.38 $1.07 
Net income1.47 2.17 2.87 3.64 1.93 1.37 0.38 1.06 
Diluted
Income from continuing operations1.46 2.15 2.84 3.62 1.92 1.36 0.38 1.06 
Net income1.46 2.15 2.85 3.62 1.92 1.36 0.38 1.06 


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 2017 includes the impact of Tax Reform. See Notes 1 and 9 to the Consolidated Financial Statements.
(2)Due to averaging of shares, quarterly earnings per share may not sum to the totals reported for the full year.

(1)     During the fourth quarter of 2021, Citi reclassified deposit insurance expenses from Interest expense to Other operating expenses for all periods presented. Amounts reclassified for each quarter were $295 million for 4Q21, $293 million for 3Q21, $279 million for 2Q21, $340 million for 1Q21, $333 million for 4Q20, $375 million for 3Q20, $270 million for 2Q20 and $225 million for 1Q20. For additional information, see Note 1 to the Consolidated Financial Statements.

(2)    The third quarter of 2021 includes an approximate $700 million loss on sale (approximately $600 million after-tax) related to Citi’s agreement to sell its consumer banking business in Australia.
[(3)    The fourth quarter of 2021 includes an approximate $1.052 billion charge (approximately $792 million after-tax) in connection with the voluntary early retirement plan (VERP) related to the announced wind-down of Citi’s consumer banking business in Korea.
(4)    The second quarter of 2021 includes an approximate $450 million benefit in tax rate from a reduction in Citi’s valuation allowance related to its deferred tax assets (DTAs).
(5)    Certain securities were excluded from the second quarter of 2020 diluted EPS calculation because they were anti-dilutive. Year-to-date EPS will not equal the sum of the individual quarters because the year-to-date EPS calculation is a separate calculation, which uses an averaging of shares across each quarter. In addition, 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



314

FINANCIAL DATA SUPPLEMENT


RATIOS

202120202019
Return on average assets0.94 %0.50 %0.98 %
Return on average common stockholders’ equity(1)
11.5 5.7 10.3 
Return on average total stockholders’ equity(2)
10.9 5.7 9.9 
Total average equity to average assets(3)
8.6 8.7 9.9 
Dividend payout ratio(4)
20 43 24 

(1)    Based on Citigroup’s net income less preferred stock dividends as a percentage of average common stockholders’ equity.
(2)    Based on Citigroup’s net income as a percentage of average total Citigroup stockholders’ equity.
(3)    Based on average Citigroup stockholders’ equity as a percentage of average assets.
(4)    Dividends declared per common share as a percentage of net income per diluted share.

 201720162015
Citigroup’s net income to average assets(1)
0.84%0.82%0.95%
Return on average common stockholders’ equity(1)(2)
7.0
6.6
8.1
Return on average total stockholders’ equity(1)(3)
7.0
6.5
7.9
Total average equity to average assets(4)
12.1
12.6
11.9
Dividend payout ratio(1)(5)
18.0
8.9
3.0
(1)2017 excludes the impact of Tax Reform. See “Impact of Tax Reform” 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)

202120202019
In millions of dollars at year end, except ratiosAverage
interest rate		Average
balance		Average
interest rate		Average
balance		Average
interest rate		Average
balance
Banks0.16 %$42,222 0.10 %$130,970 0.59 %$52,699 
Other demand deposits0.15 412,815 0.33 311,342 1.08 293,209 
Other time and savings deposits(2)
0.55 200,194 0.94 210,896 1.28 223,450 
Total0.10 %$655,231 0.48 %$653,208 1.11 %$569,358 

(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.

UNINSURED DEPOSITS

The table below shows the estimated amount of uninsured time deposits by maturity profile:

In millions of dollars at December 31, 2021Under 3 months or lessOver 3 months but within 6
months		Over 6 months but within 12
months		Over 12
months		Total
In U.S. offices(1)
Time deposits in excess of FDIC insurance limits(2)
$5,779 $2,653 $1,861 $2,950 $13,243 
In offices outside the U.S.(1)
Time deposits in excess of foreign jurisdiction insurance limits(3)
57,248 6,471 4,080 1,095 68,894 
Total uninsured time deposits(4)
$63,027 $9,124 $5,941 $4,045 $82,137 

(1)    The classification between offices in the U.S. and outside the U.S. is based on the domicile of the booking unit, rather than the domicile of the depositor.
(2)    The standard insurance amount is $250,000 and $500,000 per depositor, per insured bank, for single and joint account ownership categories, respectively.
(3)    The standard insurance amount for time deposits outside the U.S. is based on the insurance limits approved by the regulator in the respective foreign jurisdiction. For certain depositors outside the U.S., Citi has not considered the account ownership category and other time deposit accounts that the depositors may own when allocating the insurance limits used to determine the uninsured time deposit balances. As a result, the uninsured time deposit balances disclosed above may differ from actual uninsured balances.
(4)    The maturity term is based on the remaining term of the time deposit rather than the original maturity date.

Total uninsured deposits as of December 31, 2021 were $1.082 trillion (see notes 1, 2 and 3 to the table above).

  2017 2016 2015
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
Other demand deposits0.52
293,389
0.49
278,745
0.44
249,498
Other time and savings deposits(2)
1.23
191,363
1.16
189,049
1.24
198,733
Total0.78%$520,815
0.73%$504,777
0.76%$494,895
(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.


315

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
Over $100,000    
Certificates of deposit$13,087
$2,956
$795
$1,471
Other time deposits4,221
603
15
280
Over $250,000    
Certificates of deposit$12,692
$2,633
$412
$951
Other time deposits4,219
603
15
9




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.Board (FRB). 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 BoardFRB and OCC and overseas subsidiary banks by the Federal Reserve Board.FRB. 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, see “Managing Global Risk—Capital Resources” and its subsidiaries, see
“—Liquidity Risk” and “Risk Factors” above.


Other Bank and Bank Holding Company Regulation
Citi, including its banking subsidiaries, is subject to regulatory limitations, including requirements for banksas to maintain reserves against deposits, requirements as toliquidity, 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 BoardFRB 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 and Prudential Regulation Authority (PRA), 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.exchanges and derivatives clearinghouses. In the U.S., CGMI is a member of the principal U.S. futures exchanges and clearinghouses, 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 (CGME) and CGML are also are registered as swap dealers with the CFTC.CFTC (for additional information, see below). 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.


Recent Rules Regarding Swap Dealers/Security-Based Swap
Dealers
On July 22, 2020, the CFTC adopted final rules establishing
capital and financial reporting requirements for swap dealers
that took effect in October 2021.
In addition, the SEC has adopted rules governing the
registration and regulation of security-based swap dealers. The
regulations include requirements related to (i) capital, margin
and segregation, (ii) record-keeping, reporting and notification
and (iii) risk management practices for uncleared security based swaps and the cross-border application of certain
security-based swap requirements. These requirements also
took effect in November 2021. Citibank, CGML and CGME registered with the SEC as securities-based swap dealers.

Transactions with Affiliates
Transactions between Citi’s U.S. subsidiary depository institutions and their non-bank affiliates are regulated by the Federal Reserve Board,FRB, 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.companies, as well as certain non-financial services firms. 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, maintenance of partner relationships, emerging technologies and technology advances, customer
316

service and convenience; the effectiveness of transaction execution, interest rates, lending limits and lending limits;risk appetite; regulatory constraints and regulatory constraints.compliance; and changes in the macroeconomic business environment or societal norms. Citi’s ability to compete effectively also depends upon its ability to attract new employeescolleagues and retain and motivate existing employees,colleagues, while managing compensation and other costs. For additional information on competitive factors and uncertainties impacting Citi’s businesses, see “Risk Factors—OperationalStrategic Risks” above.


PROPERTIES
Citi’s principal executive offices are currently in New York City at 388 Greenwich Street and are owned 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.

Citigroup’s principal executive offices in EMEA are at 25 and 33 Canada Square in London’s Canary Wharf, with both buildings subject to long-term leases.
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 as the headquarters 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 material to Citi’s operating results in a given period.
Citi has developed programs for its properties to achieve long-term energy efficiency objectives and reduce its greenhouse gas emissions to lessen its impact on climate change. These activities could help to mitigate, but will not eliminate, Citi’s potential risk from future climate change regulatory requirements.
For further information concerning leases, see Note 26 to the Consolidated Financial 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 certain individuals or entities that are the subject toof 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 discloseddid not identify any reportable activities for the first and third quarters of 2021. Citi identified and reported certain activities pursuant to Section 219 for the first, second and third quartersquarter of 2017.2021.
During the fourth quarter of 2017,2021, Citigroup reported one transaction pursuant to Section 219. In October 2021, Citigroup’s Russian subsidiary (Citi Russia), acting as the beneficiary bank, released a payment that had been initiated by a Russian entity from its account with MB Bank, Handlowy w Warszawie S.A., a Citibank subsidiary located in Poland, processed two funds transfers involvingan entity designated pursuant to Executive Order 13224, for the Iranian Embassy in Poland.benefit of Citi Russia’s customer. The total value of both funds transfersthe payment was EUR 60 each forRUB 16,533.12 (approximately USD 224.70), and the transaction was authorized pursuant to a totalspecific license issued by the Office of EUR 120 (approximately $70.48 per transfer for a total of $140.96).  These payments were for visa-related fees,Foreign Assets Control on October 1, 2021, 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) inexpired on December 31, 2021. Citi did not realize any fees for the processing a foreign currencyof the payment.

 




317


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 securityAs previously announced, Citigroup voluntarily suspended common share repurchases which consisted entirelyduring the fourth quarter of 2021, in anticipation of the adverse regulatory capital impact resulting from adoption of the Standardized Approach for Counterparty Credit Risk (SA-CCR) on January 1, 2022. For additional information on the adoption of SA-CCR, see “Capital Resources—Adoption of the Standardized Approach for Counterparty Credit Risk” above. Accordingly, Citi did not have any share repurchases in the fourth quarter of 2021, other than repurchases relating to issuances of common stock repurchases, duringrelated to employee stock ownership plans. During the three months ended December 31, 2017:

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
October 2017   
Open market repurchases(1)
24.0
$73.69
$8,342
Employee transactions(2)
—
—
N/A
November 2017   
Open market repurchases(1)
25.3
72.63
6,504
Employee transactions(2)
—
—
N/A
December 2017   
Open market repurchases(1)
24.9
75.50
4,625
Employee transactions(2)
—
—
N/A
Total for 4Q17 and remaining program balance as of December 31, 201774.2
$73.94
$4,625
(1)Represents repurchases under the $15.6 billion 2017 common stock repurchase program (2017 Repurchase Program) that was approved byquarter, pursuant to Citigroup’s Board of Directors and announced on June 28, 2017. The 2017 Repurchase Program was part of the planned capital actions included by Citi in its 2017 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 2017 Repurchase Program were added to treasury stock.
(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 programs where shares are withheld to satisfy tax requirements.
N/A Not applicable

Dividends
In addition to Board of Directors’ approval,authorization, Citi repurchased 1,855 shares (at an average price of $66.37) of common stock, added to treasury stock, related to activity on employee stock programs where shares were withheld to satisfy the employee tax requirements. Citi resumed common share repurchases in January 2022.
All large banks, including Citi, are subject to limitations on capital distributions in the event of a breach of any regulatory capital buffers, including the Stress Capital Buffer, with the degree of such restrictions based on the extent to which the buffers are breached. For additional information, see “Capital Resources—Regulatory Capital Buffers” and “Risk Factors—Strategic Risks” above.

Dividends
Citi paid common dividends of $0.51 per share for the fourth quarter of 2021 and the first quarter of 2022. As previously announced, Citi intends to maintain its planned capital actions, which include a quarterly common dividend of at least $0.51 per share, subject to financial and macroeconomic conditions as well as Board of Directors’ approval.
As discussed above, Citi’s ability to pay common stock dividends substantially dependsis subject to limitations on capital distributions in the event of a breach of any regulatory approval,capital buffers, including an annual regulatory reviewthe Stress Capital Buffer, with the degree of such restrictions based on the results ofextent to which the CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act.buffers are breached. For additional information, regarding Citi’s capital planning and stress testing, see “Capital Resources—Current Regulatory Capital Standards—Stress Testing Component of Capital Planning”Buffers” 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.

During 2021, Citi distributed $1,040 million in dividends on its outstanding preferred stock. On January 12, 2022, Citi declared preferred dividends of approximately $277 million for the first quarter of 2022.
As of February 25, 2022, Citi estimates it will distribute preferred dividends of approximately $238 million, $277 million and $238 million in the second, third and fourth quarters of 2022, respectively, subject to such dividends being declared by the Citi Board of Directors.
For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 18 to the Consolidated Financial Statements.





318

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, 2017.2021. The graph and table assume that $100 was invested on December 31, 20122016 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
c-20211231_g17.jpg

DATECitigroupS&P 500 IndexS&P Financials Index
31-Dec-2016100.0 100.0 100.0 
31-Dec-2017127.0 121.8 122.2 
31-Dec-201890.9 116.5 106.3 
31-Dec-2019143.3 153.2 140.4 
31-Dec-2020115.2 181.4 138.0 
31-Dec-2021116.3 233.4 186.4 

Note: Citi’s common stock is listed on the NYSE under the ticker symbol “C” and held by 61,355 common stockholders of record as of January 31, 2022.

DATECITIS&P 500S&P FINANCIALS
31-Dec-2012100.0
100.0
100.0
31-Dec-2013131.8
132.4
135.6
31-Dec-2014137.0
150.5
156.2
31-Dec-2015131.4
152.6
153.9
31-Dec-2016152.3
170.8
188.9
31-Dec-2017

193.5
208.1
230.9




319


CORPORATE INFORMATION


CITIGROUP EXECUTIVE OFFICERS
Citigroup’s executive officers as of February 23, 201825, 2022 are:

NameAgePosition and office held
Raja J. AkramPeter Babej4558Controller and Chief Accounting Officer
Francisco Aristeguieta52CEO, Asia Pacific
Stephen BirdJane Fraser5154CEO, Global Consumer Banking
Don Callahan61Head of Operations and Technology
Michael L. Corbat57Chief Executive Officer, Citigroup Inc.
James C. CowlesSunil Garg6256Chief Executive Officer, Citibank, N.A.
David Livingstone58CEO, Europe, Middle East and Africa
Barbara DesoerMark A. L. Mason6552CEO, Citibank, N.A.
James A. Forese55
President;
CEO, Institutional Clients Group
Jane Fraser50CEO, Latin America
John C. Gerspach64Chief Financial Officer
Bradford HuBrent McIntosh5448Chief Risk Officer
William J. Mills62CEO, North America
J. Michael Murray53Head of Human Resources
Rohan Weerasinghe67General Counsel and Corporate Secretary
Mary McNiff51Chief Compliance Officer
Johnbull Okpara50Controller and Chief Accounting Officer
Karen Peetz66Chief Administrative Officer
Anand Selvakesari        54CEO, Personal Banking and Wealth Management
Edward Skyler48Head of Global Public Affairs
Ernesto Torres Cantú57CEO, Latin America
Zdenek Turek57Chief Risk Officer
Sara Wechter41Head of Human Resources
Mike Whitaker58Head of Enterprise Operations and Technology
Paco Ybarra60CEO, Institutional Clients Group


EachThe following executive officers have not held their current executive officer has held executive or management positions with Citigroup for at least five years, except that:years:


•Mr. AkramBabej 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. Fraser joined Citi in 2004 and assumed her current position on February 26, 2021. Previously, she served as CEO of GCB from October 2019 to December 2020. Before that, she served as CEO of Citi Latin America from June 2015 to October 2019. She held a number 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 Strategy and M&A;
•Mr. Garg joined Citi in May 1988 and assumed his current position in February 2021. Previously, he was global CEO of the Commercial Bank beginning in 2011. Prior to that, Mr. Garg led the U.S. Commercial Banking business from 2008 until 2011. In addition, he held various other roles at Citi in Operations and Technology, Treasury and Trade Solutions, Corporate and Investment Banking and Commercial Banking.
•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;
•Mr. McIntosh joined Citi in his current position in October 2021. Previously, he served as Under Secretary for International Affairs at the U.S. Treasury from 2019 to 2021. From 2017 to 2019, Mr. McIntosh served as U.S. Treasury’s General Counsel. Prior to that, he was a partner in the law firm of Sullivan & Cromwell and served in the U.S. White House from 2006 until 2009;
•Ms. McNiff joined Citi in 2012 and assumed her current position in June 2020. Previously, she served as CEO of Citibank, N.A. from April 2019 to June 2020 and Chief Auditor of Citi from February 2017 to April 2019. Prior to taking on that role, Ms. McNiff served as Chief Administrative Officer of Latin America & Mexico and interim Chief Auditor. She also led the Global Transformation initiative within Internal Audit;
•Mr. Okpara joined Citi in his current position in November 2020. Previously he served as Managing Director, Global Head of Financial Planning and Analysis and CFO, Infrastructure Groups at Morgan Stanley since 2016. Prior to that, Mr. Okpara was Managing Vice President, Finance and Deputy Controller at Capital One Financial Corporation;
•Ms. Peetz joined Citi in her current position in June 2020. Previously, she served on the Board of Directors of Wells Fargo from 2017 to 2019. Ms. Peetz spent nearly 20 years at BNY Mellon, where she managed several business units and ultimately served as President for five years until her departure in 2016. Prior to that, she worked at JPMorgan Chase, where she held a variety of management positions during her tenure;
•Mr. Selvakesari joined Citi in 1991 and assumed his current position in January 2021. Previously, he served as Head of the U.S. Consumer Bank since October 2018 and held various other roles at Citi prior to that, including Head of Consumer Banking for Asia Pacific from 2015 to 2018, as well as a number of regional and country roles, including Head of Consumer Banking for ASEAN and India, leading the consumer banking businesses in Singapore, Malaysia, Indonesia, the Philippines, Thailand and Vietnam, as well as India;
•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
320

previously held roles in Citibanamex, including Regional Director and Divisional Director;
•Mr. Turek joined Citi in 1991 and assumed his current position in December 2020. Previously, he served as CRO for EMEA since February 2020 and held various other roles at Citi, including CEO of Citibank Europe as well as leading significant franchises across Citi, including in Russia, South Africa and Hungary;
•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 Citigroup’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 2017.2018. Previously, he had served as Deputy ControllerHead of Operations & Technology for ICG since April 2017. HeSeptember 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 in Citi Finance,across ICG, including Lead Finance Officer for TreasuryDeputy Head of ICG, Global Head of Markets and Trade Solutions, Brazil Country Controller, Brazil Country Finance Officer and headCo-Head of the Corporate Accounting Policy team supporting M&A activities.Global Fixed Income.
Ms. Desoer joined Citibank, N.A. as Chief Operating Officer in October 2013 and assumed her current position in April 2014. Prior to joining Citi, Ms. Desoer had a 35-year career at Bank of America, where she was President, Bank of America Home Loans, a Global Technology & Operations Executive, and President, Consumer Products, among other roles.


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, capital planning, tax, productivity and 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.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, Conduct 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.Citigroup’s Board of Directors. 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
Chair
Citibank, N.A.
John C. Dugan
Former ChairmanChair
Financial Institutions GroupCitigroup Inc.
Covington & Burling LLP



Jane Fraser
Chief Executive Officer
Citigroup Inc.

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
Founder, Chairman and CEO
Ampere Computing and Operating Executive
The Carlyle Group


Eugene M. McQuade
Former Vice Chairman
Citigroup Inc. and
Former Chief Executive Officer Citibank, N.A.

Michael E. O’Neill
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.


Ernesto Zedillo Ponce de Leon
Director, Center for the
Study of Globalization and
Professor in the Field
of International
Economics and Politics
Yale University




321

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 23rd25th day of February, 2018.2022.


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 23rd25th day of February, 2018.2022.


Citigroup’s Principal Executive Officer and a Director:


/s/ Michael L. CorbatJane Fraser


Michael L. CorbatJane Fraser





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. AkramJohnbull E. Okpara


Raja J. AkramJohnbull E. Okpara


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. CostelloMichael E. O’NeillLew W. (Jay) Jacobs, IV
Grace E. DaileyRenée J. James
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 IrelandErnesto Zedillo Ponce de Leon
Eugene M. McQuade




/s/ John C. GerspachMark A. L. Mason


John C. GerspachMark A. L. Mason




322

GLOSSARY OF TERMS AND ACRONYMS

The following is a list of terms and acronyms that are used in this Annual Report on Form 10-K and other Citigroup presentations.

* Denotes a Citi metric


2021 Annual Report on Form 10-K: Annual report on Form 10-K for year ended December 31, 2021, filed with the SEC.
90+ days past due delinquency rate*: Represents consumer loans that are past due by 90 or more days, divided by that period’s total EOP loans.
ABS: Asset-backed securities
ACL: Allowance for credit losses
ACLL: Allowance for credit losses on loans
ACLUC: Allowance for credit losses on unfunded lending commitments
AFS: Available-for-sale
ALCO: Asset Liability Committee
Amortized cost: Amount at which a financing receivable or investment is originated or acquired, adjusted for accretion or amortization of premium, discount, and net deferred fees or costs, collection of cash, charge-offs, foreign exchange, and fair value hedge accounting adjustments. For AFS securities, amortized cost is also reduced by any impairment losses recognized in earnings. Amortized cost is not reduced by the allowance for credit losses, except where explicitly presented net.
AOCI: Accumulated other comprehensive income (loss)
ARM: Adjustable rate mortgage(s)
ASC: Accounting Standards Codification under GAAP issued by the FASB.
ASU: Accounting Standards Update under GAAP issued by the FASB.
AUC: Assets under custody
AUM: Assets under management. Represent assets managed on behalf of Citi’s clients.
Available liquidity resources*: Resources available at the balance sheet date to support Citi’s client and business needs, including HQLA assets; additional unencumbered securities, including excess liquidity held at bank entities that is non-transferable to other entities within Citigroup; and available assets not already accounted for within Citi’s HQLA to support Federal Home Loan Bank (FHLB) and Federal Reserve Bank discount window borrowing capacity.
Basel III: Liquidity and capital rules adopted by the FRB based on an internationally agreed set of measures developed by the Basel Committee on Banking Supervision.
Beneficial interests issued by consolidated VIEs: Represents the interest of third-party holders of debt, equity securities or other obligations, issued by VIEs that Citi consolidates.
Benefit obligation: Refers to the projected benefit obligation for pension plans and the accumulated postretirement benefit obligation for OPEB plans.
BHC: Bank holding company
Book value per share*: EOP common equity divided by EOP common shares outstanding.
Bps: Basis points. One basis point equals 1/100th of one percent.
Branded cards: Citi’s branded-cards business with a portfolio of proprietary cards (Double Cash, Custom Cash, ThankYou and Value cards) and co-branded cards (including, among others, American Airlines and Costco).
Build: A net increase in ACL through the provision for credit losses.
Cards: Citi’s credit cards’ businesses or activities.
CCAR: Comprehensive Capital Analysis and Review
CCO: Chief Compliance Officer
CDS: Credit default swaps
CECL: Current Expected Credit Losses
CEO: Chief Executive Officer
CET1 Capital: Common Equity Tier 1 Capital. See “Capital Resources—Components of Citigroup Capital” above for the components of CET1.
CET1 Capital Ratio*: Common Equity Tier 1 Capital ratio. A primary regulatory capital ratio representing end-of-period CET1 Capital divided by total risk-weighted assets.
CFO: Chief Financial Officer
CFTC: Commodity Futures Trading Commission
CGMHI: Citigroup Global Markets Holdings Inc.
Citi: Citigroup Inc.
Citibank or CBNA: Citibank, N.A. (National Association)
Client assets: Represent assets under management as well as custody, brokerage, administration and deposit accounts.
CLO: Collateralized loan obligations
Collateral-dependent: A loan is considered collateral dependent when repayment of the loan is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial difficulty, including when foreclosure is deemed probable based on borrower delinquency.
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Commercial Cards: Provides a wide range of payment services to corporate and public sector clients worldwide through commercial card products. Services include procurement, corporate travel and entertainment, expense management services, and business-to-business payment solutions.
Consent orders: In October 2020, Citigroup and Citibank entered into consent orders with the Federal Reserve and OCC that require Citigroup and Citibank to make improvements in various aspects of enterprise-wide risk management, compliance, data quality management and governance and internal controls.
CRE: Commercial real estate
Credit card spend volume*: Dollar amount of card customers’ purchases, net of returns. Also known as purchase sales.
Credit cycle: A period of time over which credit quality improves, deteriorates and then improves again (or vice versa). The duration of a credit cycle can vary from a couple of years to several years.
Credit derivatives: Financial instruments whose value is derived from the credit risk associated with the debt of a third-party issuer (the reference entity), which allow one party (the protection purchaser) to transfer that risk to another party (the protection seller). Upon the occurrence of a credit event by the reference entity, which may include, among other events, the bankruptcy or failure to pay its obligations, or certain restructurings of the debt of the reference entity, neither party has recourse to the reference entity. The protection purchaser has recourse to the protection seller for the difference between the face value of the CDS contract and the fair value at the time of settling the credit derivative contract. The determination as to whether a credit event has occurred is generally made by the relevant International Swaps and Derivatives Association (ISDA) Determinations Committee.
Critical Audit Matters: Audit matters communicated by KPMG to Citi’s Audit Committee of the Board of Directors, relating to accounts or disclosures that are material to the consolidated financial statements and involved especially challenging, subjective or complex judgments. See “Report of Independent Registered Public Accounting Firm” above.
Criticized: Criticized loans, lending-related commitments and derivative receivables that are classified as special mention, substandard and doubtful categories for regulatory purposes.
CRO: Chief Risk Officer
CVA: Credit valuation adjustment
Dividend payout ratio*: Represents dividends declared per common share as a percentage of net income per diluted share.
Dodd-Frank Act: Wall Street Reform and Consumer Protection Act
DPD: Days past due
DVA: Debit valuation adjustment
EC: European Commission
Efficiency ratio*: A ratio signifying how much of a dollar in expenses (as a percentage) it takes to generate one dollar in revenue. Represents total operating expenses divided by total revenues, net.
EMEA: Europe, Middle East and Africa
EOP: End-of-period
EPS*: Earnings per share
ERISA: Employee Retirement Income Security Act of 1974
ETR: Effective tax rate
EU: European Union
Fannie Mae: Federal National Mortgage Association
FASB: Financial Accounting Standards Board
FDIC: Federal Deposit Insurance Corporation
Federal Reserve: The Board of the Governors of the Federal Reserve System
FFIEC: Federal Financial Institutions Examination Council
FHA: Federal Housing Administration
FHLB: Federal Home Loan Bank
FICO: Fair Issac Corporation
FICO score: A measure of consumer credit risk provided by credit bureaus, typically produced from statistical models by Fair Isaac Corporation utilizing data collected by the credit bureaus.
FINRA: Financial Industry Regulatory Authority
Firm: Citigroup Inc.
FRBNY: Federal Reserve Bank of New York
Freddie Mac: Federal Home Loan Mortgage Corporation
Free standing derivatives: A derivative contract entered into either separate and apart from any of the Company’s other financial instruments or equity transactions, or in conjunction with some other transaction and legally detachable and separately exercisable.
FTCs: Foreign tax credit carry-forwards
FTE: Full time employee
FVA: Funding valuation adjustment
FX: Foreign exchange
FX translation: The impact of converting non-U.S.-dollar currencies into U.S. dollars.
G7: Group of Seven nations. Countries in the G7 are Canada, France, Germany, Italy, Japan, the U.K. and the U.S.
GAAP or U.S. GAAP: Generally accepted accounting principles in the United States of America.
GCB: Global Consumer Banking
Ginnie Mae: Government National Mortgage Association
GSIB: Global systemically important banks
HELOC: Home equity line of credit
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HFI loans: Loans that are held-for-investment (i.e., excludes loans held-for-sale).
HFS: Held-for-sale
HQLA: High-quality liquid assets. Consist of cash and certain high-quality liquid securities as defined in the LCR rule.
HTM: Held-to-maturity
IBOR: Interbank Offered Rate
ICG: Institutional Clients Group
ICRM: Independent Compliance Risk Management
IPO: Initial public offering
ISDA: International Swaps and Derivatives Association
KM: Key financial and non-financial metric used by management when evaluating consolidated and/or individual business results.
KPMG LLP: Citi’s Independent Registered Public Accounting Firm.
LATAM: Latin America, which for Citi, includes Mexico.
LCR: Liquidity coverage ratio. Represents HQLA divided by net outflows in the period.
LDA: Loss Distribution Approach
LGD: Loss given default
LIBOR: London Interbank Offered Rate
LLC: Limited Liability Company
LTD: Long-term debt
LTV: Loan-to-value. For residential real estate loans, the relationship, expressed as a percentage, between the principal amount of a loan and the appraised value of the collateral (i.e., residential real estate) securing the loan.
Master netting agreement: A single agreement with a counterparty that permits multiple transactions governed by that agreement to be terminated or accelerated and settled through a single payment in a single currency in the event of a default (e.g., bankruptcy, failure to make a required payment or securities transfer or deliver collateral or margin when due).
MBS: Mortgage-backed securities
MCA: Manager’s control assessment
MD&A: Management’s discussion and analysis
Measurement alternative: Measures equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer.
Moody’s: Moody’s Investor Services
MSRs: Mortgage servicing rights
N/A: Data is not applicable or available for the period presented.
NAA: Non-accrual assets. Consists of non-accrual loans and OREO.
NAL: Non-accrual loans. Loans for which interest income is not recognized on an accrual basis. Loans (other than credit card loans and certain consumer loans insured by U.S. government sponsored agencies) are placed on non-accrual status when full payment of principal and interest is not expected, regardless of delinquency status, or when principal and interest have been in default for a period of 90 days or more unless the loan is both well-secured and in the process of collection. Collateral-dependent loans are typically maintained on non-accrual status.
NAV: Net asset value
NCL(s): Net credit losses. Represents gross credit losses, less gross credit recoveries.
NCL ratio*: Represents net credit losses (recoveries) (annualized), divided by average loans for the reporting period.
Net Capital Rule: Rule 15c3-1 under the Securities Exchange Act of 1934.
Net interchange income: Includes the following components:
•    Interchange revenue: Fees earned from merchants based on Citi’s credit and debit card customers’ sales transactions.
•    Reward costs: The cost to Citi for points earned by cardholders enrolled in credit card rewards programs generally tied to sales transactions.
•    Partner payments: Payments to co-brand credit card partners based on the cost of loyalty program rewards earned by cardholders on credit card transactions.
NII: Net interest income. Represents total interest revenue, less total interest expenses.
NIM*: Net interest margin expressed as a yield percentage, calculated as annualized net interest income divided by average interest-earning assets for the period.
NIR: Non-interest revenues
NM: Not meaningful
Noncontrolling interests: The portion of an investment that has been consolidated by Citi that is not 100% owned by Citi.
Non-GAAP financial measure: Management uses these financial measures because it believes they provide information to enable investors to understand the underlying operational performance and trends of Citi and its businesses.
NSFR: Net Stable Funding Ratio
O/S: Outstanding
OCC: Office of the Comptroller of the Currency
OCI: Other comprehensive income (loss)
OREO: Other real estate owned
OTTI: Other-than-temporary impairment
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Over-the-counter cleared (OTC-cleared) derivatives: Derivative contracts that are negotiated and executed bilaterally, but subsequently settled via a central clearing house, such that each derivative counterparty is only exposed to the default of that clearing house.
Over-the-counter (OTC) derivatives: Derivative contracts that are negotiated, executed and settled bilaterally between two derivative counterparties, where one or both counterparties is a derivatives dealer.
Parent Company: Citigroup Inc.
Participating securities: Represents unvested share-based compensation awards containing nonforfeitable rights to dividends or dividend equivalents (collectively, “dividends”), which are included in the earnings per share calculation using the two-class method. Citi grants RSUs to certain employees under its share-based compensation programs, which entitle the recipients to receive non-forfeitable dividends during the vesting period on a basis equivalent to the dividends paid to holders of common stock. These unvested awards meet the definition of participating securities. Under the two-class method, all earnings (distributed and undistributed) are allocated to each class of common stock and participating securities, based on their respective rights to receive dividends.
PCD: Purchased credit-deteriorated assets are financial assets that as of the date of acquisition have experienced a more-than-insignificant deterioration in credit quality since origination, as determined by the Company.
PCI: Purchased credit-impaired loans represented certain loans that were acquired and deemed to be credit impaired on the acquisition date. The now superseded FASB guidance that allowed purchasers to aggregate credit-impaired loans acquired in the same fiscal quarter into one or more pools, provided that the loans had common risk characteristics (e.g., product type, LTV ratios).
PD: Probability of default
Principal transactions revenue: Primarily trading-related revenues predominantly generated by the ICG businesses. See Note 6 to the Consolidated Financial Statements.
Provisions: Provisions for credit losses and for benefits and claims.
PSUs: Performance share units
Real GDP: Real gross domestic product is the inflation-adjusted value of the goods and services produced by labor and property located in a country.
Regulatory VAR: Daily aggregated VAR calculated in accordance with regulatory rules.
REITs: Real estate investment trusts
Release: A net decrease in ACL through the provision for credit losses.
Reported basis: Financial statements prepared under U.S. GAAP.
Results of operations that exclude certain impacts from gains or losses on sale, or one-time charges*: Represents GAAP items, excluding the impact of gains or losses on sales, or one-time charges (e.g., the loss on sale related to the sale of Citi’s consumer banking business in Australia).
Results of operations that exclude the impact of FX translation*: Represents GAAP items, excluding the impact of FX translation, whereby the prior periods’ foreign currency balances are translated into U.S. dollars at the current periods’ conversion rates (also known as Constant dollar).
Retail services: Citi’s U.S. retail services cards business with a portfolio of co-brand and private label relationships (including, among others, The Home Depot, Sears, Best Buy and Macy’s).
ROA*: Return on assets. Represents net income (annualized), divided by average assets for the period.
ROCE*: Return on Common Equity. Represents net income less preferred dividends (both annualized), divided by average common equity for the period.
ROE: Return on equity. Represents net income less preferred dividends (both annualized), divided by average Citigroup equity for the period.
RoTCE*: Return on tangible common equity. Represents net income less preferred dividends (both annualized), divided by average tangible common equity for the period.
RSU(s): Restricted stock units
RWA: Risk-weighted assets. Basel III establishes two comprehensive approaches for calculating RWA (a Standardized approach and an Advanced approach), which include capital requirements for credit risk, market risk, and in the case of Basel III Advanced, also operational risk. Key differences in the calculation of credit risk RWA between the Standardized and Advanced approaches are that for Basel III Advanced, credit risk RWA is based on risk-sensitive approaches which largely rely on the use of internal credit models and parameters, whereas for Basel III Standardized, credit risk RWA is generally based on supervisory risk-weightings, which vary primarily by counterparty type and asset class. Market risk RWA is calculated on a generally consistent basis between Basel III Standardized and Basel III Advanced Approaches.
S&P: Standard and Poor’s Global Ratings
SCB: Stress Capital Buffer
SEC: The U.S. Securities and Exchange Commission
Securities financing agreements: Include resale, repurchase, securities borrowed and securities loaned agreements.
SLR: Supplementary leverage ratio. Represents Tier 1 Capital, divided by total leverage exposure.
SOFR: Secured Overnight Financing Rate
SPEs: Special purpose entities
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Structured notes: Financial instruments whose cash flows are linked to the movement in one or more indexes, interest rates, foreign exchange rates, commodities prices, prepayment rates, or other market variables. The notes typically contain embedded (but not separable or detachable) derivatives. Contractual cash flows for principal, interest or both can vary in amount and timing throughout the life of the note based on non-traditional indexes or non-traditional uses of traditional interest rates or indexes.
Tangible book value per share (TBVPS)*: Represents tangible common equity divided by EOP common shares outstanding.
Tangible common equity (TCE): Represents common stockholders’ equity less goodwill and identifiable intangible assets, other than MSRs.
Taxable-equivalent basis: Represents the total revenue, net of interest expense for the business, adjusted for revenue from investments that receive tax credits and the impact of tax-exempt securities. This metric presents results on a level comparable to taxable investments and securities.
Tax Reform: Tax Cuts and Jobs Act of 2017
TDR: Troubled debt restructuring. TDR is deemed to occur when the Company modifies the original terms of a loan agreement by granting a concession to a borrower that is experiencing financial difficulty. Loans with short-term and other insignificant modifications that are not considered concessions are not TDRs.
TLAC: Total loss-absorbing capacity
Total payout ratio*: Represents total common dividends declared plus common share repurchases as a percentage of net income available to common shareholders.
Transformation: Citi has embarked on a multiyear transformation, with the target outcome to change Citi’s business and operating models such that they simultaneously strengthen risk and controls and improve Citi’s value to customers, clients and shareholders.
U.K.: United Kingdom
Unaudited: Financial statements and information that have not been subjected to auditing procedures sufficient to permit an independent certified public accountant to express an opinion.
USD: U.S. dollar
U.S.: United States of America
U.S. government agencies: U.S. government agencies include, but are not limited to, agencies such as Ginnie Mae and FHA, and do not include Fannie Mae and Freddie Mac, which are U.S. government-sponsored enterprises (U.S. GSEs). In general, obligations of U.S. government agencies are fully and explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government in the event of a default.
U.S. Treasury: U.S. Department of the Treasury
VAR: Value at risk. A measure of the dollar amount of potential loss from adverse market moves in an ordinary market environment.
VIEs: Variable interest entities
Wallet: Proportion of fee revenue based on estimates of investment banking fees generated across the industry (i.e., the revenue wallet) from investment banking transactions in M&A, equity and debt underwriting, and loan syndications.
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EXHIBIT INDEX
 
Exhibit
NumberDescription of Exhibit
4.09
328

4.11Indenture, 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 December 8, 1992 (No.(File No. 03355542).
4.104.12First 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 December 8, 1992 (No.(File No. 03355542).

4.114.13Second 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 December 8, 1992 (No.(File No. 03355542).
4.124.14Third 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.(File No. 001-09924).
329

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 July 2, 2004 (File No. 333-117615).

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 April 26, 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*
Form of Citigroup Executive Premium Price Option Agreement, incorporated by reference to Exhibit 99.2 to the Company’s Current Report on Form 8-K filed January 21, 2009 (File No. 001-09924).
10.06*
The Amended and Restated 2011 Citigroup Executive Performance Plan (as amended and restated January 1, 2016, and as further amended(for awards granted 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, 201614, 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, 20162019 (File No. 001-09924).

330

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 February 15, 1996 (File No. 333-00983).

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, adopted November 19, 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”), incorporated by reference to Exhibit 10.21.2 to the Company’s 1999 10-K.
10.10.3*
Amendment to 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 amended 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*
Amendment No. 4 to the 2009 Amended Citibank Supplemental ERISA Plan, approved December 21, 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*
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).
10.14*
Expatriate Localization 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).
12.01+
Calculation of Ratio of Income to Fixed Charges.
12.02+
Calculation of Ratio of Income to Fixed Charges Including Preferred Stock Dividends.
21.01+
Subsidiaries of the Company.


331

104The cover page of this Annual 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 20172021 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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