UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended JuneSeptember 30, 2016
Commission file number 1-9924
Citigroup Inc.
(Exact name of registrant as specified in its charter)
Delaware
(State or other jurisdiction of incorporation or organization)
 
52-1568099
(I.R.S. Employer Identification No.)
388 Greenwich Street, New York, NY
(Address of principal executive offices)
 
10013
(Zip code)
(212) 559-1000
(Registrant's telephone number, including area code)


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 whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of "large accelerated filer," "accelerated filer" and "smaller reporting company" in Rule 12b-2 of the Exchange Act.
Large accelerated filer x
 
Accelerated filer o
 
Non-accelerated filer o
 (Do not check if a smaller reporting company)
 
Smaller reporting company o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o    No x
Number of shares of Citigroup Inc. common stock outstanding on JuneSeptember 30, 2016: 2,905,374,0382,849,730,248

Available on the web at www.citigroup.com
 


CITIGROUP’S SECONDTHIRD QUARTER 2016—FORM 10-Q
OVERVIEW
2
MANAGEMENT'S DISCUSSION AND
  ANALYSIS OF FINANCIAL CONDITION AND
  RESULTS OF OPERATIONS
4
Executive Summary
4
Summary of Selected Financial Data
97
SEGMENT AND BUSINESS—INCOME (LOSS)
  AND REVENUES
119
SEGMENT BALANCE SHEET
1311
CITICORP
1412
Global Consumer Banking (GCB)
1513
North America GCB
1715
Latin America GCB
1917
Asia GCB
2119
Institutional Clients Group
2321
Corporate/Other
2825
CITI HOLDINGS
2926
OFF-BALANCE SHEET
  ARRANGEMENTS
3128
CAPITAL RESOURCES
3229
Managing Global Risk Table of Contents
5047
MANAGING GLOBAL RISK
5148
INCOME TAXES
9289
DISCLOSURE CONTROLS AND
  PROCEDURES
9390
DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT
9390
FORWARD-LOOKING STATEMENTS
9491
  
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
9694
CONSOLIDATED FINANCIAL STATEMENTS
9895
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS (UNAUDITED)
107103
UNREGISTERED SALES OF EQUITY SECURITIES, PURCHASES OF EQUITY SECURITIES, DIVIDENDS
241209



OVERVIEW

This Quarterly Report on Form 10-Q should be read in conjunction with Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2015, including the historical audited consolidated financial statements of Citigroup reflecting certain realignments and reclassifications set forth in Citigroup’s Current Report on Form 8-K filed with the SEC on June 17, 2016 (2015 Annual Report on Form 10-K), and Citigroup’s Quarterly ReportReports on Form 10-Q for the quarterquarters ended March 31, 2016 (First Quarter of 2016 Form 10-Q) and June 30, 2016 (Second Quarter of 2016 Form 10-Q). Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s recent annual reports on Form 10-K, quarterly reports on Form 10-Q, proxy statements, as well as other filings with the SEC, are available free of charge through Citi’s website by clicking on the “Investors” page and selecting “All SEC Filings.” The SEC’s website also contains current reports, information statements, and other information regarding Citi at www.sec.gov.
Certain reclassifications have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. For additional information on certain recent reclassifications, see Note 3 to the Consolidated Financial Statements.Statements in Citi’s 2015 Annual Report on Form 10-K.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.




Citigroup is managed pursuant to the following segments:
citisegments3q2016.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
citigroupregionsa06.jpg
(1)
For reporting purposes, Asia GCB includes the results of operations of EMEA GCB activities in certain EMEA countries for all periods presented.
(2)
North America includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and Asia includes Japan.


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

EXECUTIVE SUMMARY

SecondThird Quarter of 2016—Solid Performance in Continued Challenging EnvironmentAcross the Franchise
As described further throughout this Executive Summary, Citi reported solid operating results in the secondthird quarter of 2016, despite a continued challenging environment characterized by market volatility, macroeconomic uncertainties and a low interest rate environment. The referendum inreflecting underlying momentum across the United Kingdom on June 23, 2016 further added to the uncertainty during the quarter, although capital markets activity increased in the days preceding and following the referendum vote, contributing to year-over-year revenue growth in Citi’s market sensitive businesses, primarily its markets businesses in the Institutional Clients Group (ICG).
As described further throughout this Executive Summary, despite the market environment, Citi showed continued progressfranchise, notably in several areas. businesses where Citi has been making investments.
In North America Global Consumer Banking (GCB),Citi’s ongoing investments in Citi-branded cards drovegenerated revenue growth, primarily reflecting the first full quarter of revenues from the acquisition of the Costco portfolio but also modest growth in average loans and purchase sales. North America GCB also completedsales in the acquisitionremainder of the Costco portfolio and renewed and extended several of its partnership programs, including with American Airlines and The Home Depot.portfolio. International GCB generated positive operating leverage highlighteddriven by solid year-over-year growth in Mexico. InMexico and ICGAsia, Citi continued to win new mandates and support clients around the world, generating year-over-year growth in treasury and trade solutions and fixed income markets, particularly in rates and currencies.
In Citicorp, loans and deposits both increased 4%. Excluding (excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation) and the impact of a previously disclosed $160 million gain (excluding FX translation, $180 million as reported) related to the sale of Citi’s merchant acquiring business in Mexico in the third quarter of 2015). In Institutional Clients Group (ICG), Citi continued to support its clients around the world, generating year-over-year revenue growth in treasury and trade solutions, despite the continued low-interest rate environment, investment banking and fixed income markets, particularly in rates and currencies and spread products.
In Citicorp, loans increased 6% and deposits both increased 6%5%. Excluding FX translation, Citicorp loans increased 7% and deposits increased 5%. (Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures.) Citi HoldingsHoldings’ impact on Citi’s results of operations and financial condition decreased further with Citi Holdings constituting onlyless than 2% of Citigroup’s net income in the current quarter and 4%3% of Citigroup’s GAAP assets as of the end of the secondthird quarter of 2016. During the quarter, Citi utilized approximately $900 million inWhile Citi’s deferred tax assets (DTAs) were unchanged during the current quarter (for additional information, see “Income Taxes” below), year-to-date, Citi has utilized approximately $2.4 billion of its DTAs which contributed to a net increase of $1.5$3.2 billion of regulatory capital as fewer DTAs were deducted from regulatory capital.
In the third quarter of 2016, Citi began implementing its $10.4 billion capital plan (see “Executive Summary” in Citi’s Second Quarter of 2016 Form 10-Q) and returned $3.0 billion of capital to common shareholders in the form of dividends and the repurchase of 56 million common shares. Outstanding common shares declined 2% from the prior-quarter and 4% from the prior-year period. Despite the increased return of capital to its shareholders, each of Citigroup’s key regulatory capital metrics further increased. For additional information on Citi’s DTAs, see “Income Taxes” below.
Citi was also pleased to learn that the Federal Reserve Board did not object to the capital plan Citi submittedremained strong as part of the 2016 Comprehensive Capital Analysis and Review (CCAR). As a result, and as previously disclosed, Citi intends to return approximately $10.4 billionend of capital to its shareholders over the next four quarters beginning with the third quarter of 2016 (for additional information, see “Equity Security Repurchases” and “Dividends”(see “Capital” below). This result, combined with
During the feedbackremainder of 2016, Citi received duringexpects that many of the quarteruncertainties that neither the Federal Reserve Board nor the FDIC found any deficiencies in Citi’s 2015 resolution plan, further demonstrates the progress Citi has made.
As noted above, however, while market activity increased following the referendum in the United Kingdom, Citi expects
have impacted the operating environment toand macroeconomic conditions year-to-date will continue, to be challenging, as many risks and uncertainties remain, including significant uncertainties arising from the vote in
favor of the United Kingdom’s withdrawal from the European Union.Union as well as the outlook for future rate increases in the U.S. For a more detailed discussion of these risks and uncertainties, see each respective business’ results of operations “Managing Global Risk” (including “Country Risk”) and “Forward-Looking Statements” below as well as the “Risk Factors” section in Citi’s 2015 Annual Report on Form 10-K.

SecondThird Quarter of 2016 Summary Results

Citigroup
Citigroup reported net income of $4.0$3.8 billion, or $1.24 per share, compared to $4.8$4.3 billion, or $1.51$1.35 per share, in the prior-year period. Results in the secondthird quarter of 2015 included $312$196 million ($196127 million after-tax) of CVA/DVA.
Excluding the impact of CVA/DVA in the prior-year period, Citigroup reported net income of $4.0$3.8 billion in the secondthird quarter of 2016, or $1.24 per share, compared to $4.7$4.2 billion, or $1.45$1.31 per share, in the prior-year period. (Citi’s results of operations excluding the impact of CVA/DVA are non-GAAP financial measures.) The 14%8% decrease from the prior-year period was primarily driven by lower revenues, and a slightly higher effective tax rate (see “Income Taxes” below), partially offset by lower cost of credit and lower expenses.
Citi’s revenues were $17.5$17.8 billion in the secondthird quarter of 2016, a decrease of 10%5% from the prior-year period driven by a 5%1% decline in Citicorp and a 57%48% decline in Citi Holdings. Excluding CVA/DVA in the secondthird quarter of 2015, revenues were down 8%4% from the prior-year period, as Citicorp revenues decreased 3% anda 49% decrease in Citi Holdings revenues also decreased 57%.was partially offset by a 1% increase in Citicorp revenues. Excluding CVA/DVA in the secondthird quarter of 2015 and the impact of FX translation (which loweredincreased the reported decline in revenues versus the prior-year period by approximately $537 million in the second quarter of 2016 compared to the prior-year period)$223 million), Citigroup revenues decreased 6%3% from the prior-year period, driven by a 56%49% decrease in Citi Holdings, whilepartially offset by a 2% increase in Citicorp revenues were largely unchanged versus the prior-year period.

Expenses
Citigroup expenses decreased 5%2% versus the prior-year period as lower expenses in Citi Holdings and a benefit from the impact of FX translation were partially offset by volume growth and ongoing investments in Citicorp.Citicorp (including those referenced above). FX translation loweredincreased the reported decline in expenses versus the prior-year period by approximately $316 million in the second quarter of 2016 compared to the prior-year period.$194 million.
Citicorp expenses decreased 1%increased 3% reflecting volume growth as well as the ongoing investments in the franchise, partially offset by efficiency savings and athe benefit from the impact of FX translation, partially offset by ongoing investments in the franchise.translation.
Citi Holdings’ expenses were $858$826 million, down 37%40% from the prior-year period, primarily driven by the ongoing decline in Citi Holdings assets, partially offset by a modest increase in legal and related expenses. Citi Holdings’ legal



and related expenses in the second quarter of 2016 were $116 million, compared to $79 million in the prior-year period.assets.

Credit Costs
Citi’s total provisions for credit losses and for benefits and claims of $1.4$1.7 billion decreased 15%5% from the prior-year period, as



period. The decrease was driven by a lower provision for benefits and claims due to lower insurance-related assets within Citi Holdings and a decrease in net credit losses, were partially offset by lowera net loan loss reserve releases.build, largely driven by North America cards within Citicorp, compared to a net loan loss reserve release in the prior-year period.
Net credit losses of $1.6$1.5 billion declined 16%8% versus the prior-year period. Consumer net credit losses declined 19%8% to $1.5 billion, mostly reflecting continued improvements in North America Citi-branded cards and Citi retail services in Citicorp as well as continued improvement in the North America mortgage portfolio and ongoing divestiture activity within Citi Holdings.Holdings, partially offset by higher net credit losses in North America cards in Citicorp due to volume growth. Corporate net credit losses increased 33%decreased 20% to $142$40 million mostly related to the energy portfolio, with roughly two-thirds of the corporate net credit lossesand were largely offset by related reserve releasesthe release of previously established loan loss reserves (for additional information, see “Institutional Clients Group” and “Credit Risk—Corporate Credit” below).
The net releasebuild of allowance for loan losses and unfunded lending commitments was $256$176 million in the secondthird quarter of 2016, compared to a $453$16 million release in the prior-year period. Citicorp’s net reserve releasebuild was $27$298 million, compared to a net loan loss reserve releasebuild of $270$174 million in the prior-year period. The smallerlarger net reserve releasebuild in the secondthird quarter of 2016 was primarily related to the North America cards franchise, driven by the absenceimpact of prior-period net loan loss reserve releases in the Costco portfolio acquisition, volume growth and the estimated impact of newly proposed regulatory guidelines on third party debt collections (see “GCB Global Consumer Bankingand—North America GCB” below), partially offset by a smaller net reserve release in ICG. The net reserve release in ICG largely reflected ratings upgrades, reductions in certain exposures and improved valuations. Citi’s credit quality largely remained favorable across the franchise during the current quarter. The allowance for loan losses attributable to energy and energy-related loans in ICG decreased to 3.9% of funded exposures as of the second quarter of 2016, compared to 4.2% of funded exposures as of the first quarter of 2016, as net credit losses in the portfolio were offset by previously-established reserves.
Citi Holdings’ net reserve release increased $46decreased $68 million from the prior-year period to $229$122 million, primarily reflecting the impact of asset sales in the current quarter.sales.
For additional information on Citi’s consumer (including commercial) and corporate credit costs and allowance for loan losses, see “Credit Risk” below.

Capital
As noted above, Citi continued to grow its regulatory capital during the second quarter of 2016, even as it returned approximately $1.5 billion of capital to its shareholders in the form of common stock repurchases and dividends. Citigroup’s Tier 1 Capital and Common Equity Tier 1 Capital ratios, on a fully implemented basis, were 14.1%14.2% and 12.5%12.6% as of JuneSeptember 30, 2016, respectively, compared to 12.5%12.9% and 11.4%11.7% as of JuneSeptember 30, 2015 (all based on the Basel III Advanced Approaches for determining risk-weighted assets). Citigroup’s Supplementary Leverage ratio as of JuneSeptember 30, 2016, on a fully implemented basis, was 7.5%7.4%, compared to 6.7%6.9% as of JuneSeptember 30, 2015. For additional information on Citi’s capital ratios and related components, including the impact of Citi’s DTAs on its capital ratios, see “Capital Resources” below.

Citicorp
Citicorp net income decreased 17%12% from the prior-year period to $3.9$3.8 billion. CVA/DVA, recorded in ICG, was $303$221 million ($190143 million after-tax) in secondthird quarter of 2015 (for a summary of CVA/DVA by business within ICG, see “Institutional Clients Group” below). Excluding CVA/DVA in
the secondthird quarter of 2015, Citicorp’s net income decreased 13%9% from the prior-year period, primarily driven by the lower revenueshigher expenses and higher cost of credit, partially offset by lower expenses.higher revenues.
Citicorp revenues decreased 5%1% from the prior-year period to $16.7$16.9 billion, driven by a 6% decline in GCB revenues, a 1% decline in ICG revenues and lower revenues in Corporate/Other,.partially offset by a 1% increase in GCB revenues. Excluding CVA/DVA in the secondthird quarter of 2015, Citicorp revenues decreased 3%increased 1% from the prior-year period, driven by a 6% decrease1% increase in GCB revenues partially offset byand a 2% increase in ICG revenues. As referenced above, excluding CVA/DVA in the prior-year period and the impact of FX translation, Citicorp’s revenues were approximately unchangedincreased 2% versus the prior-year period, as growth in the GCB andICG franchisefranchises was partially offset by lower GCB revenues as well as the absence of prior-period real estate gains in Corporate/Other.
GCB revenues of $7.7$8.2 billion decreased 6%increased 1% versus the prior-year period. Excluding the impact of FX translation, GCB revenues decreased 2%increased 3%, as decreasesdriven by an increase in North America GCB and Asia GCB were, partially offset by an increasea decrease in internationalLatin America GCB revenues. North America GCB revenues decreased 3%increased 7% to $4.8$5.2 billion, driven by lowerwith higher revenues in each of Citi-branded cards, Citi retail services and retail banking. Citi-branded cards revenues of $1.9$2.2 billion were downincreased 15% versus the prior-year period, reflecting the addition of the Costco portfolio as well as modest revenue growth in the remainder of the portfolio driven by higher volumes. Citi retail services revenues of $1.6 billion increased 1% versus the prior-year period, as a modest benefit fromhigher average loan growth in the previously disclosed acquisition of the Costco portfolio (acquired June 17, 2016) was largely offset by the continued impact of higher rewards costs and higher payment rates. Citi retail services revenues of $1.5 billion decreased 4% versus the prior-year period, primarily driven by the impact of renewingpreviously disclosed renewals and extendingextension of several partnership programs (including The Home Depot as referenced above)partnerships as well as the absence of revenues associated with two portfolios sold in the first quarter of 2016.from portfolio exits. Retail banking revenues decreased 4%increased 2% from the prior-year period to $1.3$1.4 billion, as lower mortgage activity was only partially offset by continued growth in consumeron higher average loans and commercial banking.checking deposits.
North America GCB average deposits of $182$184 billion grew 1% year-over-year and average retail banking loans of $54$55 billion grew 10%9%. Average Citi retail services loans of $43$44 billion andincreased 1% versus the prior-year period while retail services purchase sales of $20 billion were each largely unchangeddeclined 1% versus the prior-year period. Average Citi-branded card loans of $67$79 billion increased 6%24%, while Citi-branded card purchase sales of $53$73 billion increased 15%57% versus the prior-year period, each including the impact of the Costco portfolio acquisition. For additional information on the results of operations of North America GCB for the secondthird quarter of 2016, including the impact of the Costco acquisition to North America GCB’s loans and purchase sales, see “Global Consumer Banking—North America GCB” below.



International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes EMEA GCB for reporting purposes)activities in certain EMEA countries)) decreased 9%7% versus the prior-year period to $3.0 billion driven by declinesa decline in Latin America GCB (13%(19%) andpartially offset by an increase in Asia GCB (7%(4%). Excluding the impact of FX translation, international GCB revenues were approximately unchangeddecreased 2% versus the prior-year period. Latin America GCB revenues increased 4%decreased 7% versus the prior-year period, asreflecting the absence of a previously disclosed $160 million gain (excluding the impact of FX translation, $180 million as reported) related to the sale of Citi’s merchant acquiring business in Mexico in the third quarter of 2015.



Excluding this gain, revenues would have increased 5% in Latin America GCB, driven by growth in retail banking loans deposits and card purchase sales wasdeposits, partially offset by a continued decline in card balances,cards revenues driven by ongoingthe continued impact of higher payment rates.
Asia GCB revenues declined 4%increased 3% versus the prior-year period, driven by lowergrowth in wealth management and cards revenues, partially offset by product repositioning away from lower-return mortgage loans in the retail lending revenues, while card revenues were unchanged from the prior-year period.portfolio. For additional information on the results of operations of Latin America GCB and Asia GCB for the secondthird quarter of 2016, including the impact of FX translation, see “Global Consumer Banking” below. Excluding the impact of FX translation, international GCB average deposits of $117$119 billion increased 4%7%, average retail loans of $87 billion decreased 1%2%, investment sales of $13$14 billion decreased 28%increased 2%, average card loans of $23 billion increased 1%2% and card purchase sales of $23 billion increased 3%2%.
ICG revenues were $8.8$8.6 billion in the secondthird quarter of 2016, down 1%unchanged from the prior-year period driven byas a 2%6% increase in Markets and securities services and 5% declinewas offset by a 6% decrease in Bankingrevenues (including the impact of a $218 million mark-to-market loss on hedges related to accrual loans within corporate lending, compared to a gain of $352 million in the prior year period). Excluding CVA/DVA in the secondthird quarter of 2015 and the impact of mark-to-market gains/(losses) on loan hedges, ICG revenues increased 2%9% driven by a 10%an 11% increase in Markets and securities services revenues partially offset byand a 5% decrease7% increase in Bankingrevenues.
Banking revenues of $4.4$4.3 billion (excluding CVA/DVA in the secondthird quarter of 2015 and the impact of mark-to-market gains / gains/(losses) on hedges related to accrual loans within corporate lending (see below)) decreased 2%loan hedges) increased 7% compared to the prior-year period, primarily driven by lower industry-wide investment banking activity during the current quarter and lower corporate lending revenues, partially offset by growth in treasury and trade solutions.solutions and debt underwriting revenues within investment banking. Investment banking revenues of $1.2$1.1 billion decreased 6%increased 15% versus the prior-year period. Advisory revenues decreased 7% to $238 million driven by lower activity in the current quarter.were largely unchanged at $239 million. Equity underwriting revenues decreased 41%16% to $174$146 million, largely driven by lower industry-wide equity underwriting activity.reflecting a decline in wallet share resulting from continued share fragmentation. Debt underwriting revenues increased 9%32% to $805$701 million, largely reflecting an increase in wallet share.strong industry-wide underwriting activity.
Private bank revenues decreased 1% (also 1%increased 5% (4% excluding CVA/DVA in the secondthird quarter of 2015) to $738$746 million from the prior-year period, primarily driven by lower capital marketsloan growth, improved spreads and higher managed investment revenues. Corporate lending revenues decreased 55%70% to $186 million, including $203 million of mark-to-market losses on hedges related to accrual loans, compared to $66 million of losses in the prior-year period.$232 million. Excluding the impact of mark-to-market lossesgains/(losses) on loan hedges, corporate lending revenues decreased 18%increased 4% versus the prior-year period, asmostly reflecting higher loan volumes were more than offset by an adjustment to the residual value of a lease financing as well as higher hedging costs.average loans. Treasury and trade solutions revenues of $2.0 billion increased 5% from the prior-year period. Excluding the impact of FX translation, treasury
and trade solutions revenues increased 9%8% reflecting continued growth in transaction volumes.
Markets and securities services revenues of $4.7$4.5 billion (excluding CVA/DVA in the secondthird quarter of 2015) increased 10%11% from the prior-year period. Fixed income markets
revenues of $3.5 billion increased 4% (14%26% (35% excluding CVA/DVA in the secondthird quarter of 2015) from the prior-year period, driven by an increaseimprovement in corporate client activity inboth rates and currencies as well as a better trading environment in the current quarter, partially offset by lower revenues in securitized products driven by decreased trading opportunities.and spread products. Equity markets revenues of $788$663 million increased 19% (21%decreased 37% (34% excluding CVA/DVA in the secondthird quarter of 2015) versus the prior-year period. The secondthird quarter of 2015 included a previously disclosed charge to revenuespositive valuation adjustment of $175approximately $140 million for valuation adjustments related to certain financing transactions. Excluding this adjustment, equity markets revenues decreased 4%23% driven by lower market activity as well as the comparison to strong trading performance in Asia in the prior-year period. Securities services revenues of $531$536 million decreased 7%increased 4% versus the prior-year period. Excluding the impact of FX translation, securities services revenues declined 3% largely reflectingincreased 6% as increased client activity, higher deposit volumes and improved spreads more than offset the absence of revenues from divested businesses. For additional information on the results of operations of ICG for the secondthird quarter of 2016, see “Institutional Clients Group” below.
Corporate/Other revenues were $126$28 million, down 66%87% from the prior-year period, mostlymainly reflecting the absence of real estate gainsthe equity contribution related to Citi’s stake in China Guangfa Bank, which was divested in the prior-year period, as well as lower debt buyback activity.third quarter of 2016. For additional information on the results of operations of Corporate/Other for the secondthird quarter of 2016, see “Corporate/Other” below.
Citicorp end-of-period loans increased 4%6% to $592$599 billion from the prior-year period, driven by a 7% increase in consumer loans and a 5% increase in corporate loans and a 4% increase in consumer loans. Excluding the impact of FX translation, Citicorp loans grew 6%7%, with 7% growth in consumer loans and 6% growth in both corporate and consumer loans.

Citi Holdings
Citi Holdings’ net income was $93$74 million in the secondthird quarter of 2016, compared to a net incomeloss of $156$1 million in the prior-year period. CVA/DVA was $9negative $25 million ($6(negative $16 million after-tax) in the secondthird quarter of 2015. Excluding the impact of CVA/DVA in the prior-year period, Citi Holdings’ net income was $93$74 million, compared to $150$15 million in the prior-year period, primarily reflecting lower revenues,expenses and lower credit costs, partially offset by lower expenses and lower credit costs.revenues.
Citi Holdings’ revenues were $843$877 million, down 57%48% from the prior-year period. Excluding CVA/DVA in the secondthird quarter of 2015, Citi Holdings’ revenues also decreased 57%49% from the prior-year period, mainly reflecting continued reductions in Citi Holdings assets and lower net gains on asset sales.assets. For additional information on the results of operations of Citi Holdings for the secondthird quarter of 2016, see “Citi Holdings” below.
At the end of the current quarter, Citi Holdings’ assets were $66$61 billion, 47%48% below the prior-year period, and represented approximately 4% of Citi’s total GAAP assets.period. Citi Holdings’ risk-weighted assets were $121$114 billion as of



June September 30, 2016, a decrease of 31%30% from the prior-year period, and represented 10%9% of Citi’s risk-weighted assets under Basel III (based on the Advanced Approaches for determining risk-weighted assets).















































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RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars, except per-share amounts and ratios20162015% Change20162015% Change20162015% Change20162015% Change
Net interest revenue$11,236
$11,822
(5)%$22,463
$23,394
(4)%$11,479
$11,773
(2)%$33,942
$35,167
(3)%
Non-interest revenue6,312
7,648
(17)12,640
15,812
(20)6,281
6,919
(9)18,921
22,731
(17)
Revenues, net of interest expense$17,548
$19,470
(10)%$35,103
$39,206
(10)%$17,760
$18,692
(5)%$52,863
$57,898
(9)%
Operating expenses10,369
10,928
(5)20,892
21,812
(4)10,404
10,669
(2)31,296
32,481
(4)
Provisions for credit losses and for benefits and claims1,409
1,648
(15)3,454
3,563
(3)1,736
1,836
(5)5,190
5,399
(4)
Income from continuing operations before income taxes$5,770
$6,894
(16)%$10,757
$13,831
(22)%$5,620
$6,187
(9)%$16,377
$20,018
(18)%
Income taxes1,723
2,036
(15)3,202
4,156
(23)1,733
1,881
(8)4,935
6,037
(18)
Income from continuing operations$4,047
$4,858
(17)%$7,555
$9,675
(22)%$3,887
$4,306
(10)%$11,442
$13,981
(18)%
Income (loss) from discontinued operations,
net of taxes(1)
(23)6
NM
(25)1
NM
(30)(10)NM
(55)(9)NM
Net income before attribution of noncontrolling
interests
$4,024
$4,864
(17)%$7,530
$9,676
(22)%$3,857
$4,296
(10)%$11,387
$13,972
(19)%
Net income attributable to noncontrolling interests26
18
44
31
60
(48)17
5
NM
48
65
(26)
Citigroup’s net income$3,998
$4,846
(17)%$7,499
$9,616
(22)%$3,840
$4,291
(11)%$11,339
$13,907
(18)%
Less: 

   

  
Preferred dividends—Basic$322
$202
59 %$532
$330
61 %$225
$174
29 %$757
$504
50 %
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS53
64
(17)93
126
(26)53
56
(5)145
182
(20)
Income allocated to unrestricted common shareholders
for basic and diluted EPS
$3,623
$4,580
(21)%$6,874
$9,160
(25)%$3,562
$4,061
(12)%$10,437
$13,221
(21)%
Earnings per share 

  
  

  
 
Basic 

  
  

  
 
Income from continuing operations$1.25
$1.51
(17)$2.36
$3.03
(22)$1.25
$1.36
(8)$3.60
$4.39
(18)
Net income1.24
1.52
(18)2.35
3.03
(22)1.24
1.36
(9)3.58
4.38
(18)
Diluted 

   

  
Income from continuing operations$1.25
$1.51
(17)%$2.36
$3.02
(22)%$1.25
$1.36
(8)%$3.60
$4.38
(18)%
Net income1.24
1.51
(18)2.35
3.02
(22)1.24
1.35
(8)3.58
4.38
(18)
Dividends declared per common share0.05
0.05
—
0.10
0.06
67
0.16
0.05
NM
0.26
0.11
NM

Statement continues on the next page, including notes to the table.


SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
Citigroup Inc. and Consolidated SubsidiariesCitigroup Inc. and Consolidated Subsidiaries
Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars, except per-share amounts, ratios and
direct staff
20162015% Change20162015% Change20162015% Change20162015% Change
At June 30:    
At September 30:    
Total assets$1,818,771
$1,829,370
(1)%  $1,818,117
$1,808,356
1 %  
Total deposits937,852
908,037
3
  940,252
904,243
4
  
Long-term debt207,448
211,845
(2)  209,051
213,533
(2)  
Citigroup common stockholders’ equity212,635
205,472
3
  212,322
205,630
3
  
Total Citigroup stockholders’ equity231,888
219,440
6
  231,575
220,848
5
  
Direct staff (in thousands)
220
238
(8)  220
239
(8)  
Performance metrics 

   

  
Return on average assets0.89%1.06%

0.84%1.05% 0.83%0.94%

0.84%1.01% 
Return on average common stockholders’ equity(2)
7.0
9.1


6.7
9.2
 6.8
8.0


6.7
8.8
 
Return on average total stockholders’ equity(2)
7.0
8.9


6.7
9.0
 6.6
7.7


6.6
8.6
 
Efficiency ratio (Total operating expenses/Total revenues)59
56


60
56
 59
57


59
56
 
Basel III ratios—full implementation        
Common Equity Tier 1 Capital(3)
12.54%11.37%   12.63%11.67%   
Tier 1 Capital(3)
14.12
12.54
   14.23
12.91
   
Total Capital(3)
16.14
14.14
   16.34
14.60
   
Supplementary Leverage ratio(4)
7.48
6.72
   7.40
6.85
   
Citigroup common stockholders’ equity to assets11.69%11.23% 

  11.68%11.37% 

  
Total Citigroup stockholders’ equity to assets12.75
12.00
 

  12.74
12.21
 

  
Dividend payout ratio(5)
4.0
3.3
 4.3
2.0
 12.9
3.7
 7.3%2.5% 
Book value per common share$73.19
$68.27
7 %

  $74.51
$69.03
8 %

  
Tangible book value (TBV) per share(6)
$63.53
$59.18
7 %  $64.71
$60.07
8 %  
Ratio of earnings to fixed charges and preferred stock dividends2.63x
3.05x
 2.59x
3.09x
 2.61x
2.92x
 2.60x
3.04x
 
(1)See Note 2 to the Consolidated Financial Statements for additional information on Citi’s discontinued operations.
(2)The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(3)Citi’s regulatory capital ratios reflect full implementation of the U.S. Basel III rules. Risk-weighted assets are based on the Basel III Advanced Approaches for determining total risk-weighted assets.
(4)Citi’s Supplementary Leverage ratio reflects full implementation of the U.S. Basel III rules.
(5) Dividends declared per common share as a percentage of net income per diluted share.
(6) For information on TBV, see “Capital Resources—Tangible Common Equity, Tangible Book Value Per Share and Book Value Per Share” below.
(5)Dividends declared per common share as a percentage of net income per diluted share.
(6)For information on TBV, see “Capital Resources—Tangible Common Equity, Tangible Book Value Per Share and Book Value Per Share” below.





SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars20162015% Change20162015% Change20162015% Change20162015% Change
Income (loss) from continuing operations        
CITICORP        
Global Consumer Banking        
North America$842
$1,085
(22)%$1,702
$2,238
(24)%$811
$1,080
(25)%$2,513
$3,318
(24)%
Latin America184
190
(3)340
410
(17)167
306
(45)507
716
(29)
Asia(1)
297
336
(12)512
675
(24)310
305
2
822
980
(16)
Total$1,323
$1,611
(18)%$2,554
$3,323
(23)%$1,288
$1,691
(24)%$3,842
$5,014
(23)%
Institutional Clients Group

 



 



 



 

North America$1,059
$1,079
(2)%$1,643
$2,106
(22)%$1,119
$991
13 %$2,762
$3,097
(11)%
EMEA720
695
4
1,119
1,630
(31)680
499
36
1,799
2,129
(16)
Latin America396
430
(8)733
805
(9)396
389
2
1,129
1,194
(5)
Asia540
656
(18)1,179
1,293
(9)577
554
4
1,756
1,847
(5)
Total$2,715
$2,860
(5)%$4,674
$5,834
(20)%$2,772
$2,433
14 %$7,446
$8,267
(10)%
Corporate/Other(89)231
NM
(118)212
NM
(247)183
NM
(365)395
NM
Total Citicorp$3,949
$4,702
(16)%$7,110
$9,369
(24)%$3,813
$4,307
(11)%$10,923
$13,676
(20)%
Citi Holdings$98
$156
(37)%$445
$306
45 %$74
$(1)NM
$519
$305
70 %
Income from continuing operations$4,047
$4,858
(17)%$7,555
$9,675
(22)%$3,887
$4,306
(10)%$11,442
$13,981
(18)%
Discontinued operations$(23)$6
NM
$(25)$1
NM
$(30)$(10)NM
$(55)$(9)NM
Net income attributable to noncontrolling interests26
18
44 %31
60
(48)%17
5
NM
48
65
(26)%
Citigroup’s net income$3,998
$4,846
(17)%$7,499
$9,616
(22)%$3,840
$4,291
(11)%$11,339
$13,907
(18)%

(1)
For reporting purposes, Asia GCB includes the results of operations of EMEA GCB activities in certain EMEA countries for all periods presented.
NM Not meaningful


CITIGROUP REVENUES
Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars20162015% Change20162015% Change20162015% Change20162015% Change
CITICORP        
Global Consumer Banking        
North America$4,756
$4,895
(3)%$9,630
$9,955
(3)%$5,212
$4,893
7 %$14,842
$14,848
— %
Latin America1,248
1,432
(13)2,489
2,864
(13)1,257
1,545
(19)3,746
4,409
(15)
Asia(1)
1,729
1,857
(7)3,384
3,667
(8)1,758
1,696
4
5,142
5,363
(4)
Total$7,733
$8,184
(6)%$15,503
$16,486
(6)%$8,227
$8,134
1 %$23,730
$24,620
(4)%
Institutional Clients Group

 

 



 

 

North America$3,478
$3,523
(1)%$6,524
$6,914
(6)%$3,276
$3,440
(5)%$9,800
$10,354
(5)%
EMEA2,615
2,565
2
4,822
5,465
(12)2,554
2,393
7
7,376
7,858
(6)
Latin America1,033
1,027
1
2,008
2,018
—
1,009
1,049
(4)3,017
3,067
(2)
Asia1,720
1,831
(6)3,528
3,626
(3)1,789
1,777
1
5,317
5,403
(2)
Total$8,846
$8,946
(1)%$16,882
$18,023
(6)%$8,628
$8,659
— %$25,510
$26,682
(4)%
Corporate/Other126
371
(66)400
583
(31)28
218
(87)428
801
(47)
Total Citicorp$16,705
$17,501
(5)%$32,785
$35,092
(7)%$16,883
$17,011
(1)%$49,668
$52,103
(5)%
Citi Holdings$843
$1,969
(57)%$2,318
$4,114
(44)%$877
$1,681
(48)%$3,195
$5,795
(45)%
Total Citigroup Net Revenues$17,548
$19,470
(10)%$35,103
$39,206
(10)%$17,760
$18,692
(5)%$52,863
$57,898
(9)%
(1)
For reporting purposes, Asia GCB includes the results of operations of EMEA GCB activities in certain EMEA countries for all periods presented.





SEGMENT BALANCE SHEET(1) 
In millions of dollars
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Subtotal
Citicorp
Citi
Holdings
Citigroup
Parent
company-
issued
long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Subtotal
Citicorp
Citi
Holdings
Citigroup
Parent
company-
issued
long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Assets          
Cash and deposits with banks$9,730
$63,802
$75,797
$149,329
$804
$—
$150,133
$10,063
$69,676
$75,301
$155,040
$950
$—
$155,990
Federal funds sold and securities borrowed or purchased under agreements to resell213
227,715
—
227,928
755
—
228,683
282
235,138
—
235,420
625
—
236,045
Trading account assets5,859
261,906
481
268,246
3,518
—
271,764
6,466
253,487
329
260,282
3,070
—
263,352
Investments8,178
112,605
229,927
350,710
5,583
—
356,293
9,444
114,457
225,947
349,848
5,092
—
354,940
Loans, net of unearned income and    
    
allowance for loan losses277,581
304,077
—
581,658
39,553
—
621,211
281,789
306,872
—
588,661
37,335
—
625,996
Other assets42,136
87,812
47,374
177,322
13,365
—
190,687
42,267
86,073
41,867
170,207
11,587
—
181,794
Liquidity assets(4)
57,856
244,154
(304,566)(2,556)2,556
—
—
61,200
236,419
(300,234)(2,615)2,615
—
—
Total assets$401,553
$1,302,071
$49,013
$1,752,637
$66,134
$—
$1,818,771
$411,511
$1,302,122
$43,210
$1,756,843
$61,274
$—
$1,818,117
Liabilities and equity          
Total deposits$301,979
$606,817
$22,680
$931,476
$6,376
$—
$937,852
$306,541
$617,209
$10,566
$934,316
$5,936
$—
$940,252
Federal funds purchased and securities loaned or sold under agreements to repurchase3,885
154,076
—
157,961
40
—
158,001
3,481
149,627
—
153,108
16
—
153,124
Trading account liabilities(3)135,064
555
135,616
691
—
136,307
11
130,891
354
131,256
393
—
131,649
Short-term borrowings44
18,362
—
18,406
2
—
18,408
45
19,434
10,047
29,526
1
—
29,527
Long-term debt(3)
1,448
32,286
20,913
54,647
4,115
148,686
207,448
1,296
33,980
20,602
55,878
4,131
149,042
209,051
Other liabilities18,037
87,108
17,508
122,653
5,081
—
127,734
19,234
82,910
14,951
117,095
4,729
—
121,824
Net inter-segment funding (lending)(3)
76,163
268,358
(13,776)330,745
49,829
(380,574)—
80,903
268,071
(14,425)334,549
46,068
(380,617)—
Total liabilities$401,553
$1,302,071
$47,880
$1,751,504
$66,134
$(231,888)$1,585,750
$411,511
$1,302,122
$42,095
$1,755,728
$61,274
$(231,575)$1,585,427
Total equity(5)
—
—
1,133
1,133
—
231,888
233,021
—
—
1,115
1,115
—
231,575
232,690
Total liabilities and equity$401,553
$1,302,071
$49,013
$1,752,637
$66,134
$—
$1,818,771
$411,511
$1,302,122
$43,210
$1,756,843
$61,274
$—
$1,818,117

(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of JuneSeptember 30, 2016. 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 the Corporate/Other segment.
(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)Citicorp equity represents noncontrolling interests.




CITICORP
Citicorp is Citigroup’s global bank for consumers and businesses and represents Citi’s core franchises. Citicorp is focused on providing best-in-class products and services to customers and leveraging Citigroup’s unparalleled global network, including many of the world’s emerging economies. Citicorp is physically present in approximately 10097 countries and jurisdictions, many for over 100 years, and offers services in over 160 countries and jurisdictions. Citi believes this global network provides a strong foundation for servicing the broad financial services needs of its large multinational clients and for meeting the needs of retail, private banking, commercial, public sector and institutional clients around the world.
Citicorp consists of the following operating businesses: Global Consumer Banking (which consists of consumer banking businesses in North America, EMEA, Latin America (consisting of Citi’s consumer banking businesses in Mexico) and Asia) and Institutional Clients Group (which includes Banking and Markets and securities services). Citicorp also includes Corporate/Other. At JuneSeptember 30, 2016, Citicorp had approximately $1.8 trillion of assets and $932$934 billion of deposits, representing approximately 96%97% of Citi’s total assets and 99% of Citi’s total deposits.

Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars except as otherwise noted20162015% Change20162015% Change20162015% Change20162015% Change
Net interest revenue$10,687
$10,622
1 %$21,317
$20,935
2 %$10,997
$10,622
4 %$32,314
$31,557
2 %
Non-interest revenue6,018
6,879
(13)11,468
14,157
(19)5,886
6,389
(8)17,354
20,546
(16)
Total revenues, net of interest expense$16,705
$17,501
(5)%$32,785
$35,092
(7)%$16,883
$17,011
(1)%$49,668
$52,103
(5)%
Provisions for credit losses and for benefits and claims

 

 



 

 

Net credit losses$1,514
$1,586
(5)%$3,095
$3,074
1 %$1,396
$1,391
— %$4,491
$4,465
1 %
Credit reserve build (release)(2)(220)99
191
(250)NM
343
90
NM
534
(160)NM
Provision for loan losses$1,512
$1,366
11 %$3,286
$2,824
16 %$1,739
$1,481
17 %$5,025
$4,305
17 %
Provision for benefits and claims20
21
(5)48
49
(2)25
28
(11)73
77
(5)
Provision for unfunded lending commitments(25)(50)50
48
(82)NM
(45)84
NM
3
2
50
Total provisions for credit losses and for benefits and claims$1,507
$1,337
13 %$3,382
$2,791
21 %$1,719
$1,593
8 %$5,101
$4,384
16 %
Total operating expenses$9,511
$9,566
(1)%$19,206
$19,065
1 %$9,578
$9,295
3 %$28,784
$28,360
1 %
Income from continuing operations before taxes$5,687
$6,598
(14)%$10,197
$13,236
(23)%$5,586
$6,123
(9)%$15,783
$19,359
(18)%
Income taxes1,738
1,896
(8)3,087
3,867
(20)1,773
1,816
(2)4,860
5,683
(14)
Income from continuing operations$3,949
$4,702
(16)%$7,110
$9,369
(24)%$3,813
$4,307
(11)%$10,923
$13,676
(20)%
Income (loss) from discontinued operations, net of taxes(23)6
NM
(25)1
NM
(30)(10)NM
(55)(9)NM
Noncontrolling interests21
18
17
25
59
(58)17
5
NM
42
64
(34)
Net income$3,905
$4,690
(17)%$7,060
$9,311
(24)%$3,766
$4,292
(12)%$10,826
$13,603
(20)%
Balance sheet data (in billions of dollars)


 

 



 

 

Total end-of-period (EOP) assets$1,753
$1,705
3 % 



$1,757
$1,691
4 % 



Average assets$1,736
$1,714
1
$1,718
$1,717
—
$1,766
$1,698
4
$1,734
$1,710
1
Return on average assets0.90%1.10%

0.83%1.09%

0.85%1.00%

0.83%1.06%

Efficiency ratio57%55%

59%54%

57%55%

58%54%

Total EOP loans$592
$568
4
 



$599
$563
6
 



Total EOP deposits$932
$896
4
 

$934
$894
5
 

NM Not meaningful


GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB) consists of Citigroup’s four geographical consumer bankingbusinesses that provideprovides traditional banking services to retail customers through retail banking, including commercial banking, and Citi-branded cards and Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). GCB is focused on its priority markets in the U.S., Mexico and Asia with 2,6812,679 branches in 19 countries as of JuneSeptember 30, 2016. At JuneSeptember 30, 2016, GCB had approximately $402$412 billion of assets and $302$307 billion of deposits.
GCB’s overall strategy is to leverage Citi’s global footprint and seek to be the preeminent 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.

Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars except as otherwise noted20162015% Change20162015% Change20162015% Change20162015% Change
Net interest revenue$6,364
$6,457
(1)%$12,770
$12,918
(1)%$6,770
$6,519
4 %$19,540
$19,437
1 %
Non-interest revenue1,369
1,727
(21)2,733
3,568
(23)1,457
1,615
(10)4,190
5,183
(19)
Total revenues, net of interest expense$7,733
$8,184
(6)%$15,503
$16,486
(6)%$8,227
$8,134
1 %$23,730
$24,620
(4)%
Total operating expenses$4,304
$4,338
(1)%$8,712
$8,643
1 %$4,440
$4,231
5 %$13,152
$12,874
2 %
Net credit losses$1,373
$1,504
(9)%$2,743
$2,993
(8)%$1,351
$1,354
— %$4,094
$4,347
(6)%
Credit reserve build (release)24
(97)NM
109
(246)NM
436
(103)NM
545
(349)NM
Provision (release) for unfunded lending commitments8
(4)NM
10
(4)NM
(3)1
NM
7
(3)NM
Provision for benefits and claims20
21
(5)48
49
(2)25
28
(11)73
77
(5)
Provisions for credit losses and for benefits and claims$1,425
$1,424
— %$2,910
$2,792
4 %$1,809
$1,280
41 %$4,719
$4,072
16 %
Income from continuing operations before taxes$2,004
$2,422
(17)%$3,881
$5,051
(23)%$1,978
$2,623
(25)%$5,859
$7,674
(24)%
Income taxes681
811
(16)1,327
1,728
(23)690
932
(26)2,017
2,660
(24)
Income from continuing operations$1,323
$1,611
(18)%$2,554
$3,323
(23)%$1,288
$1,691
(24)%$3,842
$5,014
(23)%
Noncontrolling interests1
5
(80)3
1
NM
3
8
(63)6
9
(33)
Net income$1,322
$1,606
(18)%$2,551
$3,322
(23)%$1,285
$1,683
(24)%$3,836
$5,005
(23)%
Balance Sheet data (in billions of dollars)


 

 



 

 

Average assets$388
$381
2 %$383
$381
1 %$410
$375
9 %$392
$379
3 %
Return on average assets1.37%1.69%

1.34%1.76%

1.25%1.78%

1.31%1.77%

Efficiency ratio56%53%

56%52%

54%52%

55%52%

Total EOP assets$402
$382
5
 

$412
$377
9
 

Average deposits$299
$298
—
$297
$298
—
$303
$295
3
$299
$297
1
Net credit losses as a percentage of average loans2.02%2.21%

2.03%2.21%

1.87%1.99%

1.97%2.14%

Revenue by business

 

 



 

 

Retail banking$3,272
$3,533
(7)%$6,488
$7,071
(8)%$3,361
$3,514
(4)%$9,849
$10,585
(7)%
Cards(1)
4,461
4,651
(4)9,015
9,415
(4)4,866
4,620
5
13,881
14,035
(1)
Total$7,733
$8,184
(6)%$15,503
$16,486
(6)%$8,227
$8,134
1 %$23,730
$24,620
(4)%
Income from continuing operations by business

 

 



 

 

Retail banking$489
$549
(11)%$806
$1,128
(29)%$478
$574
(17)%$1,284
$1,702
(25)%
Cards(1)
834
1,062
(21)1,748
2,195
(20)810
1,117
(27)2,558
3,312
(23)
Total$1,323
$1,611
(18)%$2,554
$3,323
(23)%$1,288
$1,691
(24)%$3,842
$5,014
(23)%
Table continues on next page.



Foreign currency (FX) translation impact 

   

  
Total revenue—as reported$7,733
$8,184
(6)%$15,503
$16,486
(6)%$8,227
$8,134
1 %$23,730
$24,620
(4)%
Impact of FX translation(2)
—
(299)

—
(597)

—
(174)

—
(769)

Total revenues—ex-FX(3)
$7,733
$7,885
(2)%$15,503
$15,889
(2)%$8,227
$7,960
3 %$23,730
$23,851
(1)%
Total operating expenses—as reported$4,304
$4,338
(1)%$8,712
$8,643
1 %$4,440
$4,231
5 %$13,152
$12,874
2 %
Impact of FX translation(2)
—
(135)

—
(276)

—
(70)

—
(356)

Total operating expenses—ex-FX(3)
$4,304
$4,203
2 %$8,712
$8,367
4 %$4,440
$4,161
7 %$13,152
$12,518
5 %
Total provisions for LLR & PBC—as reported$1,425
$1,424
— %$2,910
$2,792
4 %$1,809
$1,280
41 %$4,719
$4,072
16 %
Impact of FX translation(2)
—
(57)

—
(121)

—
(41)

—
(159)

Total provisions for LLR & PBC—ex-FX(3)
$1,425
$1,367
4 %$2,910
$2,671
9 %$1,809
$1,239
46 %$4,719
$3,913
21 %
Net income—as reported$1,322
$1,606
(18)%$2,551
$3,322
(23)%$1,285
$1,683
(24)%$3,836
$5,005
(23)%
Impact of FX translation(2)
—
(73)

—
(135)

—
(49)

—
(182)

Net income—ex-FX(3)
$1,322
$1,533
(14)%$2,551
$3,187
(20)%$1,285
$1,634
(21)%$3,836
$4,823
(20)%
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the secondthird quarter of 2016 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful



NORTH AMERICA GCB
North America GCB provides traditional retail banking, including commercial banking, and its Citi-branded cards and Citi retail services card products to retail customers and small to mid-size businesses, as applicable, in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines, Costco and Hilton Worldwide) within Citi-branded cards as well as its co-brand and private label relationships within Citi retail services.
As of JuneSeptember 30, 2016, North America GCB’s 729727 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 JuneSeptember 30, 2016, North America GCB had approximately 10.810.6 million retail banking customer accounts, $54.8 billion of retail banking loans and $183.3$185.6 billion of deposits. In addition, North America GCB had approximately 120.7120.8 million Citi-branded and Citi retail services credit card accounts (including approximately 8 million as a result of Citi’s completion of the acquisition of the Costco portfolio on June 17, 2016) with $120.8$125.2 billion in outstanding card loan balances (including approximately $11 billion as a result of the Costco portfolio acquisition).balances.

Second Quarter% ChangeSix Months% ChangeThird Quarter% ChangeNine Months% Change
In millions of dollars, except as otherwise noted20162015201620152016201520162015
Net interest revenue$4,377
$4,312
2 %$8,819
$8,648
2 %$4,748
$4,455
7 %$13,567
$13,103
4 %
Non-interest revenue379
583
(35)811
1,307
(38)464
438
6
1,275
1,745
(27)
Total revenues, net of interest expense$4,756
$4,895
(3)%$9,630
$9,955
(3)%$5,212
$4,893
7 %$14,842
$14,848
— %
Total operating expenses$2,432
$2,316
5 %$4,938
$4,657
6 %$2,600
$2,319
12 %$7,538
$6,976
8 %
Net credit losses$953
$999
(5)%$1,885
$1,959
(4)%$929
$878
6 %$2,814
$2,837
(1)%
Credit reserve build (release)50
(108)NM
129
(207)NM
408
(61)NM
537
(268)NM
Provision for unfunded lending commitments7
—
NM
8
1
NM
—
—
NM
8
1
NM
Provisions for benefits and claims8
9
(11)17
19
(11)7
11
(36)24
30
(20)
Provisions for credit losses and for benefits and claims$1,018
$900
13 %$2,039
$1,772
15 %$1,344
$828
62 %$3,383
$2,600
30 %
Income from continuing operations before taxes$1,306
$1,679
(22)%$2,653
$3,526
(25)%$1,268
$1,746
(27)%$3,921
$5,272
(26)%
Income taxes464
594
(22)951
1,288
(26)457
666
(31)1,408
1,954
(28)
Income from continuing operations$842
$1,085
(22)%$1,702
$2,238
(24)%$811
$1,080
(25)%$2,513
$3,318
(24)%
Noncontrolling interests(1)—
(100)(1)1
NM
—
1
(100)(1)2
NM
Net income$843
$1,085
(22)%$1,703
$2,237
(24)%$811
$1,079
(25)%$2,514
$3,316
(24)%
Balance Sheet data (in billions of dollars)


 

  




 

  


Average assets$219
$207
6 %$216
$208
4 %$239
$209
14 %$223
$208
7 %
Return on average assets1.55%2.10%

1.59%2.17%

1.35%2.05%

1.51%2.13%

Efficiency ratio51%47%

51%47%

50%47%

51%47%

Average deposits$182.1
$179.9
1
$181.4
$180.2
1
$183.9
$181.4
1
$182.2
$180.6
1
Net credit losses as a percentage of average loans2.34%2.58%

2.33%2.54%

2.08%2.21%

2.24%2.43%

Revenue by business

 

  




 

  


Retail banking$1,330
$1,379
(4)%$2,637
$2,793
(6)%$1,374
$1,347
2 %$4,011
$4,140
(3)%
Citi-branded cards1,907
1,933
(1)3,787
3,942
(4)2,213
1,930
15
6,000
5,872
2
Citi retail services1,519
1,583
(4)3,206
3,220
—
1,625
1,616
1
4,831
4,836
—
Total$4,756
$4,895
(3)%$9,630
$9,955
(3)%$5,212
$4,893
7 %$14,842
$14,848
— %
Income from continuing operations by business

 

  




 

  


Retail banking$178
$207
(14)%$276
$417
(34)%$196
$161
22 %$472
$578
(18)%
Citi-branded cards334
499
(33)700
1,038
(33)336
522
(36)1,036
1,560
(34)
Citi retail services330
379
(13)726
783
(7)279
397
(30)1,005
1,180
(15)
Total$842
$1,085
(22)%$1,702
$2,238
(24)%$811
$1,080
(25)%$2,513
$3,318
(24)%


NM Not meaningful



2Q163Q16 vs. 2Q153Q15
Net income decreased by 22%25% due to lower revenues,significantly higher expensescost of credit and a net loan loss reserve build,higher expenses, partially offset by lower net credit losses.higher revenues.
Revenues decreased 3%increased 7%, reflecting lowerhigher revenues in each of retail banking, Citi-branded cards and Citi retail services.
Retail banking revenues decreased 4%increased 2%. The decreaseincrease was primarily driven by a decline in mortgage gain on sale revenues due to lower mortgage originations and lower mortgage servicing revenues. This decline in retail banking revenues was partially offset by continued volume growth in consumer and commercial banking, including growth in average loans (10%(9%) and average checking deposits (9%(10%), as well as improvementan increase in mortgage gain on sale revenues due to higher margins, although North America GCB expects a seasonal decline in mortgage activity during the fourth quarter of 2016. The increase in revenues was partially offset by lower spreads driven by improved deposit mix and higher interest rates.lower mortgage servicing revenues.
Cards revenues decreased 3%increased 8%. In Citi-branded cards, revenues decreased 1%increased 15%, primarily reflecting the continued impactfirst full quarter of higher rewards costs and higher customer payment rates, partially offset by a modest benefitrevenues from the previously disclosed acquisition of the Costco portfolio.portfolio (completed June 17, 2016). Excluding Costco, revenues increased modestly (1%) as the impact of investment-related acquisition costs abated and a portion of new loan balances matured to full rate. Average active accounts grew 10% (5% excluding the Costco portfolio acquisition), average loans grew 6%24% (3% excluding Costco) and purchase sales grew 15% (10%57% (7% excluding Costco), in each case driven by the continued investment spending (discussed below).
Citi retail services revenues decreased 4%. The decreaseincreased 1% as higher average loan growth was primarily due tolargely offset by the impact of renewingthe previously disclosed renewal and extendingextension of several partnerships in a competitive environment, principally that with The Home Depot,within the portfolio as well as the absence of revenues associated with two portfolios sold in the first quarter of 2016. PurchaseAverage loans increased 1%, while purchase sales and average loans were largely unchanged. North America GCB expects revenues within Citi retail services to remain relatively unchanged to the current quarter level during at least the remainder of 2016 as expected overall volume growth is likely to be offset by the impact of absorbing the more competitive terms of the partnership renewals.decreased 1%.
Expenses increased 5%12%, primarily due to the continued investment spending (including for the Costco portfolio acquisition, volume growth and continued marketing investments, among other areas), partially offset by ongoing efficiency savings. North America GCB expects continued higherto continue to incur elevated expenses related to Costco and other Citi-branded cards investments in the near term. In addition, during the secondfourth quarter of 2016 Citi renewedreflecting seasonally higher marketing expenses as well as ongoing investment spending, including within retail banking as the business invests in its digital and extended its partnership with American Airlines. North America GCB currently expects the impact of the renewal could lower pretax earnings in Citi-branded cards modestly during the remainder of 2016, primarily due to higher expenses.mobile banking capabilities, among other initiatives.
Provisions increased 13%62%, largely due todriven by a net loan loss reserve build ($57408 million), compared to a loan loss reserve release in the prior-year period ($10861 million), partially offset by lowerand higher net credit losses (5%(6%) in each of Citi-branded cards and Citi retail services. .
The net loan loss reserve build mostly reflected a reserve build in the cards portfolios and was driven, largely in equal amounts, by Citi-branded cards due to volume growth and the impact of the acquisition of the Costco portfolio. North America GCB expects to incur net loan loss reserve builds in Citi-branded cards inportfolio, volume growth and seasoning of the near term due in partportfolios, as well as the estimated impact of newly proposed regulatory guidelines on third party debt collections. This build was partially offset by a release related to the need to establish loan loss
reserves related to new loans originated in the Costco portfolio.
Forcommercial banking portfolio (for information on Citi’s energy and energy-related exposures within commercial banking within North America GCB, see “Credit Risk—Commercial Credit” below.below).
The increase in net credit losses was primarily driven by an increase in Citi retail services of 6% to $427 million, primarily due to portfolio growth and seasoning. In retail banking, net credit losses grew 59% to $54 million, primarily
due to an increase related to the commercial portfolio which was fully offset by the reserve release described above. In Citi-branded cards, net credit losses increased 1% to $448 million, despite a 24% increase in average loans, as the Costco portfolio did not incur losses in the third quarter of 2016. North America GCB expects net credit losses in both cards portfolios to increase in the near term due to portfolio growth and seasoning, the normalization of losses in the Costco portfolio and the newly proposed regulatory guidelines described above.

2016 YTD vs. 2015 YTD
Year-to-date, North America GCB has experienced similar trends to those described above. Net income decreased 24% due to lower revenues, higher expenses and a net loan loss reserve build, partially offset by lower net credit losses.while revenues were largely unchanged.
Revenues decreased 3%,were unchanged, reflecting lower revenues in retail banking, andoffset by higher revenues in Citi-branded cards, while Citi retail services revenues were largely unchanged.cards. Retail banking revenues decreased 6%3%. Excluding the previously disclosed $110 million gain on sale of branches in Texas in the first quarter of 2015, revenues decreasedwere largely unchanged as volume growth in consumer and commercial banking was offset by lower mortgage gain on sale revenues due to lower mortgage originations. Cards revenues increased 1%. In Citi-branded cards, revenues increased 2%, driven by the same factors described above. Cards revenues decreased 2%. In Citi-branded cards, revenues decreased 4%, drivenacquisition of the Costco portfolio, partially offset by higher acquisition and rewards costs related to the same factors described above.investment spending. Citi retail services revenues were largely unchanged, primarily due to portfolio growth and gains on sales of two cards portfolios in the first quarter of 2016, offset by the impact of the partnership renewals.renewals and extensions.
Expenses increased 6%8%, primarily due to higher repositioning charges and the continued investment spending as well as higher repositioning charges, volume-related expenses and higher regulatory and compliance costs, partially offset by ongoing cost reduction initiatives, including as a result of the retail business’ branch rationalization strategy.
Provisions increased 15%30%, largely due to a net loan loss reserve build ($137537 million), compared to a net loan loss reserve release in the prior-year period ($206268 million), partially offset by modestly lower net credit losses (4%(1%) largely in Citi-branded cards.. The net loan loss reserve build was driven by the impact of the Costco portfolio, volume growth and the estimated impact of the newly proposed regulatory guidelines described above, partially offset by a release related to energy and energy-related exposures in the commercial banking portfolio within retail banking. The decline in net credit losses was driven by a 5% decrease in Citi-branded cards, mostly offset by increases in retail banking in the first quarter of 2016 as well as volume growth(13%) and the impact of the Costco portfolio, as described above.Citi retail services (2%).







LATIN AMERICA GCB
Latin America GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses in Mexico through Citibanamex (previously known as Banco Nacional de Mexico, or Banamex,Banamex), Mexico’s second-largest bank.
At JuneSeptember 30, 2016, Latin America GCB had 1,4911,494 retail branches in Mexico, with approximately 28.428.8 million retail banking customer accounts, $19.5$19.0 billion in retail banking loans and $28.2$27.4 billion in deposits. In addition, the business had approximately 5.75.8 million Citi-branded card accounts with $5.0$4.9 billion in outstanding loan balances.

Second Quarter% ChangeSix Months% ChangeThird Quarter% ChangeNine Months% Change
In millions of dollars, except as otherwise noted20162015201620152016201520162015
Net interest revenue$871
$991
(12)%$1,734
$1,981
(12)%$886
$959
(8)%$2,620
$2,940
(11)%
Non-interest revenue377
441
(15)755
883
(14)371
586
(37)1,126
1,469
(23)
Total revenues, net of interest expense$1,248
$1,432
(13)%$2,489
$2,864
(13)%$1,257
$1,545
(19)%$3,746
$4,409
(15)%
Total operating expenses$726
$846
(14)%$1,446
$1,643
(12)%$713
$795
(10)%$2,159
$2,438
(11)%
Net credit losses$260
$316
(18)%$538
$672
(20)%$254
$301
(16)%$792
$973
(19)%
Credit reserve build (release)(2)19
NM
15
11
36
32
19
68
47
30
57
Provision (release) for unfunded lending commitments1
—
100
2
(3)NM
—
1
(100)2
(2)NM
Provision for benefits and claims12
12
—
31
30
3
18
17
6
49
47
4
Provisions for credit losses and for benefits and claims (LLR & PBC)$271
$347
(22)%$586
$710
(17)%$304
$338
(10)%$890
$1,048
(15)%
Income from continuing operations before taxes$251
$239
5 %$457
$511
(11)%$240
$412
(42)%$697
$923
(24)%
Income taxes67
49
37
117
101
16
73
106
(31)190
207
(8)
Income from continuing operations$184
$190
(3)%$340
$410
(17)%$167
$306
(45)%$507
$716
(29)%
Noncontrolling interests1
2
(50)2
2
—
2
1
100
4
3
33
Net income$183
$188
(3)%$338
$408
(17)%$165
$305
(46)%$503
$713
(29)%
Balance Sheet data (in billions of dollars)


 

  




 

  


Average assets$50
$55
(9)%$50
$56
(11)%$50
$50
— %$50
$54
(7)%
Return on average assets1.47%1.37%

1.36%1.47%

1.31%2.42%

1.34%1.77%

Efficiency ratio58%59%

58%57%

57%51%

58%55%

Average deposits$27.4
$28.7
(5)$27.6
$29.0
(5)$27.2
$27.1
—
$27.5
$28.4
(3)
Net credit losses as a percentage of average loans4.25%4.66%

4.38%4.95%

4.12%4.65%

4.30%4.85%

Revenue by business

 

 



 

 

Retail banking$865
$975
(11)%$1,733
$1,947
(11)%$893
$1,100
(19)%$2,626
$3,047
(14)%
Citi-branded cards383
457
(16)756
917
(18)364
445
(18)1,120
1,362
(18)
Total$1,248
$1,432
(13)%$2,489
$2,864
(13)%$1,257
$1,545
(19)%$3,746
$4,409
(15)%
Income from continuing operations by business

 

  




 

  


Retail banking$107
$121
(12)%$206
$269
(23)%$91
$228
(60)%$297
$497
(40)%
Citi-branded cards77
69
12
134
141
(5)76
78
(3)210
219
(4)
Total$184
$190
(3)%$340
$410
(17)%$167
$306
(45)%$507
$716
(29)%
FX translation impact

 

  




 

  


Total revenues—as reported$1,248
$1,432
(13)%$2,489
$2,864
(13)%$1,257
$1,545
(19)%$3,746
$4,409
(15)%
Impact of FX translation(1)
—
(234)

—
(453)

—
(193)

—
(646)

Total revenues—ex-FX(2)
$1,248
$1,198
4 %$2,489
$2,411
3 %$1,257
$1,352
(7)%$3,746
$3,763
— %
Total operating expenses—as reported$726
$846
(14)%$1,446
$1,643
(12)%$713
$795
(10)%$2,159
$2,438
(11)%
Impact of FX translation(1)
—
(85)

—
(171)

—
(79)

—
(260)

Total operating expenses—ex-FX(2)
$726
$761
(5)%$1,446
$1,472
(2)%$713
$716
— %$2,159
$2,178
(1)%
Provisions for LLR & PBC—as reported$271
$347
(22)%$586
$710
(17)%$304
$338
(10)%$890
$1,048
(15)%
Impact of FX translation(1)
—
(49)

—
(104)

—
(43)

—
(148)

Provisions for LLR & PBC—ex-FX(2)
$271
$298
(9)%$586
$606
(3)%$304
$295
3 %$890
$900
(1)%
Net income—as reported$183
$188
(3)%$338
$408
(17)%$165
$305
(46)%$503
$713
(29)%
Impact of FX translation(1)
—
(71)

—
(130)

—
(54)

—
(182)

Net income—ex-FX(2)
$183
$117
56 %$338
$278
22 %$165
$251
(34)%$503
$531
(5)%
(1)Reflects the impact of FX translation into U.S. dollars at the secondthird quarter of 2016 average exchange rates for all periods presented.
(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.

2Q163Q16 vs. 2Q153Q15
Net income increased 56%decreased 34%, driven by higherlower revenues lower expenses and lowerhigher cost of credit.
Revenues decreased 7%, driven by the absence of a previously disclosed $160 million gain on sale (excluding the impact of FX translation, $180 million as reported) related to the sale of the merchant acquiring business in Mexico in the prior-year period. Excluding this gain, revenues would have increased 4%5%, primarily due to higher revenues in retail banking, partially offset by lower revenues in cards.
Retail banking revenues decreased 8%. Excluding the gain on sale related to the merchant acquiring business, revenues would have increased 7%11%, driven by volume growth, including an increase in average loans (8%), driven by higher personal loans, and higher average deposits (10%(12%) and deposit spreads,, partially offset by a decline in loan spreads. Cards revenues decreased 3%6%, driven by the continued lowerimpact of higher payment rates and the absence of certain episodic fee revenues in the prior-year period, partially offset by higher volumes (average loans down 1%up 3%), although and increased purchase sales (7%(9%) are expected to begin to lead to increased card loan growth during. Excluding the remainderfee revenues in the prior-year period, cards revenues would have declined 3%, largely reflecting the continued impact of 2016, despite continuing pressure fromthe higher payment rates.rates resulting from the business’ focus on higher credit quality customers.
Expenses decreased 5%, primarily due to lower legal and related costs, lower repositioning charges, the impact of business divestitures andwere unchanged as ongoing efficiency savings.savings and lower marketing expenses were offset by technology investments. As previously announced, Citi intends to invest more than $1 billion in Citibanamex over the next several years, including initiatives within Latin America GCB to enhance the branch network, digital capabilities and service offerings.
Provisions decreased 9%increased 3%, driven by a lowerhigher net loan loss reserve build, andpartially offset by lower net credit losses. The net loan loss reserve build decreased $18increased $14 million, primarily due to releasesvolume growth within the personal loan and commercial banking portfolios, partially offset by a release related to the commercial banking portfolio and mortgages.cards. Net credit losses decreased 5%3%, largely reflecting continued lower net credit losses in the cards portfolio due to a focus on higher credit quality customers. Despite this decrease, Latin America GCB expects net credit losses within its loan portfolios could increase in the near term consistent with continued portfolio growth and seasoning.


 

2016 YTD vs. 2015 YTD
Year-to-date, Latin America GCB has experienced similar trends to those described above. Net income increased 22%decreased 5%, driven by a higher tax rate due to the same factors described above.absence of certain tax benefits, partially offset by modestly lower expenses and cost of credit.
Revenues were largely unchanged. Excluding the gain on sale related to the merchant acquiring business, revenues would have increased 3%4%, primarily due to higher revenues in retail banking, partially offset by lower revenues in cards. Retail banking revenues increased 6%1%. Excluding the gain on sale related to the merchant acquiring business, revenues would have increased 8%, driven by the same factors described above as well as the impact of lower revenues due to business divestitures. Cards revenues decreased 3%4%, driven by the continued higher payment rates resulting from the business’ focus on higher credit quality customers which also drove a decline in average loans (2%).rates.
Expenses decreased 2%1%, primarily due to lower legal and related expenses, the impact of business divestitures and ongoing efficiency savings, partially offset by repositioning charges, higher marketing costs and higher volume-related costs.ongoing investment spending.
Provisions decreased 3%1% as lower net credit losses were partially offset by a higher net loan loss reserve build. Net credit losses decreased 7%6%, largely reflecting lower net credit losses in the cards and payrollpersonal loan portfolios due to the focus on higher credit quality customers. The net loan loss reserve build increased $10$24 million, primarily due to a net loan loss reserve build for cardsthe personal loan and the commercial banking portfolios, partially offset by a lower release related to the commercial bankingcards portfolio.





ASIA GCB
Asia GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses, as applicable. As of JuneSeptember 30, 2016, Citi’s most significant revenues in the region were from Singapore, Hong Kong, Korea, India, Australia, Taiwan, India, Indonesia, Thailand, Malaysia and the Philippines. In addition, EMEA GCB, reportedIncluded within Asia GCB, provides traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily in Poland, Russia and the United Arab Emirates.
At JuneSeptember 30, 2016, on a combined basis, the businesses had 461458 retail branches, approximately 17.116.9 million retail banking customer accounts, $67.5$68.1 billion in retail banking loans and $90.5$93.6 billion in deposits. In addition, the businesses had approximately 16.616.4 million Citi-branded card accounts with $17.6$17.7 billion in outstanding loan balances.

Second Quarter% ChangeSix Months% ChangeThird Quarter% ChangeNine Months% Change
In millions of dollars, except as otherwise noted(1)
20162015201620152016201520162015
Net interest revenue$1,116
$1,154
(3)%$2,217
$2,289
(3)%$1,136
$1,105
3 %$3,353
$3,394
(1)%
Non-interest revenue613
703
(13)1,167
1,378
(15)622
591
5
1,789
1,969
(9)
Total revenues, net of interest expense$1,729
$1,857
(7)%$3,384
$3,667
(8)%$1,758
$1,696
4 %$5,142
$5,363
(4)%
Total operating expenses$1,146
$1,176
(3)%$2,328
$2,343
(1)%$1,127
$1,117
1 %$3,455
$3,460
— %
Net credit losses$160
$189
(15)%$320
$362
(12)%$168
$175
(4)%$488
$537
(9)%
Credit reserve build (release)(24)(8)NM
(35)(50)30
(4)(61)93
(39)(111)65
Provision (release) for unfunded lending commitments—
(4)100
—
(2)100
(3)—
NM
(3)(2)(50)
Provisions for credit losses$136
$177
(23)%$285
$310
(8)%$161
$114
41 %$446
$424
5 %
Income from continuing operations before taxes$447
$504
(11)%$771
$1,014
(24)%$470
$465
1 %$1,241
$1,479
(16)%
Income taxes150
168
(11)259
339
(24)160
160
—
419
499
(16)
Income from continuing operations$297
$336
(12)%$512
$675
(24)%$310
$305
2 %$822
$980
(16)%
Noncontrolling interests1
3
(67)2
(2)NM
1
6
(83)3
4
(25)
Net income$296
$333
(11)%$510
$677
(25)%$309
$299
3 %$819
$976
(16)%
Balance Sheet data (in billions of dollars)






  








  


Average assets$119
$119
— %$118
$117
1 %$121
$116
4 %$119
$117
2 %
Return on average assets1.00%1.12%

0.87%1.17%

1.02%1.02%

0.92%1.12%

Efficiency ratio66%63% 69%64%

64%66% 67%65%

Average deposits$89.4
$89.3
—
$88.3
$88.8
(1)$91.6
$86.4
6
$89.4
$88.0
2
Net credit losses as a percentage of average loans0.76%0.84%

0.76%0.81%

0.78%0.80%

0.77%0.80%

Revenue by business   

   

Retail banking$1,077
$1,179
(9)%$2,118
$2,331
(9)%$1,094
$1,067
3 %$3,212
$3,398
(5)%
Citi-branded cards652
678
(4)1,266
1,336
(5)664
629
6
1,930
1,965
(2)
Total$1,729
$1,857
(7)%$3,384
$3,667
(8)%$1,758
$1,696
4 %$5,142
$5,363
(4)%
Income from continuing operations by business





 







 

Retail banking$204
$221
(8)%$324
$442
(27)%$191
$185
3 %$515
$627
(18)%
Citi-branded cards93
115
(19)188
233
(19)119
120
(1)307
353
(13)
Total$297
$336
(12)%$512
$675
(24)%$310
$305
2 %$822
$980
(16)%


FX translation impact

 



 

Total revenues—as reported$1,729
$1,857
(7)%$3,384
$3,667
(8)%$1,758
$1,696
4 %$5,142
$5,363
(4)%
Impact of FX translation(2)
—
(65)

—
(144)

—
19


—
(123)

Total revenues—ex-FX(3)
$1,729
$1,792
(4)%$3,384
$3,523
(4)%$1,758
$1,715
3 %$5,142
$5,240
(2)%
Total operating expenses—as reported$1,146
$1,176
(3)%$2,328
$2,343
(1)%$1,127
$1,117
1 %$3,455
$3,460
— %
Impact of FX translation(2)
—
(50)

—
(105)

—
9


—
(96)

Total operating expenses—ex-FX(3)
$1,146
$1,126
2 %$2,328
$2,238
4 %$1,127
$1,126
— %$3,455
$3,364
3 %
Provisions for loan losses—as reported$136
$177
(23)%$285
$310
(8)%$161
$114
41 %$446
$424
5 %
Impact of FX translation(2)
—
(8)

—
(17)

—
2


—
(11)

Provisions for loan losses—ex-FX(3)
$136
$169
(20)%$285
$293
(3)%$161
$116
39 %$446
$413
8 %
Net income—as reported$296
$333
(11)%$510
$677
(25)%$309
$299
3 %$819
$976
(16)%
Impact of FX translation(2)
—
(2)

—
(5)

—
5


—
—


Net income—ex-FX(3)
$296
$331
(11)%$510
$672
(24)%$309
$304
2 %$819
$976
(16)%

(1)
For reporting purposes, Asia GCB includes the results of operations of EMEA GCB activities in certain EMEA countries for all periods presented.
(2)Reflects the impact of FX translation into U.S. dollars at the secondthird quarter of 2016 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NMNot 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.

2Q163Q16 vs. 2Q153Q15
Net income decreased 11%increased 2%, primarily due to lowerreflecting higher revenues, and higher expenses, partiallylargely offset by lowerhigher cost of credit.
Revenues decreased 4%increased 3%, primarily due to lowerreflecting both higher retail banking revenues asand cards revenues were unchanged.revenues. Retail banking revenues decreased 6%increased 2%, mainly due to a decline (16%)an 11% increase in investment sales revenues within the wealth management businessrevenues due to lower client activity,improving investment sentiment, particularly in Taiwan, Hong Kong China, Korea and Taiwan.Indonesia, as well as an increase in assets under management. Retail banking revenues excluding wealth management declined 2%decreased 1%, primarily due to lower average loans (decrease of 4%), largely reflectingoffset by growth in deposit volumes (5% increase in average deposits) and higher insurance revenues. The lower average loans was due to the product repositioning of the portfolio away from lower return mortgage loans as well as de-risking in the commercial portfolio towardsportfolio.
Cards revenues increased 4%, driven by modest volume growth, continued improvement in yields and abating regulatory headwinds. The volume growth was driven by a 2% increase in average loans, stabilizing payment rates and a 1% increase in purchase sales.
Expenses were largely unchanged as investment spending and higher regulatory and compliance costs were offset by efficiency savings.
Provisions increased 39%, primarily due to higher net loan loss reserve releases in the endprior-year period, partially offset by lower net credit losses.


2016 YTD vs. 2015 YTD
Net income decreased 16% due to lower revenues, higher expenses and higher cost of 2015,credit.
Revenues decreased 2%, primarily due to the slowdown in wealth management revenues in the first half of the year and lower retail lending revenues, partially offset by higher cards revenues. Retail banking revenues decreased 3%, driven by the lower wealth management revenues and lower average loans, partially offset by growth in deposit volumes and higher return personal loans (3%). This decrease in revenues was also partially offset by growth in insurance revenues as well as deposit products (3% increase in average deposits), despite continued optimization of the branch footprint. Asia GCB expects wealth management revenues within its retail banking business could continue to be impacted by market uncertainty during the remainder of 2016.
revenues. Cards revenues were largely unchanged. While the overall negative impact from regulatory changes in the region continued to abate, growth in purchase sales slowed during the current quarter, in partincreased 1%, primarily due to actions the business took to lower the value of rewards on certain products in Australia in response to regulation that capped interchange rates. Purchase sales were also negatively impacted by slower economic growth in the region. The slower purchase sales growth and a reduction in promotional rate balances resulted in more modest loan growth (increase of 1%) in the current quarter.same factors described above.
Expenses increased 2%3%, primarily due todriven by higher repositioning costs and higher regulatory and compliance costs, partially offset by efficiency savings.
Provisions decreased 20%increased 8%, primarily due to a higherlower net loan loss reserve release, andpartially offset by lower net credit losses.

2016 YTD vs. 2015 YTD
Year-to-date, Asia GCB has experienced similar trends to
those described above. Net income decreased 24% due to lower revenues and higher expenses, partially offset by lower cost of credit.
Revenues decreased 4%, primarily due to the slowdown in investment sales revenues, lower retail lending revenues and lower cards revenues. Retail banking revenues decreased 6%, driven by the same factors described above. Cards revenues decreased 1%, primarily due to spread compression and slower purchase sales growth, mostly offset by the stabilizing payment rates and modest loan growth (2%) across the region.
Expenses increased 4%, driven by the same factors described above.
Provisions decreased 3%, primarily due to lower net credit losses, partially offset by a lower net loan loss reserve release.














INSTITUTIONAL CLIENTS GROUP

Institutional Clients Group (ICG) provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.
ICG revenue is generated primarily from fees and spreads associated with these activities. ICG earns fee income for assisting clients in clearing transactions, providing brokerage and investment banking services and other such activities. Revenue generated from these activities is recorded in Commissions and fees and Investment banking. 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. Other primarily includes mark-to-market gains and losses on certain credit derivatives, gains and losses on available-for-sale (AFS) securities and other non-recurring gains and losses. Interest income earned on inventory and loans held less interest paid to customers on deposits and long-term and short-term debt is recorded as Net interest revenue. Revenue is also generated from transaction processing and assets under custody and administration.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in over 100 countries and jurisdictions. At JuneSeptember 30, 2016, ICG had approximately $1.3 trillion of assets and $607$617 billion of deposits, while two of its businesses, securities services and issuer services, managed approximately $15.3$15.4 trillion of assets under custody compared to $15.5$14.9 trillion at the end of the prior-year period. The decline in assets under custody from the prior-year period was primarily due to business divestitures.
Second Quarter% ChangeSix Months% ChangeThird Quarter% ChangeNine Months% Change
In millions of dollars, except as otherwise noted20162015201620152016201520162015
Commissions and fees$955
$990
(4)%$1,958
$1,987
(1)%$928
$958
(3)%$2,886
$2,945
(2)%
Administration and other fiduciary fees638
663
(4)1,235
1,276
(3)610
594
3
1,845
1,870
(1)
Investment banking1,029
1,120
(8)1,769
2,254
(22)917
828
11
2,686
3,082
(13)
Principal transactions1,911
1,793
7
3,485
3,990
(13)2,063
1,209
71
5,548
5,199
7
Other(1)
46
193
(76)38
450
(92)(126)903
NM
(88)1,353
NM
Total non-interest revenue$4,579
$4,759
(4)%$8,485
$9,957
(15)%$4,392
$4,492
(2)%$12,877
$14,449
(11)%
Net interest revenue (including dividends)4,267
4,187
2
8,397
8,066
4
4,236
4,167
2
12,633
12,233
3
Total revenues, net of interest expense$8,846
$8,946
(1)%$16,882
$18,023
(6)%$8,628
$8,659
— %$25,510
$26,682
(4)%
Total operating expenses$4,760
$4,842
(2)%$9,629
$9,494
1 %$4,680
$4,715
(1)%$14,309
$14,209
1 %
Net credit losses$141
$82
72 %$352
$81
NM
$45
$37
22 %$397
$118
NM
Credit reserve build (release)(26)(123)79
82
(4)NM
(93)193
NM
(11)189
NM
Provision (release) for unfunded lending commitments(33)(46)28
38
(78)NM
(42)83
NM
(4)5
NM
Provisions for credit losses$82
$(87)NM
$472
$(1)NM
$(90)$313
NM
$382
$312
22 %
Income from continuing operations before taxes$4,004
$4,191
(4)%$6,781
$8,530
(21)%$4,038
$3,631
11 %$10,819
$12,161
(11)%
Income taxes1,289
1,331
(3)2,107
2,696
(22)1,266
1,198
6
3,373
3,894
(13)
Income from continuing operations$2,715
$2,860
(5)%$4,674
$5,834
(20)%$2,772
$2,433
14 %$7,446
$8,267
(10)%
Noncontrolling interests17
15
13
27
50
(46)19
(6)NM
46
44
5
Net income$2,698
$2,845
(5)%$4,647
$5,784
(20)%$2,753
$2,439
13 %$7,400
$8,223
(10)%
Average assets (in billions of dollars)
$1,299
$1,284
1 %$1,285
$1,282
— %$1,309
$1,264
4 %$1,293
$1,276
1 %
Return on average assets0.84%0.89%

0.73%0.91%

0.84%0.77%

0.76%0.86%

Efficiency ratio54%54%

57%53%

54%54%

56%53%

CVA/DVA-after-tax$—
$190
(100)%$—
$146
(100)%$—
$143
(100)%$—
$289
(100)%
Net income ex-CVA/DVA (2)
$2,698
$2,655
2 %$4,647
$5,638
(18)%$2,753
$2,296
20 %$7,400
$7,934
(7)%
Revenues by region 

 

 

 

North America$3,478
$3,523
(1)%$6,524
$6,914
(6)%$3,276
$3,440
(5)%$9,800
$10,354
(5)%
EMEA2,615
2,565
2
4,822
5,465
(12)2,554
2,393
7
7,376
7,858
(6)
Latin America1,033
1,027
1
2,008
2,018
—
1,009
1,049
(4)3,017
3,067
(2)
Asia1,720
1,831
(6)3,528
3,626
(3)1,789
1,777
1
5,317
5,403
(2)
Total$8,846
$8,946
(1)%$16,882
$18,023
(6)%$8,628
$8,659
— %$25,510
$26,682
(4)%

Income from continuing operations by region 

  


 

  


North America$1,059
$1,079
(2)%$1,643
$2,106
(22)%$1,119
$991
13 %$2,762
$3,097
(11)%
EMEA720
695
4
1,119
1,630
(31)680
499
36
1,799
2,129
(16)
Latin America396
430
(8)733
805
(9)396
389
2
1,129
1,194
(5)
Asia540
656
(18)1,179
1,293
(9)577
554
4
1,756
1,847
(5)
Total$2,715
$2,860
(5)%$4,674
$5,834
(20)%$2,772
$2,433
14 %$7,446
$8,267
(10)%
Average loans by region (in billions of dollars)
 

  


 

  


North America$133
$121
10 %$130
$118
10 %$135
$126
7 %$132
$122
8 %
EMEA67
63
6
65
62
5
68
63
8
66
62
6
Latin America42
41
2
43
41
5
43
40
8
43
40
8
Asia61
63
(3)61
63
(3)60
62
(3)60
62
(3)
Total$303
$288
5 %$299
$284
5 %$306
$291
5 %$301
$286
5 %
EOP deposits by business (in billions of dollars)
   

   

Treasury and trade solutions$405
$397
2 % 

$415
$399
4 % 

All other ICG businesses
202
191
6






202
196
3






Total$607
$588
3 %





$617
$595
4 %






(1)First quarter of 2016 includes a previously disclosed 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 during the quarter.
(2)Excludes CVA/DVA in the secondthird quarter and sixnine months of 2015, consistent with current period presentation. For additional information, see Notes 1 and 2220 to the Consolidated Financial Statements.
NM Not Meaningful

ICG Revenue Details—Excluding CVA/DVA and Gain/(Loss) on Loan Hedges(1) 
Second Quarter% ChangeSix Months% ChangeThird Quarter% ChangeNine Months% Change
In millions of dollars20162015201620152016201520162015
Investment banking revenue details
        
Advisory$238
$257
(7)%$465
$552
(16)%$239
$239
— %$704
$791
(11)%
Equity underwriting174
296
(41)292
527
(45)146
173
(16)438
700
(37)
Debt underwriting805
737
9
1,335
1,413
(6)701
532
32
2,036
1,945
5
Total investment banking$1,217
$1,290
(6)%$2,092
$2,492
(16)%$1,086
$944
15 %$3,178
$3,436
(8)%
Treasury and trade solutions2,048
1,955
5
3,999
3,845
4
2,039
1,933
5
6,038
5,778
4
Corporate lending—excluding gain (loss)
on loan hedges(2)
389
476
(18)844
952
(11)450
433
4
1,294
1,385
(7)
Private bank738
747
(1)1,484
1,456
2
746
715
4
2,230
2,171
3
Total banking revenues (ex-CVA/DVA and gain (loss)
on loan hedges)(1)
$4,392
$4,468
(2)%$8,419
$8,745
(4)%$4,321
$4,025
7 %$12,740
$12,770
— %
Corporate lending—gain/(loss) on loan hedges(2)
$(203)$(66)NM
$(269)$(14)NM
$(218)$352
NM
$(487)$338
NM
Total banking revenues (ex-CVA/DVA and including
gain (loss) on loan hedges)(1)
$4,189
$4,402
(5)%$8,150
$8,731
(7)%$4,103
$4,377
(6)%$12,253
$13,108
(7)%
Fixed income markets$3,468
$3,047
14 %$6,553
$6,531
— %$3,466
$2,566
35 %$10,019
$9,097
10 %
Equity markets788
649
21
1,494
1,516
(1)663
1,002
(34)2,157
2,518
(14)
Securities services531
570
(7)1,093
1,113
(2)536
513
4
1,629
1,626
—
Other(3)
(130)(25)NM
(408)(102)NM
(140)(20)NM
(548)(122)NM
Total Markets and securities services (ex-CVA/DVA)(1)
$4,657
$4,241
10 %$8,732
$9,058
(4)%$4,525
$4,061
11 %$13,257
$13,119
1 %
Total ICG (ex-CVA/DVA)
$8,846
$8,643
2 %$16,882
$17,789
(5)%$8,628
$8,438
2 %$25,510
$26,227
(3)%
CVA/DVA (excluded as applicable in lines above)—
303
NM
—
234
NM
—
221
NM
—
455
NM
Fixed income markets—
289
NM
—
214
NM
—
180
NM
—
392
NM
Equity markets—
15
NM
—
17
NM
—
44
NM
—
63
NM
Private bank—
(1)NM
—
3
NM
—
(3)NM
—
—
NM
Total revenues, net of interest expense$8,846
$8,946
(1)%$16,882
$18,023
(6)%$8,628
$8,659
— %$25,510
$26,682
(4)%


(1)Excludes CVA/DVA in the secondthird quarter and sixnine months of 2015, consistent with current period presentation. For additional information, see Notes 1 and 2220 to the Consolidated Financial Statements.
(2)Hedges on accrual loans reflect the mark-to-market on credit derivatives used to economically hedge the corporate loan accrual portfolio. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection.
(3)First quarter of 2016 includes the previously disclosed 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 during the quarter.
NM Not meaningful



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

2Q163Q16 vs. 2Q153Q15
Net income increased 2%20%, primarily driven by higher revenues, lower expenses and lower expenses, partially offset by higher credit costs.cost of credit.

Revenues increased 2%, reflecting higher revenues in Markets and securities services (increase of 10%11%), partiallydriven by fixed income markets, offset by lower revenues in Banking (decrease of 5%, decrease of 2% excluding6% including the gains/(losses) on hedges on accrual loans). Excluding the impact of the gains/(losses) on loan hedges, Banking revenues increased 7%, driven by debt underwriting in investment banking and treasury and trade solutions. Citi expects revenues in ICG, particularly in its Markets and securities services businesses, will likely continue to reflect the overall market environment including normal seasonal trends during the remainder of 2016.2016, including a normal seasonal decline in Markets and securities services revenues.

Within Banking:

Investment banking revenues decreased 6%increased 15%, largely reflecting anincreased industry-wide slowdown indebt underwriting activity levels, particularly in equity underwriting, partially offset by an increase in wallet share across all products.during the current quarter. Advisory revenues decreased 7%, primarily reflecting thewere largely unchanged, despite a lower overall M&A market. Equity underwriting revenues decreased 41%16%, driven by the lower market activity.North America, primarily reflecting a decrease in wallet share resulting from continued share fragmentation. Debt underwriting revenues increased 9%32%, driven by North America and EMEA, primarily due to the increase in wallet share.higher market activity.
Treasury and trade solutions revenues increased 5%. Excluding the impact of FX translation, revenues increased 9%8% due to continued growth in transaction volumes with new and existing clients, continued growth in deposit balances across all regions, improved spreads, particularly in EMEANorth America and Latin AmericaEMEA, improved spreads, and overall growth in the trade business.business, driven by Latin America. End-of-period deposit balances increased 2% (3%4%, while average trade loans decreased 1% (unchanged excluding the impact of FX translation), while average trade loans decreased 4% (3% excluding the impact of FX translation), as the business maintained origination volumes while reducing lower spread assets and increasing asset sales to optimize returns..
Corporate lending revenues decreased 55%70%. Excluding the impact of gains/(losses) on hedges on accrual loans, revenues decreased 18%increased 4%, drivenmostly reflecting higher average loans, partially offset by an adjustment to the residual value of a lease financing as well as higher hedging costs.
Private bank revenues decreased 1%increased 4%, driven by North America, reflecting weakness in Latin Americaloan growth, improved banking spreads and Asia, primarily due to a decline inhigher managed investments and lower capital markets activities, partially offset by growth in deposit balances and loan volumes.investment revenues.


 

Within Markets and securities services:

Fixed income markets revenues increased 14%35%, with higher revenues in all regions. Rates and currencies (both G10 products and local markets) drove these results, with revenues up 25% year-over-year, including particularly strong performance following the U.K. referendum on June 23, 2016, as well as a more favorable trading environment. The business experienced continued growth in activity throughout the current quarter with the corporate client base, which comprises over 40% of direct client revenues in rates and currencies. The increase in fixed income markets revenues was driven by higher rates and currencies revenues was partially offsetand higher spread products revenues. Rates and currencies revenues increased 34%, driven by loweroverall strength in North America and EMEA, primarily due to increased client activity and strong trading results in G10 rates, as well as strength in local markets revenues, particularly in EMEA and Latin America. The increase in spread products revenues mostly reflecting a decline inwas driven by higher credit markets and securitized markets revenues, particularly in North America. AmericaThe decline, as the businesses continued to recover from the lower levels experienced in spread products revenues was partially offset by an increase in credit markets andlate 2015, as well as higher municipals revenues driven by higher client activity as compared to the prior-year period.in North America.
Equity markets revenues increased 21%, primarily reflecting the absence of the charge fordecreased 34%. The prior-year period included a positive valuation adjustmentsadjustment ($140 million) related to certain financing transactions (see “Executive Summary” above). Excluding the adjustment, revenues decreased 4%23%, reflecting the impact ofdriven by lower client volumes andactivity, a less favorable environment, particularly in derivatives, as well as a comparison to strong trading performance in Asiain the prior-year period.
Securities services revenues decreased 7%increased 4%. Excluding the impact of FX translation, revenues decreased 3%increased 6%, driven by EMEA and Asia, primarily reflecting increased client activity, higher deposit volumes and improved spreads, partially offset by the absence of revenues from divestitures as well as lower assets under custody due to lower market valuations. Excluding the impact of FX translation and divestitures, revenues increased 2%.divestitures.

Expenses decreased 2%1% as repositioninga benefit from FX translation, efficiency savings and lower legal and related costs and a benefit from FX translation were partially offset by higher compensation expense and higher repositioning charges.
Provisions increased $169decreased $403 million to $82a benefit of $90 million due to higher net credit losses andin the current quarter reflecting a lower net loan loss reserve release ($59of $135 million compared(compared to $169a net build of $276 million in the prior-year period). Net and net credit losses increased 72% to $141of $45 million with approximately two-thirds of these losses($37 million in the prior-year period), which were largely offset by relatedpreviously established loan loss reserves. While, in total, the corporate credit portfolio experienced a net reserve releases. The cost of credit related to energyrelease from ratings upgrades, reductions in exposures and energy-related exposures was de minimis inimproved valuations during the current quarter, the business remains cautious as net credit losses were offset by previously existing loan loss reservesto the energy sector and the portfolio benefited from stabilization of oil prices and increased capital markets activity by clients (forpotential price volatility. For additional information on Citi’s corporate energy and energy-related exposures, see “Credit Risk—Corporate Credit” below.) Despite the stabilization of oil prices during the current quarter, and the resulting positive impact on ICG cost of credit, the business remains cautious as to the energy sector, and the environment remains uncertain. Depending on these factors, ICG could see total provisions increase from current quarter levels during the remainder of 2016.




2016 YTD vs. 2015 YTD
Net income decreased 18%7%, primarily driven by lower revenues, higher cost of credit costs and higher expenses.

Revenues decreased 5%3%, reflecting lower revenues in Markets and securities services (decrease of 4%) and lower revenues in Banking (decrease of 7%, decrease of 4% excluding including the gains/(losses) on hedges on accrual loans), partially offset by higher revenues in Markets and securities services (increase of 1%). Excluding the impact of the gains/(losses) on hedges on accrual loans, Banking revenues were largely unchanged.

Within Banking:

Investment banking revenues decreased 16%8%, largely reflecting the overall industry-wide slowdown in activity levels during the first half of 2016. Advisory revenues decreased 16%11%, particularly in North America, reflecting strong performance in the prior-year period as well as the lower market activity. Equity underwriting revenues decreased 45%37%, in line withprimarily due to the decline in market activity. Debt underwriting revenues decreased 6%increased 5%, primarily due to the decline inincreased market activity partially offset byand a higher wallet share.
Treasury and trade solutions revenues increased 4% (8% excluding. Excluding the impact of FX translation)translation, revenues increased 8%, reflecting growth across all regions. The increase was primarily due to continued growth in transaction volumes, continued growth in deposit balances, across all regions and improved spreads, particularly in Latin America and North America, asand overall growth in trade revenues were largely unchanged.revenues.
Corporate lending revenues decreased 39%53%. Excluding the impact of gains/(losses) on hedges on accrual loans, revenues decreased 11%7%, driven by thea lease financing adjustment referenced above,in the second quarter of 2016 and higher hedging costs, and the absence of positive mark-to-market adjustments compared to the prior-year period, partially offset by continued growth in average loan balances.
Private bank revenues increased 2%3%, reflecting growth in loan volumes and deposit balances, partially offset by lower capital markets activity and managed investments.

Within Markets and securities services:

Fixed income markets revenues were largely unchanged asincreased 10%, due to strength in North America, Latin America and Asia. The increase in fixed income markets revenues was driven by growth in rates and currencies, partially offset by a decrease in spread products and commodities revenues. Rates and currencies revenues were offsetincreased 20%, primarily driven by growthoverall G10 products, due to strength in ratesNorth America, EMEA and currencies.Asia. Spread products revenues declined modestly due to a decline in securitized markets revenues, particularly in North America and EMEA, and credit markets revenues, partiallylargely offset by an increase in municipals revenues and credit markets revenues. The decline in spread products revenues was primarily driven bydue to lower activity levels and a less favorable environment in the early part of 2016. The decline in spread products revenues was offset by strength in rates and currencies revenues (15% increase year-over-year) due to higher revenues in overall G10 products, partially offset by lower local markets revenues in EMEA.
Equity markets revenues decreased 1%. Excluding the valuation adjustment referenced above, revenues decreased 12%14%, reflecting the impact of lower client volumes in cash equities and derivatives and the strong trading performance in Asia in the prior-year period.period, partially offset by increased prime finance revenues.
Securities services revenues decreased 2%. Excluding the impact of FX translation, revenueswere largely unchanged as increased 3%,
primarily reflectingclient activity and a modest gain on sale of a private equity fund services business.business in the first quarter of 2016 were offset by the absence of revenues from divestitures and lower assets under custody due to lower market valuations.

Expenses increased 1% as higher repositioning charges and higher legal and related costs and investment spendingcompensation expense were largely offset by repositioning savings and a benefit from FX translation.translation, efficiency savings and lower legal and related costs.
Provisions increased $473 million,22%, primarily reflecting net credit losses of $352$397 million ($81118 million in the prior-year period) and a net loan loss reserve buildrelease of $120$15 million (negative $82(build of $194 million in the period-yearprior-year period). This higher cost of credit included approximately $216$215 million of net credit losses and an approximately $154$118 million net loan loss reserve build related to energy and energy-related exposures in the first half of 2016,year-to-date period, largely due to low oil prices as well as the impact of regulatory guidance.guidance in the first quarter of 2016.






CORPORATE/OTHER
Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses, Corporate Treasury and discontinued operations. At JuneSeptember 30, 2016, Corporate/Other had $49$43 billion of assets, or 3%2% of Citigroup’s total assets.

Second Quarter% ChangeSix Months% ChangeThird Quarter% ChangeNine Months% Change
In millions of dollars20162015201620152016201520162015
Net interest revenue$56
$(22)NM
$150
$(49)NM
$(9)$(64)86 %$141
$(113)NM
Non-interest revenue70
393
(82)%250
632
(60)%37
282
(87)%287
914
(69)%
Total revenues, net of interest expense$126
$371
(66)%$400
$583
(31)%$28
$218
(87)%$428
$801
(47)%
Total operating expenses$447
$386
16 %$865
$928
(7)%$458
$349
31 %$1,323
$1,277
4 %
Provisions for loan losses and for benefits and claims—
—
—
—
—
—
—
—
—
—
—
—
Loss from continuing operations before taxes$(321)$(15)NM
$(465)$(345)(35)%$(430)$(131)NM
$(895)$(476)(88)%
Income taxes (benefits)(232)(246)6 %(347)(557)38 %(183)(314)42 %(530)(871)39 %
Income (loss) from continuing operations$(89)$231
NM
$(118)$212
NM
$(247)$183
NM
$(365)$395
NM
Income (loss) from discontinued operations, net of taxes(23)6
NM
(25)1
NM
(30)(10)NM
(55)(9)NM
Net income (loss) before attribution of noncontrolling interests$(112)$237
NM
$(143)$213
NM
$(277)$173
NM
$(420)$386
NM
Noncontrolling interests3
(2)NM
(5)8
NM
(5)3
NM
(10)11
NM
Net income (loss)$(115)$239
NM
$(138)$205
NM
$(272)$170
NM
$(410)$375
NM
NM Not meaningful

2Q163Q16 vs. 2Q153Q15
The net loss was $115$272 million, compared to net income of $239$170 million in the prior-year period, due to lower revenues and higher expenses and a higher effective tax rate due to the absence of the previously disclosed favorablecertain tax impact reflecting the resolution of certain state and local auditsbenefits in the prior-year period (see “Income Taxes” below).current quarter.
Revenues decreased 66%87%, primarily due to the absence of gains on real estate sales in the prior-year period and lower gains on debt buybacks. Corporate/Other expects revenuesequity contribution related to be at or near zero during the remainder of 2016 as a result of lower debt buyback activity and the absence of certain episodic gains.China Guangfa Bank (see “Executive Summary” above).
Expenses increased 16%31%, largely driven by higher corporate-wide advertising and marketing expenses related to Citi’s sponsorship of the U.S. Olympic team and higher legal andconsulting costs related expenses.to the timing of Citi’s resolution plan submission towards the end of the current quarter.

 

2016 YTD vs. 2015 YTD
Year-to-date, Corporate/Other has experienced similar trends to those described above. The net loss was $138$410 million, compared to net income of $205$375 million in the prior-year period, reflecting lower revenues, the higher effective tax rate and the absence of the favorable tax impact reflecting the resolution of the state and local audits partially offset by lowerin the second quarter of 2015 and higher expenses.
Revenues decreased 31%47%, primarily due to the absence of the gains on real estate sales, and lower gains on debt buybacks and the absence of the equity contribution related to China Guangfa Bank, partially offset by higher investment income.
Expenses decreased 7%increased 4%, largely driven by the higher expenses related to the Olympic sponsorship, the higher consulting costs described above and higher repositioning charges, partially offset by lower legal and related expenses, partially offset by higher repositioning charges.expenses.






CITI HOLDINGS
Citi Holdings contains the remaining businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses. As of JuneSeptember 30, 2016, Citi Holdings assets were approximately $66$61 billion, a decrease of 47%48% year-over-year and 10%8% from March 31,June 30, 2016. The decline in assets of $7$5 billion from March 31,June 30, 2016 primarily consisted of divestitures and run-off. As of June 30,October 31, 2016, Citi had signed agreements to reduce Citi Holdings GAAP assets by $7an additional $10 billion, including Citi’s consumer banking businesses in Argentina and Brazil, subject to regulatory approvals and other closing conditions.
Also as of JuneSeptember 30, 2016, consumer assets in Citi Holdings were approximately $58$54 billion, or approximately 88%89% of Citi Holdings assets. Of the consumer assets, approximately $33$31 billion, or 57%, consisted of North America mortgages (residential first mortgages and home equity loans). As of JuneSeptember 30, 2016, Citi Holdings represented approximately 4%3% of Citi’s GAAP assets and 10%9% of its risk-weighted assets under Basel III (based on the Advanced Approaches for determining risk-weighted assets).

Second Quarter% ChangeSix Months% ChangeThird Quarter% ChangeNine Months% Change
In millions of dollars, except as otherwise noted20162015201620152016201520162015
Net interest revenue$549
$1,200
(54)%$1,146
$2,459
(53)%$482
$1,151
(58)%$1,628
$3,610
(55)%
Non-interest revenue294
769
(62)1,172
1,655
(29)395
530
(25)1,567
2,185
(28)
Total revenues, net of interest expense$843
$1,969
(57)%$2,318
$4,114
(44)%$877
$1,681
(48)%$3,195
$5,795
(45)%
Provisions for credit losses and for benefits and claims 

 

 

 

Net credit losses$102
$334
(69)%$245
$803
(69)%$129
$272
(53)%$374
$1,075
(65)%
Credit reserve release(224)(185)(21)(255)(357)29
(122)(171)29
(377)(528)29
Provision for loan losses$(122)$149
NM
$(10)$446
NM
$7
$101
(93)%$(3)$547
NM
Provision for benefits and claims29
160
(82)89
329
(73)10
161
(94)99
490
(80)
Release for unfunded lending commitments(5)2
NM
(7)(3)NM
—
(19)100
(7)(22)68
Total provisions for credit losses and for benefits and claims$(98)$311
NM
$72
$772
(91)%$17
$243
(93)%$89
$1,015
(91)%
Total operating expenses$858
$1,362
(37)%$1,686
$2,747
(39)%$826
$1,374
(40)%$2,512
$4,121
(39)%
Income from continuing operations before taxes$83
$296
(72)%$560
$595
(6)%$34
$64
(47)%$594
$659
(10)%
Income taxes (benefits)(15)140
NM
115
289
(60)%(40)65
NM
75
354
(79)%
Income from continuing operations$98
$156
(37)%$445
$306
45 %$74
$(1)NM
$519
$305
70 %
Noncontrolling interests5
—
NM
$6
$1
NM
—
—
—
$6
$1
NM
Net income$93
$156
(40)%$439
$305
44 %
Net income (loss)$74
$(1)NM
$513
$304
69 %
Total revenues, net of interest expense (excluding CVA/DVA)(1)






 







 

Total revenues—as reported$843
$1,969
(57)%$2,318
$4,114
(44)%$877
$1,681
(48)%$3,195
$5,795
(45)%
CVA/DVA—
9
NM
—
5
NM
—
(25)NM
—
(20)NM
Total revenues-excluding CVA/DVA(1)
$843
$1,960
(57)%$2,318
$4,109
(44)%$877
$1,706
(49)%$3,195
$5,815
(45)%
Balance sheet data (in billions of dollars)
   

   

Average assets$71
$126
(44)%$75
$130
(42)%$64
$120
(47)%$71
$127
(44)%
Return on average assets0.53%0.50% 1.18%0.47%

0.46%— % 0.97%0.32%

Efficiency ratio102%69% 73%67%

94%82 % 79%71%

Total EOP assets$66
$124
(47) 

$61
$117
(48) 

Total EOP loans41
64
(35) 

39
60
(35) 

Total EOP deposits6
12
(45) 

6
11
(44) 


(1)Excludes CVA/DVA in the secondthird quarter and sixnine months of 2015, consistent with current period presentation. For additional information, see Notes 1 and 2220 to the Consolidated Financial Statements.
NM Not meaningful



The discussion of the results of operations for Citi Holdings below excludes the impact of CVA/DVA for the secondthird quarter and year-to-date 2015. Presentations of the results of operations, excluding the impact of CVA/DVA, are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.

2Q16
3Q16 vs. 2Q153Q15
Net income was $93$74 million, compared to $150net income of $15 million in the prior-year period, primarily due to lower revenues, partially offset by lower expenses and lower cost of credit.credit, partially offset by lower revenues.
Revenues decreased 57%49%, primarily driven by the overall wind-down of the portfolio and lower net gains on asset sales in the current quarter.portfolio.
Expenses declined 37%40%, primarily due to the ongoing decline in assets partially offset by a modest increase inand modestly lower legal and related and repositioning costs.
Provisions decreased $409 million93% to a benefit of $98$17 million, driven by lower net credit losses and a higherlower provision for benefits and claims reflecting lower insurance-related assets, partially offset by a lower net loan loss reserve release. Net credit losses declined 69%53%, primarily due to divestiture activity and continued improvements in North America mortgages. The net reserve release increased 25%decreased 36% to $229$122 million, primarily due to the impact of asset sales in the current quarter.sales.

 

2016 YTD vs. 2015 YTD
Year-to-date, Citi Holdings has experienced similar trends to
those described above. Net income increased 45%62% to $439$513 million, primarily due to lower expenses and lower netcost of credit, losses, partially offset by lower revenues and a lower net loan loss reserve release.revenues.
Revenues decreased 44%45%, primarily driven by the overall wind-down of the portfolio, partially offset by higher net gains on asset sales.
Expenses declined 39%, primarily due to the ongoing decline in assets and lower legal and related costs, partially offset by higher repositioning costs.
Provisions decreased 91%, driven by lower net credit losses, partially offset by a lower net loan loss reserve release.the same factors described above. Net credit losses declined 69%65%, primarily due to overall lower asset levels as well as continued improvements in North America mortgages. The net reserve release decreased 27%30% to $262$384 million, primarily due to the impact of asset sales.

Payment Protection Insurance (PPI)
For background information on PPI, see “Citi Holdings” in Citi’s 2015 Annual Report on Form 10-K.
In August 2016, the U.K. Financial Conduct Authority (FCA) issued a new consultation paper that included, among other things, a deadline for PPI complaints of June 2019 (a 2018 deadline was proposed previously). Final rules are expected by year-end 2016, with an effective date in March 2017.
During the current quarter, Citi increased its PPI reserves by approximately $70 million ($34 million of which was recorded in Citi Holdings and $36 million of which was recorded in discontinued operations), largely driven by the new proposed deadline for PPI complaints as well as the ongoing level of claims. Citi’s PPI reserve as of the end of the current quarter was $256 million, compared to $262 million as of the end of 2015. Additional reserving actions, if any, during the remainder of 2016 will largely depend on the timing and requirements of the FCA’s final rules.

 




OFF-BALANCE SHEET ARRANGEMENTS

The table below shows where a discussion of Citi’s various off-balance sheet arrangements may be found in this Form 10-Q. For additional information on Citi’s off-balance sheet arrangements, see “Off-Balance Sheet Arrangements” and Notes 1, 22 and 27 to the Consolidated Financial Statements in Citigroup’s 2015 Annual Report on Form 10-K.
Types of Off-Balance Sheet Arrangements Disclosures in this Form 10-Q
Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEsSee Note 2018 to the Consolidated Financial Statements.
Letters of credit, and lending and other commitmentsSee Note 2422 to the Consolidated Financial Statements.
GuaranteesSee Note 2422 to the Consolidated Financial Statements.



CAPITAL RESOURCES
Overview
Capital is used principally to support assets in Citi’s businesses and to absorb credit, market, and operational losses. Citi primarily generates capital through earnings from its operating businesses. Citi may augment its capital through issuances of common stock, noncumulative perpetual preferred stock and equity issued through awards under employee benefit plans, among other issuances. During the second quarter of 2016, consistent with the planned optimization of its capital structure, Citi issued noncumulative perpetual preferred stock amounting to $1.5 billion, resulting in a total of approximately $19.3 billion outstanding as of June 30, 2016. In addition, during the second quarter of 2016, Citi returned a total of approximately $1.5 billion of capital to common shareholders in the form of share repurchases (approximately 30 million common shares) and dividends.
Further, Citi’s capital levels may also be affected by changes in accounting and regulatory standards as well as the impact of future events on Citi’s business results, such as corporate and asset dispositions.

During the third quarter of 2016, Citi returned a total of approximately $3.0 billion of capital to common shareholders in the form of share repurchases (approximately 56 million common shares) and dividends.
Capital Management
Citi’s capital management framework is designed to ensure that Citigroup and its principal subsidiaries maintain sufficient capital consistent with each entity’s respective risk profile, management targets, and all applicable regulatory standards and guidelines. For additional information regarding Citi’s capital management, see “Capital Resources—Capital Management” in Citigroup’s 2015 Annual Report on Form 10-K.

Capital Planning and Stress Testing
Citi is subject to an annual assessment by the Federal Reserve Board as to whether Citi 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: Thethe Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST). For additional information regarding Citi’s capital planning and stress testing, including potential changes in Citi’s regulatory capital requirements and future CCAR processes, see “Forward-Looking Statements” below and “Capital Resources—Current Regulatory Capital Standards— Capital Planning and Stress Testing” and “Risk Factors—Regulatory Risks” in Citigroup’s 2015 Annual Report on Form 10-K.
In JuneSeptember 2016, the Federal Reserve Board expressed no objectionproposed certain revisions to Citi’sits capital plan, including requested capital actions, in conjunctionplanning and stress testing rules which, if adopted, would become effective with the 20162017 CCAR (for additional information, see “Equity Security Repurchases”cycle. Among the proposed revisions would be a reduction in the amount of capital a banking organization subject to the quantitative requirements of CCAR may request to distribute in excess of the amount otherwise previously approved under its capital plan. The so-called “de minimis exception” threshold would be lowered from the current 1.0% to 0.25% of Tier 1 Capital, and “Dividends” below).



would be available to these banking organizations,
 
subject to compliance with certain conditions, including 15 days prior notification as to planned execution of the exception and no objection by the Federal Reserve Board within that timeframe.

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. For additional information regarding the risk-based capital ratios, Tier 1 Leverage ratio, and Supplementary Leverage ratio, see “Capital Resources—Current Regulatory Capital Standards” in Citigroup’s 2015 Annual Report on Form 10-K.

GSIB Surcharge
The Federal Reserve Board also adopted a rule which 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. GSIB surcharges under the rule initially range from 1.0% to 4.5% of total risk-weighted assets. Citi’s initial GSIB surcharge effective January 1, 2016 is 3.5%. However, Citi’sCiti expects that its efforts in addressing quantitative measures of its systemic importance have resulted in a reduction of Citi’s estimated GSIB surcharge to 3%, effective January 1, 2017. For additional information regarding the identification of a GSIB and the methodology for annually determining the GSIB surcharge, see “Capital Resources—Current Regulatory Capital Standards—GSIB Surcharge” in Citigroup’s 2015 Annual Report on Form 10-K.

Transition Provisions
The U.S. Basel III rules contain several differing, largely multi-year transition provisions (i.e., “phase-ins” and “phase-outs”). Citi considers all of these transition provisions as being fully implemented on January 1, 2019 (full implementation). For additional information regarding the transition provisions under the U.S. Basel III rules, including with respect to the GSIB surcharge, see “Capital Resources—Current Regulatory Capital Standards—Transition Provisions” in Citigroup’s 2015 Annual Report on Form 10-K.



















Citigroup’s Capital Resources Under Current Regulatory Standards
During 2015 and thereafter, Citi is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6% and 8%, 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 3.5% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), are 6%, 7.5%, and 9.5%, respectively. Citi’s effective and stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2015 were equivalent at 4.5%, 6%, and 8%, 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%, a Total Capital ratio of at least 10%, and not be subject to a Federal Reserve Board directive to maintain higher capital levels.
The following table sets forth the capital tiers, total risk-weighted assets, 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 JuneSeptember 30, 2016 and December 31, 2015.


Citigroup Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
June 30, 2016 December 31, 2015September 30, 2016 December 31, 2015
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$171,594
$171,594
 $173,862
$173,862
$172,046
$172,046
 $173,862
$173,862
Tier 1 Capital181,282
181,282
 176,420
176,420
182,171
182,171
 176,420
176,420
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
206,163
218,860
 198,746
211,115
208,053
221,024
 198,746
211,115
Total Risk-Weighted Assets1,204,218
1,152,635
 1,190,853
1,138,711
1,204,384
1,143,625
 1,190,853
1,138,711
Common Equity Tier 1 Capital ratio(2)
14.25%14.89% 14.60%15.27%14.28%15.04% 14.60%15.27%
Tier 1 Capital ratio(2)
15.05
15.73
 14.81
15.49
15.13
15.93
 14.81
15.49
Total Capital ratio(2)
17.12
18.99
 16.69
18.54
17.27
19.33
 16.69
18.54
In millions of dollars, except ratiosJune 30, 2016 December 31, 2015September 30, 2016 December 31, 2015
Quarterly Adjusted Average Total Assets(3)
 $1,754,048
  $1,732,933
 $1,777,662
  $1,732,933
Total Leverage Exposure(4)
 2,332,632
  2,326,072
 2,366,219
  2,326,072
Tier 1 Leverage ratio 10.34%  10.18% 10.25%  10.18%
Supplementary Leverage ratio 7.77
  7.58
 7.70
  7.58

(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 JuneSeptember 30, 2016 and December 31, 2015, 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 JuneSeptember 30, 2016 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 JuneSeptember 30, 2016.






Components of Citigroup Capital Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsJune 30,
2016		December 31, 2015September 30,
2016		December 31, 2015
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$212,819
$205,286
$212,506
$205,286
Add: Qualifying noncontrolling interests277
369
275
369
Regulatory Capital Adjustments and Deductions:  
Less: Net unrealized gains (losses) on securities available-for-sale (AFS), net of tax(2)(3)
822
(544)649
(544)
Less: Defined benefit plans liability adjustment, net of tax(3)
(2,243)(3,070)(2,238)(3,070)
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(4)
(149)(617)(232)(617)
Less: Cumulative unrealized net gain related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax(3)(5)
344
176
201
176
Less: Intangible assets:  
Goodwill, net of related deferred tax liabilities (DTLs)(6)
21,854
21,980
21,763
21,980
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related
DTLs(3)(7)
3,215
1,434
3,106
1,434
Less: Defined benefit pension plan net assets(3)
578
318
535
318
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general
business credit carry-forwards(3)(8)
13,765
9,464
13,502
9,464
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
and MSRs(3)(8)(9)
3,316
2,652
3,449
2,652
Total Common Equity Tier 1 Capital$171,594
$173,862
$172,046
$173,862
Additional Tier 1 Capital  
Qualifying perpetual preferred stock(1)
$19,069
$16,571
$19,069
$16,571
Qualifying trust preferred securities(10)
1,368
1,707
1,369
1,707
Qualifying noncontrolling interests17
12
18
12
Regulatory Capital Adjustment and Deductions:  
Less: Cumulative unrealized net gain related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax(3)(5)
230
265
134
265
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
184
229
Less: Defined benefit pension plan net assets(3)
386
476
356
476
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards(3)(8)
9,177
14,195
9,001
14,195
Less: Permitted ownership interests in covered funds(12)
789
567
Less: Permitted ownership interests in covered funds(11)
759
567
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(12)
81
229
Total Additional Tier 1 Capital$9,688
$2,558
$10,125
$2,558
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)$181,282
$176,420
$182,171
$176,420
Tier 2 Capital  
Qualifying subordinated debt(13)
$23,701
$21,370
Qualifying subordinated debt(13)(14)
$25,007
$21,370
Qualifying trust preferred securities(10)
328
—
324
—
Qualifying noncontrolling interests23
17
24
17
Excess of eligible credit reserves over expected credit losses(14)
1,011
1,163
Excess of eligible credit reserves over expected credit losses(15)
605
1,163
Regulatory Capital Adjustment and Deduction:  
Add: Unrealized gains on AFS equity exposures includable in Tier 2 Capital2
5
3
5
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
184
229
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(12)
81
229
Total Tier 2 Capital$24,881
$22,326
$25,882
$22,326
Total Capital (Tier 1 Capital + Tier 2 Capital)$206,163
$198,746
$208,053
$198,746


Citigroup Risk-Weighted Assets Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsJune 30,
2016		December 31, 2015September 30,
2016		December 31, 2015
Credit Risk(15)
$809,540
$791,036
Credit Risk(16)
$796,200
$791,036
Market Risk69,678
74,817
71,070
74,817
Operational Risk325,000
325,000
337,114
325,000
Total Risk-Weighted Assets$1,204,218
$1,190,853
$1,204,384
$1,190,853

(1)Issuance costs of $184 million and $147 million related to preferred stock outstanding at JuneSeptember 30, 2016 and December 31, 2015, respectively, are excluded from common stockholders’ equity and netted against preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)In addition, includes the net amount of unamortized loss on 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/or Additional Tier 1 Capital are set forth in the chart entitled “Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions”, as presented in Citigroup’s 2015 Annual Report on Form 10-K.
(4)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.
(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, 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)Identifiable intangible assets other than MSRs increased by approximately $2.2 billion during the second quarter of 2016 as a result of the acquisition of the Costco cards portfolio, as well as the renewal and extension of the co-branded credit card program agreement with American Airlines. For additional information, see Note 1615 to the Consolidated Financial Statements.
(8)Of Citi’s approximately $45.4 billion of net DTAs at JuneSeptember 30, 2016, approximately $20.9$21.2 billion of such assets were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $24.5$24.2 billion of such assets were excluded in arriving at regulatory capital. Comprising the excluded net DTAs was an aggregate of approximately $26.3$26.0 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences, of which $17.1$17.0 billion were deducted from Common Equity Tier 1 Capital and $9.2$9.0 billion were deducted from Additional Tier 1 Capital. Serving to reduce the approximately $26.3$26.0 billion of aggregate excluded net DTAs was approximately $1.8 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.
(9)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At JuneSeptember 30, 2016 and December 31, 2015, the deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation.
(10)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules, as well as non-grandfathered trust preferred securities which are eligible for inclusion in Tier 1 Capital during 2015 in an amount up to 25% of the aggregate outstanding principal amounts of such issuances as of January 1, 2014. The remaining 75% of non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital during 2015 in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules. As of December 31, 2015, however, the entire amount of non-grandfathered trust preferred securities was included within Tier 1 Capital, as the amounts outstanding did not exceed the respective threshold for exclusion from Tier 1 Capital. 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. During 2016, non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital in an amount up to 60% of the aggregate outstanding principal amounts of such issuances as of January 1, 2014.
(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 July 2015, banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act that 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.
(12)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(13)Under the transition arrangements of the U.S. Basel III rules, non-qualifying subordinated debt issuances which consist of those with a fixed-to-floating rate step-up feature where the call/step-up date has not passed are eligible for inclusion in Tier 2 Capital during 2015 up to 25% of the aggregate outstanding principal amounts of such issuances as of January 1, 2014. Effective January 1, 2016, non-qualifying subordinated debt issuances are not eligible for inclusion in Tier 2 Capital.
(14)At the beginning of each of the last five years of the life of each qualifying subordinated debt instrument, the carrying amount that is eligible to be included in Tier 2 Capital is reduced by 20% of the original amount of the instrument (net of redemptions), in accordance with the U.S. Basel III rules.
(15)Advanced Approaches banking organizations are permitted to include in Tier 2 Capital eligible credit reserves that exceed expected credit losses to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.
(15)(16)Under the U.S. Basel III rules, credit risk-weighted assets during the transition period reflect the effects of transitional 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.


Citigroup Capital Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsThree Months Ended June 30, 2016Six Months Ended 
  June 30, 2016		Three Months Ended September 30, 2016Nine Months Ended  
  September 30, 2016
Common Equity Tier 1 Capital  
Balance, beginning of period$169,924
$173,862
$171,594
$173,862
Net income3,998
7,499
3,840
11,339
Common and preferred dividends declared(469)(828)
Common and preferred stock dividends declared(689)(1,517)
Net increase in treasury stock(1,315)(1,862)(2,530)(4,392)
Net change in common stock and additional paid-in capital(1)
147
(520)144
(376)
Net change in foreign currency translation adjustment net of hedges, net of tax(552)102
Net increase in unrealized gains on securities AFS, net of tax556
1,595
Net increase in defined benefit plans liability adjustment, net of tax(16)(1,319)
Net decrease in foreign currency translation adjustment net of hedges, net of tax(375)(273)
Net change in unrealized gains/losses on securities AFS, net of tax(259)1,336
Net change in defined benefit plans liability adjustment, net of tax7
(1,312)
Net change in adjustment related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
5
37
(57)(20)
Net decrease in goodwill, net of related deferred tax liabilities (DTLs)81
126
91
217
Net increase in identifiable intangible assets other than mortgage servicing rights
(MSRs), net of related DTLs
(1,216)(1,781)
Net increase in defined benefit pension plan net assets(56)(260)
Net change in identifiable intangible assets other than mortgage servicing rights
(MSRs), net of related DTLs
109
(1,672)
Net change in defined benefit pension plan net assets43
(217)
Net change in deferred tax assets (DTAs) arising from net operating loss, foreign
tax credit and general business credit carry-forwards
283
(4,301)263
(4,038)
Net change in excess over 10%/15% limitations for other DTAs, certain common stock
investments and MSRs
244
(664)
Net increase in excess over 10%/15% limitations for other DTAs, certain common
stock investments and MSRs
(133)(797)
Other(20)(92)(2)(94)
Net change in Common Equity Tier 1 Capital$1,670
$(2,268)$452
$(1,816)
Common Equity Tier 1 Capital Balance, end of period$171,594
$171,594
$172,046
$172,046
Additional Tier 1 Capital  
Balance, beginning of period$8,167
$2,558
$9,688
$2,558
Net increase in qualifying perpetual preferred stock(1)
1,494
2,498
—
2,498
Net change in qualifying trust preferred securities2
(339)1
(338)
Net change in adjustment related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax(5)35
96
131
Net change in defined benefit pension plan net assets(38)90
Net decrease in defined benefit pension plan net assets30
120
Net decrease in DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards
189
5,018
176
5,194
Net increase in permitted ownership interests in covered funds(164)(222)
Net change in permitted ownership interests in covered funds30
(192)
Other43
50
104
154
Net increase in Additional Tier 1 Capital$1,521
$7,130
$437
$7,567
Tier 1 Capital Balance, end of period$181,282
$181,282
$182,171
$182,171
Tier 2 Capital  
Balance, beginning of period$23,567
$22,326
$24,862
$22,326
Net increase in qualifying subordinated debt1,037
2,331
1,325
3,637
Net change in qualifying trust preferred securities(9)328
(4)324
Net change in excess of eligible credit reserves over expected credit losses245
(152)
Net decrease in excess of eligible credit reserves over expected credit losses(406)(558)
Other41
48
105
153
Net increase in Tier 2 Capital$1,314
$2,555
$1,020
$3,556
Tier 2 Capital Balance, end of period$24,881
$24,881
$25,882
$25,882
Total Capital (Tier 1 Capital + Tier 2 Capital)$206,163
$206,163
$208,053
$208,053

(1)During the three months and sixnine months ended JuneSeptember 30, 2016, Citi issued $1.5 billion and approximately $2.5 billion of qualifying perpetual preferred stock with issuance costs of $6 million and $37 million, respectively.million. In accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP, such issuance costs are excluded from common stockholders’ equity and netted against preferred stock.



 



Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsThree Months Ended June 30, 2016Six Months Ended 
  June 30, 2016
 Total Risk-Weighted Assets, beginning of period$1,210,107
$1,190,853
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(1)
(1,278)(9,192)
Net increase in wholesale exposures(2)
1,335
3,724
Net change in repo-style transactions(3,218)635
Net decrease in securitization exposures(2,154)(468)
Net change in equity exposures(189)402
Net increase in over-the-counter (OTC) derivatives(3)
2,148
9,686
Net increase in derivatives CVA(4)
1,854
12,774
Net increase in other exposures(5)
3,288
619
Net change in supervisory 6% multiplier(6)
(4)324
Net increase in Credit Risk-Weighted Assets$1,782
$18,504
Changes in Market Risk-Weighted Assets  
Net decrease in risk levels(7)
$(7,741)$(2,437)
Net change due to model and methodology updates(8)
70
(2,702)
Net decrease in Market Risk-Weighted Assets$(7,671)$(5,139)
Net change in Operational Risk-Weighted Assets$—
$—
Total Risk-Weighted Assets, end of period$1,204,218
$1,204,218
In millions of dollarsThree Months Ended September 30, 2016Nine Months Ended  
  September 30, 2016
 Total Risk-Weighted Assets, beginning of period$1,204,408
$1,190,853
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(1)
(5,468)(14,660)
Net decrease in wholesale exposures(2)
(4,246)(522)
Net decrease in repo-style transactions(3)
(3,995)(3,360)
Net increase in securitization exposures694
405
Net decrease in equity exposures(4)
(2,089)(1,687)
Net change in over-the-counter (OTC) derivatives(5)
(2,145)7,541
Net increase in derivatives CVA(6)
4,278
17,052
Net increase in other exposures(7)
449
1,068
Net decrease in supervisory 6% multiplier(8)
(1,008)(673)
Net change in Credit Risk-Weighted Assets$(13,530)$5,164
Changes in Market Risk-Weighted Assets  
Net increase in risk levels(9)
$2,850
$413
Net decrease due to model and methodology updates(10)
(1,458)(4,160)
Net change in Market Risk-Weighted Assets$1,392
$(3,747)
Net increase in Operational Risk-Weighted Assets(11)
$12,114
$12,114
Total Risk-Weighted Assets, end of period$1,204,384
$1,204,384

(1)Retail exposures decreased during the three and nine months ended JuneSeptember 30, 2016, in part, due to residential mortgage loan sales and repayments, and divestitures of certain Citi Holdings portfolios, and the impact of FX translation. Retailportfolios. The decrease in retail exposures decreased during the sixnine months ended JuneSeptember 30, 2016 in part, due to residential mortgage loan sales and repayments, divestitures of certain Citi Holdings portfolios and reductions in qualifying revolving (cards) exposures attributable to seasonal holiday spending repayments. In addition, retail exposures for both the three and six months ended June 30, 2016 also reflectwas partially offset by the acquisition of the Costco cards portfolio.
(2)Wholesale exposures increased slightlydecreased during the three months ended JuneSeptember 30, 2016 primarily due to growthdecreases in commercial loans partially offset by the impact of FX translation.and loan commitments. Wholesale exposures increaseddecreased during the sixnine months ended JuneSeptember 30, 2016 primarily due to decreases in loan commitments, partially offset by increases in securities AFS and commercial loans, partially offset by a decrease in loan commitments.loans.
(3)Repo-style transactions decreased during the three months and nine months ended September 30, 2016 primarily due to exposure decreases and model enhancements.
(4)Equity exposures decreased during the three months and nine months ended September 30, 2016 primarily due to the sale of Citi’s investment in China Guangfa Bank.
(5)OTC derivatives increaseddecreased during the three months ended JuneSeptember 30, 2016 primarily due to changes in fair value. OTC derivatives increased during the sixnine months ended JuneSeptember 30, 2016 primarily driven by increased trade volume and model enhancements.
(4)(6)Derivatives CVA increased during the three months ended JuneSeptember 30, 2016 primarily driven by volatility and rating changes. Derivatives CVA increased during the sixnine months ended JuneSeptember 30, 2016 primarily driven by increased volatility, trade volume and model enhancements.
(5)(7)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.
(6)(8)Supervisory 6% multiplier does not apply to derivatives CVA.
(7)(9)Risk levels decreasedincreased during the three and six months ended JuneSeptember 30, 2016 primarily due to a reductionan increase in exposure levelspositions subject to comprehensivestandard specific risk charges as well as securitization charges, partially offset by a reduction in positions subject to securitization charges, and the ongoing assessment regarding the applicability of the market risk capital rules to certain securitization positions, partially offset by an increase in assets subject to standard specific riskde minimis charges. In addition, further contributing to the decline in risk levels during the three months ended June 30, 2016 was a reduction in exposure levels subject to Value at Risk and Stressed Value at Risk.
(8)(10)Risk-weighted assets declined during the sixthree and nine months ended JuneSeptember 30, 2016 due to updatedchanges in model inputs regarding volatility inputs.and the correlation between market risk factors.
(11)During the third quarter of 2016, operational risk-weighted assets increased by $12.1 billion due to the implementation of certain enhancements to Citi’s Advanced Measurement Approaches model.
  



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 2016, 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 25% phase-in of the 2.5% Capital Conservation Buffer, of 5.125%, 6.625%
 
and 8.625%, respectively. Citibank’s effective and stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2015 were equivalent at 4.5%, 6%, and 8%, respectively.
The following table sets forth the capital tiers, total risk-weighted assets, 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 JuneSeptember 30, 2016 and December 31, 2015.

Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
June 30, 2016 December 31, 2015September 30, 2016 December 31, 2015
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$128,824
$128,824
 $127,323
$127,323
$129,444
$129,444
 $127,323
$127,323
Tier 1 Capital128,824
128,824
 127,323
127,323
129,493
129,493
 127,323
127,323
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
140,147
151,297
 138,762
149,749
140,425
152,005
 138,762
149,749
Total Risk-Weighted Assets923,797
1,016,761
 898,769
999,014
991,276
999,542
 898,769
999,014
Common Equity Tier 1 Capital ratio(2)(3)
13.95%12.67% 14.17%12.74%13.06%12.95% 14.17%12.74%
Tier 1 Capital ratio(2)(3)
13.95
12.67
 14.17
12.74
13.06
12.96
 14.17
12.74
Total Capital ratio(2)(3)
15.17
14.88
 15.44
14.99
14.17
15.21
 15.44
14.99
In millions of dollars, except ratiosJune 30, 2016 December 31, 2015September 30, 2016 December 31, 2015
Quarterly Adjusted Average Total Assets(4)
 $1,326,486
  $1,298,560
 $1,345,604
  $1,298,560
Total Leverage Exposure(5)
 1,856,908
  1,838,941
 1,885,412
  1,838,941
Tier 1 Leverage ratio(3)
 9.71%  9.80% 9.62%  9.80%
Supplementary Leverage ratio 6.94
  6.92
 6.87
  6.92

(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 JuneSeptember 30, 2016 and December 31, 2015, Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Standardized Approach framework. As of September 30, 2016 and December 31, 2015, Citibank’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework and the Basel III Standardized Approach framework, respectively.
(3)Beginning January 1, 2015, Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital, and Tier 1 Leverage ratios of 6.5%, 8%, 10% and 5%, 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. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Prompt Corrective Action Framework” in Citigroup’s 2015 Annual Report on Form 10-K.
(4)Tier 1 Leverage ratio denominator.
(5)Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s capital ratios at JuneSeptember 30, 2016 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
June September 30, 2016 under the revised PCA regulations which became effective January 1, 2015.




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, quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), under current regulatory capital standards (reflecting Basel III Transition Arrangements), as of JuneSeptember 30, 2016.
 
This information is provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets, or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.



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
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
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 Approaches0.81.20.81.30.81.40.81.20.81.30.81.4
Standardized Approach0.91.30.91.40.91.60.91.30.91.40.91.7
Citibank            
Advanced Approaches1.11.51.11.51.11.61.01.31.01.31.01.4
Standardized Approach1.01.21.01.21.01.51.01.31.01.31.01.5

Impact of Changes on Citigroup and Citibank Leverage Ratios (Basel III Transition Arrangements)
Tier 1 Leverage ratioSupplementary Leverage ratioTier 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
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
Citigroup0.60.60.40.30.60.60.40.3
Citibank0.80.70.50.40.70.70.50.4

Citigroup Broker-Dealer Subsidiaries
At JuneSeptember 30, 2016, 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 approximately $8.1$8.5 billion, which exceeded the minimum requirement by approximately $6.5$6.8 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 $17.8$17.0 billion at JuneSeptember 30, 2016, which exceeded the PRA's minimum regulatory capital requirements.




 
In addition, certain of Citi’s other broker-dealer
subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other broker-dealer subsidiaries were in compliance with
their capital requirements at JuneSeptember 30, 2016.














Basel III (Full Implementation)

Citigroup’s Capital Resources Under Basel III
(Full Implementation)
Citi currently estimates that its effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital 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%, as well as assuming a 3% GSIB surcharge, may be 10%, 11.5% and 13.5%, respectively.
Further, under the U.S. Basel III rules, Citi must also comply with a 4% minimum Tier 1 Leverage ratio requirement and an effective 5% minimum Supplementary Leverage ratio requirement.
The following table sets forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios, assuming full implementation under the U.S. Basel III rules, for Citi as of JuneSeptember 30, 2016 and December 31, 2015.

Citigroup Capital Components and Ratios Under Basel III (Full Implementation)
June 30, 2016 December 31, 2015September 30, 2016 December 31, 2015
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$154,534
$154,534
 $146,865
$146,865
$155,132
$155,132
 $146,865
$146,865
Tier 1 Capital174,027
174,027
 164,036
164,036
174,760
174,760
 164,036
164,036
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
198,920
211,641
 186,097
198,655
200,654
213,833
 186,097
198,655
Total Risk-Weighted Assets1,232,666
1,179,497
 1,216,277
1,162,884
1,228,283
1,166,379
 1,216,277
1,162,884
Common Equity Tier 1 Capital ratio(2)(3)
12.54%13.10% 12.07%12.63%12.63%13.30% 12.07%12.63%
Tier 1 Capital ratio(2)(3)
14.12
14.75
 13.49
14.11
14.23
14.98
 13.49
14.11
Total Capital ratio(2)(3)
16.14
17.94
 15.30
17.08
16.34
18.33
 15.30
17.08
In millions of dollars, except ratiosJune 30, 2016 December 31, 2015September 30, 2016 December 31, 2015
Quarterly Adjusted Average Total Assets(4)
 $1,748,345
  $1,724,710
 $1,771,963
  $1,724,710
Total Leverage Exposure(5)
 2,326,929
  2,317,849
 2,360,520
  2,317,849
Tier 1 Leverage ratio(3)
 9.95%  9.51% 9.86%  9.51%
Supplementary Leverage ratio(3)
 7.48
  7.08
 7.40
  7.08

(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 JuneSeptember 30, 2016 and December 31, 2015, 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.
(3)Citi’s Basel III capital ratios and related components, on a fully implemented basis, are non-GAAP financial measures.
(4)Tier 1 Leverage ratio denominator.
(5)Supplementary Leverage ratio denominator.




Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 12.5%12.6% at JuneSeptember 30, 2016, compared to 12.3%12.5% at March 31,June 30, 2016 and 12.1% at December 31, 2015 (all based on application of the Advanced Approaches for determining total risk-weighted assets). The quarter-over-quarter increase in the ratio was largelyprimarily due to quarterly net income of $4.0$3.8 billion the favorable effects attributable to DTA utilization of approximately $0.9 billion, as well asand a declinedecrease in marketcredit risk-weighted assets, offset in part by an increase in identifiable intangible assets other than MSRs, and the return of approximately $1.5$3.0 billion of capital to common shareholders.shareholders and an increase in operational risk-weighted assets resulting from the implementation of certain enhancements to Citi’s Advanced Measurement Approaches model. The increase in Citi’s Common Equity Tier 1 Capital ratio from year-end 2015 reflected continued growth in Common Equity Tier 1 Capital resulting from net income of $7.5$11.3 billion and the favorable effects of $3.2 billion attributable to DTA utilization, of approximately $2.4 billion, and beneficial net movements in AOCI, offset in part by the return of approximately $2.9$5.9 billion of capital to common shareholders anand the noted increase in creditoperational risk-weighted assets, and an increase in identifiable intangible assets other than MSRs.assets.



Components of Citigroup Capital Under Basel III (Advanced Approaches with Full Implementation)
In millions of dollarsJune 30,
2016		December 31, 2015September 30,
2016		December 31, 2015
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$212,819
$205,286
$212,506
$205,286
Add: Qualifying noncontrolling interests134
145
140
145
Regulatory Capital Adjustments and Deductions:  
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(2)
(149)(617)(232)(617)
Less: Cumulative unrealized net gain related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax(3)
574
441
335
441
Less: Intangible assets:  
Goodwill, net of related deferred tax liabilities (DTLs)(4)
21,854
21,980
21,763
21,980
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs(5)
5,358
3,586
5,177
3,586
Less: Defined benefit pension plan net assets964
794
891
794
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general
business credit carry-forwards(6)
22,942
23,659
22,503
23,659
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
and MSRs(6)(7)
6,876
8,723
7,077
8,723
Total Common Equity Tier 1 Capital$154,534
$146,865
$155,132
$146,865
Additional Tier 1 Capital  
Qualifying perpetual preferred stock(1)
$19,069
$16,571
$19,069
$16,571
Qualifying trust preferred securities(8)
1,368
1,365
1,369
1,365
Qualifying noncontrolling interests29
31
30
31
Regulatory Capital Deductions:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
184
229
Less: Permitted ownership interests in covered funds(10)
789
567
Less: Permitted ownership interests in covered funds(9)
759
567
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(10)
81
229
Total Additional Tier 1 Capital$19,493
$17,171
$19,628
$17,171
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)$174,027
$164,036
$174,760
$164,036
Tier 2 Capital  
Qualifying subordinated debt(11)
$23,701
$20,744
$25,007
$20,744
Qualifying trust preferred securities(12)
328
342
324
342
Qualifying noncontrolling interests37
41
39
41
Excess of eligible credit reserves over expected credit losses(13)
1,011
1,163
605
1,163
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
184
229
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(10)
81
229
Total Tier 2 Capital$24,893
$22,061
$25,894
$22,061
Total Capital (Tier 1 Capital + Tier 2 Capital)(14)
$198,920
$186,097
$200,654
$186,097

(1)Issuance costs of $184 million and $147 million related to preferred stock outstanding at JuneSeptember 30, 2016 and December 31, 2015, respectively, are excluded from common stockholders’ equity and netted against 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.
(5)Identifiable intangible assets other than MSRs increased by approximately $2.2 billion during the second quarter of 2016 as a result of the acquisition of the Costco cards portfolio, as well as the renewal and extension of the co-branded credit card program agreement with American Airlines. For additional information, see Note 1615 to the Consolidated Financial Statements.
(6)Of Citi’s approximately $45.4 billion of net DTAs at JuneSeptember 30, 2016, approximately $17.4$17.6 billion of such assets were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $28.0$27.8 billion of such assets were excluded in arriving at Common Equity Tier 1 Capital. Comprising the excluded net DTAs was an aggregate of approximately $29.8$29.6 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences that were deducted from Common Equity Tier 1 Capital. Serving to reduce the approximately $29.8$29.6 billion of aggregate excluded net DTAs was approximately $1.8 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.


(7)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At JuneSeptember 30, 2016 and December 31, 2015, the deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation.
(8)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(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)Effective July 2015, banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act that 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.
(10)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(11)Non-qualifyingAt the beginning of each of the last five years of the life of each qualifying subordinated debt issuances which consist of those with a fixed-to-floating rate step-up feature whereinstrument, the call/step-up date has not passed are excluded fromcarrying amount that is eligible to be included in Tier 2 Capital.Capital is reduced by 20% of the original amount of the instrument (net of redemptions), in accordance with the U.S. Basel III rules.
(12)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.
(13)Advanced Approaches banking organizations are permitted to include in Tier 2 Capital eligible credit reserves that exceed expected credit losses to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.
(14)Total Capital as calculated under Advanced Approaches, which differs from the Standardized Approach in the treatment of the amount of eligible credit reserves includable in Tier 2 Capital.










Citigroup Capital Rollforward Under Basel III (Advanced Approaches with Full Implementation)
In millions of dollarsThree Months Ended June 30, 2016Six Months Ended 
  June 30, 2016		Three Months Ended September 30, 2016Nine Months Ended  
  September 30, 2016
Common Equity Tier 1 Capital  
Balance, beginning of period$153,023
$146,865
$154,534
$146,865
Net income3,998
7,499
3,840
11,339
Common and preferred dividends declared(469)(828)
Common and preferred stock dividends declared(689)(1,517)
Net increase in treasury stock(1,315)(1,862)(2,530)(4,392)
Net change in common stock and additional paid-in capital(1)
147
(520)144
(376)
Net change in foreign currency translation adjustment net of hedges, net of tax(552)102
Net increase in unrealized gains on securities AFS, net of tax927
2,961
Net increase in defined benefit plans liability adjustment, net of tax(27)(492)
Net decrease in foreign currency translation adjustment net of hedges, net of tax(375)(273)
Net change in unrealized gains/losses on securities AFS, net of tax(432)2,529
Net change in defined benefit plans liability adjustment, net of tax12
(480)
Net change in adjustment related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax—
72
39
111
Net decrease in goodwill, net of related deferred tax liabilities (DTLs)81
126
91
217
Net increase in identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs(2,026)(1,772)
Net increase in defined benefit pension plan net assets(94)(170)
Net change in identifiable intangible assets other than mortgage servicing rights (MSRs),
net of related DTLs
181
(1,591)
Net change in defined benefit pension plan net assets73
(97)
Net decrease in deferred tax assets (DTAs) arising from net operating loss, foreign
tax credit and general business credit carry-forwards
472
717
439
1,156
Net decrease in excess over 10%/15% limitations for other DTAs, certain common stock
investments and MSRs
378
1,847
Net change in excess over 10%/15% limitations for other DTAs, certain common stock
investments and MSRs
(201)1,646
Other(9)(11)6
(5)
Net increase in Common Equity Tier 1 Capital$1,511
$7,669
$598
$8,267
Common Equity Tier 1 Capital Balance, end of period$154,534
$154,534
$155,132
$155,132
Additional Tier 1 Capital  
Balance, beginning of period$18,119
$17,171
$19,493
$17,171
Net increase in qualifying perpetual preferred stock(1)
1,494
2,498
—
2,498
Net increase in qualifying trust preferred securities2
3
1
4
Net increase in permitted ownership interests in covered funds(164)(222)
Net change in permitted ownership interests in covered funds30
(192)
Other42
43
104
147
Net increase in Additional Tier 1 Capital$1,374
$2,322
$135
$2,457
Tier 1 Capital Balance, end of period$174,027
$174,027
$174,760
$174,760
Tier 2 Capital  
Balance, beginning of period$23,579
$22,061
$24,893
$22,061
Net increase in qualifying subordinated debt1,037
2,957
1,306
4,263
Net change in excess of eligible credit reserves over expected credit losses245
(152)
Net decrease in excess of eligible credit reserves over expected credit losses(406)(558)
Other32
27
101
128
Net increase in Tier 2 Capital$1,314
$2,832
$1,001
$3,833
Tier 2 Capital Balance, end of period$24,893
$24,893
$25,894
$25,894
Total Capital (Tier 1 Capital + Tier 2 Capital)$198,920
$198,920
$200,654
$200,654

(1)During the three months and sixnine months ended JuneSeptember 30, 2016, Citi issued $1.5 billion and approximately $2.5 billion of qualifying perpetual preferred stock with issuance costs of $6 million and $37 million, respectively.million. In accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP, such issuance costs are excluded from common stockholders’ equity and netted against preferred stock.
 










Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at JuneSeptember 30, 2016
Advanced Approaches Standardized ApproachAdvanced Approaches Standardized Approach
In millions of dollarsCiticorpCiti HoldingsTotal CiticorpCiti HoldingsTotalCiticorpCiti HoldingsTotal CiticorpCiti HoldingsTotal
Credit Risk$766,959
$71,029
$837,988
 $1,043,206
$66,018
$1,109,224
$756,110
$63,989
$820,099
 $1,032,872
$61,845
$1,094,717
Market Risk68,581
1,097
69,678
 69,043
1,230
70,273
69,838
1,232
71,070
 70,294
1,368
71,662
Operational Risk275,921
49,079
325,000
 —
—
—
288,035
49,079
337,114
 —
—
—
Total Risk-Weighted Assets$1,111,461
$121,205
$1,232,666
 $1,112,249
$67,248
$1,179,497
$1,113,983
$114,300
$1,228,283
 $1,103,166
$63,213
$1,166,379

 
Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at December 31, 2015
 Advanced Approaches Standardized Approach
In millions of dollarsCiticorpCiti HoldingsTotal CiticorpCiti HoldingsTotal
Credit Risk$731,515
$84,945
$816,460
 $1,008,951
$78,748
$1,087,699
Market Risk70,701
4,116
74,817
 71,015
4,170
75,185
Operational Risk275,921
49,079
325,000
 —
—
—
Total Risk-Weighted Assets$1,078,137
$138,140
$1,216,277
 $1,079,966
$82,918
$1,162,884

Total risk-weighted assets under the Basel III Advanced Approaches increased from year-end 2015 substantially due to $12.1 billion in additional operational risk-weighted assets resulting from the implementation of certain enhancements to Citi’s Advanced Measurement Approaches model during the third quarter of 2016.
Moreover, while credit risk-weighted assets under both the Basel III Advanced Approaches and the Standardized Approach increased from year-end 2015 duegrew during the first nine months of 2016, although to an increase in credit risk-weighted assets,a varying extent, these increases were partially offset by a decreaserelatively comparable decline in market risk-weighted assets. The growth in credit
Credit risk-weighted assets resulted fromincreased on a net basis under both approaches over this period due to several factors, including higher derivative exposures and a net increase in cards exposures arising from the acquisition of the Costco cards portfolio, which waspartially offset in part by residential mortgage loan sales and repayments, as well as divestitures of certain consumer businesses in Citi Holdings portfolios. In addition, furtherand dispositions of other non-strategic assets. Further contributing significantly to the increase in creditBasel III Advanced Approaches risk-weighted assets underduring the Advanced Approaches were model enhancements related to OTCfirst nine months of 2016 was an increase in derivatives and derivatives CVA.



















































Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches with Full Implementation)
In millions of dollarsThree Months Ended 
 June 30, 2016		Six Months Ended 
  June 30, 2016
 Total Risk-Weighted Assets, beginning of period$1,239,575
$1,216,277
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(1)
(1,278)(9,192)
Net increase in wholesale exposures(2)
1,335
3,724
Net change in repo-style transactions(3,218)635
Net decrease in securitization exposures(2,154)(468)
Net change in equity exposures(345)549
Net increase in over-the-counter (OTC) derivatives(3)
2,148
9,686
Net increase in derivatives CVA(4)
1,854
12,774
Net increase in other exposures(5)
2,483
3,326
Net change in supervisory 6% multiplier(6)
(63)494
Net increase in Credit Risk-Weighted Assets$762
$21,528
Changes in Market Risk-Weighted Assets  
Net decrease in risk levels(7)
$(7,741)$(2,437)
Net change due to model and methodology updates(8)
70
(2,702)
Net decrease in Market Risk-Weighted Assets$(7,671)$(5,139)
Net change in Operational Risk-Weighted Assets$—
$—
Total Risk-Weighted Assets, end of period$1,232,666
$1,232,666
In millions of dollarsThree Months Ended 
 September 30, 2016		Nine Months Ended  
  September 30, 2016
 Total Risk-Weighted Assets, beginning of period$1,232,856
$1,216,277
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(1)
(5,468)(14,660)
Net decrease in wholesale exposures(2)
(4,246)(522)
Net decrease in repo-style transactions(3)
(3,995)(3,360)
Net increase in securitization exposures694
405
Net decrease in equity exposures(4)
(6,424)(5,875)
Net change in over-the-counter (OTC) derivatives(5)
(2,145)7,541
Net increase in derivatives CVA(6)
4,278
17,052
Net increase in other exposures(7)
493
3,817
Net decrease in supervisory 6% multiplier(8)
(1,266)(759)
Net change in Credit Risk-Weighted Assets$(18,079)$3,639
Changes in Market Risk-Weighted Assets  
Net increase in risk levels(9)
$2,850
$413
Net decrease due to model and methodology updates(10)
(1,458)(4,160)
Net change in Market Risk-Weighted Assets$1,392
$(3,747)
Net increase in Operational Risk-Weighted Assets(11)
$12,114
$12,114
Total Risk-Weighted Assets, end of period$1,228,283
$1,228,283

(1)Retail exposures decreased during the three and nine months ended JuneSeptember 30, 2016, in part, due to residential mortgage loan sales and repayments, and divestitures of certain Citi Holdings portfolios, and the impact of FX translation. Retailportfolios. The decrease in retail exposures decreased during the sixnine months ended JuneSeptember 30, 2016 in part, due to residential mortgage loan sales and repayments, divestitures of certain Citi Holdings portfolios and reductions in qualifying revolving (cards) exposures attributable to seasonal holiday spending repayments. In addition, retail exposures for both the three and six months ended June 30, 2016 also reflectwas partially offset by the acquisition of the Costco cards portfolio.
(2)Wholesale exposures increased slightlydecreased during the three months ended JuneSeptember 30, 2016 primarily due to growthdecreases in commercial loans partially offset by the impact of FX translation.and loan commitments. Wholesale exposures increaseddecreased during the sixnine months ended JuneSeptember 30, 2016 primarily due to decreases in loan commitments, partially offset by increases in securities AFS and commercial loans, partially offset by a decrease in loan commitments.loans.
(3)Repo-style transactions decreased during the three months and nine months ended September 30, 2016 primarily due to exposure decreases and model enhancements.
(4)Equity exposures decreased during the three months and nine months ended September 30, 2016 primarily due to the sale of Citi’s investment in China Guangfa Bank.
(5)OTC derivatives increaseddecreased during the three months ended JuneSeptember 30, 2016 primarily due to changes in fair value. OTC derivatives increased during the sixnine months ended JuneSeptember 30, 2016 primarily driven by increased trade volume and model enhancements.
(4)(6)Derivatives CVA increased during the three months ended JuneSeptember 30, 2016 primarily driven by volatility and rating changes. Derivatives CVA increased during the sixnine months ended JuneSeptember 30, 2016 primarily driven by increased volatility, trade volume and model enhancements.
(5)(7)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.
(6)(8)Supervisory 6% multiplier does not apply to derivatives CVA.
(7)(9)Risk levels decreasedincreased during the three and six months ended JuneSeptember 30, 2016 primarily due to a reductionan increase in exposure levelspositions subject to comprehensivestandard specific risk charges as well as securitization charges, partially offset by a reduction in positions subject to securitization charges, and the ongoing assessment regarding the applicability of the market risk capital rules to certain securitization positions, partially offset by an increase in assets subject to standard specific riskde minimis charges. In addition, further contributing to the decline in risk levels during the three months ended June 30, 2016 was a reduction in exposure levels subject to Value at Risk and Stressed Value at Risk.
(8)(10)Risk-weighted assets declined during the sixthree and nine months ended JuneSeptember 30, 2016 due to updatedchanges in model inputs regarding volatility inputs.and the correlation between market risk factors.
(11)During the third quarter of 2016, operational risk-weighted assets increased by $12.1 billion due to the implementation of certain enhancements to Citi’s Advanced Measurement Approaches model.

  















  



Supplementary Leverage Ratio
Citigroup’s Supplementary Leverage ratio was 7.5%7.4% for the secondthird quarter of 2016, compared to 7.4%7.5% for the firstsecond quarter of 2016 and 7.1% for the fourth quarter of 2015. The growthWhile Tier 1 Capital increased on a net basis quarter-over-quarter, nonetheless the decrease in the ratio quarter-over-quarter was principally driven by an overall increase in Total Leverage Exposure, which was largely attributable to the growth in average on-balance sheet assets as well as increases in the potential future exposure on derivative contracts and unconditionally cancellable commitments. The increase in the ratio from the fourth quarter of 2015 was principally
driven by an increase in Tier 1 Capital attributable largely to quarterly net income of $4.0$11.3 billion and a $1.5 billion noncumulative perpetual preferred stock issuance, partially offset by an increase in identifiable intangible assets other than MSRs and Total Leverage Exposure. The growth in the ratio from the fourth quarter of 2015 was also principally driven by an increase in Tier 1 Capital
attributable largely to net income of $7.5 billion, $2.5 billion of noncumulative perpetual preferred stock issuances, and the favorable effects associated with DTA utilization of approximately $2.4 billion, offset in part by the return of capital to common shareholders.shareholders and an overall increase in Total Leverage Exposure.
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 JuneSeptember 30, 2016 and December 31, 2015.




Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)
In millions of dollars, except ratiosJune 30, 2016December 31, 2015September 30, 2016December 31, 2015
Tier 1 Capital$174,027
$164,036
$174,760
$164,036
Total Leverage Exposure (TLE)  
On-balance sheet assets(1)
$1,807,312
$1,784,248
$1,830,215
$1,784,248
Certain off-balance sheet exposures:(2)
  
Potential future exposure (PFE) on derivative contracts207,468
206,128
213,263
206,128
Effective notional of sold credit derivatives, net(3)
68,412
76,923
68,440
76,923
Counterparty credit risk for repo-style transactions(4)
21,457
25,939
21,372
25,939
Unconditionally cancellable commitments60,913
58,699
67,161
58,699
Other off-balance sheet exposures220,334
225,450
218,320
225,450
Total of certain off-balance sheet exposures$578,584
$593,139
$588,556
$593,139
Less: Tier 1 Capital deductions58,967
59,538
58,251
59,538
Total Leverage Exposure$2,326,929
$2,317,849
$2,360,520
$2,317,849
Supplementary Leverage ratio7.48%7.08%7.40%7.08%

(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 6.8%6.7% for the secondthird quarter of 2016, compared to 6.9%6.8% for the firstsecond quarter of 2016 and 6.7% for the fourth quarter of 2015. The slight decrease in the ratio decreased quarter-over-quarter, was primarily attributable to a decline in Tier 1 Capital, as quarterly net income of $3.5$3.1 billion was more than offset by the aggregate effects of an overall increase in identifiable intangible assets other than MSRs,Total Leverage Exposure, as well as cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup. The increase in the ratio remained unchanged from the fourth quarter of 2015, was principally driven by an increase inas the Tier 1 Capital due tobenefits associated with net income and beneficial net movements in AOCI partiallywere offset by an increase in Total Leverage Exposure and cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup.




Regulatory Capital Standards Developments
For additional information regarding other recent regulatory capital standards developments, see “Capital Resources—Regulatory Capital Standards Developments” in Citigroup’s 2015 Annual Report on Form 10-K, First Quarter of 2016 Form 10-Q and FirstSecond Quarter of 2016 Form 10-Q.

Interest Rate RiskPolicy Statement on U.S. Countercyclical Capital Buffer
In September 2016, the Federal Reserve Board released a final policy statement which sets forth the framework to be followed in setting the amount of the U.S. Countercyclical
Capital Buffer applicable to Advanced Approaches banking organizations. Although substantially unchanged from the proposed policy statement released in December 2015, the final policy statement clarifies that the Countercyclical Capital Buffer would be increased above 0% when the Federal Reserve Board assesses that financial system vulnerabilities are above normal and are either already at, or expected to build to, levels sufficient to generate material unexpected losses in the Banking Bookevent of an unfavorable development in financial markets or the economy. Moreover, the Federal Reserve Board expects to remove or reduce the Countercyclical Capital Buffer when the conditions that led to its activation abate or lessen, and when the release of capital would promote financial stability.
The Federal Reserve Board also stated that it would generally expect to provide notice to the public and seek comment on the proposed level of the Countercyclical Capital Buffer as part of making any final determination to change the Countercyclical Capital Buffer.
Separately, in October 2016, the Federal Reserve Board voted to affirm the Countercyclical Capital Buffer amount at the current level of 0%. In arriving at this determination, the Federal Reserve Board followed the framework detailed in the aforementioned policy statement.

Regulatory Treatment of Accounting for Expected Credit Losses
In AprilOctober 2016, the Basel Committee on Banking Supervision (Basel Committee) issued a final rule which sets forth revised principles regardingconsultative document and a discussion paper related to the supervisory review process over a bank’s managementregulatory treatment of interest rate riskaccounting for expected credit losses under the Basel III regulatory capital framework. Both the International Accounting Standards Board and more recently the U.S. Financial Accounting Standards Board issued new accounting pronouncements related to impairment of financial assets that require the use of expected credit loss models rather than incurred loss models. Measuring impairment using expected credit loss models may result in higher accounting provisions for credit losses and consequently increased volatility in regulatory capital.
In the banking book (IRRBB), as well asconsultative document, the methods expectedBasel Committee proposes to be used by banksretain, for an interim period, the current regulatory treatment of accounting provisions for credit losses. The discussion paper considers various policy options for the measurement, monitoring and controllong-term regulatory treatment of IRRBB. Moreover, the final rule establishes qualitative and quantitative public disclosure requirementsaccounting provisions for IRRBB. The final rule is applicable to large, internationally active banking organizations, and is expected to be implemented by 2018.credit losses.
The U.S. banking agencies have not yet proposedmay revise the regulatory treatment of accounting provisions for credit losses under the U.S. Basel III rules for incorporatingin the future, based on any revisions adopted by the Basel Committee’s revised principles on IRRBB into the U.S. regulatory capital framework.Committee.

Revisions to the Securitization FrameworkTotal Loss-Absorbing Capacity (TLAC) Holdings
In JulyOctober 2016, the Basel Committee issued a final rule which amends the Basel III securitization framework issued in December 2014definition of regulatory capital to include a Tier 2 Capital deduction for investments by an alternative,internationally active bank (both GSIBs and potentially preferential,non-GSIBs) in TLAC and certain other debt instruments issued by GSIBs that do not otherwise qualify as regulatory capital treatment for securitizations identified as “simple, transparent and comparable” (STC)(i.e., TLAC holdings). AlthoughUnder the Basel Committee had previously issued criteria solely for identifying STC securitizations in July 2015, this final rule, introduces further requirements with respecta Tier 2 Capital deduction is required under certain circumstances for investments in TLAC holdings which exceed certain thresholds, based on Common Equity Tier 1 Capital, as adjusted. Moreover, the final rule clarifies that any Common Equity Tier 1 Capital that is being used to these identifying criteria as well as sets forth additional criteria, all of which mustmeet the TLAC requirement cannot also be satisfied in order for a securitization exposureused to receive the alternative and more favorable regulatory capital treatment.
The U.S. banking agencies may revisemeet the regulatory capital treatmentbuffers, including the GSIB surcharge.
The final rule becomes effective at the same time as the minimum TLAC requirements for each GSIB, that is January 1, 2019 for investments in most GSIBs, but may be later for certain others.
The Federal Reserve Board previously issued a proposed TLAC rule in November 2015 that includes an amendment to the U.S. Basel III definition of securitization exposures, including STC securitizations,regulatory capital which would require a Tier 2 Capital deduction for investments in certain unsecured debt of GSIBs. In this regard, the future, based upon the revisions adopted byFederal Reserve Board’s proposed TLAC rule is largely similar to the Basel Committee.Committee’s final rule on TLAC holdings.





Tangible Common Equity, Tangible Book Value Per Share and Book Value Per Share
Tangible common equity (TCE), as currently defined by Citi, represents common equity less goodwill and other intangible assets (other than MSRs). Other companies may calculate TCE in a different manner. TCE and tangible book value per share are non-GAAP financial measures.
 








In millions of dollars or shares, except per share amountsJune 30,
2016		December 31, 2015September 30,
2016		December 31, 2015
Total Citigroup stockholders’ equity$231,888
$221,857
$231,575
$221,857
Less: Preferred stock19,253
16,718
19,253
16,718
Common equity$212,635
$205,139
$212,322
$205,139
Less:  
Goodwill22,496
22,349
22,539
22,349
Intangible assets (other than MSRs)(1)
5,521
3,721
5,358
3,721
Goodwill and intangible assets (other than MSRs) related to assets held-for-sale30
68
30
68
Tangible common equity (TCE)$184,588
$179,001
$184,395
$179,001
  
Common shares outstanding (CSO)2,905.4
2,953.3
2,849.7
2,953.3
Tangible book value per share (TCE/CSO)$63.53
$60.61
$64.71
$60.61
Book value per share (Common equity/CSO)$73.19
$69.46
$74.51
$69.46

(1)Identifiable intangible assets (other than MSRs) increased by approximately $2.2 billion during the second quarter of 2016 as a result of the acquisition of the Costco cards portfolio, as well as the renewal and extension of the co-branded credit card program agreement with American Airlines. For additional information, see Note 1615 to the Consolidated Financial Statements.



Managing Global Risk Table of Contents

MANAGING GLOBAL RISK 
5148

CREDIT RISK(1)
 
5249

  Consumer Credit 
5249

  GCB Commercial Banking Exposure to the Energy and Energy-Related Sector
 
5552

  Corporate Credit 
5855

  Additional Consumer and Corporate Credit Details 
6158

 Loans Outstanding 
6158

       Details of Credit Loss Experience 
6259

       Allowance for Loan Losses 6461
       Non-Accrual Loans and Assets and Renegotiated Loans 
6562

LIQUIDITY RISK 
7067

       High-Quality Liquid Assets (HQLA) 
7067

       Loans 
70
68
       Deposits 7168
       Long-Term Debt 7169
       Secured Funding Transactions and Short-Term Borrowings 7371
       Liquidity Coverage Ratio (LCR) 7472
       Credit Ratings 7573
MARKET RISK(1)
 
7775

  Market Risk of Non-Trading Portfolios 
7775

  Market Risk of Trading Portfolios 
8885

COUNTRY RISK 
9087


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



MANAGING GLOBAL RISK

For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s mission and value proposition, the key principles that guide it, and Citi's risk appetite.
For more information on Citi’s management of global risk, including its three lines of defense, see “Managing Global Risk” in Citi’s 2015 Annual Report on Form 10-K.
 






CREDIT RISK

For additional information on credit risk, including Citi’s credit risk management, measurement and stress testing, see “Credit Risk” and “Risk Factors” in Citi’s 2015 Annual Report on Form 10-K.

CONSUMER CREDIT

North America Consumer Mortgage Lending

Overview
Citi’s North America consumer mortgage portfolio consists of both residential first mortgages and home equity loans. At JuneSeptember 30, 2016, Citi’s North America consumer mortgage portfolio was $76.9$74.7 billion (compared to $78.7$76.9 billion at March 31,June 30, 2016), of which the residential first mortgage portfolio was $55.8$54.7 billion (compared to $56.8$55.8 billion at March 31,June 30, 2016), and the home equity loan portfolio was $21.1$20.0 billion (compared to $21.9$21.1 billion at March 31,June 30, 2016). For additional information on Citi’s North America consumer mortgage portfolio, see Note 14 to the Consolidated Financial Statements and “Credit Risk—North America Consumer Mortgage Lending” in Citi’s 2015 Annual Report on Form 10-K.

North America Consumer Mortgage—Residential First Mortgages
The following charts detail the quarterly outstanding loans and credit trends for Citi’s residential first mortgage portfolio in North America.
North America Residential First Mortgage - EOP Loans
In billions of dollars
narfmeop2016q3.jpg
 
North America Residential First Mortgage - Net Credit Losses
In millions of dollars
narfmnclq32016.jpg

Note: CMI refers to loans originated by CitiMortgage. CFNA refers to loans originated by CitiFinancial. Totals may not sum due to rounding.
(1)
Decrease in 4Q’15 EOP loans primarily reflected the transfer of CFNA residential first mortgages to held-for-sale and classification as Other assets at year-end 2015. This transfer did not impact net credit losses in 4Q’15.
(2)
Decrease in 1Q’16 net credit losses primarily reflected the transfer of CFNA residential first mortgage to held-for-sale and classification as Other assets at year-end 2015.
(3)2Q’16 excludes a $23 million recovery of prior net credit losses related to the sale of CMI residential first mortgages during the quarter.
(4)Year-over-year change in the S&P/Case-Shiller U.S. National Home Price Index.
(5)Year-over-year change as of AprilJuly 2016.

North America Residential First Mortgage Delinquencies-Citi Holdings
In billions of dollars
narfmdch2016q3.jpg

Note: Days past due excludes (i) U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies because the potential loss predominantly resides with the U.S. agencies, and (ii) loans recorded at fair value. Totals may not sum due to rounding.
(1)
Decrease in 4Q’15 delinquencies primarily reflected the transfer of CFNA residential first mortgages to held-for-sale and classification as Other assets at year-end 2015.

Overall changes in net credit losses and delinquencies in Citi’s North America residential first mortgage portfolio during the current quarter as well as going forwardwere driven by, and will largelycontinue to be driven by, continued asset sales or transfers to held-for-sale as well as overall trends in HPI and interest rates.




North America Residential First Mortgages—State Delinquency Trends
The following tables set forth the six U.S. states and/or regions with the highest concentration of Citi’s residential first mortgages.

In billions of dollarsJune 30, 2016March 31, 2016September 30, 2016June 30, 2016
State(1)
ENR(2)
ENR
Distribution
90+DPD
%
%
LTV >
100%(3)
Refreshed
FICO
ENR(2)
ENR
Distribution
90+DPD
%
%
LTV >
100%(3)
Refreshed
FICO
ENR(2)
ENR
Distribution
90+DPD
%
%
LTV >
100%(3)
Refreshed
FICO
ENR(2)
ENR
Distribution
90+DPD
%
%
LTV >
100%(3)
Refreshed
FICO
CA$19.6
38%0.2%—%756
$19.6
38%0.3%1%754
$19.5
39%—%—%758
$19.6
38%0.2%—%756
NY/NJ/CT(4)
13.2
26
0.7
1
753
13.0
25
0.7
1
752
13.2
26
0.6
1
753
13.2
26
0.7
1
753
IL(4)
2.3
4
0.9
3
737
2.2
4
1.0
5
736
2.3
4
0.9
1
738
2.3
4
0.9
3
737
FL(4)

2.2
4
0.7
1
728
2.2
4
0.7
2
727
VA/MD2.2
4
1.0
3
722
2.2
4
1.2
4
719
2.1
4
1.1
1
722
2.2
4
1.0
3
722
FL(4)
2.2
4
0.7
2
727
2.2
4
0.9
3
725
TX1.8
3
0.9
—
716
1.9
4
0.9
—
713
1.7
3
0.8
—
716
1.8
3
0.9
—
716
Other10.0
20
1.2
2
714
10.7
21
1.2
2
711
9.5
19
1.2
1
715
10.0
20
1.2
2
714
Total$51.3
100%0.6%1%742
$51.8
100%0.7%1%740
$50.6
100%0.6%1%743
$51.3
100%0.6%1%742

Note: Totals may not sum due to rounding.
(1)Certain of the states are included as part of a region based on Citi’s view of similar HPI within the region.
(2)Ending net receivables. Excludes loans in Canada and Puerto Rico, loans guaranteed by U.S. government agencies, loans recorded at fair value and loans subject to long term standby commitments (LTSCs). Excludes balances for which FICO or LTV data are unavailable.
(3)LTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data.
(4)New York, New Jersey, Connecticut, Florida and Illinois are judicial states.
 
Foreclosures
A substantial majority of Citi’s foreclosure inventory consists of residential first mortgages. At JuneSeptember 30, 2016, Citi’s foreclosure inventory includedwas approximately $0.1 billion, or 0.2%, of the total residential first mortgage portfolio, unchanged from March 31,June 30, 2016, based on the dollar amount of ending net receivables of loans in foreclosure inventory, excluding loans that are guaranteed by U.S. government agencies and loans subject to LTSCs.

North America Consumer Mortgage—Home Equity Loans
Citi’s home equity loan portfolio consists of both fixed-rate home equity loans and loans extended under home equity lines of credit. Fixed-rate home equity loans are fully amortizing. Home equity lines of credit 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 then-outstanding amount is converted to an amortizing loan (the interest-only payment feature during the revolving period is standard for this product across the industry). After conversion, the home equity loans typically have a 20-year amortization period. As of JuneSeptember 30, 2016, Citi’s home equity loan portfolio of $21.1$20.0 billion consisted of $5.9$5.5 billion of fixed-rate home equity loans and $15.2$14.5 billion of loans extended under home equity lines of credit (Revolving HELOCs).

 

Revolving HELOCs
Citi’s $15.2$14.5 billion of Revolving HELOCs as of JuneSeptember 30, 2016 consisted of $5.2$5.6 billion of loans that had commenced amortization (compared to $4.6$5.2 billion at March 31,June 30, 2016) and $10.0$8.9 billion of loans still within their revolving period that had not commenced amortization, or “reset” (compared to $11.2$10.0 billion at March 31,June 30, 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 JuneSeptember 30, 2016
naheloca3q16.jpg
Note: Totals may not sum due to rounding.

Approximately 34%39% of Citi’s total Revolving HELOCs portfolio had commenced amortization as of JuneSeptember 30, 2016 (compared to 29%34% as of March 31,June 30, 2016). Of the remaining Revolving HELOCs portfolio, approximately 56%50% will commence amortization during the remainder of 2016–2017. Before commencing amortization, Revolving HELOC



borrowers are required to pay only interest on their loans. Upon amortization, 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 typical 30-year amortization. As a result, Citi’s customers with Revolving HELOCs that reset could experience “payment shock” due to the higher required payments on the loans.
While it is not certain what ultimate impact this payment shock could have on Citi’s delinquency rates and net credit losses, Citi currently estimates that the monthly loan payment for its Revolving HELOCs that reset during the remainder of 2016–2017 could increase on average by approximately $370, or 150%155%. 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 commence amortization during the remainder of 2016–2017, approximately $0.5$0.3 billion, or 7%5%, of the loans have a CLTV greater than 100% as of JuneSeptember 30, 2016. 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 begin to reset.
Approximately 6.5% of the Revolving HELOCs that have begun amortization as of JuneSeptember 30, 2016 were 30+ days past due, compared to 3.5%3.7% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 6.7%6.5% and 3.5%, respectively, as of March 31,June 30, 2016. As newly amortizing loans continue to season, the delinquency rate of the amortizing Revolving HELOC portfolio and total home equity loan portfolio is expected to increase. Delinquencies on newly amortizing loans have tended to peak between four and six months after reset. Resets to date have generally occurred during a period of historically low interest rates, improving HPI and a favorable economic environment, which Citi believes has likely reduced the overall “payment shock” to the borrower.
Citi continues to monitor 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. For further information on reset risk, see “Risk Factors—Credit and Market Risks” in Citi’s 2015 Annual Report on Form 10-K.
 
Net Credit Losses and Delinquencies
The following charts detail the quarterly outstanding loans and credit trends for Citi’s home equity loan portfolio in North America:
North America Home Equity - EOP Loans
In billions of dollars
naheeopl3q16.jpg

North America Home Equity - Net Credit Losses
In millions of dollars
nahenclq3.jpg

Note: Totals may not sum due to rounding.
(1)2Q’16 excludes a non-recurring benefit to net credit losses of approximately $13 million associated with certain previously charged-off loans.


North America Home Equity Loan Delinquencies - Citi Holdings
In billions of dollars
naheldch.jpg
Note: Totals may not sum due to rounding.




As evidenced by the tables above, net credit losses in the North America home equity loan portfolio continued to improve during the second quarter of 2016, largely driven by the continued improvement in HPI.
Given the limited market in which to sell delinquent home equity loans to date, as well as the relatively smaller number of home equity loan modifications and modification programs (see Note 1413 to the Consolidated Financial Statements), Citi’s
ability to reduce delinquencies or net credit losses in its home equity loan portfolio in Citi Holdings, whether pursuant to deterioration of the underlying credit performance of these loans, the reset of the Revolving HELOCs (as discussed above) or otherwise, is more limited as compared to residential first mortgages.




North America Home Equity Loans—State Delinquency Trends
The following tables set forth the six U.S. states and/or regions with the highest concentration of Citi’s home equity loans:
In billions of dollarsJune 30, 2016March 31, 2016September 30, 2016June 30, 2016
State(1)
ENR(2)
ENR
Distribution
90+DPD
%
%
CLTV >
100%(3)
Refreshed
FICO
ENR(2)
ENR
Distribution
90+DPD
%
%
CLTV >
100%(3)
Refreshed
FICO
ENR(2)
ENR
Distribution
90+DPD
%
%
CLTV >
100%(3)
Refreshed
FICO
ENR(2)
ENR
Distribution
90+DPD
%
%
CLTV >
100%(3)
Refreshed
FICO
CA$5.7
29%1.9%4%731
$6.0
29%1.8%5%731
$5.4
29%2.1%4%732
$5.7
29%1.9%4%731
NY/NJ/CT(4)
5.6
28
2.7
9
726
5.8
28
2.5
9
725
5.4
29
2.8
6
727
5.6
28
2.7
9
726
FL(4)
1.4
7
2.1
16
715
1.4
7
1.9
21
715
1.2
7
2.5
14
716
1.4
7
2.1
16
715
VA/MD1.2
6
2.1
24
714
1.2
6
1.9
26
714
1.1
6
2.1
17
715
1.2
6
2.1
24
714
IL(4)
0.9
4
1.7
30
722
0.9
4
1.6
33
722
0.9
4
1.7
19
724
0.9
4
1.7
30
722
IN/OH/MI(4)
0.5
2
1.7
25
704
0.5
3
2.0
29
703
0.5
2
1.6
13
704
0.5
3
1.7
25
704
Other4.5
23
1.9
10
712
4.9
24
1.8
13
712
4.2
23
2.0
7
713
4.5
23
1.9
10
712
Total$19.8
100%2.1%11%722
$20.6
100%2.0%12%722
$18.8
100%2.3%8%723
$19.8
100%2.1%11%722

Note: Totals may not sum due to rounding.
(1)Certain of the states are included as part of a region based on Citi’s view of similar HPI within the region.
(2)Ending net receivables. Excludes loans in Canada and Puerto Rico and loans subject to LTSCs. Excludes balances for which FICO or LTV data are unavailable.
(3)Represents combined loan-to-value (CLTV) for both residential first mortgages and home equity loans. CLTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data.
(4)New York, New Jersey, Connecticut, Indiana, Ohio, Florida and Illinois are judicial states.    


GCB Commercial Banking Exposure to the Energy and Energy-Related Sector
In addition to the total corporate credit exposure to the energy and energy-related sector described under “Corporate Credit” below, Citi’s commercial banking business, reported within GCBretail banking, had total credit exposure to the energy and energy-related sector of approximately $2.0 billion as of JuneSeptember 30, 2016, with approximately $1.4 billion of direct outstanding funded loans, or 5%4%, of the total outstanding commercial banking loans. This compared to approximately $2.1 billion of total corporate credit exposure and $1.4 billion of direct outstanding funded energy and energy-related loans as of March 31,was unchanged from June 30, 2016. In addition, as of JuneSeptember 30, 2016, approximately 88%89% of commercial banking’s total credit exposure to the energy and energy-related sector was in the U.S., relatively unchanged from March 31,June 30, 2016. Approximately 29%39% of commercial banking’s total energy and energy-related exposure was rated investment grade at September 30, 2016, compared to approximately 29% as of June 30, 2016, also unchanged from March 31, 2016.
During the secondthird quarter of 2016, Citi builtreleased additional energy and energy-related loan loss reserves by approximately $2$32 million, and incurred net credit losses of approximately $17$19 million on this commercial banking portfolio. As of JuneSeptember 30, 2016, Citi held loan loss reserves against its funded energy
and energy-related commercial banking loans equal to approximately 9.8%8.7% of these loans (compared to approximately 9.6%9.8% as of March 31,June 30, 2016).





Additional Consumer Credit Details

Consumer Loan Delinquency Amounts and Ratios
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
In millions of dollars,
except EOP loan amounts in billions		June 30,
2016		June 30,
2016		March 31,
2016		June 30,
2015		June 30,
2016		March 31,
2016		June 30,
2015		September 30,
2016		September 30,
2016		June 30,
2016		September 30,
2015		September 30,
2016		June 30,
2016		September 30,
2015
Citicorp(3)(4)
        
Total$285.2
$1,965
$2,022
$2,020
$2,318
$2,360
$2,290
$289.7
$2,169
$1,965
$1,981
$2,552
$2,318
$2,427
Ratio 0.69%0.74%0.74%0.82%0.87%0.84% 0.75%0.69%0.74%0.88%0.82%0.90%
Retail banking          
Total$141.8
$515
$498
$567
$735
$793
$746
$141.9
$579
$515
$529
$722
$735
$764
Ratio 0.37%0.35%0.40%0.52%0.56%0.53% 0.41%0.37%0.38%0.51%0.52%0.55%
North America54.8
180
152
150
192
198
176
54.8
256
180
138
198
192
198
Ratio 0.33%0.29%0.31%0.36%0.38%0.36% 0.47%0.33%0.28%0.37%0.36%0.40%
Latin America19.5
157
172
232
197
256
217
19.0
160
157
212
196
197
239
Ratio 0.81%0.86%1.10%1.01%1.27%1.03% 0.84%0.81%1.07%1.03%1.01%1.21%
Asia(5)
67.5
178
174
185
346
339
353
68.1
163
178
179
328
346
327
Ratio 0.26%0.25%0.26%0.51%0.49%0.49% 0.24%0.26%0.26%0.48%0.51%0.48%
Cards          
Total$143.4
$1,450
$1,524
$1,453
$1,583
$1,567
$1,544
$147.8
$1,590
$1,450
$1,452
$1,830
$1,583
$1,663
Ratio 1.01%1.17%1.10%1.10%1.20%1.17% 1.08%1.01%1.11%1.24%1.10%1.28%
North America—Citi-branded77.5
510
530
495
550
492
462
81.3
607
510
491
710
550
504
Ratio 0.66%0.82%0.77%0.71%0.76%0.72% 0.75%0.66%0.76%0.87%0.71%0.78%
North America—Citi retail services43.3
619
665
567
669
688
652
43.9
664
619
621
750
669
758
Ratio 1.43%1.56%1.31%1.55%1.62%1.51% 1.51%1.43%1.44%1.71%1.55%1.76%
Latin America5.0
145
149
200
137
152
183
4.9
131
145
169
131
137
181
Ratio 2.90%2.81%3.39%2.74%2.87%3.10% 2.67%2.90%3.13%2.67%2.74%3.35%
Asia(5)
17.6
176
180
191
227
235
247
17.7
188
176
171
239
227
220
Ratio 1.00%1.02%1.06%1.29%1.34%1.36% 1.06%1.00%1.01%1.35%1.29%1.29%
Citi Holdings(6)(7)
          
Total$41.2
$878
$896
$1,647
$858
$929
$1,366
$38.9
$857
$878
$1,528
$849
$858
$1,423
Ratio 2.23%2.08%2.70%2.18%2.16%2.24% 2.29%2.23%2.69%2.27%2.18%2.51%
International5.5
170
145
185
138
161
213
5.5
164
170
174
135
138
193
Ratio 3.09%2.27%1.97%2.51%2.52%2.27% 2.98%3.09%2.00%2.45%2.51%2.22%
North America35.7
708
751
1,462
720
768
1,153
33.4
693
708
1,354
714
720
1,230
Ratio 2.09%2.05%2.84%2.12%2.09%2.24% 2.17%2.09%2.81%2.24%2.12%2.56%
Other (8)
0.1
    
Total Citigroup$326.4
$2,843
$2,918
$3,667
$3,176
$3,289
$3,656
$328.7
$3,026
$2,843
$3,509
$3,401
$3,176
$3,850
Ratio 0.88%0.93%1.10%0.98%1.05%1.09% 0.93%0.88%1.08%1.04%0.98%1.18%
(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 Citicorp 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 $305 million ($0.7 billion), $408 million ($0.9 billion), $456 and $498 million ($1.10.9 billion) and $423 million ($0.8 billion) at September 30, 2016, June 30, 2016, March 31, 2016 and JuneSeptember 30, 2015, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $58 million, $91 million $86and $79 million and $75 million at September 30, 2016, June 30, 2016, March 31, 2016 and JuneSeptember 30, 2015, respectively.
(5)
For reporting purposes, Asia GCB includes the results of operations ofdelinquencies and loans in certain EMEA GCB countries for all periods presented.
(6)
The 90+ days and 30–89 days past due and related ratios for Citi Holdings 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 $1.2 billion ($1.8 billion), $1.3 billion ($1.9 billion) and $1.7 billion ($2.7 billion) at June 30, 2016, March 31, 2016 and June 30,


due (and EOP loans) were $1.0 billion ($1.5 billion), $1.2 billion ($1.8 billion) and $1.7 billion ($2.6 billion) at September 30, 2016, June 30, 2016, and September 30, 2015, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.2$0.1 billion, $0.2 billion and $0.3 billion at September 30, 2016, June 30, 2016, March 31, 2016 and JuneSeptember 30, 2015, respectively.
(7)
The September 30, 2016, June 30, 2016, March 31, 2016 and JuneSeptember 30, 2015 loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $9 million, $9 million and $12 million, respectively, of loans that are carried at fair value.
(8)
Represents loans classified as Consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics.

Consumer Loan Net Credit Losses and Ratios
Average
loans(1)
Net credit losses(2)(3)
Average
loans(1)
Net credit losses(2)(3)
In millions of dollars, except average loan amounts in billions2Q161Q162Q153Q162Q163Q15
Citicorp    
Total$273.3
$1,373
$1,370
$1,504
$287.8
$1,351
$1,373
$1,354
Ratio 2.02%2.03%2.21% 1.87%2.02%1.99%
Retail banking  
Total$141.4
$242
$220
$261
$142.3
$259
$242
$247
Ratio 0.69%0.63%0.73% 0.72%0.69%0.70%
North America54.4
44
24
39
55.0
54
44
34
Ratio 0.33%0.18%0.32% 0.39%0.33%0.27%
Latin America19.5
137
134
142
19.4
132
137
138
Ratio 2.83%2.76%2.70% 2.71%2.83%2.72%
Asia(4)
67.5
61
62
80
67.9
73
61
75
Ratio 0.36%0.37%0.44% 0.43%0.36%0.43%
Cards  
Total$131.9
$1,131
$1,150
$1,243
$145.5
$1,092
$1,131
$1,107
Ratio 3.45%3.52%3.84% 2.99%3.45%3.39%
North America—Citi-branded66.7
467
455
503
79.2
448
467
443
Ratio 2.82%2.83%3.19% 2.25%2.82%2.75%
North America—Retail services42.7
442
453
457
43.6
427
442
401
Ratio 4.16%4.14%4.30% 3.90%4.16%3.69%
Latin America5.1
123
144
174
5.1
122
123
163
Ratio 9.70%11.14%11.44% 9.52%9.70%11.55%
Asia(4)
17.4
99
98
109
17.6
95
99
100
Ratio 2.29%2.27%2.43% 2.15%2.29%2.32%
Citi Holdings(3)
  
Total$43.3
$101
$143
$309
$40.8
$134
$101
$259
Ratio 0.94%1.25%1.90% 1.31%0.94%1.67%
International6.1
77
78
116
5.4
82
77
93
Ratio 5.08%4.68%4.70% 6.04%5.08%4.19%
North America37.2
24
65
193
35.4
52
24
166
Ratio 0.26%0.66%1.39% 0.58%0.26%1.25%
Total Citigroup$316.6
$1,474
$1,513
$1,813
$328.6
$1,485
$1,474
$1,613
Ratio 1.87%1.92%2.15% 1.80%1.87%1.93%
(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 the entry into an agreement to sell OneMain Financial (OneMain), OneMain was classified as held-for-sale (HFS) beginning March 31, 2015. As a result of HFS accounting treatment, approximately $160$116 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during the secondthird quarter of 2015. Accordingly, these NCLs are not included in this table. Loans HFS are excluded from this table as they are recorded in Other assets.
(4)
For reporting purposes,Asia Asia GCBincludes the results of operations ofNCLs and average loans in certain EMEA GCB countries for all periods presented.
.




CORPORATE CREDIT
Consistent with its overall strategy, Citi’s corporate clients are typically large, multi-national corporations which value Citi’s global network. Citi aims to establish relationships with these clients that encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory.

Corporate Credit Portfolio
The following table sets forth Citi’s corporate credit portfolio within ICG (excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:

At June 30, 2016At March 31, 2016At December 31, 2015At September 30, 2016At June 30, 2016At December 31, 2015
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year		Greater
than 1 year
but within
5 years		Greater
than
5 years		Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year		Greater
than 1 year
but within
5 years		Greater
than
5 years		Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings (on-balance sheet)(1)
$111
$99
$24
$234
$104
$103
$24
$231
$98
$97
$25
$220
$109
$102
$24
$235
$111
$99
$24
$234
$98
$97
$25
$220
Unfunded lending commitments (off-balance sheet)(2)
101
209
32
342
103
225
23
351
99
231
26
356
102
209
27
338
101
209
32
342
99
231
26
356
Total exposure$212
$308
$56
$576
$207
$328
$47
$582
$197
$328
$51
$576
$211
$311
$51
$573
$212
$308
$56
$576
$197
$328
$51
$576

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

Portfolio Mix—Geography, Counterparty and Industry
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage by region based on Citi’s internal management geography:
June 30,
2016		March 31,
2016		December 31,
2015		September 30,
2016		June 30,
2016		December 31,
2015
North America54%56%56%54%54%56%
EMEA26
25
25
26
26
25
Asia12
12
12
12
12
12
Latin America8
7
7
8
8
7
Total100%100%100%100%100%100%

The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived primarily through the use of 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-default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are
considered investment grade, while those below are considered non-investment grade.
Citigroup 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 by facility risk rating as a percentage of the total corporate credit portfolio:
Total ExposureTotal Exposure
June 30,
2016		March 31,
2016		December 31,
2015		September 30,
2016		June 30,
2016		December 31,
2015
AAA/AA/A49%48%48%49%49%48%
BBB34
35
35
34
34
35
BB/B15
15
15
15
15
15
CCC or below2
2
2
2
2
2
Unrated—
—
—
—
—
—
Total100%100%100%100%100%100%

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



Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:
Total ExposureTotal Exposure
June 30,
2016		March 31,
2016		December 31,
2015		September 30,
2016		June 30,
2016		December 31,
2015
Transportation and industrial21%21%20%21%21%20%
Consumer retail and health17
16
16
16
17
16
Power, chemicals, commodities and metals and mining11
12
11
11
11
11
Technology, media and telecom11
11
12
11
11
12
Energy(1)
9
8
9
8
9
9
Banks/broker-dealers/finance companies7
7
7
Real estate6
6
6
7
6
6
Banks/broker-dealers6
7
7
Public sector5
5
5
Insurance and special purpose entities5
5
5
Hedge funds5
5
5
5
5
5
Insurance and special purpose entities5
5
5
Public sector5
5
5
Other industries3
4
4
5
3
4
Total100%100%100%100%100%100%

Note: Total exposure includes direct outstandings and unfunded lending commitments.
(1) In addition to this exposure, Citi has energy-related exposure within the “Public sector” (e.g., energy-related state-owned entities) and “Transportation and industrial” sector (e.g., off-shore drilling entities) included in the table above. As of JuneSeptember 30, 2016, Citi’s total exposure to these energy-related entities remained largely consistent with the prior quarter, at approximately $6$7 billion, of which approximately $4 billion consisted of direct outstanding funded loans.

Exposure to the Energy and Energy-Related Sector
As of JuneSeptember 30, 2016, Citi’s total corporate credit exposure to the energy and energy-related sector (see footnote 1 to the table above) was $56.9$55.0 billion, with $22.1$20.6 billion consisting of direct outstanding funded loans, or 3%, of Citi’s total outstanding loans. This compared to $57.2$56.9 billion of total exposure and $22.3$22.1 billion of funded loans as of March 31,June 30, 2016. In addition, as of JuneSeptember 30, 2016, approximately 72% of ICG’s total corporate credit energy and energy-related exposure was in the United States, United Kingdom and Canada (unchanged from March 31,June 30, 2016). Also as of JuneSeptember 30, 2016, approximately 73%74% of Citi’s total energy and energy-related exposures were rated investment grade (unchanged from March 31,(compared to approximately 73% at June 30, 2016).
During the secondthird quarter of 2016, Citi incurred approximately $102 million of net credit losses in the energy and energy-related loan portfolio and released approximately $104$35 million of energy and energy-related loan loss reserves.reserves and recognized a $1 million recovery in the energy and energy-related loan portfolio. As of JuneSeptember 30, 2016, Citi held loan loss reserves against its funded energy and energy-related loans equal to approximately 3.9%4.0% of these loans (down(up slightly from 4.2%3.9% at March 31,June 30, 2016), with a funded reserve ratio of approximately
 
approximately 10%10.6% on the non-investment grade portion of the portfolio consistent with the prior quarter.(up slightly from 10.2% as of June 30, 2016).
For information on Citi’s energy and energy-related exposures within GCB’s commercial banking business within retail banking, see “Commercial Credit—GCB Commercial Banking Exposure to the Energy and Energy-Related Sector” above.

Exposure to Banks, Broker-Dealers and Finance Companies
As of JuneSeptember 30, 2016, Citi’s total corporate credit exposure to banks, broker-dealers and finance companies was approximately $39$36 billion, of which $27$25 billion represented direct outstanding funded loans, or 5%4% of Citi’s total outstanding loans. Also as of JuneSeptember 30, 2016, approximately 84%80% of Citi’s bank, broker-dealers and finance companies total corporate credit exposure was rated investment grade.
Included in the amounts noted above, as of JuneSeptember 30, 2016, Citi’s total corporate credit exposure to banks was approximately $24$22 billion, with $19approximately $17 billion consisting of direct outstanding funded loans, or 3% of Citi’s total outstanding loans. Of the approximately $24$22 billion as of JuneSeptember 30, 2016, approximately 30%31% related to Asia, 30%31% related toEMEA, 20%16% related to North Americaand 20%22% related to Latin America. More than 70%Approximately two-thirds of Citi’s total corporate credit exposure to banks had a tenor of less than 12 months as of JuneSeptember 30, 2016.
In addition to the corporate lending exposures described
above, Citi has additional exposure to banks, broker-dealers
and finance companies in the form of derivatives and
securities financing transactions, which are typically
executed as repurchase and reverse repurchase agreements or
securities loaned or borrowed arrangements. As of JuneSeptember 30, 2016, Citi had net derivative credit exposure to banks, broker-dealers and finance companies of approximately $8$9 billion after the application of netting arrangements, legally enforceable margin agreements and other collateral arrangements. The collateral considered as part of the net derivative credit exposure was represented primarily by high quality, liquid assets. As of JuneSeptember 30, 2016, Citi had net credit exposure to banks, broker-dealers and finance companies in the form of securities financing transactions of $4$5 billion after the application of netting and collateral arrangements. The collateral considered in the net exposure for the securities financing transactions exposure was primarily cash and highly liquid investment grade securities.






Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Other revenue on the Consolidated Statement of Income.
At JuneSeptember 30, 2016, March 31,June 30, 2016 and December 31, 2015, $37.6$37.8 billion, $36.6$37.6 billion and $34.5 billion, respectively, of the corporate credit portfolio was economically hedged. Citigroup’s expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other mitigants that are marked to market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure
June 30,
2016		March 31,
2016		December 31,
2015		September 30,
2016		June 30,
2016		December 31,
2015
AAA/AA/A20%19%21%20%20%21%
BBB51
53
48
53
51
48
BB/B25
25
27
24
25
27
CCC or below4
3
4
3
4
4
Total100%100%100%100%100%100%
 
The credit protection was economically hedging underlying corporate credit portfolio exposures with the following industry distribution:

Industry of Hedged Exposure
June 30,
2016		March 31,
2016		December 31,
2015		September 30,
2016		June 30,
2016		December 31,
2015
Transportation and industrial26%28%28%28%26%28%
Consumer retail and health16
18
17
16
16
17
Energy16
15
13
Technology, media and telecom15
16
16
14
15
16
Energy15
13
13
Power, chemicals, commodities and metals and mining

12
11
12
12
12
12
Public Sector4
5
4
Insurance and special purpose entities5
5
5
3
5
5
Public Sector5
4
4
Banks/broker-dealers5
4
4
3
5
4
Other industries1
1
1
4
1
1
Total100%100%100%100%100%100%





ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding
2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.
In millions of dollars201620162015201620162015
Consumer loans

In U.S. offices

Mortgage and real estate(1)
$77,242
$79,128
$80,281
$89,155
$90,715
$75,057
$77,242
$79,128
$80,281
$89,155
Installment, revolving credit, and other3,486
3,504
3,480
4,999
4,956
3,465
3,486
3,504
3,480
4,999
Cards120,113
106,892
112,800
107,244
107,096
124,637
120,113
106,892
112,800
107,244
Commercial and industrial7,041
6,793
6,407
6,437
6,493
6,989
7,041
6,793
6,407
6,437

$207,882
$196,317
$202,968
$207,835
$209,260
$210,148
$207,882
$196,317
$202,968
$207,835
In offices outside the U.S.  
Mortgage and real estate(1)
$46,049
$47,831
$47,062
$47,295
$50,704
$45,751
$46,049
$47,831
$47,062
$47,295
Installment, revolving credit, and other27,830
28,778
29,480
29,702
30,958
28,217
27,830
28,778
29,480
29,702
Cards25,844
26,312
27,342
26,865
28,662
25,833
25,844
26,312
27,342
26,865
Commercial and industrial17,857
17,697
17,741
17,841
18,863
17,828
17,857
17,697
17,741
17,841
Lease financing140
139
362
368
424
113
140
139
362
368

$117,720
$120,757
$121,987
$122,071
$129,611
$117,742
$117,720
$120,757
$121,987
$122,071
Total consumer loans$325,602
$317,074
$324,955
$329,906
$338,871
$327,890
$325,602
$317,074
$324,955
$329,906
Unearned income(2)
817
826
830
(687)(677)812
817
826
830
(687)
Consumer loans, net of unearned income$326,419
$317,900
$325,785
$329,219
$338,194
$328,702
$326,419
$317,900
$325,785
$329,219
Corporate loans

In U.S. offices

Commercial and industrial$50,286
$44,104
$41,147
$40,435
$40,697
$50,156
$50,286
$44,104
$41,147
$40,435
Loans to financial institutions32,001
36,865
36,396
38,034
37,360
35,801
32,001
36,865
36,396
38,034
Mortgage and real estate(1)
40,175
38,697
37,565
37,019
34,680
41,078
40,175
38,697
37,565
37,019
Installment, revolving credit, and other32,491
33,273
33,374
32,129
31,882
32,571
32,491
33,273
33,374
32,129
Lease financing1,546
1,597
1,780
1,718
1,707
1,532
1,546
1,597
1,780
1,718

$156,499
$154,536
$150,262
$149,335
$146,326
$161,138
$156,499
$154,536
$150,262
$149,335
In offices outside the U.S.

Commercial and industrial$87,125
$85,491
$82,358
$85,628
$87,274
$84,162
$87,125
$85,491
$82,358
$85,628
Loans to financial institutions27,856
28,652
28,704
28,090
29,675
27,305
27,856
28,652
28,704
28,090
Mortgage and real estate(1)
5,455
5,769
5,106
6,602
5,948
5,595
5,455
5,769
5,106
6,602
Installment, revolving credit, and other24,825
21,583
20,853
19,352
20,214
25,462
24,825
21,583
20,853
19,352
Lease financing255
280
303
329
378
243
255
280
303
329
Governments and official institutions5,757
5,303
4,911
4,503
4,714
6,506
5,757
5,303
4,911
4,503

$151,273
$147,078
$142,235
$144,504
$148,203
$149,273
$151,273
$147,078
$142,235
$144,504
Total corporate loans$307,772
$301,614
$292,497
$293,839
$294,529
$310,411
$307,772
$301,614
$292,497
$293,839
Unearned income(3)
(676)(690)(665)(614)(605)(678)(676)(690)(665)(614)
Corporate loans, net of unearned income$307,096
$300,924
$291,832
$293,225
$293,924
$309,733
$307,096
$300,924
$291,832
$293,225
Total loans—net of unearned income$633,515
$618,824
$617,617
$622,444
$632,118
$638,435
$633,515
$618,824
$617,617
$622,444
Allowance for loan losses—on drawn exposures(12,304)(12,712)(12,626)(13,626)(14,075)(12,439)(12,304)(12,712)(12,626)(13,626)
Total loans—net of unearned income
and allowance for credit losses		$621,211
$606,112
$604,991
$608,818
$618,043
$625,996
$621,211
$606,112
$604,991
$608,818
Allowance for loan losses as a percentage of total loans—
net of unearned income(4)
1.96%2.07%2.06%2.21%2.25%1.97%1.96%2.07%2.06%2.21%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(4)
2.89%3.09%3.02%3.35%3.45%2.94%2.89%3.09%3.02%3.35%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(4)
0.95%0.98%0.97%0.90%0.84%0.91%0.95%0.98%0.97%0.90%
(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 16, 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
2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.
In millions of dollars201620162015201620162015
Allowance for loan losses at beginning of period$12,712
$12,626
$13,626
$14,075
$14,598
$12,304
$12,712
$12,626
$13,626
$14,075
Provision for loan losses  
Consumer$1,275
$1,570
$1,684
$1,338
$1,559
$1,817
$1,275
$1,570
$1,684
$1,338
Corporate115
316
572
244
(44)(71)115
316
572
244
$1,390
$1,886
$2,256
$1,582
$1,515
$1,746
$1,390
$1,886
$2,256
$1,582
Gross credit losses  
Consumer  
In U.S. offices$1,212
$1,230
$1,267
$1,244
$1,393
$1,183
$1,212
$1,230
$1,267
$1,244
In offices outside the U.S. 678
689
794
746
816
702
678
689
794
746
Corporate  
In U.S. offices63
190
75
30
5
27
63
190
75
30
In offices outside the U.S. 95
34
44
48
121
36
95
34
44
48
$2,048
$2,143
$2,180
$2,068
$2,335
$1,948
$2,048
$2,143
$2,180
$2,068
Credit recoveries(1)
  
Consumer  
In U.S. offices$262
$256
$229
$222
$228
$227
$262
$256
$229
$222
In offices outside the U.S. 154
150
164
155
168
173
154
150
164
155
Corporate  
In U.S. offices3
4
9
11
4
16
3
4
9
11
In offices outside the U.S. 13
9
16
17
15
7
13
9
16
17
$432
$419
$418
$405
$415
$423
$432
$419
$418
$405
Net credit losses  
In U.S. offices$1,010
$1,160
$1,104
$1,041
$1,166
$967
$1,010
$1,160
$1,104
$1,041
In offices outside the U.S. 606
564
658
622
754
558
606
564
658
622
Total$1,616
$1,724
$1,762
$1,663
$1,920
$1,525
$1,616
$1,724
$1,762
$1,663
Other—net(2)(3)(4)(5)(6)(7)(8)
$(182)$(76)$(1,494)(368)$(118)$(86)$(182)$(76)$(1,494)$(368)
Allowance for loan losses at end of period$12,304
$12,712
$12,626
$13,626
$14,075
$12,439
$12,304
$12,712
$12,626
$13,626
Allowance for loan losses as a percentage of total loans(9)
1.96%2.07%2.06%2.21%2.25%1.97%1.96%2.07%2.06%2.21%
Allowance for unfunded lending commitments(6)(10)
$1,432
$1,473
$1,402
$1,036
$973
Allowance for unfunded lending commitments(7)(10)
$1,388
$1,432
$1,473
$1,402
$1,036
Total allowance for loan losses and unfunded lending commitments$13,736
$14,185
$14,028
$14,662
$15,048
$13,827
$13,736
$14,185
$14,028
$14,662
Net consumer credit losses$1,474
$1,513
$1,668
$1,613
$1,813
$1,485
$1,474
$1,513
$1,668
$1,613
As a percentage of average consumer loans1.87%1.90%2.00%1.93%2.15%1.80%1.87%1.90%2.00%1.93%
Net corporate credit losses$142
$211
$94
$50
$107
$40
$142
$211
$94
$50
As a percentage of average corporate loans0.19%0.29%0.13%0.07%0.15%0.05%0.19%0.29%0.13%0.07%
Allowance for loan losses at end of period(11)
  
Citicorp$10,433
$10,544
$10,331
$10,213
$10,368
$10,735
$10,433
$10,544
$10,331
$10,213
Citi Holdings1,871
2,168
2,295
3,413
3,707
1,704
1,871
2,168
2,295
3,413
Total Citigroup$12,304
$12,712
$12,626
$13,626
$14,075
$12,439
$12,304
$12,712
$12,626
$13,626
Allowance by type  
Consumer$9,432
$9,807
$9,835
$11,030
$11,669
$9,673
$9,432
$9,807
$9,835
$11,030
Corporate2,872
2,905
2,791
2,596
2,406
2,766
2,872
2,905
2,791
2,596
Total Citigroup$12,304
$12,712
$12,626
$13,626
$14,075
$12,439
$12,304
$12,712
$12,626
$13,626
(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)The third quarter of 2016 includes a reduction of approximately $58 million related to the sale or transfers to held-for-sale (HFS) of various loan portfolios, including a reduction of $50 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the third quarter includes a reduction of approximately $46 million related to FX translation.


(4)The second quarter of 2016 includes a reduction of approximately $101 million related to the sale or transfers to held-for-sale (HFS)HFS of various loan portfolios, including a reduction of $24 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the second quarter includes a reduction of approximately $75 million related to FX translation.


(4)(5)The first quarter of 2016 includes a reduction of approximately $148 million related to the sale or transfers to held-for-sale (HFS)HFS of various loan portfolios, including a reduction of $29 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the first quarter includes an increase of approximately $63 million related to FX translation.
(5)(6)The fourth quarter of 2015 includes a reduction of approximately $1.1 billion related to the sale or transfers to HFS of various loan portfolios, including a reduction of $1.1 billion related to the transfers of a real estate loan portfolio to HFS. Additionally, the fourth quarter includes a reduction of approximately $35 million related to FX translation.
(6)(7)
The fourth quarter of 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.
(7)(8)The third quarter of 2015 includes a reduction of approximately $110 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $14 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the third quarter includes a reduction of approximately $255 million related to FX translation.
(8)The second quarter of 2015 includes a reduction of approximately $88 million related to the sale or transfers to held-for-sale (HFS) of various loan portfolios, including a reduction of $34 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the second quarter of 2015 includes a reduction of approximately $39 million related to FX translation.
(9)September 30, 2016, June 30, 2016, March 31, 2016, December 31, 2015, and September 30, 2015 and June 30, 2015 exclude $4.0 billion, $4.1 billion, $4.8 billion, $5.0 billion $5.5 billion and $6.5$5.5 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 in Citi’s 2015 Annual Report on Form 10-K. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.


Allowance for Loan Losses
The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:
June 30, 2016September 30, 2016
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$4.6
$120.8
3.8%$5.0
$125.3
4.0%
North America mortgages(3)
1.4
76.9
1.8
1.2
74.7
1.6
North America other
0.4
13.6
2.9
0.5
13.5
3.7
International cards1.5
25.1
6.0
1.4
25.1
5.6
International other(4)
1.5
90.0
1.7
1.6
90.1
1.8
Total consumer$9.4
$326.4
2.9%$9.7
$328.7
3.0%
Total corporate2.9
307.1
1.0
2.7
309.7
0.9
Total Citigroup$12.3
$633.5
2.0%$12.4
$638.4
2.0%
(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 $4.6$5.0 billion of loan loss reserves represented approximately 1517 months of coincident net credit loss coverage.
(3)
Of the $1.4$1.2 billion, approximately $1.2$1.1 billion was allocated to North America mortgages in Citi Holdings. Of the $1.4$1.2 billion, approximately $0.5 billion and $0.8$0.7 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $76.9$74.7 billion in loans, approximately $71.0$69.2 billion and $5.8$5.3 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 1514 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.

 December 31, 2015
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$4.5
$113.4
4.0%
North America mortgages(3)
1.7
79.6
2.1
North America other
0.5
13.0
3.8
International cards1.6
26.7
6.0
International other(4)
1.5
93.1
1.6
Total consumer$9.8
$325.8
3.0%
Total corporate2.8
291.8
1.0
Total Citigroup$12.6
$617.6
2.1%
(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 $4.5 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.
(3)
Of the $1.7 billion, approximately $1.6 billion was allocated to North America mortgages in Citi Holdings. Of the $1.7 billion, approximately $0.6 billion and $1.1 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $79.6 billion in loans, approximately $72.3 billion and $7.1 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 1514 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:

Non-Accrual Loans and Assets:
Corporate and consumer (commercial market) 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 received on corporate non-accrual loans are generally applied to loan principal and not reflected as interest income. Approximately 66%67% of Citi’s corporate non-accrual loans were performing at JuneSeptember 30, 2016, compared to 59%66% at March 31,June 30, 2016.
Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.
Mortgage loans in regulated bank entities discharged through Chapter 7 bankruptcy, other than FHA insured loans, are classified as non-accrual. Non-bank mortgage loans discharged through Chapter 7 bankruptcy are classified as non-accrual at 90 days or more past due. In addition, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due.
North America Citi-branded cards and Citi retail services are not included because, under industry standards, credit card loans accrue interest until such loans are charged off, which typically occurs at 180 days contractual delinquency.
Renegotiated Loans:
Includes both corporate and consumer loans whose terms have been modified in a troubled debt restructuring (TDR).
Includes both accrual and non-accrual TDRs.




Non-Accrual Loans and Assets
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.
 
As set forth in the tables below, Citi’s corporate non-accrual loans within Citicorp increaseddecreased during the secondthird quarter of 2016 by 6%2% or approximately $135$45 million, driven primarily by energy and energy-related exposures in EMEANorth America last quarter (for additional information on these exposures, see “Corporate Credit” above). Approximately two-thirds of the total additions to corporate non-accrual loans during the quarter remained performing as of June 30, 2016.


Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,
In millions of dollars201620162015201620162015
Citicorp$4,101
$3,718
$2,991
$2,921
$2,684
$3,977
$4,101
$3,718
$2,991
$2,921
Citi Holdings2,064
2,210
2,263
3,486
3,800
1,990
2,064
2,210
2,263
3,486
Total non-accrual loans$6,165
$5,928
$5,254
$6,407
$6,484
$5,967
$6,165
$5,928
$5,254
$6,407
Corporate non-accrual loans(1)(2)


North America$1,280
$1,331
$818
$833
$467
$1,057
$1,280
$1,331
$818
$833
EMEA762
469
347
386
385
857
762
469
347
386
Latin America267
410
303
230
226
380
267
410
303
230
Asia151
117
128
129
145
121
151
117
128
129
Total corporate non-accrual loans$2,460
$2,327
$1,596
$1,578
$1,223
$2,415
$2,460
$2,327
$1,596
$1,578
Citicorp$2,410
$2,275
$1,543
$1,525
$1,168
$2,365
$2,410
$2,275
$1,543
$1,525
Citi Holdings50
52
53
53
55
50
50
52
53
53
Total corporate non-accrual loans$2,460
$2,327
$1,596
$1,578
$1,223
$2,415
$2,460
$2,327
$1,596
$1,578
Consumer non-accrual loans(1)(3)
  
North America$2,520
$2,519
$2,515
$3,622
$3,928
$2,429
$2,520
$2,519
$2,515
$3,622
Latin America884
817
874
935
1,032
841
884
817
874
935
Asia(4)
301
265
269
272
301
282
301
265
269
272
Total consumer non-accrual loans$3,705
$3,601
$3,658
$4,829
$5,261
$3,552
$3,705
$3,601
$3,658
$4,829
Citicorp$1,691
$1,443
$1,448
$1,396
$1,516
$1,612
$1,691
$1,443
$1,448
$1,396
Citi Holdings2,014
2,158
2,210
3,433
3,745
1,940
2,014
2,158
2,210
3,433
Total consumer non-accrual loans $3,705
$3,601
$3,658
$4,829
$5,261
$3,552
$3,705
$3,601
$3,658
$4,829
(1)Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $194 million at September 30, 2016, $212 million at June 30, 2016, $236 million at March 31, 2016, $250 million at December 31, 2015 and $320 million at September 30, 2015 and $343 million at June 30, 2015.
(2)
The increases in corporate non-accrual loans duringin the third quarter of 2015 and first quarter of 2016 primarily related to Citi’s North America and EMEA energy and energy-related corporate credit exposure.
(3) The December 31, 2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans,, held-for-sale (HFS) (included within Other assets).
(4) For reporting purposes, Asia GCB includes the results of operations ofbalances in certain EMEA GCBcountries for all periods presented.



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

Three months endedThree months endedThree months endedThree months ended
June 30, 2016June 30, 2015September 30, 2016September 30, 2015
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,327
$3,601
$5,928
$1,182
$5,572
$6,754
$2,460
$3,705
$6,165
$1,223
$5,261
$6,484
Additions830
1,326
2,156
292
1,077
1,369
469
1,131
1,600
626
1,094
1,720
Sales and transfers to held-for-sale(1)(209)(210)(140)(141)(281)(4)(102)(106)(39)(275)(314)
Returned to performing(68)(143)(211)(10)(281)(291)(58)(149)(207)(39)(258)(297)
Paydowns/settlements(491)(396)(887)(103)(309)(412)(433)(562)(995)(95)(323)(418)
Charge-offs(113)(462)(575)(40)(615)(655)(24)(455)(479)(34)(573)(607)
Other(24)(12)(36)42
(42)—
5
(16)(11)(64)(97)(161)
Ending balance$2,460
$3,705
$6,165
$1,223
$5,261
$6,484
$2,415
$3,552
$5,967
$1,578
$4,829
$6,407

Six months endedSix months endedNine months endedNine months ended
June 30, 2016June 30, 2015September 30, 2016September 30, 2015
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$1,596
$3,658
$5,254
$1,202
$5,905
$7,107
$1,596
$3,658
$5,254
$1,202
$5,905
$7,107
Additions1,877
2,240
4,117
488
2,933
3,421
2,346
3,371
5,717
1,114
4,027
5,141
Sales and transfers to held-for-sale(9)(371)(380)(176)(755)(931)(13)(473)(486)(215)(1,030)(1,245)
Returned to performing(83)(284)(367)(21)(607)(628)(141)(434)(575)(60)(865)(925)
Paydowns/settlements(589)(641)(1,230)(242)(616)(858)(1,022)(1,203)(2,225)(337)(939)(1,276)
Charge-offs(253)(898)(1,151)(58)(1,486)(1,544)(277)(1,353)(1,630)(92)(2,059)(2,151)
Other(79)1
(78)30
(113)(83)(74)(14)(88)(34)(210)(244)
Ending balance$2,460
$3,705
$6,165
$1,223
$5,261
$6,484
$2,415
$3,552
$5,967
$1,578
$4,829
$6,407



The table below summarizes Citigroup’s other real estate owned (OREO) assets as of the periods indicated. 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:
Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,
In millions of dollars201620162015201620162015
OREO  
Citicorp$54
$74
$70
$83
$85
$57
$54
$74
$70
$83
Citi Holdings121
131
139
144
161
104
121
131
139
144
Total OREO$175
$205
$209
$227
$246
$161
$175
$205
$209
$227
North America$151
$159
$166
$177
$190
$132
$151
$159
$166
$177
EMEA—
1
1
1
1
1
—
1
1
1
Latin America19
35
38
44
50
18
19
35
38
44
Asia5
10
4
5
5
10
5
10
4
5
Total OREO$175
$205
$209
$227
$246
$161
$175
$205
$209
$227
Non-accrual assets—Total Citigroup


Corporate non-accrual loans$2,460
$2,327
$1,596
$1,578
$1,223
$2,415
$2,460
$2,327
$1,596
$1,578
Consumer non-accrual loans3,705
3,601
3,658
4,829
5,261
3,552
3,705
3,601
3,658
4,829
Non-accrual loans (NAL)$6,165
$5,928
$5,254
$6,407
$6,484
$5,967
$6,165
$5,928
$5,254
$6,407
OREO$175
$205
$209
$227
$246
$161
$175
$205
$209
$227
Non-accrual assets (NAA)$6,340
$6,133
$5,463
$6,634
$6,730
$6,128
$6,340
$6,133
$5,463
$6,634
NAL as a percentage of total loans0.97%0.96%0.85%1.03%1.03%0.94%0.97%0.96%0.85%1.03%
NAA as a percentage of total assets0.35
0.34
0.32
0.37
0.37
0.34
0.35
0.34
0.32
0.37
Allowance for loan losses as a percentage of NAL(1)
200
214
240
213
217
208
200
214
240
213

Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,
Non-accrual assets—Total Citicorp201620162015201620162015
Non-accrual loans (NAL)$4,101
$3,718
$2,991
$2,921
$2,684
$3,977
$4,101
$3,718
$2,991
$2,921
OREO54
74
70
83
85
57
54
74
70
83
Non-accrual assets (NAA)$4,155
$3,792
$3,061
$3,004
$2,769
$4,034
$4,155
$3,792
$3,061
$3,004
NAA as a percentage of total assets0.24%0.22%0.19%0.18%0.16%0.23%0.24%0.22%0.19%0.18%
Allowance for loan losses as a percentage of NAL(1)
254
284
345
350
386
270
254
284
345
350
Non-accrual assets—Total Citi Holdings

Non-accrual loans (NAL)(2)
$2,064
$2,210
$2,263
$3,486
$3,800
$1,990
$2,064
$2,210
$2,263
$3,486
OREO121
131
139
144
161
104
121
131
139
144
Non-accrual assets (NAA)$2,185
$2,341
$2,402
$3,630
$3,961
$2,094
$2,185
$2,341
$2,402
$3,630
NAA as a percentage of total assets3.31%3.21%2.97%3.10%3.19%3.43%3.31%3.21%2.97%3.10%
Allowance for loan losses as a percentage of NAL(1)
91
98
101
98
98
86
91
98
101
98

(1)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.
(2)
The December 31, 2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans, held-for-sale (HFS) (included within Other assets).





Renegotiated Loans
The following table presents Citi’s loans modified in TDRs.
In millions of dollarsJun. 30, 2016Dec. 31, 2015Sep. 30, 2016Dec. 31, 2015
Corporate renegotiated loans(1)
    
In U.S. offices    
Commercial and industrial(2)
$26
$25
$81
$25
Mortgage and real estate(3)
96
104
78
104
Loans to financial institutions—
5
10
5
Other252
273
255
273
$374
$407
$424
$407
In offices outside the U.S.    
Commercial and industrial(2)
$297
$111
$313
$111
Mortgage and real estate(3)
34
33
2
33
Other36
45
36
45
$367
$189
$351
$189
Total corporate renegotiated loans$741
$596
$775
$596
Consumer renegotiated loans(4)(5)(6)
    
In U.S. offices    
Mortgage and real estate(7)
$5,643
$7,058
$5,206
$7,058
Cards1,307
1,396
1,292
1,396
Installment and other81
79
88
79
$7,031
$8,533
$6,586
$8,533
In offices outside the U.S.    
Mortgage and real estate$463
$474
$496
$517
Cards542
555
539
555
Installment and other491
514
470
471
$1,496
$1,543
$1,505
$1,543
Total consumer renegotiated loans$8,527
$10,076
$8,091
$10,076
(1)Includes $422$476 million and $258 million of non-accrual loans included in the non-accrual assets table above at JuneSeptember 30, 2016 and December 31, 2015, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at JuneSeptember 30, 2016, Citi also modified $374$252 million commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) all within offices in 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)In addition to modifications reflected as TDRs at JuneSeptember 30, 2016, Citi also modified $13 million of commercial real estate loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices inside 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).
(4)Includes $1,739$1,691 million and $1,852 million of non-accrual loans included in the non-accrual assets table above at JuneSeptember 30, 2016 and December 31, 2015, respectively. The remaining loans are accruing interest.
(5)Includes $45$78 million and $53$96 million of commercial real estate loans at JuneSeptember 30, 2016 and December 31, 2015, respectively.
(6)Includes $105$78 million and $128$85 million of other commercial loans at JuneSeptember 30, 2016 and December 31, 2015, respectively.
(7)Reduction in the sixnine months ended JuneSeptember 30, 2016 includes $1,073$1,366 million related to TDRs sold or transferred to held-for-sale.




LIQUIDITY RISK

For additional information on funding and liquidity at Citigroup, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors” in Citi’s 2015 Annual Report on Form 10-K.
 
 





High-Quality Liquid Assets (HQLA)
Citibank
Non-Bank and Other(1)
TotalCitibank
Non-Bank and Other(1)
Total
In billions of dollarsJun. 30, 2016Mar. 31, 2016Jun. 30, 2015Jun. 30, 2016Mar. 31, 2016Jun. 30, 2015Jun. 30, 2016Mar. 31, 2016Jun. 30, 2015Sept. 30, 2016Jun. 30, 2016Sept. 30, 2015Sept. 30, 2016Jun. 30, 2016Sept. 30, 2015Sept. 30, 2016Jun. 30, 2016Sept. 30, 2015
Available cash$61.3
$74.2
$71.9
$23.2
$24.5
$17.8
$84.5
$98.7
$89.7
$71.1
$61.3
$68.9
$19.2
$23.2
$21.5
$90.2
$84.5
$90.4
U.S. sovereign115.0
117.6
118.8
19.6
22.6
19.4
134.6
140.3
138.2
122.3
115.0
119.6
21.8
19.6
22.4
144.1
134.6
142.0
U.S. agency/agency MBS69.2
68.9
58.5
0.3
0.5
1.3
69.5
69.4
59.7
62.6
69.2
60.1
0.2
0.3
1.0
62.8
69.5
61.1
Foreign government debt(2)
86.7
86.8
80.6
16.8
19.6
13.5
103.6
106.4
94.1
89.2
86.7
87.6
15.5
16.8
15.5
104.7
103.5
103.1
Other investment grade1.2
1.1
2.9
1.5
1.6
1.1
2.7
2.7
4.0
1.0
1.2
0.8
1.5
1.5
1.5
2.5
2.7
2.3
Total HQLA (EOP)$333.3
$348.7
$332.6
$61.5
$68.8
$53.1
$394.8
$417.5
$385.8
$346.2
$333.4
$337.0
$58.2
$61.4
$61.9
$404.3
$394.8
$398.9
Total HQLA (AVG)$342.5
$335.1
$—
$68.5
$65.0
$—
$411.0
$400.1
$—
$344.0
$342.5
$—
$59.8
$68.5
$—
$403.8
$411.0
$—

Note: Except as indicated, amounts set forth in the table above are as of period end and may increase or decrease intra-period in the ordinary course of business. For securities, the amounts represent the liquidity value that potentially could be realized, and thus exclude any securities that are encumbered, as well as the haircuts that would be required for securities financing transactions. As previously disclosed (see “Liquidity Risk” in the First Quarter of 2016 Form 10-Q), the Federal Reserve Board has proposed requiring disclosure of HQLA, the Liquidity Coverage Ratio and related components on an average basis each quarter, as compared to end-of-period. Citi has presented the average information on these metrics currently available, which includes average total HQLA, average LCR and average net outflows under the LCR for the periods 2Q’163Q’16 and 1Q’16; 2Q’152Q’16; 3Q’15 and other component information is not currently available.
(1)“Non-Bank and Other” includes the parent holding company (Citigroup), Citi’s broker-dealer subsidiaries and other non-bank subsidiaries that are consolidated into Citigroup as well as BanamexCitibanamex and Citibank (Switzerland) AG. BanamexCitibanamex and Citibank (Switzerland) AG account for approximately $8$7 billion of the “Non-Bank and Other” HQLA balance as of JuneSeptember 30, 2016.
(2)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 Hong Kong, Korea, Singapore, India, TaiwanBrazil and Mexico.

As set forth in the table above, sequentially, Citi’s total HQLA declinedincreased on an end-of-period basis but increaseddeclined on an average basis, as Citi maintainedbasis. The end-of-period increase was primarily driven by an increase in available cash at Citibank due to an increase in Federal Home Loan Bank (FHLB) borrowings (see “Secured Funding Transactions and Short-Term Borrowings” below), while the reduction in the average was mainly attributable to higher cash balances for most of the second quarter of 2016 in advance of its acquisition of the Costco portfolio on June 17, 2016.average loan and non-HQLA trading asset growth.
Citi’s HQLA as set forth above does not include Citi’s additional available borrowing capacity from the Federal Home Loan Banks (FHLB)FHLBs of which Citi is a member, which was approximately $24 billion as of September 30, 2016 (compared to $37 billion as of June 30, 2016 (unchanged from both March 31, 2016 and June$36 billion as of September 30, 2015) 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 across 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. As of JuneSeptember 30, 2016, the capacity available for lending to these
entities under Section 23A was approximately $15 billion, unchanged from June 30, 2016 and compared to $14 $17

billion as of March 31, 2016 and $17 billion as of JuneSeptember 30, 2015, subject to certain eligible non-cash collateral requirements.




Loans
The table below sets forth the end-of-period loans, by business and/or segment, and the total average loans for each of the periods indicated:
In billions of dollarsJun. 30, 2016Mar. 31, 2016Jun. 30, 2015Sept. 30, 2016Jun. 30, 2016Sept. 30, 2015
Global Consumer Banking  
North America$175.6
$160.9
$156.9
$180.0
$175.6
$158.9
Latin America24.5
25.4
27.0
23.9
24.5
25.2
Asia(1)
85.1
86.3
90.5
85.8
85.1
85.6
Total$285.2
$272.6
$274.4
$289.7
$285.2
$269.7
Institutional Clients Group  
Corporate lending123.9
123.0
119.1
120.8
123.9
120.4
Treasury and trade solutions (TTS)73.6
73.0
74.7
72.3
73.6
73.5
Private bank, markets and securities services and other109.4
104.8
99.9
116.5
109.4
99.1
Total$306.9
$300.8
$293.6
$309.6
$306.9
$293.0
Total Citicorp592.1
573.4
568.0
599.3
592.1
562.7
Total Citi Holdings41.4
45.4
64.1
39.1
41.4
59.7
Total Citigroup loans (EOP)$633.5
$618.8
$632.1
$638.4
$633.5
$622.4
Total Citigroup loans (AVG)$620.6
$612.2
$627.0
$634.9
$620.6
$623.2

(1)
For reporting purposes, includesIncludes loans in certain EMEA GCBcountries for all periods presented.



As set forth on the table above, end-of-period loans remained largely unchangedincreased 3% year-over-year and increased 2% quarter-over-quarter. Excluding1% quarter-over-quarter, both on a reported basis and excluding the impact of FX translation, Citigroup’s end-of-period loans increased 2% year-over-year and 3% quarter-over-quarter, as growth in Citicorp offset continued reductions in Citi Holdings.
Excluding the impact of FX translation, Citicorp loans increased 6%7% year-over-year. GCB loans grew 6%7% year-over-year, driven by 12%13% growth in North America. Within North America, Citi-branded cards increased 20%25% year-over-year, primarily due to the acquisition of the Costco portfolio. portfolio towards the end of the second quarter of 2016.International GCB loans declined 1%, as continued growth in Mexico was more than offset by a 3%4% decline in Asia reflecting the product repositioning ofthe retail portfolio in this region away from lower return mortgage loans as well as de-risking in the commercial portfolio, which was partially offset by growth in higher return card and personal loans. ICG loans increased 6% year-over-year. Within ICG, corporate loans increased 6%1% primarily driven by both new business and the funding of transaction-related commitments to target market clients. While treasuryclients, partially offset by loan sale activity. On an average basis, the corporate lending portfolio increased 4%. Treasury and trade solutions loans remained relatively unchanged, privatedeclined 2% as the business continued to support its clients while distributing trade loan originations to optimize the balance sheet in a continued low rate environment. Private bank and markets and securities services loans grew 11% year-over-year19% year-over-year. Private bank growth was primarily driven by continued opportunitiesreal estate and investment-related lending to supporttarget clients as Citi sought to deepen client activity.relationships at attractive return levels. Markets growth included lending to target clients in advance of capital markets issuance.
Citi Holdings loans decreased 35% year-over-year driven by $18$17 billion of reductions in North America mortgages, including transfers to held-for-sale (see Note 1413 to the Consolidated Financial Statements).

Deposits
The table below sets forth the end-of-period deposits, by business and/or segment, and the total average deposits for each of the periods indicated:
In billions of dollarsJun. 30, 2016Mar. 31, 2016Jun. 30, 2015Sept. 30, 2016Jun. 30, 2016Sept. 30, 2015
Global Consumer Banking  
North America$183.3
$183.7
$182.5
$185.6
$183.3
$180.0
Latin America28.2
28.3
29.1
27.4
28.2
26.2
Asia(1)
90.5
90.7
89.4
93.6
90.5
87.0
Total$302.0
$302.7
$301.0
$306.6
$302.0
$293.2
Institutional Clients Group  
Treasury and trade solutions (TTS)405.0
415.0
397.3
415.0
405.0
398.5
Banking ex-TTS116.4
114.8
108.4
118.9
116.4
117.5
Markets and securities services85.5
77.3
82.5
83.3
85.4
79.1
Total$606.8
$607.1
$588.3
$617.2
$606.8
$595.1
Corporate/Other22.7
15.6
7.0
10.6
22.7
5.3
Total Citicorp$931.5
$925.4
$896.3
$934.4
$931.5
$893.6
Total Citi Holdings6.4
9.2
11.7
5.9
6.4
10.6
Total Citigroup deposits (EOP)$937.9
$934.6
$908.0
$940.3
$937.9
$904.2
Total Citigroup deposits (AVG)$935.6
$911.7
$906.4
$944.2
$935.6
$903.1
(1)
For reporting purposes, includesIncludes deposits in certain EMEA GCBcountriesfor all periods presented.

As set forth in the table above, end-of-periodEnd-of-period deposits increased 3%4% year-over-year and remained relatively unchanged quarter-over-quarter. Excludingquarter-over-quarter, both on a reported basis and excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 5% year-over-year and 1% sequentially, despite continued reductions in Citi Holdings deposits.translation.
Excluding the impact of FX translation, Citicorp deposits grew 6%5% year-over-year. Within Citicorp, GCB deposits increased 2%5% year-over-year, driven by 5%broad-based growth in international deposits.across all regions. ICG deposits increased 5%4% year-over-year, driven by primarily by treasury and trade solutions, whichas the business continued to support clients’ local liquidity needs, particularly in North America and EMEA.client activity.




Long-Term Debt
The weighted-average maturities 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 7.0 years as of JuneSeptember 30, 2016, unchanged sequentially and an increase from 6.76.8 years in the prior-year period,period. The increase year-over-year was due primarily to the issuance of longer-dated debt securities during the secondthird quarter of 2016, including in response to proposed total loss-absorbing capacity, or TLAC, requirements (for additional information on TLAC, see “Liquidity Risk—Long-Term Debt—Total Loss Absorbing Capacity (TLAC)” and “Risk Factors—Liquidity Risks” in Citi’s 2015 Annual Report on Form 10-K).
Citi’s long-term debt outstanding at the parent includes senior and subordinated debt and what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally driven by customer demand and supplements benchmark debt issuance as a source of funding for Citi’s parent entities. Citi’s long-term debt at the bank also includes FHLB advances and securitizations.



Long-Term Debt Outstanding
The following table sets forth Citi’s total long-term debt outstanding for the periods indicated:
In billions of dollarsJun. 30, 2016Mar. 31, 2016Jun. 30, 2015Sept. 30, 2016Jun. 30, 2016Sept. 30, 2015
Parent





Parent and other(1)






Benchmark debt:  
Senior debt$96.1
$94.0
$98.4
$97.1
$96.1
$99.5
Subordinated debt28.8
29.4
25.6
28.8
28.8
26.8
Trust preferred1.7
1.7
1.7
1.7
1.7
1.7
Customer-related debt:

Structured debt22.5
23.6
23.7
23.6
22.5
23.1
Non-structured debt3.3
3.3
4.5
3.5
3.3
3.6
Local country and other(1)(2)
2.3
4.1
1.2
2.7
2.3
2.1
Total parent$154.8
$156.1
$155.1
Total parent and other$157.4
$154.8
$156.8
Bank











FHLB borrowings$19.6
$17.1
$16.8
$21.6
$19.6
$17.3
Securitizations(2)(3)
27.3
28.7
32.0
24.4
27.3
32.0
Local country and other(1)(2)
5.8
6.0
7.9
5.8
5.8
7.4
Total bank$52.6
$51.7
$56.7
$51.7
$52.6
$56.7
Total long-term debt$207.4
$207.8
$211.8
$209.1
$207.4
$213.5
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)“Parent and other” 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 September 30, 2016 “parent and other” included $8.3 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.
(2)(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Year-over-year, Citi’s total long-term debt outstanding decreased modestly both year-over-year and sequentially as Citi’sprimarily due to continued issuance of benchmark debt was more than offset by declinesreductions in other funding sources, including securitizations at the bank entities and customer-related debt at the parent.entities.
As part of its liability management and to assist it in meeting regulatory changes and requirements, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi’s overall funding costs. During the secondthird quarter of 2016, Citi repurchased an aggregate of approximately $2.9$1.6 billion of its outstanding long-term debt.







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:
2Q161Q162Q153Q162Q163Q15
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent











Parent and other











Benchmark debt:          
Senior debt$5.1
$6.6
$4.3
$5.2
$3.2
$5.4
$3.3
$4.5
$5.1
$6.6
$2.8
$3.4
Subordinated debt1.7
1.0
—
1.5
2.0
3.0
1.3
1.5
1.7
1.0
0.7
2.0
Trust preferred—
—
—
—
—
—
—
—
—
—
—
—
Customer-related debt:

   

   
Structured debt3.4
2.0
2.0
3.6
1.4
3.9
2.2
3.0
3.4
2.0
1.5
1.6
Non-structured debt0.1
0.1
0.2
—
0.3
0.1
0.1
0.2
0.1
0.1
0.8
0.1
Local country and other1.9
—
0.1
1.9
0.1
0.1
0.1
0.4
1.9
—
0.1
0.5
Total parent$12.2
$9.7
$6.6
$12.2
$7.0
$12.5
Total parent and other$6.9
$9.6
$12.2
$9.7
$5.9
$7.6
Bank























FHLB borrowings$1.0
$2.5
$1.7
$1.0
$—
$0.5
$2.8
$5.8
$1.0
$2.5
$0.5
$1.0
Securitizations1.3
—
2.3
—
3.2
—
3.0
—
1.3
—
0.7
0.8
Local country and other1.1
1.0
0.7
0.7
0.4
1.2
0.9
0.9
1.1
1.0
0.6
0.2
Total bank$3.4
$3.5
$4.7
$1.7
$3.6
$1.7
$6.7
$6.7
$3.4
$3.5
$1.8
$2.0
Total$15.6
$13.2
$11.3
$13.9
$10.6
$14.2
$13.6
$16.3
$15.6
$13.2
$7.7
$9.6

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2016, as well as its aggregate expected annual long-term debt maturities as of JuneSeptember 30, 2016:
Maturities
2016 YTD
  
Maturities
2016 YTD
  
In billions of dollars201620172018201920202021ThereafterTotal201620172018201920202021ThereafterTotal
Parent

















Parent and other

















Benchmark debt:   
   
Senior debt$9.4
$5.1
$14.4
$18.5
$14.6
$6.6
$8.7
$28.2
$96.1
$12.7
$1.8
$14.3
$18.4
$14.6
$6.6
$11.2
$30.3
$97.1
Subordinated debt1.7
—
2.4
1.0
1.3
—
—
24.1
28.8
3.0
—
1.2
1.0
1.3
—
—
25.3
28.8
Trust preferred—
—
—
—
—
—
—
1.7
1.7
—
—
—
—
—
—
—
1.7
1.7
Customer-related debt:   
   
Structured debt5.4
2.0
3.4
2.5
2.1
2.2
1.7
8.6
22.5
7.7
1.2
3.5
2.7
2.1
2.3
1.9
9.9
23.6
Non-structured debt0.3
0.3
0.5
0.6
0.2
0.2
0.1
1.3
3.3
0.4
0.2
0.5
0.6
0.2
0.2
0.1
1.6
3.5
Local country and other2.0
—
0.3
0.2
0.1
0.1
—
1.6
2.3
2.0
—
0.3
0.2
0.1
0.1
—
1.9
2.7
Total parent$18.8
$7.4
$20.9
$22.9
$18.3
$9.2
$10.5
$65.5
$154.8
Total parent and other$25.8
$3.2
$19.9
$22.9
$18.3
$9.2
$13.2
$70.7
$157.4
Bank



































FHLB borrowings$2.7
$6.8
$8.8
$4.0
$—
$—
$—
$—
$19.6
$5.5
$4.1
$8.8
$8.8
$—
$—
$—
$—
$21.6
Securitizations3.6
8.1
5.3
8.4
1.9
0.1
2.5
1.0
27.3
6.6
5.1
5.3
8.4
1.9
0.1
2.5
1.0
24.4
Local country and other1.8
1.4
1.8
0.8
0.4
1.0
0.2
0.2
5.8
2.7
1.1
1.9
1.0
0.4
1.0
0.2
0.2
5.8
Total bank$8.1
$16.3
$15.8
$13.2
$2.3
$1.2
$2.7
$1.2
$52.6
$14.7
$10.3
$16.0
$18.2
$2.4
$1.2
$2.6
$1.2
$51.7
Total long-term debt$26.9
$23.7
$36.8
$36.1
$20.6
$10.4
$13.2
$66.7
$207.4
$40.6
$13.5
$35.8
$41.1
$20.7
$10.3
$15.8
$71.8
$209.1




Resolution Plan
Under Title I of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act), Citigroup has developed a “single point of entry” resolution strategy and plan under the U.S. Bankruptcy Code (Resolution Plan). Under Citi’s Resolution Plan, only Citigroup, the parent holding company, would enter into bankruptcy, while Citigroup’s key operating subsidiaries, including Citibank, N.A., among others, would remain operational and outside of any resolution or insolvency proceedings. Citigroup believes its 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 Board’s TLAC proposal, 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. For additional information on the Federal Reserve Board’s TLAC proposal, see “Risk Factors - Liquidity Risks” and “Liquidity Risk-Long-Term Debt-Total Loss Absorbing Capacity (TLAC)” in Citigroup’s 2015 Annual Report on Form 10-K.
In response to feedback received from the Federal Reserve Board and FDIC (the Agencies) on Citi’s 2015 Resolution Plan, Citi currently expects to take the following actions in connection with its 2017 Resolution Plan submission (to be submitted by July 1, 2017):

(i)Citicorp, an existing wholly owned subsidiary of Citigroup and current parent company of Citibank, N.A., would be established as an intermediate holding company (an IHC) for some or all of Citigroup’s key operating subsidiaries;
(ii)subject to final approval of the Board of Directors of Citigroup, Citigroup would execute an inter-affiliate agreement with Citicorp, Citigroup’s key operating subsidiaries and certain other affiliated entities pursuant to which Citicorp would be required to provide liquidity and capital support to Citigroup’s key operating subsidiaries in the event Citigroup were to enter bankruptcy proceedings (Citi Support Agreement);
(iii)pursuant to the Citi Support Agreement:
upon execution, Citigroup would make an initial contribution of assets, including certain HQLA and inter-affiliate loans (Contributable Assets), to Citicorp, and Citicorp would then become the business as usual funding vehicle for certain of Citigroup’s key operating subsidiaries;
Citigroup would 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 would 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, would be secured pursuant to a security agreement.

Citigroup also expects that the Citi Support Agreement will provide two mechanisms, besides Citicorp’s issuing of dividends to Citigroup, pursuant to which Citicorp would 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.

Secured Funding Transactions and Short-Term Borrowings
Citi supplements its primary sources of funding with short-term borrowings. Short-term borrowings generally include (i) secured funding transactions (securities loaned or sold under agreements to repurchase, or 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 1716 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings. Citi has purposefully reduced its commercial paper and other
Outside of secured funding transactions, Citi’s short-term borrowings includingincreased both year-over-year (a 25% increase) and sequentially (a 60% increase) driven by an increase in FHLB borrowings,borrowing, as it continuedCiti purposefully replaced corporate CDs to growoptimize liquidity across its high-quality deposits.legal vehicles.

Secured Funding
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which is 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 $158$153 billion as of JuneSeptember 30, 2016 declined 11%9% from the prior-year period and increased 1%3% sequentially.Excluding the impact of FX translation, secured funding decreased 9%7% from the prior-year period and increased 2%3% sequentially, both driven by normal business activity. Average balances for secured funding were
approximately $161$158 billion for the quarter ended JuneSeptember 30, 2016.
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 liquid securities, including equity securities, corporate bonds and asset-backed securities. The tenor of Citi’s matched book liabilities is generally equal to or longer than the tenor of the corresponding matched book assets.



The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund securities inventory held in the context of market making and customer activities. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral, and stipulating financing tenor. The weighted average maturity of Citi’s secured funding of less liquid securities inventory was greater than 110 days as of JuneSeptember 30, 2016.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. Additionally, 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.




Liquidity Coverage Ratio (LCR)
In addition to internal measures 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 (for additional information, see “Liquidity Risk” in each of Citi’s 2015 Annual Report on Form 10-K and First Quarter 2016 Form 10-Q). The table below sets forth the components of Citi’s LCR calculation and HQLA in excess of net outflows as of the periods indicated:
In billions of dollarsJun. 30, 2016Mar. 31, 2016Jun. 30, 2015Sept. 30, 2016
Jun. 30, 2016

Sept. 30, 2015
HQLA$411.0
$400.1
$385.8
$403.8
$411.0
$398.9
Net outflows339.8
333.3
347.3
335.3
339.8
355.6
LCR121%120%111%120%121%112%
HQLA in excess of net outflows$71.2
$66.8
$38.6
$68.5
$71.2
$43.3
Note: Amounts for 2Q’163Q’16 and 1Q’162Q’16 set forth in the table above are presented on an average basis; amounts for 2Q’153Q’15 are presented end-of-period. Accordingly, data in 2Q’163Q’16 and 1Q’162Q’16 is not directly comparable to data in 2Q’15.3Q’15.
As set forth in the table above, sequentially, Citi’s LCR increased sequentially driven bydecreased slightly, reflecting both the increasedecrease in average HQLA as discussed above, partially offset by higher(as described above) and a slight decline in average net outflows due primarily to growtha reduction in average deposits as well as the impact of the Costco portfolio acquisition.unsecured long-term debt maturing within 30 days.

















Credit Ratings
The table below sets forth the ratings for Citigroup and Citibank as of JuneSeptember 30, 2016. While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Inc. (CGMI) were A/A-1 at Standard & Poor’s and A+/F1 at Fitch as of JuneSeptember 30, 2016. The long-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were BBB+/A-2 at Standard & Poor’s and A/F1 at Fitch as of JuneSeptember 30, 2016.
 



 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)Baa1P-2StableA1P-1Stable
Standard & Poor’s (S&P)BBB+A-2StableAA-1Watch Positive

Recent Credit Rating Developments
On June 14, 2016, Fitch affirmed Citigroup Inc.’s Viability Rating (VR) and Long-Term Issuer Default Rating (IDR) at ‘a/A’, respectively. At the same time, Fitch affirmed Citibank, N.A.’s VR and IDR at ‘a/A+’, respectively. The outlooks for the Long-Term IDRs are Stable.

Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including derivativesderivative triggers, which could take the form of cash obligations and collateral requirements.
The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank of a hypothetical, simultaneous
ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, and 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” in Citi’s 2015 Annual Report on Form 10-K.


 

Citigroup Inc. and Citibank—Potential Derivative Triggers
As of JuneSeptember 30, 2016, 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 $1.2$0.5 billion, compared to $0.8$1.2 billion as of March 31,June 30, 2016. The decline sequentially was primarily due to reduced market volatility in the current quarter as compared to the elevated levels in the second quarter of 2016 resulting from the U.K.’s vote to leave the European Union in June 2016. Other funding sources, such as securities financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of JuneSeptember 30, 2016, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity by approximately $2.1$1.3 billion, compared to $1.3$2.1 billion as of March 31,June 30, 2016, due to derivative triggers. The sequential decline was also due to the reduced market volatility in the current quarter, as referenced above.
In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, across all three major rating agencies, could result in aggregate cash obligations and collateral requirements of approximately $3.3$1.8 billion, compared to $2.1$3.3 billion as of March 31,June 30, 2016 (see also Note 2119 to the Consolidated Financial Statements). As set forth under “High-Quality Liquid Assets” above, the liquidity resources of Citibank were approximately $343$344 billion and the liquidity resources of Citi’s non-bank and other entities were approximately $69$60 billion, for a total of approximately $411$404 billion as of JuneSeptember 30, 2016. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending, and



adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising



additional deposits, or borrowing from the FHLB or central banks. Citi believes these mitigating actions could substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.
 
Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential one-notch downgrade of Citibank’s senior debt/long-term rating by S&P could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of JuneSeptember 30, 2016, Citibank had liquidity commitments of approximately $10.0$10.1 billion to consolidated asset-backed commercial paper conduits, unchanged from March 31,compared to $10.0 billion as of June 30, 2016 (as referenced in Note 2018 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank and BanamexCitibanamex entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.



MARKET RISK

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.
For additional information, see “Market Risk” and “Risk Factors” in Citi’s 2015 Annual Report on Form 10-K.

 
Market Risk of Non-Trading Portfolios
For additional information on Citi’s net interest revenue (for interest rate exposure purposes), interest rate risk and interest rate risk measurement, see “Market Risk of Non-Trading Portfolios” in Citi’s 2015 Annual Report on Form 10-K.

The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point increase in interest rates.
In millions of dollars (unless otherwise noted)Jun. 30, 2016Mar. 31, 2016Jun. 30, 2015Sept. 30, 2016Jun. 30, 2016Sept. 30, 2015
Estimated annualized impact to net interest revenue      
U.S. dollar(1)
$1,394
$1,362
$1,360
$1,405
$1,394
$1,533
All other currencies590
587
645
574
590
616
Total$1,984
$1,949
$2,005
$1,979
$1,984
$2,149
As a percentage of average interest-earning assets0.12%0.13%0.12%0.12%0.12%0.13%
Estimated initial impact to AOCI (after-tax)(2)
$(4,628)$(4,950)$(4,213)$(4,868)$(4,628)$(4,450)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(52)(57)(47)(53)(52)(50)
(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 $(230)$(238) million for a 100 basis point instantaneous increase in interest rates as of JuneSeptember 30, 2016.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
(3)The estimated initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi’s deferred tax assetDTA position and is based on only the estimated initial AOCI impact above.
The slight increasesequential decrease in the estimated impact to net interest revenue sequentially primarily reflected changes in the balance sheet composition.composition, including changes in Citi Treasury’s interest rate derivative positioning, which was largely offset by the increase and seasoning of Citi’s deposit balances, primarily in treasury and trade solutions. The sequential decreaseincrease in the estimated impact to AOCI primarily reflected the changes into the compositionpositioning of Citi Treasury’s investment and interest rate derivatives portfolio.portfolio, as referenced above.
In the event of an unanticipated parallel instantaneous 100 basis point increase in interest rates, Citi expects the negative impact to AOCI would be offset in stockholders’ 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 JuneSeptember 30, 2016, Citi expects that the negative $4.6$4.9 billion impact to AOCI in such a scenario could potentially be offset over approximately 30 months.
The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis) under four different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies. While Citi also monitors the impact of a parallel decrease in interest rates, a 100 basis point decrease in short-term interest rates is not meaningful, as it would imply negative interest rates in many of Citi's markets.



In millions of dollars (unless otherwise noted)Scenario 1Scenario 2Scenario 3Scenario 4Scenario 1Scenario 2Scenario 3Scenario 4
Overnight rate change (bps)100
100
—
—
100
100
—
—
10-year rate change (bps)100
—
100
(100)100
—
100
(100)
Estimated annualized impact to net interest revenue
  
U.S. dollar$1,394
$1,380
$171
$(170)$1,405
$1,325
$124
$(167)
All other currencies590
552
34
(33)574
561
34
(34)
Total$1,984
$1,932
$205
$(203)$1,979
$1,886
$158
$(201)
Estimated initial impact to AOCI (after-tax)(1)
$(4,628)$(2,941)$(1,863)$1,482
$(4,868)$(3,035)$(1,930)$1,495
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2)
(52)(33)(21)16
(53)(33)(22)16
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)The estimated initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi’s deferred tax asset position and is based on only the estimated AOCI impact above.
As shown in the table above, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under scenario 2 as compared to scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter and intermediate term maturities.
Over the past year, a number of central banks, including the European Central Bank, the Bank of Japan and the Swiss National Bank, have implemented negative interest rates, and additional governmental entities could do so in the future. While negative interest rates can adversely impact net interest revenue (as well as net interest margin), Citi has, to date, been able to partially offset the impact of negative rates in these jurisdictions through a combination of business and Citi Treasury interest rate risk mitigation activities, including applying negative rates to client accounts (for additional information on Citi Treasury’s ongoing interest rate mitigation activities, see “Market Risk—Market Risk of Non-Trading Portfolios” in Citi’s 2015 Annual Reporting on Form 10-K).

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of JuneSeptember 30, 2016, 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 billion, or 0.9% of TCE, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro and the Japanese Yen.
 
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign-currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further impact the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 1817 to the Consolidated Financial Statements.













For the quarter endedFor the quarter ended
In millions of dollars (unless otherwise noted)Jun. 30, 2016Mar. 31, 2016Jun. 30, 2015Sept. 30, 2016Jun. 30, 2016Sept. 30, 2015
Change in FX spot rate(1)
(0.9)%2.1%0.2%(0.2)%(0.9)%(6.0)%
Change in TCE due to FX translation, net of hedges$(441)$396
$(44)$(412)$(441)$(2,010)
As a percentage of TCE(0.2)%0.2%—%(0.2)%(0.2)%(1.1)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
to changes in FX translation, net of hedges (bps)
2
(1)(3)(2)2
(5)

(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
abs3q16png.jpg
2nd Qtr. 1st Qtr. 2nd Qtr. Change3rd Qtr. 2nd Qtr. 3rd Qtr. Change
In millions of dollars, except as otherwise noted2016 2016 2015 2Q16 vs. 2Q152016 2016 2015 3Q16 vs. 3Q15
Interest revenue(1)
$14,473
 $14,286
 $14,995
 (3)% $14,767
 $14,473
 $14,832
 — % 
Interest expense3,120
 2,940
 3,051
 2
 3,174
 3,120
 2,941
 8
 
Net interest revenue(1)(2)
$11,353
 $11,346
 $11,944
 (5)% $11,593
 $11,353
 $11,891
 (3)% 
Interest revenue—average rate3.65% 3.68% 3.71% (6)bps3.65% 3.65% 3.67% (2)bps
Interest expense—average rate1.04
 0.99
 0.97
 7
bps1.03
 1.04
 0.93
 10
bps
Net interest margin2.86
 2.92
 2.95
 (9)bps2.86
 2.86
 2.94
 (8)bps
Interest-rate benchmarks                
Two-year U.S. Treasury note—average rate0.77% 0.84% 0.61% 16
bps0.73% 0.77% 0.69% 4
bps
10-year U.S. Treasury note—average rate1.75
 1.91
 2.16
 (41)bps1.56
 1.75
 2.22
 (66)bps
10-year vs. two-year spread98
bps107
bps155
bps 
 83
bps98
bps153
bps 
 
Note: All interest expense amounts include FDIC deposit insurance assessments.assessments including, beginning in the third quarter of 2016, the previously disclosed surcharge of 4.5 basis points per annum. For additional information, see “Interest Revenue/Expense and Net Interest Margin” in Citi’s First Quarter of 2016 Form 10-Q.
(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 $114 million, $117 million, $119 million, and $121$118 million for the three months ended September 30, 2016, June 30, 2016 March 31, 2016 and JuneSeptember 30, 2015, respectively.
(2)
Excludes expenses associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value.


Citi’s net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest earning assets. Citi’s NIM was 2.86% in the secondthird quarter of 2016, as the benefit from the impact of the Costco portfolio acquisition and other loan growth was offset by lower trading NIM, higher than the first quarter driven by higheranticipated cash balances during the quarter and lower loan yields.

the impact of higher FDIC deposit insurance assessments (see the Note to the table above).
 
For information regarding expected changes to the FDIC deposit insurance assessment, see “Market Risk—Interest Revenue/Expense and Net Interest Margin” in Citi’s First Quarter of 2016 Form 10-Q.





Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)(4) 
Taxable Equivalent Basis
Average volumeInterest revenue% Average rateAverage volumeInterest revenue% Average rate
2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.
In millions of dollars, except rates201620162015201620162015201620162015201620162015201620162015201620162015
Assets                
Deposits with banks(5)
$135,245
$117,765
$134,641
$237
$219
$168
0.70%0.75%0.50%$131,571
$135,245
$139,349
$247
$237
$187
0.75%0.70%0.53%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)
     




     




In U.S. offices$148,511
$150,044
$149,577
$362
$374
$307
0.98%1.00%0.82%$146,581
$148,511
$150,455
$387
$362
$313
1.05%0.98%0.83%
In offices outside the U.S.(5)
84,018
78,571
86,458
302
273
357
1.45%1.40%1.66%88,415
84,018
83,376
249
302
343
1.12%1.45%1.63%
Total$232,529
$228,615
$236,035
$664
$647
$664
1.15%1.14%1.13%$234,996
$232,529
$233,831
$636
$664
$656
1.08%1.15%1.11%
Trading account assets(7)(8)
     




    




In U.S. offices$108,602
$104,982
$118,896
$970
$953
$985
3.59%3.65%3.32%$109,039
$108,602
$114,360
$912
$970
$1,024
3.33%3.59%3.55%
In offices outside the U.S.(5)
101,075
99,118
110,691
603
518
671
2.40%2.10%2.43%100,825
101,075
95,827
559
603
507
2.21%2.40%2.10%
Total$209,677
$204,100
$229,587
$1,573
$1,471
$1,656
3.02%2.90%2.89%$209,864
$209,677
$210,187
$1,471
$1,573
$1,531
2.79%3.02%2.89%
Investments     




    




In U.S. offices    




    




Taxable$225,279
$228,980
$214,168
$991
$1,000
$973
1.77%1.76%1.82%$228,337
$225,279
$211,722
$990
$991
$941
1.72%1.77%1.76%
Exempt from U.S. income tax19,010
19,400
19,818
170
169
99
3.60%3.50%2.00%19,102
19,010
19,745
162
170
101
3.37%3.60%2.03%
In offices outside the U.S.(5)
107,235
103,763
99,045
837
754
760
3.14%2.92%3.08%107,350
107,235
103,656
794
837
760
2.94%3.14%2.91%
Total$351,524
$352,143
$333,031
$1,998
$1,923
$1,832
2.29%2.20%2.21%$354,789
$351,524
$335,123
$1,946
$1,998
$1,802
2.18%2.29%2.13%
Loans (net of unearned income)(9)
     




     




In U.S. offices$353,422
$350,107
$347,779
$5,793
$5,873
$6,292
6.59%6.75%7.26%$368,372
$353,422
$354,572
$6,272
$5,793
$6,472
6.77%6.59%7.24%
In offices outside the U.S.(5)
267,226
262,133
279,247
3,972
3,901
3,721
5.98%5.99%5.34%267,399
267,226
268,633
3,974
3,972
3,523
5.91%5.98%5.20%
Total$620,648
$612,240
$627,026
$9,765
$9,774
$10,013
6.33%6.42%6.41%$635,771
$620,648
$623,205
$10,246
$9,765
$9,995
6.41%6.33%6.36%
Other interest-earning assets(10)
$45,639
$47,765
$62,656
$236
$252
$662
2.08%2.12%4.24%$44,010
$45,639
$60,459
$221
$236
$661
2.00%2.08%4.34%
Total interest-earning assets$1,595,262
$1,562,628
$1,622,976
$14,473
$14,286
$14,995
3.65%3.68%3.71%$1,611,001
$1,595,262
$1,602,154
$14,767
$14,473
$14,832
3.65%3.65%3.67%
Non-interest-earning assets(7)
$212,050
$214,943
$216,708
      $219,213
$212,050
$216,136
      
Total assets from discontinued operations—
—
—
   
Total assets$1,807,312
$1,777,571
$1,839,684
   $1,830,214
$1,807,312
$1,818,290
   
(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 $114 million, $117 million, $119 million, and $121$118 million for the three months ended September 30, 2016, June 30, 2016 March 31, 2016 and JuneSeptember 30, 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 Revenue(1)(2)(3)(4) 
Taxable Equivalent Basis
Average volumeInterest expense% Average rateAverage volumeInterest expense% Average rate
2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.
In millions of dollars, except rates201620162015201620162015201620162015201620162015201620162015201620162015
Liabilities                
Deposits              
In U.S. offices(5)
$286,653
$277,648
$269,673
$371
$316
$330
0.52%0.46%0.49%$296,999
$286,653
$271,141
$470
$371
$311
0.63%0.52%0.46%
In offices outside the U.S.(6)
435,242
424,055
431,305
935
888
958
0.86%0.84%0.89%434,232
435,242
425,741
973
935
904
0.89%0.86%0.84%
Total$721,895
$701,703
$700,978
$1,306
$1,204
$1,288
0.73%0.69%0.74%$731,231
$721,895
$696,882
$1,443
$1,306
$1,215
0.79%0.73%0.69%
Federal funds purchased and securities loaned or sold under agreements to repurchase(7)
     





     





In U.S. offices$103,517
$103,523
$112,690
$260
$260
$183
1.01%1.01%0.65%$99,924
$103,517
$111,629
$267
$260
$177
1.06%1.01%0.63%
In offices outside the U.S.(6)
57,685
59,392
70,602
267
242
260
1.86%1.64%1.48%58,060
57,685
62,616
192
267
202
1.32%1.86%1.28%
Total$161,202
$162,915
$183,292
$527
$502
$443
1.31%1.24%0.97%$157,984
$161,202
$174,245
$459
$527
$379
1.16%1.31%0.86%
Trading account liabilities(8)(9)
     





     





In U.S. offices$27,420
$23,636
$26,008
$64
$52
$27
0.94%0.88%0.42%$33,600
$27,420
$24,673
$65
$64
$29
0.77%0.94%0.47%
In offices outside the U.S.(6)
45,960
41,676
46,972
32
36
27
0.28%0.35%0.23%42,637
45,960
45,797
37
32
28
0.35%0.28%0.24%
Total$73,380
$65,312
$72,980
$96
$88
$54
0.53%0.54%0.30%$76,237
$73,380
$70,470
$102
$96
$57
0.53%0.53%0.32%
Short-term borrowings(10)
     





     





In U.S. offices$54,825
$56,834
$65,695
$43
$29
$73
0.32%0.21%0.45%$61,019
$54,825
$65,368
$51
$43
$100
0.33%0.32%0.61%
In offices outside the U.S.(6)
10,253
22,642
48,584
66
71
84
2.59%1.26%0.69%20,285
10,253
66,653
39
66
59
0.76%2.59%0.35%
Total$65,078
$79,476
$114,279
$109
$100
$157
0.67%0.51%0.55%$81,304
$65,078
$132,021
$90
$109
$159
0.44%0.67%0.48%
Long-term debt(11)
     





    





In U.S. offices$175,506
$172,429
$180,517
$1,009
$995
$1,057
2.31%2.32%2.35%$175,427
$175,506
$179,575
$1,028
$1,009
$1,080
2.33%2.31%2.39%
In offices outside the U.S.(6)
6,714
6,854
7,393
73
51
52
4.37%2.99%2.82%6,506
6,714
8,061
52
73
51
3.18%4.37%2.51%
Total$182,220
$179,283
$187,910
$1,082
$1,046
$1,109
2.39%2.35%2.37%$181,933
$182,220
$187,636
$1,080
$1,082
$1,131
2.36%2.39%2.39%
Total interest-bearing liabilities$1,203,775
$1,188,689
$1,259,439
$3,120
$2,940
$3,051
1.04%0.99%0.97%$1,228,689
$1,203,775
$1,261,254
$3,174
$3,120
$2,941
1.03%1.04%0.93%
Demand deposits in U.S. offices$38,979
$31,336
$24,670
   $40,466
$38,979
$27,781
   
Other non-interest-bearing liabilities(8)
335,243
332,065
336,701
   328,405
335,243
308,167
   
Total liabilities$1,577,997
$1,552,090
$1,620,810
   $1,597,560
$1,577,997
$1,597,202
   
Citigroup stockholders’ equity(12)
$228,149
$224,320
$217,522
   $231,574
$228,149
$219,839
   
Noncontrolling interest1,166
1,161
1,352
   1,080
1,166
1,249
   
Total equity(12)
$229,315
$225,481
$218,874
   $232,654
$229,315
$221,088
   
Total liabilities and stockholders’ equity$1,807,312
$1,777,571
$1,839,684
   $1,830,214
$1,807,312
$1,818,290
   
Net interest revenue as a percentage of average interest-earning assets(13)
            
In U.S. offices$854,825
$853,513
$884,959
$6,816
$6,986
$7,087
3.21%3.29%3.21%$871,431
$854,825
$940,283
$7,092
$6,816
$7,252
3.24%3.21%3.06%
In offices outside the U.S.(6)
740,437
709,115
738,017
4,537
4,360
4,857
2.46
2.47
2.64
739,570
740,437
661,871
4,501
4,537
4,639
2.42
2.46
2.78
Total$1,595,262
$1,562,628
$1,622,976
$11,353
$11,346
$11,944
2.86%2.92%2.95%$1,611,001
$1,595,262
$1,602,154
$11,593
$11,353
$11,891
2.86%2.86%2.94%
(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 $114 million, $117 million, $119 million, and $121$118 million for the three months ended September 30, 2016, June 30, 2016 March 31, 2016 and JuneSeptember 30, 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.

Average Balances and Interest Rates—Assets(1)(2)(3)(4) 
Taxable Equivalent Basis
Average volumeInterest revenue% Average rateAverage volumeInterest revenue% Average rate
Six MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine Months
In millions of dollars, except rates201620152016201520162015201620152016201520162015
Assets       
Deposits with banks(5)
$126,505
$136,907
$456
$351
0.72%0.52%$128,194
$137,721
$703
$538
0.73%0.52%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)
       
In U.S. offices$149,278
$150,327
$736
$590
0.99%0.79%$148,379
$150,370
$1,123
$903
1.01%0.80%
In offices outside the U.S.(5)
81,295
88,280
575
716
1.42%1.64%83,668
86,645
824
1,059
1.32%1.63%
Total$230,573
$238,607
$1,311
$1,306
1.14%1.10%$232,047
$237,015
$1,947
$1,962
1.12%1.11%
Trading account assets(7)(8)
        
In U.S. offices$106,792
$117,923
$1,923
$1,903
3.62%3.25%$107,541
$116,735
$2,835
$2,927
3.52%3.35%
In offices outside the U.S.(5)
100,097
111,000
1,121
1,187
2.25%2.16%100,339
105,942
1,680
1,694
2.24%2.14%
Total$206,889
$228,923
$3,044
$3,090
2.96%2.72%$207,880
$222,677
$4,515
$4,621
2.90%2.77%
Investments       
In U.S. offices       
Taxable$227,130
$213,800
$1,991
$1,913
1.76%1.80%$227,532
$213,107
$2,981
$2,854
1.75%1.79%
Exempt from U.S. income tax19,205
20,279
339
182
3.55%1.81%19,171
20,101
501
283
3.49%1.88%
In offices outside the U.S.(5)
105,499
100,607
1,591
1,529
3.03%3.06%106,116
101,623
2,385
2,289
3.00%3.01%
Total$351,834
$334,686
$3,921
$3,624
2.24%2.18%$352,819
$334,831
$5,867
$5,426
2.22%2.17%
Loans (net of unearned income)(9)
       
In U.S. offices$351,765
$352,865
$11,666
$12,660
6.67%7.24%$357,300
$353,434
$17,938
$19,132
6.71%7.24%
In offices outside the U.S.(5)
264,680
278,081
7,873
7,916
5.98%5.74%265,586
274,931
11,847
11,439
5.96%5.56%
Total$616,445
$630,946
$19,539
$20,576
6.37%6.58%$622,886
$628,365
$29,785
$30,571
6.39%6.50%
Other interest-earning assets(10)
$46,702
$54,080
$488
$772
2.10%2.88%$45,805
$56,205
$709
$1,432
2.07%3.41%
Total interest-earning assets$1,578,948
$1,624,149
$28,759
$29,719
3.66%3.69%$1,589,631
$1,616,814
$43,526
$44,550
3.66%3.68%
Non-interest-earning assets(7)
$213,496
$222,258
 
 
 
 
$215,402
$220,217
 
 
 
 
Total assets from discontinued operations—
—
 
 
 
 
Total assets$1,792,444
$1,846,407
 
 
 
 
$1,805,033
$1,837,031
 
 
 
 
(1)
Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $236$350 million and $244$363 million for the sixnine months ended JuneSeptember 30, 2016 and 2015, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset and 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)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 FIN 41 (ASC 210-20-45). However, Interest revenue excludes the impact of FIN 41 (ASC 210-20-45).
(7)
The fair value carrying amounts of derivative contracts are reported 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 Revenue(1)(2)(3)(4) 
Taxable Equivalent Basis
Average volumeInterest expense% Average rateAverage volumeInterest expense% Average rate
Six MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine Months
In millions of dollars, except rates201620152016201520162015201620152016201520162015
Liabilities        
Deposits        
In U.S. offices(5)
$282,151
$275,596
$687
$686
0.49%0.50%$287,100
$274,111
$1,157
$997
0.54%0.49%
In offices outside the U.S.(6)
429,649
424,092
1,823
1,927
0.85%0.92%431,176
424,641
2,796
2,831
0.87%0.89%
Total$711,800
$699,688
$2,510
$2,613
0.71%0.75%$718,276
$698,752
$3,953
$3,828
0.74%0.73%
Federal funds purchased and securities loaned or sold under agreements to repurchase(7)
        
In U.S. offices$103,520
$109,542
$520
$346
1.01%0.64%$102,321
$110,238
$787
$523
1.03%0.63%
In offices outside the U.S.(6)
58,539
70,661
509
473
1.75%1.35%58,379
67,979
701
675
1.60%1.33%
Total$162,059
$180,203
$1,029
$819
1.28%0.92%$160,700
$178,217
$1,488
$1,198
1.24%0.90%
Trading account liabilities(8)(9)
        
In U.S. offices$25,528
$27,024
$116
$50
0.91%0.37%$28,219
$26,240
$181
$79
0.86%0.40%
In offices outside the U.S.(6)
43,818
46,066
68
51
0.31%0.22%43,424
45,976
105
79
0.32%0.23%
Total$69,346
$73,090
$184
$101
0.53%0.28%$71,643
$72,216
$286
$158
0.53%0.29%
Short-term borrowings(10)
        
In U.S. offices$55,830
$68,878
$72
$94
0.26%0.28%$57,559
$67,708
$123
$194
0.29%0.38%
In offices outside the U.S.(6)
16,448
52,831
138
183
1.69%0.70%17,727
57,438
177
242
1.33%0.56%
Total$72,278
$121,709
$210
$277
0.58%0.46%$75,286
$125,146
$300
$436
0.53%0.47%
Long-term debt(11)
        
In U.S. offices$173,968
$186,036
$2,003
$2,167
2.32%2.35%$174,454
$183,882
$3,031
$3,247
2.32%2.36%
In offices outside the U.S.(6)
6,784
7,200
124
102
3.68%2.86%6,691
7,487
176
153
3.51%2.73%
Total$180,752
$193,236
$2,127
$2,269
2.37%2.37%$181,145
$191,369
$3,207
$3,400
2.36%2.38%
Total interest-bearing liabilities$1,196,235
$1,267,926
$6,060
$6,079
1.02%0.97%$1,207,050
$1,265,700
$9,234
$9,020
1.02%0.95%
Demand deposits in U.S. offices$35,158
$24,344
 
 
 
 $36,927
$25,490
 
 
 
 
Other non-interest-bearing liabilities(8)
333,653
337,915
 
 
 
 331,906
327,998
 
 
 
 
Total liabilities from discontinued operations—
—
 
 
 
 
Total liabilities$1,565,046
$1,630,185
 
 
 
 $1,575,883
$1,619,188
 
 
 
 
Citigroup stockholders’ equity(12)
$226,235
$214,828
 
 
 
 $228,014
$216,498
 
 
 
 
Noncontrolling interest1,164
1,394
 
 
 
 1,136
1,345
 
 
 
 
Total equity(12)
$227,399
$216,222
 
 
 
 $229,150
$217,843
 
 
 
 
Total liabilities and stockholders’ equity$1,792,445
$1,846,407
 
 
 
 $1,805,033
$1,837,031
 
 
 
 
Net interest revenue as a percentage of average interest-earning assets          
In U.S. offices$854,172
$913,944
$13,802
$14,091
3.25%3.11%$859,924
$922,720
$20,894
$21,342
3.25%3.09%
In offices outside the U.S.(6)
724,776
710,205
8,897
9,549
2.47%2.71%729,707
694,094
13,398
14,188
2.45%2.73%
Total$1,578,948
$1,624,149
$22,699
$23,640
2.89%2.94%$1,589,631
$1,616,814
$34,292
$35,530
2.88%2.94%
(1)
Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $236$350 million and $244$363 million for the sixnine months ended JuneSeptember 30, 2016 and 2015, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset and 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 fees and charges.
(6)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(7)
Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest expense excludes the impact of FIN 41 (ASC 210-20-45).
(8)
The fair value carrying amounts of derivative contracts are reported 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)
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.
(11)Includes stockholders' equity from discontinued operations.
(12)Includes allocations for capital and funding costs based on the location of the asset.


Analysis of Changes in Interest Revenue(1)(2)(3) 
2nd Qtr. 2016 vs. 1st Qtr. 20162nd Qtr. 2016 vs. 2nd Qtr. 20153rd Qtr. 2016 vs. 2nd Qtr. 20163rd Qtr. 2016 vs. 3rd Qtr. 2015
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits with banks(4)
$31
$(13)$18
$1
$68
$69
$(7)$17
$10
$(11)$71
$60
Federal funds sold and securities borrowed or
purchased under agreements to resell
      
In U.S. offices$(4)$(8)$(12)$(2)$57
$55
$(5)$30
$25
$(8)$82
$74
In offices outside the U.S.(4)
19
10
29
(10)(45)(55)15
(68)(53)20
(114)(94)
Total$15
$2
$17
$(12)$12
$—
$10
$(38)$(28)$12
$(32)$(20)
Trading account assets(5)
      
In U.S. offices$33
$(16)$17
$(89)$74
$(15)$4
$(62)$(58)$(46)$(66)$(112)
In offices outside the U.S.(4)
10
75
85
(58)(10)(68)(1)(43)(44)27
25
52
Total$43
$59
$102
$(147)$64
$(83)$3
$(105)$(102)$(19)$(41)$(60)
Investments(1)
      
In U.S. offices$(19)$11
$(8)$48
$41
$89
$15
$(24)$(9)$74
$36
$110
In offices outside the U.S.(4)
26
57
83
64
13
77
1
(44)(43)27
7
34
Total$7
$68
$75
$112
$54
$166
$16
$(68)$(52)$101
$43
$144
Loans (net of unearned income)(6)
      
In U.S. offices$55
$(135)$(80)$101
$(600)$(499)$250
$229
$479
$246
$(446)$(200)
In offices outside the U.S.(4)
76
(5)71
(165)416
251
3
(1)2
(16)467
451
Total$131
$(140)$(9)$(64)$(184)$(248)$253
$228
$481
$230
$21
$251
Other interest-earning assets(7)
$(11)$(5)$(16)$(148)$(278)$(426)$(8)$(7)$(15)$(147)$(293)$(440)
Total interest revenue$216
$(29)$187
$(258)$(264)$(522)$267
$27
$294
$166
$(231)$(65)
(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 Revenue(1)(2)(3) 
2nd Qtr. 2016 vs. 1st Qtr. 20162nd Qtr. 2016 vs. 2nd Qtr. 20153rd Qtr. 2016 vs. 2nd Qtr. 20163rd Qtr. 2016 vs. 3rd Qtr. 2015
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits      
In U.S. offices$11
$44
$55
$21
$20
$41
$14
$85
$99
$32
$127
$159
In offices outside the U.S.(4)
24
23
47
9
(32)(23)(2)40
38
18
51
69
Total$35
$67
$102
$30
$(12)$18
$12
$125
$137
$50
$178
$228
Federal funds purchased and securities loaned or sold under agreements to repurchase        
In U.S. offices$—
$—
$—
$(16)$93
$77
$(9)$16
$7
$(20)$110
$90
In offices outside the U.S.(4)
(7)32
25
(53)60
7
2
(77)(75)(15)5
(10)
Total$(7)$32
$25
$(69)$153
$84
$(7)$(61)$(68)$(35)$115
$80
Trading account liabilities(5)
      
In U.S. offices$9
$3
$12
$2
$35
$37
$13
$(12)$1
$13
$23
$36
In offices outside the U.S.(4)
3
(7)(4)(1)6
5
(2)7
5
(2)11
9
Total$12
$(4)$8
$1
$41
$42
$11
$(5)$6
$11
$34
$45
Short-term borrowings(6)
      
In U.S. offices$(1)$15
$14
$(11)$(19)$(30)$5
$3
$8
$(6)$(43)$(49)
In offices outside the U.S.(4)
(53)48
(5)(107)89
(18)38
(65)(27)(59)39
(20)
Total$(54)$63
$9
$(118)$70
$(48)$43
$(62)$(19)$(65)$(4)$(69)
Long-term debt      
In U.S. offices$18
$(4)$14
$(29)$(19)$(48)$—
$19
$19
$(25)$(27)$(52)
In offices outside the U.S.(4)
(1)23
22
(5)26
21
(2)(19)(21)(11)12
1
Total$17
$19
$36
$(34)$7
$(27)$(2)$—
$(2)$(36)$(15)$(51)
Total interest expense$3
$177
$180
$(190)$259
$69
$55
$(1)$54
$(75)$308
$233
Net interest revenue$213
$(206)$7
$(68)$(523)$(591)$212
$28
$240
$241
$(539)$(298)
(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.



Analysis of Changes in Interest Revenue, Interest Expense, and Net Interest Revenue(1)(2)(3) 
Six Months 2016 vs. Six Months 2015Nine Months 2016 vs. Nine Months 2015
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change(2)
Average
volume
Average
rate
Net
change(2)
Deposits at interest with banks(4)
$(28)$133
$105
$(39)$204
$165
Federal funds sold and securities borrowed or purchased under agreements to resell    
In U.S. offices$(4)$150
$146
$(12)$232
$220
In offices outside the U.S.(4)
(54)(87)(141)(35)(200)(235)
Total$(58)$63
$5
$(47)$32
$(15)
Trading account assets(5)
    
In U.S. offices$(189)$209
$20
$(238)$146
$(92)
In offices outside the U.S.(4)
(120)54
(66)(92)78
(14)
Total$(309)$263
$(46)$(330)$224
$(106)
Investments(1)
 
 
In U.S. offices$113
$122
$235
$186
$159
$345
In offices outside the U.S.(4)
74
(12)62
101
(5)96
Total$187
$110
$297
$287
$154
$441
Loans (net of unearned income)(6)
    
In U.S. offices$(39)$(955)$(994)$207
$(1,401)$(1,194)
In offices outside the U.S.(4)
(390)347
(43)(398)806
408
Total$(429)$(608)$(1,037)$(191)$(595)$(786)
Other interest-earning assets$(96)$(188)$(284)$(232)$(491)$(723)
Total interest revenue$(733)$(227)$(960)$(552)$(472)$(1,024)
Deposits (7)
    
In U.S. offices$16
$(15)$1
$49
$111
$160
In offices outside the U.S.(4)
25
(129)(104)43
(78)(35)
Total$41
$(144)$(103)$92
$33
$125
Federal funds purchased and securities loaned or sold under agreements to repurchase  
In U.S. offices$(20)$194
$174
$(40)$304
$264
In offices outside the U.S.(4)
(90)126
36
(103)129
26
Total$(110)$320
$210
$(143)$433
$290
Trading account liabilities(5)
    
In U.S. offices$(3)$69
$66
$6
$96
$102
In offices outside the U.S.(4)
(3)20
17
(5)31
26
Total$(6)$89
$83
$1
$127
$128
Short-term borrowings      
In U.S. offices$(17)$(5)$(22)$(26)$(45)$(71)
In offices outside the U.S.(4)
(185)140
(45)(244)179
(65)
Total$(202)$135
$(67)$(270)$134
$(136)
Long-term debt    
In U.S. offices$(139)$(25)$(164)$(164)$(52)$(216)
In offices outside the U.S.(4)
(6)28
22
(18)41
23
Total$(145)$3
$(142)$(182)$(11)$(193)
Total interest expense$(422)$403
$(19)$(502)$716
$214
Net interest revenue$(311)$(630)$(941)$(50)$(1,188)$(1,238)
(1)The taxable equivalent adjustment is 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.
(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 Trading account assets and Trading account liabilities, respectively.
(6)Includes cash-basis loans.
(7)The interest expense on deposits includes the FDIC assessment and deposit insurance fees and charges of $502$838 million and $585$849 million for the sixnine months ended JuneSeptember 30, 2016 and 2015, respectively.


Market Risk of Trading Portfolios
For additional information on Citi’s market risk of trading portfolios, see “Market Risk—Market Risk of Trading Portfolios” in Citi’s 2015 Annual Report on Form 10-K.

Value at Risk
As of JuneSeptember 30, 2016, Citi estimates that the conservative features of its VAR calibration contribute an approximate 16%22% add-on (compared to 22%16% at March 31,June 30, 2016) to what would be a VAR estimated under the assumption of stable and perfectly normal distributed markets.

As set forth in the table below, Citi’sCiti's average Tradingtrading VAR as of September 30, 2016 was materially unchanged from the prior quarter. While average foreign exchange risk was higher in the third quarter of 2016 from currency volatility following the U.K.’s vote to exit the European Union in June 2016, the impact on the total trading VAR was muted due to diversification benefits from the overall portfolio. Average trading and credit portfolio VAR as of September 30, 2016 decreased sequentially, mainly due to interest rate risk profile changes from hedging activity associated with non-trading positions. Average Trading and Credit Portfolio VAR as of June 30, 2016 decreased more than Trading VAR, with the further decreaseslightly, mainly from lower spread volatilities affecting the credit portfolio.



















 Second Quarter First Quarter Second Quarter Third Quarter Second Quarter Third Quarter
In millions of dollarsJune 30, 20162016 AverageMarch 31, 20162016 AverageJune 30, 20152015 AverageSeptember 30, 20162016 AverageJune 30, 20162016 AverageSeptember 30, 20152015 Average
Interest rate$32
$32
$37
$41
$33
$42
$30
$34
$32
$32
$59
$40
Credit spread61
60
62
64
64
$70
73
62
61
60
64
$67
Covariance adjustment(1)
(30)(26)(29)(27)(22)(25)(28)(31)(30)(26)(28)(22)
Fully diversified interest rate and credit spread$63
$66
$70
$78
$75
$87
$75
$65
$63
$66
$95
$85
Foreign exchange26
20
25
29
32
34
16
26
26
20
43
36
Equity11
15
9
15
24
21
9
12
11
15
18
17
Commodity23
20
17
14
18
18
22
23
23
20
17
17
Covariance adjustment(1)
(59)(56)(62)(56)(66)(70)(53)(62)(59)(56)(62)(61)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$64
$65
$59
$80
$83
$90
$69
$64
$64
$65
$111
$94
Specific risk-only component(3)
$9
$9
$7
$7
$7
$6
$7
$6
$9
$9
$6
$5
Total trading VAR—general market risk factors only (excluding credit portfolios)(2)
$55
$56
$52
$73
$76
$84
$62
$58
$55
$56
$105
$89
Incremental impact of the credit portfolio(4)
$22
$23
$29
$28
$15
$23
$21
$21
$22
$23
$29
$22
Total trading and credit portfolio VAR$86
$88
$88
$108
$98
$113
$90
$85
$86
$88
$140
$116

(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 and Citi Holdings, with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.
(3)The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.
(4)
The credit portfolio is composed of mark-to-market positions associated with non-trading business units including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination in ICG.

 

The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
Second QuarterFirst QuarterSecond QuarterThird QuarterSecond QuarterThird Quarter
201620162015201620162015
In millions of dollarsLowHighLowHighLowHighLowHighLowHighLowHigh
Interest rate$26
$40
$29
$64
$29
$73
$27
$47
$26
$40
$30
$59
Credit spread56
64
56
69
63
77
55
73
56
64
61
73
Fully diversified interest rate and credit spread$60
$74
$66
$97
$71
$106
$59
$75
$60
$74
$72
$99
Foreign exchange14
29
24
40
22
51
15
46
14
29
22
54
Equity10
26
9
24
12
32
6
22
10
26
11
35
Commodity16
25
10
18
15
22
19
31
16
25
12
22
Total trading$55
$76
$59
$106
$71
$107
$53
$72
$55
$76
$78
$111
Total trading and credit portfolio79
98
85
131
89
141
72
97
79
98
95
140
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 dollarsJun. 30, 2016Sept. 30, 2016
Total—all market risk factors, including general and specific risk$62
$67
Average—during quarter$61
$63
High—during quarter72
76
Low—during quarter53
51

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 exceeded 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.
As of JuneSeptember 30, 2016, there was one back-testing exception observed for Citi’s Regulatory VAR for the prior 12 months. Trading losses on June 3, 2016 exceeded the VAR estimate at the Citigroup level, driven by higher volatility in the interest rate and foreign exchange markets following the release of weak non-farm payroll data.









COUNTRY RISK

For additional information on country risk at Citi, see “Country Risk” and “Risk Factors” in Citi’s 2015 Annual Report on Form 10-K.

Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by
country (excluding the U.S.) as of JuneSeptember 30, 2016. 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 30%25% of corporate
loans presented in the table below are to U.K. domiciled
entities (25%(23% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 85%84% of the total U.K. funded loans and 90%88% of
the total U.K. unfunded commitments were investment grade
as of JuneSeptember 30, 2016. 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 from the results of the U.K. referendum to leave the European Union, see “Country Risk” in Citi’s Second Quarter of 2016 Form 10-Q.


 
In billions of dollars
ICG
loans(1)
GCB loans(2)
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
2Q16
Total
as of
1Q16
Total
as of
4Q15
ICG
loans(1)
GCB loans(2)
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
3Q16
Total
as of
2Q16
Total
as of
4Q15
United Kingdom$33.1
$—
$3.7
$51.8
$13.5
$(3.0)$8.9
$0.4
$108.4
$103.5
$110.4
$33.0
$—
$3.0
$56.2
$13.0
$(2.9)$10.8
$(0.9)$112.2
$108.4
$110.4
Mexico7.2
24.5
0.4
5.3
0.8
(0.6)15.9
3.5
57.0
61.1
60.4
7.6
23.9
0.4
5.3
0.8
(0.7)15.1
3.7
56.1
57.0
60.4
Korea2.7
20.1
0.4
4.2
1.8
(0.8)8.9
1.8
39.1
37.2
39.3
Singapore12.0
13.3
0.5
5.1
0.8
(0.3)5.7
0.2
37.3
37.2
36.7
12.2
13.0
—
5.2
0.7
(0.3)6.1
1.2
38.1
37.3
36.7
Korea2.9
19.3
0.4
4.4
1.4
(1.0)8.6
1.2
37.2
38.5
39.3
Hong Kong11.7
10.4
0.7
5.3
0.5
(0.9)5.0
2.6
35.3
34.5
35.2
12.0
10.3
0.7
5.0
0.5
(0.7)5.9
1.5
35.2
35.3
35.2
Brazil14.4
1.9
0.3
3.9
5.2
(2.8)4.3
4.1
31.3
28.6
23.2
India10.2
6.3
0.7
4.5
0.4
(1.3)7.1
3.1
31.0
32.8
33.0
9.7
6.5
0.7
5.0
0.5
(1.4)7.8
1.8
30.6
31.0
33.0
Brazil14.3
1.9
0.2
3.8
2.9
(2.8)4.1
4.2
28.6
27.8
23.2
Australia4.6
10.2
0.1
5.1
1.4
(1.0)4.5
(0.5)24.4
22.6
24.5
Ireland7.7
—
0.4
15.1
0.3
—
—
0.6
24.1
24.5
22.0
7.5
—
0.6
15.2
0.3
—
—
0.6
24.2
24.1
22.0
Australia3.9
10.2
—
4.9
1.0
(0.9)4.6
(1.1)22.6
25.9
24.5
China7.3
4.5
3.2
1.6
1.3
(1.1)3.0
2.6
22.4
22.9
23.0
Canada2.5
0.6
2.3
6.3
2.8
(0.9)4.3
0.2
18.1
17.4
16.5
Germany0.2
—
—
4.2
3.7
(3.5)9.8
2.9
17.3
21.9
18.8
0.2
—
—
4.0
4.3
(3.6)11.0
2.8
18.7
17.3
18.8
Japan2.8
—
0.4
2.9
4.1
(1.2)2.4
4.2
15.6
11.1
9.1
2.6
—
0.3
6.9
3.5
(1.3)3.6
2.0
17.6
15.6
9.1
Canada2.2
0.6
2.3
6.5
2.2
(0.9)3.9
0.2
17.0
18.1
16.5
China6.6
4.4
0.2
1.5
0.7
(0.8)2.8
0.8
16.2
22.4
23.0
Taiwan3.8
8.0
0.1
1.4
0.2
(0.2)1.2
0.9
15.4
15.5
14.8
3.8
8.2
0.1
1.0
0.3
(0.3)1.2
1.6
15.9
15.4
14.8
Poland2.7
1.6
0.1
3.2
0.1
(0.3)4.7
0.1
12.2
14.8
13.1
3.0
1.7
—
3.3
0.1
(0.3)4.0
0.3
12.1
12.2
13.1
Malaysia2.0
4.8
0.2
1.8
0.2
(0.1)0.8
1.6
11.3
10.8
9.2
1.8
4.7
0.2
1.8
0.2
(0.2)0.6
1.4
10.5
11.3
9.2
Netherlands—
—
—
—
1.6
(1.0)6.1
0.4
7.1
6.8
7.1
—
—
—
—
1.7
(0.9)5.6
0.3
6.7
7.1
7.1
Italy0.3
—
—
2.6
7.8
(6.1)0.2
1.9
6.7
4.6
6.6
Thailand0.9
1.9
—
1.1
0.1
—
1.7
0.8
6.5
6.2
5.4
0.8
1.9
—
1.1
0.1
—
1.6
0.8
6.3
6.5
5.4
United Arab
Emirates
3.5
1.3
0.2
1.6
0.4
(0.4)—
(0.2)6.4
6.4
6.4
3.2
1.4
0.1
1.6
0.5
(0.4)—
(0.2)6.2
6.4
6.4
Luxembourg0.1
—
—
—
0.5
(0.2)5.1
0.2
5.7
6.2
4.9
—
—
0.1
—
0.8
(0.2)5.2
0.1
6.0
5.7
4.9
Colombia2.4
1.8
—
1.0
0.2
(0.1)0.3
—
5.6
5.1
5.7
Indonesia1.9
1.1
0.1
1.0
—
(0.2)0.9
0.4
5.2
5.2
4.4
1.8
1.1
0.1
1.1
0.1
(0.1)1.0
0.5
5.6
5.2
4.4
Colombia2.3
1.7
—
0.9
0.3
(0.1)0.3
(0.3)5.1
5.9
5.7
Russia2.4
0.9
—
0.8
0.2
(0.5)0.6
0.4
4.8
5.1
5.0
2.3
0.9
—
0.9
0.1
(0.4)0.5
0.3
4.6
4.8
5.0
Turkey3.3
—
0.4
0.5
0.3
(0.1)0.4
(0.2)4.6
4.8
4.0
3.1
—
0.5
0.5
0.2
(0.1)0.2
(0.1)4.3
4.6
4.0
South Africa1.3
—
—
2.2
0.3
(0.3)1.1
(0.1)4.5
2.8
2.8

(1)
ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of JuneSeptember 30, 2016, private bank loans in the table above totaled $16.5$17.4 billion, concentrated in the U.K. ($4.34.6 billion), Singapore ($6.6 billion) and Hong Kong ($4.55.1 billion).                    
(2)
GCBloans include funded loans in Brazil and Colombia related to businesses that were transferred to Citi Holdings as of January 1, 2016.
(3)Other funded includes other direct exposure such as accounts receivable, loans held-for-sale, other loans in Citi Holdings 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 (MTM) on derivatives and securities lending/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 derivative exposuresexposure where the underlying reference entity is located in that country.

Included within the table above are Citi’s exposures to the U.K. as well as certain other countries within the European Union (EU) as of June 30, 2016. On June 23, 2016, a referendum was held in the U.K. regarding the U.K.’s continued membership in the EU, with the result that a majority of votes cast were in favor of the U.K. leaving the EU.
The result of the referendum has raised numerous uncertainties, including as to when the U.K. may begin the official process of withdrawal and the commencement of negotiations with the EU regarding the terms of the withdrawal. Additional areas of uncertainty that could impact Citi include, among others: (i) whether Citi will need to make changes to its 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 withdrawal to the economy of the United Kingdom as well as more broadly throughout Europe; (iii) the potential impact to Citi’s exposures to counterparties as a result of any macroeconomic slowdown; (iv) the impact of the referendum on U.S. monetary policy, such as changes to interest rates; and (v) the potential impact to foreign exchange rates, particularly the Euro and the pound sterling, and the resulting impacts to Citi’s results of operations.
To date, Citi has not experienced any significant negative impact to its results of operations or client or counterparty activity or exposures as a result of the U.K. referendum. Given the current status, it is not possible to determine as to the outcome of the issues raised above. However, Citi will continue to monitor developments emanating from the U.K. referendum closely.



Argentina
For additional information relating to Citi’s exposures in Argentina, see “Country Risk—Argentina” in Citi’s 2015 Annual Report on Form 10-K and First Quarter of 2016 Form 10-Q.
There were no significant changes to Citi’s exposures in Argentina during the current quarter. Citi’s net investment in its Argentine operations was approximately $722 million as of June 30, 2016 (compared to $756 million as of March 31, 2016) with cumulative translation losses, net of qualifying net investment hedges, of approximately $2 billion (pretax) as of June 30, 2016 (unchanged from March 31, 2016). In addition, during the current quarter, Citi Argentina was notified by the Comision Nacional de Valores that Citi’s previous suspension from certain capital markets activities had been lifted and an Argentine court, at the request of the Ministry of Economy and Public Finance, lifted an injunction that restricted Citi from exiting its retail custody business in Argentina.

Venezuela
For historical information on foreign exchange controls in Venezuela as well as additional information on Citi’s exposures and discontinuation of certain businesses in Venezuela, see “Country Risk—Venezuela”Risk-Venezuela” in each of Citi’s 2015 Annual Report on Form 10-K, First Quarter of 2016 Form 10-Q and FirstSecond Quarter of 2016 Form 10-Q.
As of JuneSeptember 30, 2016, Citi’s net investment in its Venezuelan operations was approximately $54$55 million (compared to $51$54 million as of March 31,June 30, 2016), with de minimis foreign exchange exposure remaining. Citi also had cumulative translation losses related to its investment in Venezuela of approximately $20 million, which would not be reclassified into earnings unless a change of control, liquidation or similar event to Citi’s Venezuela operations were to occur. Accordingly, ifIf any such event were to occur, Citi estimates its net exposure to Venezuela wouldcould be approximately $70 million as of JuneSeptember 30, 2016.2016, although the actual amount could fluctuate slightly depending upon the facts and circumstances of such event.
In addition, as previously reported, on July 11, 2016, following a periodic risk management review in Venezuela, Citi decided to discontinue correspondent banking and the servicing of certain accounts in Venezuela.

 






INCOME TAXES

Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—Operational Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Note 9 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.
At JuneSeptember 30, 2016, Citigroup had recorded net DTAs of approximately $45.4 billion, a decrease of $0.9 billionunchanged from March 31,June 30, 2016, and $2.4 billion from December 31, 2015. The sequential decrease in DTAs was driven primarily byas the continued generation of U.S. taxable earnings in Citicorp and gainsthe current quarter was offset by losses in AOCI.AOCI.
The following table summarizes Citi’s net DTAs balance as of the periods presented. Of Citi’s net DTAs as of JuneSeptember 30, 2016, those arising from net operating losses, foreign tax credit and general business credit carry-forwards are 100% deducted in calculating Citi’s regulatory capital, while DTAs arising from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above). Approximately $17.4$17.6 billion of the net DTAsDTA was not deducted in calculating regulatory capital pursuant to full Basel III implementation standards as of JuneSeptember 30, 2016.
Jurisdiction/ComponentDTAs balanceDTAs balance
In billions of dollarsJune 30,
2016		December 31, 2015Sept 30, 2016December 31, 2015
Total U.S.$43.1
$45.2
$43.2
$45.2
Total foreign2.3
2.6
2.2
2.6
Total$45.4
$47.8
$45.4
$47.8



Effective Tax Rate
Citi’s effective tax rate for the secondthird quarter of 2016 was 29.9%30.8%, slightly higher than the 29.2%30.2% effective tax rate in the secondthird quarter of 2015 (excluding CVA/DVA).  The slight increase was due to a combination of factors, including the impact of the previously disclosed New York City tax reform and a state and local audit settlement in the prior-year period and the lower level of pretax income in the current quarter.






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 JuneSeptember 30, 2016 and, based on that evaluation, the CEO and CFO have concluded that at that date Citigroup’s disclosure controls and procedures were effective.

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, which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with individuals or entities that are subject to sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law.
A branch Citi did not have any reportable activities to disclose in the first quarter of Citibank located2016 but disclosed reportable activities pursuant to Section 219 in Dublin, Ireland processed a funds transfer to the Embassy of Iran in Ireland during the second quarter of 2016 in the Second Quarter of 2016 Form 10-Q.
In addition to Citi’s prior disclosures, Citi processed three funds transfers involving three different Iranian Embassies during the third quarter of 2016.  In two of these transfers, Citibank, London acted as an intermediary bank to process a domestic Irish payment from an individual to the Iranian Embassy in Ireland and payment from a hotel in Iceland for a cancellation refund for the Iranian Embassy in Norway.  The value of these funds transfers was EUR 75 (approximately $82) and EUR 418 (approximately $457) respectively, for a total of EUR 493 (approximately $539).  In addition, Bank Handlowy w Warszawie S.A., a subsidiary of Citi, acted as a remitting bank for a payment related to a visa fee for the Iranian Embassy in Poland.  The value of this funds transfer was approximately EUR 50130 (approximately $57.00)$142).  This payment wasAll three of these funds transfers were for visa services transactions ordinarily incident to travel
which are exempt under Office of Foreign Assets Control regulations.  The transactiontotal value for all of these funds transfers was EUR 623 (approximately $681) and resulted in nominal revenue for Citibank.Citibank and Bank Handlowy w Warszawie S.A.






FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-Q, 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 U.S. Private Securities Litigation Reform Act of 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, 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 limitationlimitation: (i) the precautionary statements included within each individual business’ discussion and analysis of its results of operations above and in Citi’s 2015 Annual Report on Form 10-K, First Quarter of 2016 Form 10-Q and Second Quarter of 2016 Form 10-Q; (ii) the factors listed and described under “Risk Factors” in Citi’s 2015 Annual Report on Form 10-K10-K; and (iii) the risks and uncertainties summarized below:

potential changes to various aspectsthe calculation of the regulatory capital frameworkrisk-weighted assets proposed or adopted by the Basel Committee on Banking Supervision and/or the U.S. banking agencies, such as those related to credit risk, market risk (including as a result of the so-called “fundamental review of the trading book”), and operational risk, and credit risk, and the potential impact any such changes could have on Citi’s regulatory capital ratios and/or their components;ratios;
the potential impact of any changes to the CCAR stress testing requirements or process, such as the inclusion of Citi’s GSIB surcharge in the Federal Reserve Board’s CCAR post-stress minimum capital requirements under CCAR, including onor the introduction of additional macroprudential considerations (such as funding and liquidity shocks) in the stress testing process;
the potential incorporation of a variable “stress capital buffer” as part of Citi’s ability to returnongoing regulatory capital to shareholders;requirements;
Citi’s ability to adequately address the shortcomings identified by the Federal Reserve Board and FDIC as a result of their review of Citi’s 2015 annual resolution plan submission and the potential impact actions Citi may take to address such shortcomings may have on its funding and liquidity;submission;
the ongoing regulatory changes and uncertainties faced by financial institutions, including Citi, in the U.S. and globally, including as a result of the Federal Reserve Board’s recent proposalregulatory changes relating to single-counterparty credit limits,debt collection practices within Citi’s North America cards businesses, and the potential impact these changes and uncertainties could have on Citi’s businesses, results of operations, financial condition, strategy or organizational structure and compliance risks and costs;
the potential impact to Citi’s delinquency rates, loan loss reserves, net credit losses and overall results of operations
as Citi’s revolving home equity lines of credit continue to “reset” (Revolving HELOCs), particularly if interest rates increase;
the potential impact to Citi’s businesses, credit costs and overall results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties, including slower growth inthose relating to the emerging marketsoutcome of the U.S. elections or if energy or other commodity prices deteriorate;
the extensive uncertainties arising as a result of the vote in the United Kingdom to withdraw from the European Union, including the timing and terms of the withdrawal, and the potential impact to macroeconomic conditions as well as Citi’s legal entity structure and overall results of operations or financial condition;
the various risks faced by Citi as a result of its significant presence in the emerging markets, including among others sociopolitical instability, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, closure of branches or subsidiaries, confiscation of assets and foreign exchange controls as well as the increased compliance and regulatory risks and costs;
the potential impact of concentrations of risk, such as market risk arising from Citi’s volume of transactions with counterparties in the financial services industry, could have on Citi’s hedging strategies and results of operations;
the uncertainties and potential operational difficulties to Citi and its liquidity planning arising from the Federal Reserve Board’s total loss-absorbing capacity (TLAC) proposal, including uncertainties relating to any potential “grandfathering” of outstanding long-term debt and the potential impact on Citi’s estimated liquidity needs;
the potential impacts on Citi’s liquidity and/or costs of funding as a result of external factors, including among others market disruptions and governmental fiscal and monetary policies as well as regulatory changes, such as the TLAC proposal;
the impact of ratings downgrades of Citi or one or more of its more significant subsidiaries or issuing entities on Citi’s funding and liquidity as well as the results of operations of certain of its businesses;
the potential negative impact to Citi’s co-branding and private label credit card relationships or Citi’s results of operations or financial condition due to, among other things, operational difficulties of a particular retailer or merchant or early termination of a particular relationship;



the potential impact to Citi from an increasing risk of continually evolving cybersecurity or other technological and similar risks, including thefraud, theft, loss, misuse or disclosure of confidential client, customer, corporate or network information or assets, damage to Citi’s reputation, additional costs (including credit costs) to Citi, regulatory penalties, legal exposure and financial losses;
Citi’s ability to continue to utilize its DTAs (including the foreign tax credit component of its DTAs) and thus reduce the negative impact of the DTAs on Citi’s regulatory capital, including as a result of movements in Citi’s AOCI;
the potential impact to Citi if its interpretation or application of the extensive tax laws to which it is subject,



such as withholding tax obligations or business valuations, differs from those of the relevant governmental authorities;
the impact on the value of Citi’s DTAs and its results of operations if corporate tax rates in the U.S. or certain state, local or foreign jurisdictions decline, or if other changes are made to the U.S. tax system;
the potential impact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk models, including its Basel III risk-weighted asset models, are ineffective, require modification or enhancement or approval is withdrawn by Citi’s U.S. banking regulators;
Citi’s ability to manage its overall level of expenses while at the same time continuing to successfully invest in identified areas of its businesses or operations;
Citi’s ability to continue to wind-down Citi Holdings, and thus reduce the negative impact on Citi’s regulatory capital, as well as maintain Citi Holdings at or above “break even” during 2016;
the potential impact on Citi’s performance, including its competitive position and ability to effectively manage its businesses and continue to execute its strategy, if Citi is unable to hire and retain highly qualified employees for any reason;
the impact of ongoing changes to financial accounting and reporting standards or interpretations, such as the FASB’s recently finalized credit impairment standard, on how Citi records and reports its financial condition and results of operations as well as the potential impact of incorrect assumptions or estimates in Citi’s financial statements;
the heightened compliance requirements and risks to which Citi is subject, including reputational and legal risks, as well as the impact of increased compliance costs on Citi’s expense management and investments initiatives;
legal, regulatory and reputational risks arising from the heightened scrutiny of “conduct risk” or perceived deficiencies in the culture of financial institutions, including Citi, that are viewed as harmful to clients, counterparties, investors or the markets, such as improperly creating, selling, marketing or managing products and services or improper incentive compensation programs with respect thereto; and
the potential outcomes of the extensive legal and regulatory proceedings, investigations and other inquiries to which Citi is or may be subject at any given time, particularly given the increased severity of the remedies sought and potential collateral consequences to Citi arising from such outcomes; and
the potential impact of the U.S. Treasury’s proposed changes to Section 385 of the U.S. tax code on Citi’s intercompany borrowing activities and documentation.outcomes.

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.










































































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FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS 
Consolidated Statement of Income (Unaudited)—
For the Three and SixNine Months Ended JuneSeptember 30, 2016 and 2015
9895
Consolidated Statement of Comprehensive Income(Unaudited)—For the Three and SixNine Months Ended JuneSeptember 30, 2016 and 2015
10096
Consolidated Balance Sheet—JuneSeptember 30, 2016 (Unaudited) and December 31, 2015
10197
Consolidated Statement of Changes in Stockholders’ Equity(Unaudited)—For the SixNine Months Ended JuneSeptember 30, 2016 and 2015
10399
Consolidated Statement of Cash Flows (Unaudited)—
For the SixNine Months Ended JuneSeptember 30, 2016 and 2015
105101

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) 
Note 1—Basis of Presentation and Accounting Changes
107103
Note 2—Discontinued Operations and Significant Disposals
109105
Note 3—Business Segments
110106
Note 4—Interest Revenue and Expense
111107
Note 5—Commissions and Fees
112108
Note 6—Principal Transactions
113108
Note 7—Incentive Plans
114109
Note 8—Retirement Benefits
115109
Note 9—Earnings per Share
120114
Note 10—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
121115
Note 11—Brokerage Receivables and Brokerage Payables
125118
Note 12—Trading Account Assets and Liabilities
125
Note 13—Investments
126
Note 14—Loans
138118
 


  
Note 15—13—Loans
128
Note 14—Allowance for Credit Losses
152141
Note 16—15—Goodwill and Intangible Assets
154143
Note 16—Debt
145
Note 17—Debt
156
Note 18—Changes in Accumulated Other Comprehensive
Income (Loss)
157146
Note 19—Preferred Stock
162
Note 20—18—Securitizations and Variable Interest Entities
164151
Note 19—Derivatives Activities
160
Note 20—Fair Value Measurement
170
Note 21—Derivatives ActivitiesFair Value Elections
178190
Note 22—Fair Value MeasurementGuarantees and Commitments
192194
Note 23—Fair Value ElectionsContingencies
219198
Note 24—Guarantees and Commitments
223
Note 25—Contingencies
229
Note 26—Condensed Consolidating Financial Statements
232200

















































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CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) Citigroup Inc. and Subsidiaries
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars, except per share amounts20162015201620152016201520162015
Revenues   
 
   
 
Interest revenue$14,356
$14,873
$28,523
$29,473
$14,653
$14,714
$43,176
$44,187
Interest expense3,120
3,051
6,060
6,079
3,174
2,941
9,234
9,020
Net interest revenue$11,236
$11,822
$22,463
$23,394
$11,479
$11,773
$33,942
$35,167
Commissions and fees$2,725
$3,194
$5,188
$6,364
$2,644
$2,732
$7,832
$9,096
Principal transactions1,816
2,173
3,656
4,144
2,238
1,327
5,894
5,471
Administration and other fiduciary fees878
995
1,689
1,957
862
870
2,551
2,827
Realized gains on sales of investments, net200
183
386
490
287
151
673
641
Other-than-temporary impairment losses on investments   
 
   
 
Gross impairment losses(118)(43)(583)(115)(32)(80)(615)(195)
Less: Impairments recognized in AOCI—
—
—
—
—
—
—
—
Net impairment losses recognized in earnings$(118)$(43)$(583)$(115)$(32)$(80)$(615)$(195)
Insurance premiums$217
$482
$481
$979
$184
$464
$665
$1,443
Other revenue594
664
1,823
1,993
98
1,455
1,921
3,448
Total non-interest revenues$6,312
$7,648
$12,640
$15,812
$6,281
$6,919
$18,921
$22,731
Total revenues, net of interest expense$17,548
$19,470
$35,103
$39,206
$17,760
$18,692
$52,863
$57,898
Provisions for credit losses and for benefits and claims   
 
   
 
Provision for loan losses$1,390
$1,515
$3,276
$3,270
$1,746
$1,582
$5,022
$4,852
Policyholder benefits and claims49
181
137
378
35
189
172
567
Provision (release) for unfunded lending commitments(30)(48)41
(85)(45)65
(4)(20)
Total provisions for credit losses and for benefits and claims$1,409
$1,648
$3,454
$3,563
$1,736
$1,836
$5,190
$5,399
Operating expenses   
 
   
 
Compensation and benefits$5,229
$5,483
$10,785
$11,003
$5,203
$5,321
$15,988
$16,324
Premises and equipment642
737
1,293
1,446
624
722
1,917
2,168
Technology/communication1,657
1,656
3,306
3,256
1,694
1,628
5,000
4,884
Advertising and marketing433
393
823
785
403
391
1,226
1,176
Other operating2,408
2,659
4,685
5,322
2,480
2,607
7,165
7,929
Total operating expenses$10,369
$10,928
$20,892
$21,812
$10,404
$10,669
$31,296
$32,481
Income from continuing operations before income taxes$5,770
$6,894
$10,757
$13,831
$5,620
$6,187
$16,377
$20,018
Provision for income taxes1,723
2,036
3,202
4,156
1,733
1,881
4,935
6,037
Income from continuing operations$4,047
$4,858
$7,555
$9,675
$3,887
$4,306
$11,442
$13,981
Discontinued operations   
 
   
 
Income (loss) from discontinued operations$(36)$9
$(39)$1
Provision (benefit) for income taxes(13)3
(14)—
Income (loss) from discontinued operations, net of taxes$(23)$6
$(25)$1
Loss from discontinued operations$(37)$(15)$(76)$(14)
Benefit for income taxes(7)(5)(21)(5)
Loss from discontinued operations, net of taxes$(30)$(10)$(55)$(9)
Net income before attribution of noncontrolling interests$4,024
$4,864
$7,530
$9,676
$3,857
$4,296
$11,387
$13,972
Noncontrolling interests26
18
31
60
17
5
48
65
Citigroup’s net income$3,998
$4,846
$7,499
$9,616
$3,840
$4,291
$11,339
$13,907
Basic earnings per share(1)
   
 
   
 
Income from continuing operations$1.25
$1.51
$2.36
$3.03
$1.25
$1.36
$3.60
$4.39
Loss from discontinued operations, net of taxes(0.01)—
(0.01)—
(0.01)—
(0.02)—
Net income$1.24
$1.52
$2.35
$3.03
$1.24
$1.36
$3.58
$4.38
Weighted average common shares outstanding2,915.8
3,020.0
2,929.4
3,027.1
2,879.9
2,993.3
2,912.9
3,015.8


Diluted earnings per share(1)
   
 
   
 
Income from continuing operations$1.25
$1.51
$2.36
$3.02
$1.25
$1.36
$3.60
$4.38
Loss from discontinued operations, net of taxes(0.01)—
(0.01)—
(0.01)—
(0.02)—
Net income$1.24
$1.51
$2.35
$3.02
$1.24
$1.35
$3.58
$4.38
Adjusted weighted average common shares outstanding2,915.9
3,025.0
2,929.5
3,032.1
2,880.1
2,996.9
2,913.0
3,020.4
(1) Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.



CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME Citigroup Inc. and Subsidiaries
(UNAUDITED)  
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20162015201620152016201520162015
Net income before attribution of noncontrolling interests$4,024
$4,864
$7,530
$9,676
$3,857
$4,296
$11,387
$13,972
Add: Citigroup’s other comprehensive income (loss)

  






  




Net change in unrealized gains and losses on investment securities, net of taxes$927
$(935)$2,961
$(344)$(432)$511
$2,529
$167
Net change in debt valuation adjustment (DVA), net of taxes (1)
12
—
205
—
(200)—
5
—
Net change in cash flow hedges, net of taxes151
92
468
178
(83)189
385
367
Benefit plans liability adjustment, net of taxes(27)578
(492)488
12
(360)(480)128
Net change in foreign currency translation adjustment, net of taxes and hedges(552)(148)102
(2,210)(375)(2,493)(273)(4,703)
Citigroup’s total other comprehensive income (loss)$511
$(413)$3,244
$(1,888)$(1,078)$(2,153)$2,166
$(4,041)
Total comprehensive income before attribution of noncontrolling interests$4,535
$4,451
$10,774
$7,788
$2,779
$2,143
$13,553
$9,931
Less: Net income attributable to noncontrolling interests26
18
31
60
17
5
48
65
Citigroup’s comprehensive income$4,509
$4,433
$10,743
$7,728
$2,762
$2,138
$13,505
$9,866
(1)
Effective JanuarySee Note 1 2016, Citigroup early adopted only the provisions of the amendment in 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 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 Accumulated other comprehensive income (AOCI).
Consolidated Financial Statements for additional details.

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



CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries
(UNAUDITED)  
        June 30,September 30, 
2016December 31,2016December 31,
In millions of dollars(Unaudited)2015(Unaudited)2015
Assets 
 
 
 
Cash and due from banks (including segregated cash and other deposits)$22,140
$20,900
$23,419
$20,900
Deposits with banks127,993
112,197
132,571
112,197
Federal funds sold and securities borrowed or purchased under agreements to resell (including $144,816 and $137,964 as of June 30, 2016 and December 31, 2015, respectively, at fair value)228,683
219,675
Federal funds sold and securities borrowed or purchased under agreements to resell (including $143,618 and $137,964 as of September 30, 2016 and December 31, 2015, respectively, at fair value)236,045
219,675
Brokerage receivables36,851
27,683
36,112
27,683
Trading account assets (including $92,869 and $92,123 pledged to creditors at June 30, 2016 and December 31, 2015, respectively)271,764
249,956
Trading account assets (including $97,370 and $92,123 pledged to creditors at September 30, 2016 and December 31, 2015, respectively)263,352
249,956
Investments:  
Available for sale (including $8,659 and $10,698 pledged to creditors as of June 30, 2016 and December 31, 2015, respectively)312,765
299,136
Held to maturity (including $1,487 and $3,630 pledged to creditors as of June 30, 2016 and December 31, 2015, respectively)35,903
36,215
Non-marketable equity securities (including $1,973 and $2,088 at fair value as of June 30, 2016 and December 31, 2015, respectively)7,625
7,604
Available for sale (including $8,413 and $10,698 pledged to creditors as of September 30, 2016 and December 31, 2015, respectively)308,117
299,136
Held to maturity (including $1,216 and $3,630 pledged to creditors as of September 30, 2016 and December 31, 2015, respectively)38,588
36,215
Non-marketable equity securities (including $1,977 and $2,088 at fair value as of September 30, 2016 and December 31, 2015, respectively)8,235
7,604
Total investments$356,293
$342,955
$354,940
$342,955
Loans: 
 
 
 
Consumer (including $32 and $34 as of June 30, 2016 and December 31, 2015, respectively, at fair value)326,419
325,785
Corporate (including $4,102 and $4,971 as of June 30, 2016 and December 31, 2015, respectively, at fair value)307,096
291,832
Consumer (including $31 and $34 as of September 30, 2016 and December 31, 2015, respectively, at fair value)328,702
325,785
Corporate (including $3,939 and $4,971 as of September 30, 2016 and December 31, 2015, respectively, at fair value)309,733
291,832
Loans, net of unearned income$633,515
$617,617
$638,435
$617,617
Allowance for loan losses(12,304)(12,626)(12,439)(12,626)
Total loans, net$621,211
$604,991
$625,996
$604,991
Goodwill22,496
22,349
22,539
22,349
Intangible assets (other than MSRs)5,521
3,721
5,358
3,721
Mortgage servicing rights (MSRs)1,324
1,781
1,270
1,781
Other assets (including $7,432 and $6,121 as of June 30, 2016 and December 31, 2015, respectively, at fair value)124,495
125,002
Other assets (including $6,460 and $6,121 as of September 30, 2016 and December 31, 2015, respectively, at fair value)116,515
125,002
Total assets$1,818,771
$1,731,210
$1,818,117
$1,731,210

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in 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, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
        June 30,September 30, 
2016December 31,2016December 31,
In millions of dollars(Unaudited)2015(Unaudited)2015
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
 
 
Cash and due from banks$112
$153
$262
$153
Trading account assets427
583
585
583
Investments4,755
5,263
5,057
5,263
Loans, net of unearned income 
 
 
 
Consumer54,211
58,772
52,837
58,772
Corporate21,832
22,008
20,849
22,008
Loans, net of unearned income$76,043
$80,780
$73,686
$80,780
Allowance for loan losses(1,751)(2,135)(1,800)(2,135)
Total loans, net$74,292
$78,645
$71,886
$78,645
Other assets150
150
166
150
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$79,736
$84,794
$77,956
$84,794
Statement continues on the next page.


CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
        June 30,September 30, 
2016December 31,2016December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2015(Unaudited)2015
Liabilities 
 
 
 
Non-interest-bearing deposits in U.S. offices$140,145
$139,249
$141,899
$139,249
Interest-bearing deposits in U.S. offices (including $685 and $923 as of June 30, 2016 and December 31, 2015, respectively, at fair value)295,589
280,234
Interest-bearing deposits in U.S. offices (including $479 and $923 as of September 30, 2016 and December 31, 2015, respectively, at fair value)288,094
280,234
Non-interest-bearing deposits in offices outside the U.S.76,574
71,577
75,956
71,577
Interest-bearing deposits in offices outside the U.S. (including $786 and $667 as of June 30, 2016 and December 31, 2015, respectively, at fair value)425,544
416,827
Interest-bearing deposits in offices outside the U.S. (including $941 and $667 as of September 30, 2016 and December 31, 2015, respectively, at fair value)434,303
416,827
Total deposits$937,852
$907,887
$940,252
$907,887
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $46,144 and $36,843 as of June 30, 2016 and December 31, 2015, respectively, at fair value)158,001
146,496
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $42,939 and $36,843 as of September 30, 2016 and December 31, 2015, respectively, at fair value)153,124
146,496
Brokerage payables62,054
53,722
61,921
53,722
Trading account liabilities136,307
117,512
131,649
117,512
Short-term borrowings (including $1,850 and $1,207 as of June 30, 2016 and December 31, 2015, respectively, at fair value)18,408
21,079
Long-term debt (including $25,931 and $25,293 as of June 30, 2016 and December 31, 2015, respectively, at fair value)207,448
201,275
Other liabilities (including $2,822 and $1,624 as of June 30, 2016 and December 31, 2015, respectively, at fair value)65,680
60,147
Short-term borrowings (including $2,599 and $1,207 as of September 30, 2016 and December 31, 2015, respectively, at fair value)29,527
21,079
Long-term debt (including $27,535 and $25,293 as of September 30, 2016 and December 31, 2015, respectively, at fair value)209,051
201,275
Other liabilities (including $2,369 and $1,624 as of September 30, 2016 and December 31, 2015, respectively, at fair value)59,903
60,147
Total liabilities$1,585,750
$1,508,118
$1,585,427
$1,508,118
Stockholders’ equity 
 
 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of June 30, 2016 and 668,720 as of December 31, 2015, at aggregate liquidation value
$19,253
$16,718
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,482,042 as of June 30, 2016 and December 31, 2015
31
31
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of September 30, 2016 and 668,720 as of December 31, 2015, at aggregate liquidation value
$19,253
$16,718
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,482,042 as of September 30, 2016 and December 31, 2015
31
31
Additional paid-in capital107,730
108,288
107,875
108,288
Retained earnings140,527
133,841
143,678
133,841
Treasury stock, at cost: June 30, 2016—194,108,004 shares and December 31, 2015—146,203,311 shares
(9,538)(7,677)
Treasury stock, at cost: September 30, 2016—249,751,794 shares and December 31, 2015—146,203,311 shares
(12,069)(7,677)
Accumulated other comprehensive income (loss)(26,115)(29,344)(27,193)(29,344)
Total Citigroup stockholders’ equity$231,888
$221,857
$231,575
$221,857
Noncontrolling interest1,133
1,235
1,115
1,235
Total equity$233,021
$223,092
$232,690
$223,092
Total liabilities and equity$1,818,771
$1,731,210
$1,818,117
$1,731,210

The following table presents certain liabilities of consolidated VIEs, which are included in 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.
        June 30,September 30, 
2016December 31,2016December 31,
In millions of dollars(Unaudited)2015(Unaudited)2015
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup
 
 
 
 
Short-term borrowings$10,986
$11,965
$11,205
$11,965
Long-term debt27,723
31,273
24,780
31,273
Other liabilities2,072
2,099
1,433
2,099
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup
$40,781
$45,337
$37,418
$45,337
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.


CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY Citigroup Inc. and Subsidiaries
(UNAUDITED)  
Six Months Ended June 30,Nine Months Ended September 30,
In millions of dollars, except shares in thousands2016201520162015
Preferred stock at aggregate liquidation value 
 
 
 
Balance, beginning of period$16,718
$10,468
$16,718
$10,468
Issuance of new preferred stock2,535
3,500
2,535
4,750
Balance, end of period$19,253
$13,968
$19,253
$15,218
Common stock and additional paid-in capital 
 
 
 
Balance, beginning of period$108,319
$108,010
$108,319
$108,010
Employee benefit plans(516)279
(371)325
Preferred stock issuance expense(37)(14)(37)(19)
Other(5)(25)(5)(24)
Balance, end of period$107,761
$108,250
$107,906
$108,292
Retained earnings 
 
 
 
Balance, beginning of period$133,841
$118,201
$133,841
$118,201
Adjustment to opening balance, net of taxes(1)(2)
15
(349)15
(349)
Adjusted balance, beginning of period$133,856
$117,852
$133,856
$117,852
Citigroup’s net income7,499
9,616
11,339
13,907
Common dividends(3)
(296)(184)(760)(334)
Preferred dividends(532)(330)(757)(504)
Tax benefit—
—
—
—
Balance, end of period$140,527
$126,954
$143,678
$130,921
Treasury stock, at cost 
 
 
 
Balance, beginning of period$(7,677)$(2,929)$(7,677)$(2,929)
Employee benefit plans(4)
773
151
775
405
Treasury stock acquired(5)
(2,634)(1,850)(5,167)(3,802)
Balance, end of period$(9,538)$(4,628)$(12,069)$(6,326)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
Balance, beginning of period$(29,344)$(23,216)$(29,344)$(23,216)
Adjustment to opening balance, net of taxes(1)
(15)—
(15)—
Adjusted balance, beginning of period$(29,359)$(23,216)$(29,359)$(23,216)
Net change in Citigroup’s Accumulated other comprehensive income (loss)
3,244
(1,888)2,166
(4,041)
Balance, end of period$(26,115)$(25,104)$(27,193)$(27,257)
Total Citigroup common stockholders’ equity$212,635
$205,472
$212,322
$205,630
Total Citigroup stockholders’ equity$231,888
$219,440
$231,575
$220,848
Noncontrolling interests 
 
 
 
Balance, beginning of period$1,235
$1,511
$1,235
$1,511
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary(11)—
(11)—
Transactions between Citigroup and the noncontrolling-interest shareholders(73)(114)(69)(144)
Net income attributable to noncontrolling-interest shareholders31
60
48
65
Dividends paid to noncontrolling-interest shareholders(1)(10)(42)(78)
Other comprehensive income (loss) attributable to
noncontrolling-interest shareholders
(23)(61)(13)(67)
Other(25)(1)(33)2
Net change in noncontrolling interests$(102)$(126)$(120)$(222)
Balance, end of period$1,133
$1,385
$1,115
$1,289
Total equity$233,021
$220,825
$232,690
$222,137

(1)
Effective JanuarySee Note 1 2016, Citigroup early adopted the provisions of the amendment in 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 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 Accumulated other comprehensive income (AOCI). The cumulative effect of this change in accounting resulted in a reclassification from Retained earnings to AOCI of an accumulated after-tax loss of approximately $15 million at January 1, 2016.
Consolidated Financial Statements for additional details.


(2)
Citi adopted ASU 2014-01 Investments-Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Affordable Housing, in the first quarter of 2015 on a retrospective basis. This adjustment to opening Retained earnings represents the impact to periods prior to January 1, 2013 and is shown as an adjustment to the opening balance since 2015 is the earliest period presented in this statement. See Note 1 to the Consolidated Financial Statements in Citi’s Annual Report on Form 10-K for the fiscal year ended December 31, 2015 for additional information.


(3)
Common dividends declared were $0.05 per share in the first and second quarters and $0.16 per share in the third quarter of 2016 and $0.01 per share in the first quarter and $0.05 per share in the second quarterand third quarters of 2015.
(4)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.
(5)For the sixnine months ended JuneSeptember 30, 2016 and 2015, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.

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


CONSOLIDATED STATEMENT OF CASH FLOWS Citigroup Inc. and Subsidiaries
(UNAUDITED)  
Six Months Ended June 30,Nine Months Ended September 30,
In millions of dollars2016201520162015
Cash flows from operating activities of continuing operations 
 
 
 
Net income before attribution of noncontrolling interests$7,530
$9,676
$11,387
$13,972
Net income attributable to noncontrolling interests31
60
48
65
Citigroup’s net income$7,499
$9,616
$11,339
$13,907
Gain (loss) from discontinued operations, net of taxes(25)1
Loss from discontinued operations, net of taxes(55)(9)
Income from continuing operations—excluding noncontrolling interests$7,524
$9,615
$11,394
$13,916
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
 
Gains on significant disposals(1)
(422)—
(422)—
Depreciation and amortization1,776
1,767
2,714
2,632
Provision for loan losses3,276
3,270
5,022
4,852
Realized gains from sales of investments(386)(490)(673)(641)
Net impairment losses on investments, goodwill and intangible assets583
136
616
231
Change in trading account assets(21,808)17,589
(13,396)29,840
Change in trading account liabilities18,795
(2,741)14,137
(13,055)
Change in brokerage receivables net of brokerage payables(836)(12,815)(230)(2,079)
Change in loans held-for-sale (HFS)1,786
(1,869)3,958
(814)
Change in other assets(4,345)(1,382)(2,009)1,037
Change in other liabilities7,175
3,575
1,398
1,999
Other, net7,949
1,691
5,825
3,446
Total adjustments$13,543
$8,731
$16,940
$27,448
Net cash provided by operating activities of continuing operations$21,067
$18,346
$28,334
$41,364
Cash flows from investing activities of continuing operations 
 
 
 
Change in deposits with banks$(15,796)$(2,911)$(20,374)$(10,250)
Change in federal funds sold and securities borrowed or purchased under agreements to resell(9,008)5,516
(16,370)10,875
Change in loans(30,170)(9,945)(42,163)(7,158)
Proceeds from sales and securitizations of loans7,021
6,377
12,676
8,127
Purchases of investments(108,359)(140,945)(155,804)(195,421)
Proceeds from sales of investments(2)66,138
89,707
99,172
113,953
Proceeds from maturities of investments33,383
44,732
52,607
64,850
Proceeds from significant disposals(1)
265
—
265
—
Capital expenditures on premises and equipment and capitalized software(1,377)(1,471)(2,092)(2,472)
Proceeds from sales of premises and equipment, subsidiaries and affiliates,
and repossessed assets
390
328
467
471
Net cash used in investing activities of continuing operations$(57,513)$(8,612)$(71,616)$(17,025)
Cash flows from financing activities of continuing operations 
 
 
 
Dividends paid$(828)$(514)$(1,517)$(838)
Issuance of preferred stock2,498
3,486
2,498
4,731
Treasury stock acquired(2,634)(1,850)(5,167)(3,800)
Stock tendered for payment of withholding taxes(312)(423)(313)(425)
Change in federal funds purchased and securities loaned or sold under agreements to repurchase11,505
3,574
6,628
(4,834)
Issuance of long-term debt27,142
27,183
43,464
35,678
Payments and redemptions of long-term debt(26,855)(26,059)(40,461)(33,637)
Change in deposits29,965
8,705
32,365
4,911
Change in short-term borrowings(2,671)(32,428)8,448
(35,756)
Net cash provided by (used in) financing activities of continuing operations$37,810
$(18,326)


Net cash provided by (used in) financing activities of continuing operations$45,945
$(33,970)
Effect of exchange rate changes on cash and cash equivalents$(124)$(103)$(144)$(751)
Change in cash and due from banks$1,240
$(8,695)$2,519
$(10,382)
Cash and due from banks at beginning of period20,900
32,108
20,900
32,108
Cash and due from banks at end of period$22,140
$23,413
$23,419
$21,726
Supplemental disclosure of cash flow information for continuing operations 
 
 
 
Cash paid during the period for income taxes$2,045
$2,863
$2,855
$4,043
Cash paid during the period for interest5,726
5,478
9,760
8,441
Non-cash investing activities 
 
 
 
Decrease in net loans associated with significant disposals reclassified to HFS—
(8,874)—
(9,063)
Decrease in investments associated with significant disposals reclassified to HFS—
(1,444)—
(1,402)
Decrease in goodwill associated with significant disposals reclassified to HFS—
(216)
Decrease in deposits with banks with significant disposals reclassified to HFS—
(404)
Transfers to loans HFS from loans6,000
15,900
7,900
17,900
Transfers to OREO and other repossessed assets97
158
138
225
Non-cash financing activities  
Decrease in long-term debt associated with significant disposals reclassified to HFS$—
$(5,923)$—
$(6,179)

(1)    See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
(2)    Proceeds for the nine months ended September 30, 2016 includes approximately $3.3 billion from the sale of Citi’s investment in China Guangfa Bank.

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




NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION AND ACCOUNTING CHANGES

Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of JuneSeptember 30, 2016 and for the three- and six-nine- month periods ended JuneSeptember 30, 2016 and 2015 include the accounts of Citigroup Inc. and its consolidated subsidiaries.
In the opinion of management, all adjustments, consisting of normal recurring adjustments, necessary for a fair presentation have been reflected. The accompanying unaudited Consolidated Financial Statements should be read in conjunction with the Consolidated Financial Statements and related notes included in Citigroup’s Annual Report on Form 10-K for the fiscal year ended December 31, 2015, including the historical audited consolidated financial statements of Citigroup reflecting the certain realignments and reclassifications set forth in Citigroup’s Current Report on Form 8-K filed with the SEC on June 17, 2016 (2015 Annual Report on Form 10-K), and Citigroup’s Quarterly ReportReports on Form 10-Q for the quarterquarters ended March 31, 2016 (First Quarter of 2016 Form 10-Q) and June 30, 2016 (Second Quarter of 2016 Form 10-Q).
Certain financial information that is normally included in annual financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP), but is not required for interim reporting purposes, has been condensed or omitted.
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management makesuses its best judgment, actual results could differ from those estimates. Current market conditions increase the risk and complexity of the judgments in these estimates.
As noted above, the Notes to Consolidated Financial Statements are unaudited.
Throughout these Notes, “Citigroup,” “Citi” and the “Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications have been made to the prior periods’ financial statements and notes to conform to the current period’s presentation.

ACCOUNTING CHANGES

Recognition and Measurement of Financial Assets and Financial Liabilities
In January 2016, the FASBFinancial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, which addresses certain aspects of recognition, measurement, presentation, and disclosure of financial instruments.
This ASU requires entities to present separately in OCI 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. It will also require equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the investee) to be measured at fair value with changes in fair value recognized in net income, thus eliminating eligibility for the current available-for-sale category. However, Federal Reserve Bank and Federal Home Loan Bank stock as well as exchange seats will continue to be presented at cost.
Citi early-adopted only the provisions of this ASU related to presentation of DVA in OCI effective January 1, 2016, as permitted by the ASU. Accordingly, beginning in the first quarter 2016, the portion 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 (DVA) isin OCI effective January 1, 2016. Accordingly, beginning in the first quarter 2016, these amounts of are reflected as a component of Accumulated other comprehensive income (AOCI), whereas, these amounts were previously recognized in Citigroup’s revenues and net income. The impact of adopting this amendment resulted in a cumulative catch-up reclassification from retained earnings to AOCI of an accumulated after tax loss of approximately $15 million at January 1, 2016. Financial statements for periods prior to 2016 were not subject to restatement under the provisions of this ASU. For additional information, see Note 18,17, Note 2220 and Note 2321 to the Consolidated Financial Statements. The Company is evaluating the effect that the other provisions of ASU 2016-01 will have on its Consolidated Financial Statements and related disclosures.

Accounting for Investments inFUTURE APPLICATION OF ACCOUNTING STANDARDS

Income Tax Credit PartnershipsImpact of Intra-Entity Transfers of Assets
In January 2014,October 2016, the FASB issued ASU No. 2014-01, Investments—Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Qualified Affordable Housing Projects. Any transition adjustment is reflected as an adjustment to retained earnings in the earliest period presented (retrospective application).
The ASU is applicable to Citi’s portfolio of low income housing tax credit (LIHTC) partnership interests. The new standard widens the scope of investments eligible to elect to apply a new alternative method, the proportional amortization method, under which the cost of the investment is amortized to tax expense in proportion to the amount of tax credits and other tax benefits received. Citi qualifies to elect the proportional amortization method under the ASU for its entire LIHTC portfolio. These investments were previously accounted for under the equity method, which resulted in losses (due to amortization of the investment) being recognized in Other revenue and tax credits and benefits being recognized in the2016-16, Income tax expense line. In contrast, the proportional amortization method combines the amortizationTaxes - Intra-Entity Transfers of the investment and receipt of the tax credits/benefits into one line, Income tax expense.
Citi adopted ASU 2014-01 in the first quarter of 2015.
The adoption of this ASU was applied retrospectively and cumulatively reduced Retained earnings by approximately $349 million, Assets Other assets by approximately $178 million, and deferred tax assets by approximately $171 million.



Consolidation
In February 2015, the FASB issued ASU No. 2015-02, Consolidation (Topic 810): Amendments to the Consolidation AnalysisThan Inventory, which intendedwill require an entity to improve certain areasrecognize the income tax consequences of consolidation guidance for legal entities such as limited partnerships, limited liability companies, and securitization structures.an intra-entity transfer of an asset, other than inventory, when the transfer occurs. The ASU reduced the number of consolidation models and becameis effective on January 1, 2016. Adoption of2018 with early adoption permitted.  The Company is evaluating the effect that ASU 2015-02 did not2016-16 will have a material impact on the Company’sits Consolidated Financial Statements.

Consolidation-Collateralized Financing Entities
In August 2014, the FASB issued ASU No. 2014-13, Consolidation (Topic 810): Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity, which provides an alternative measurement method for consolidated collateralizedfinancing VIEs to elect: (i) to measure their financial assets and liabilities separately under existing U.S. GAAP for fair value measurement with any differences in such fair values reflected in earnings; or (ii) to measure both their financial assets and liabilities using the more observable of the fair value of the financial assets or the fair value of the financial liabilities. The ASU became effective on January 1, 2016. Adoption of ASU 2014-13 did not have a material impact on the Company’s Consolidated Financial
Statements.

FUTURE APPLICATION OF ACCOUNTING STANDARDS

Accounting for Financial Instruments-Credit Losses
In June 2016, the FASB issued ASU 2016-13, Financial Instruments-Credit Losses (Topic 326). The ASU introduces a new accounting model, the Current Expected Credit Losses model (CECL), which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.
The FASB’s CECL model 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. For



available-for-sale securities where fair value is less than cost, credit-related impairment, if any, will be recognized in an allowance for credit losses and adjusted each period for changes in expected credit risk. This model replaces the multiple existing impairment models in current GAAP, which generally require that a loss be incurred before it is recognized.
The CECL model represents a significant departure 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 ASU will be effective for Citi as of January
1, 2020. Early application is permitted for annual periods beginning January 1, 2019.

Recognition of Breakage for Certain Prepaid Stored-Value Products
In March 2016, the FASB issued ASU No. 2016-04, Liabilities—Extinguishment of Liabilities (Subtopic 405-20): Recognition of Breakage for Certain Prepaid Stored-Value Products, which was intended to address potential diversity in entities’ practices related to the derecognition of the financial liability that is recorded when an entity issues a prepaid stored-value product. Typically, when the holder of a prepaid stored-value product redeems that product to make a purchase of goods or services, the issuing entity settles the transaction with the selling merchant, and the liability to the product holder is extinguished. However, in some cases, a prepaid stored-value product may be wholly or partially unused for an indefinite time period.
The ASU provides authoritative guidance describing the narrow circumstances in which an entity’s liability for an unredeemed prepaid stored-value product may be extinguished. The amendment is effective on January 1, 2018; early adoption is permitted. Adoption of the ASU is not expected to have a material impact on the Company’s Consolidated Financial Statements.

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 ASU will replace most existing revenue recognition guidance in GAAP when it becomes effective on January 1, 2018. Early application is permitted for annual periods beginning after December 15, 2016. The ASU is not applicable to financial instruments and, therefore, is not expected to impact a majority of the Company’s revenue, including net interest income. The Company plans to adopt the new revenue recognition guidance in the first quarter of 2018. The Company does not expect a material change in timing of revenue recognition and is evaluating the effect that ASU 2014-09 will have on the presentation of its Consolidated Financial Statements and related disclosures.disclosures and its adoption method.

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 all 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 is evaluating whether to early adopt and the effect that ASU 2016-02 will have on its Consolidated Financial Statements, regulatory capital and related disclosures.



2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

Discontinued Operations
The following sales are reported as Discontinued operations are recorded within the Corporate/Other segment.

Sale of Brazil Credicard Business
Citi sold its non-Citibank-branded cards and consumer finance business in Brazil (Credicard) in 2013 and reported it as Discontinued operations.2013. Residual costs and resolution of certain contingencies from the disposal resulted in income from Discontinued operations, net of taxes, of $0 million and $8$0 million for the three months ended JuneSeptember 30, 2016 and 2015, respectively, and income from Discontinued operations, net of taxes, of $0 million and $6 million for the sixnine months ended JuneSeptember 30, 2016 and 2015, respectively.

Sale of Egg Banking plc Credit Card Business
Citi sold the Egg Banking plc (Egg) credit card business in 2011 and reported it as Discontinued operations.2011. Residual costs from the disposal resulted in losses from Discontinued operations, net of taxes, of $20$24 million and $2$10 million for the three months ended JuneSeptember 30, 2016 and 2015, respectively, and losses from Discontinued operations, net of taxes, of $22$46 million and $6$16 million for the sixnine months ended JuneSeptember 30, 2016 and 2015, respectively.

Combined Results for Discontinued Operations
The following is summarized financial information for previous Discontinued operations for which Citi continues to have minimal residual costs associated with the sales:
Three Months Ended 
 June 30,		Six Months Ended 
 June 30,		Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,
In millions of dollars20162015201620152016201520162015
Total revenues, net of interest expense(1)
$—
$—
$—
$—
$—
$—
$—
$—
Income (loss) from discontinued operations$(36)$9
$(39)$1
$(37)$(15)$(76)$(14)
Provision (benefit) for income taxes(13)3
(14)—
(7)(5)(21)(5)
Income (loss), from discontinued operations, net of taxes$(23)$6
$(25)$1
$(30)$(10)$(55)$(9)

(1) Total revenues include gain or loss on sale, if applicable.

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

 

Significant Disposals
The following sales completed during 2016 and 2015 were identified as significant disposals. The major classes of assets and liabilities derecognized from the Consolidated Balance Sheet at closing and the income (loss) before taxes related to each business until the disposal date are presented below.
Novation of the 80% Primerica Coinsurance Agreement
During the first quarter of 2016, Citi completed a novation (an arrangement that extinguishes Citi’s rights and obligations under a contract) of the Primerica 80% Coinsurance Agreement to a third-party re-insurer, resulting in revenue of $422 million recorded in Other revenue ($274 million after tax). during the first quarter of 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:

Three Months Ended 
 June 30,		Six Months Ended 
 June 30,		Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,
In millions of dollars20162015201620152016201520162015
Income before taxes$—
$42
$—
$77
$—
$33
$—
$103

Sale of OneMain Financial Business
On November 15,During the fourth quarter of 2015, Citi sold its OneMain Financial business,(OneMain), which was reported in Citi Holdings, including 1,100 retail branches, 5,500 employees, and approximately 1.3 million customer accounts. OneMain Financial 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. The total amountOneMain also had $8.4 billion of liabilities, sold was $8.4 billion, including $6.2 billion of long-term debt and $1.1 billion of short-term borrowings. The transaction generated a pretax gain on sale of $2.6 billion, recorded in Other revenue ($1.6 billion after-tax) during the fourth quarter of 2015. However, when combined with the loss on redemption of certain long-term debt supporting remaining Citi Holdings’ assets during the fourth quarter of 2015, the resulting net after-tax gain was $0.8 billion.
Income before taxes was as follows:

Three Months Ended 
 June 30,		Six Months Ended 
 June 30,		Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,
In millions of dollars20162015201620152016201520162015
Income before taxes$—
$177
$—
$354
$—
$216
$—
$570











3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the Global Consumer Banking (GCB), Institutional Clients Group (ICG), Corporate/Other and Citi Holdings business segments.
GCB includes a global, full-service consumer franchise delivering a wide array of banking,For additional information regarding Citigroup’s business segments, including commercial banking, credit card lending and investment services through a network of local branches, offices and electronic delivery systems and is composed of four GCB businesses: North America, EMEA, Latin America and Asia.
ICG is composed of Banking and Markets and securities services and provides corporate, institutional, public sector and high-net-worth clients in over 100 countries and jurisdictions with a broad range of banking and financial products and services.
Corporate/Other includes certain unallocated costs of global functions, other corporate expenses and net treasury results, unallocated corporate expenses, offsets to certain line-item reclassifications and eliminations, the results of discontinued operations and unallocated taxes.
Citi Holdings is composed of businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses.
The accounting policies of these reportable segments are the same as those disclosed ineffective January 1, 2016, see Note 13 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.
The prior-period balances reflect reclassifications to conform the presentation to the current period’s presentation. Effective January 1, 2016, historical financial data was reclassified from Citicorp to Citi Holdings for the consumer businesses in Argentina, Brazil and Colombia that Citi intends to exit. These businesses, which previously were reported as part of Latin America Global Consumer Banking, are now reported as part of Citi Holdings. While Citi does not intend to exit its consumer businesses in Venezuela, these businesses are not significant, lending predominantly to support ICG activities, and are now reported as part of ICG. Similarly, Citi’s remaining indirect investment in Banco de Chile is now reported as part of ICG.The following also reflects certain other regional reclassifications within ICG andcertain other immaterial reclassifications. Citi’s consolidated results remain unchanged for all periods presented as a result of the changes discussed above.
The following table presents certaintables present information regarding the Company’s continuing operations by segment:

Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
Three Months Ended June 30, Three Months Ended September 30, 
In millions of dollars, except identifiable assets in billions201620152016201520162015June 30, 2016December 31, 2015201620152016201520162015September 30, 2016December 31, 2015
Global Consumer Banking$7,733
$8,184
$681
$811
$1,323
$1,611
$402
$381
$8,227
$8,134
$690
$932
$1,288
$1,691
$412
$381
Institutional Clients Group8,846
8,946
1,289
1,331
2,715
2,860
1,302
1,217
8,628
8,659
1,266
1,198
2,772
2,433
1,302
1,217
Corporate/Other126
371
(232)(246)(89)231
49
52
28
218
(183)(314)(247)183
43
52
Total Citicorp$16,705
$17,501
$1,738
$1,896
$3,949
$4,702
$1,753
$1,650
$16,883
$17,011
$1,773
$1,816
$3,813
$4,307
$1,757
$1,650
Citi Holdings843
1,969
(15)140
98
156
66
81
877
1,681
(40)65
74
(1)61
81
Total$17,548
$19,470
$1,723
$2,036
$4,047
$4,858
$1,819
$1,731
$17,760
$18,692
$1,733
$1,881
$3,887
$4,306
$1,818
$1,731
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Six Months Ended June 30,Nine Months Ended September 30,
In millions of dollars, except identifiable assets in billions201620152016201520162015
In millions of dollars201620152016201520162015
Global Consumer Banking$15,503
$16,486
$1,327
$1,728
$2,554
$3,323
$23,730
$24,620
$2,017
$2,660
$3,842
$5,014
Institutional Clients Group16,882
18,023
2,107
2,696
4,674
5,834
25,510
26,682
3,373
3,894
7,446
8,267
Corporate/Other400
583
(347)(557)(118)212
428
801
(530)(871)(365)395
Total Citicorp$32,785
$35,092
$3,087
$3,867
$7,110
$9,369
$49,668
$52,103
$4,860
$5,683
$10,923
$13,676
Citi Holdings2,318
4,114
115
289
445
306
3,195
5,795
75
354
519
305
Total$35,103
$39,206
$3,202
$4,156
$7,555
$9,675
$52,863
$57,898
$4,935
$6,037
$11,442
$13,981
(1)
Includes Citicorp (excluding Corporate/Other) total revenues, net of interest expense, in North America of $8.3$8.5 billion and $8.3 billion; in EMEA of $2.6 billion and $2.6$2.4 billion; in Latin America of $2.3 billion and $2.5$2.6 billion; and in Asia of $3.4$3.5 billion and $3.7$3.5 billion for the three months ended JuneSeptember 30, 2016 and 2015, respectively. Regional numbers exclude Citi Holdings and Corporate/Other, which largely operate within the U.S. Includes Citicorp (excluding Corporate/Other) total revenues, net of interest expense, in North America of $16.2$24.5 billion and $16.8$25.1 billion; in EMEA of $4.8$7.4 billion and $5.5$7.9 billion; in Latin America of $4.5$6.8 billion and $4.9$7.5 billion; and in Asia of $6.9$10.5 billion and $7.3$10.8 billion for the sixnine months ended JuneSeptember 30, 2016 and 2015, respectively.
(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $1.4$1.8 billion and $1.4$1.3 billion; in the ICG results of $82$(90) million and $(87)$313 million; and in Citi Holdings results of $(0.1)$0.0 billion and $0.3$0.2 billion for the three months ended JuneSeptember 30, 2016 and 2015, respectively. Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $2.9$4.7 billion and $2.8$4.1 billion; in the ICG results of $472$382 million and $(1)$312 million; and in Citi Holdings results of $0.1 billion and $0.8$1.0 billion for the sixnine months ended JuneSeptember 30, 2016 and 2015, respectively.


4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
Three Months Ended 
 June 30,		Six Months Ended June 30,Three Months Ended 
 September 30,		Nine Months Ended September 30,
In millions of dollars20162015201620152016201520162015
Interest revenue      
Loan interest, including fees$9,750
$10,529
$19,510
$21,084
$10,229
$9,985
$29,739
$30,544
Deposits with banks237
168
456
351
247
187
703
538
Federal funds sold and securities borrowed or purchased under agreements to resell664
664
1,311
1,306
636
656
1,947
1,962
Investments, including dividends1,937
1,770
3,792
3,481
1,887
1,727
5,679
5,194
Trading account assets(1)
1,532
1,620
2,966
3,019
1,433
1,498
4,399
4,517
Other interest(2)
236
122
488
232
221
661
709
1,432
Total interest revenue$14,356
$14,873
$28,523
$29,473
$14,653
$14,714
$43,176
$44,187
Interest expense      
Deposits(3)
$1,306
$1,288
$2,510
$2,613
$1,443
$1,215
$3,953
$3,828
Federal funds purchased and securities loaned or sold under agreements to repurchase527
443
1,029
819
459
379
1,488
1,198
Trading account liabilities(1)
96
54
184
101
102
57
286
158
Short-term borrowings109
157
210
277
90
159
300
436
Long-term debt1,082
1,109
2,127
2,269
1,080
1,131
3,207
3,400
Total interest expense$3,120
$3,051
$6,060
$6,079
$3,174
$2,941
$9,234
$9,020
Net interest revenue$11,236
$11,822
$22,463
$23,394
$11,479
$11,773
$33,942
$35,167
Provision for loan losses1,390
1,515
3,276
3,270
1,746
1,582
5,022
4,852
Net interest revenue after provision for loan losses$9,846
$10,307
$19,187
$20,124
$9,733
$10,191
$28,920
$30,315
(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) were reclassified into Other interest.
(3)
Includes deposit insurance fees and charges of $267$336 million and $289$264 million for the three months ended JuneSeptember 30, 2016 and 2015, respectively, and $502$838 million
and $849 million for the nine months ended September 30, 2016 and 2015, respectively.
and $585 million for the six months ended June 30, 2016 and 2015, respectively.





5.  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 and credit card and bank card fees. For additional information regarding
Investment banking fees are substantially composedcertain components of underwriting and advisory revenues and are recognized when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the closing of the transaction. Underwriting revenue is recorded in Commissions and fees, net of both reimbursable and non-reimbursable expenses, consistent with the AICPA Audit and Accounting Guide for Brokers and Dealers in Securities (codified in ASC 940-605-05-1). Expenses associated with advisory transactions are recorded in Other operating expenses, net of client reimbursements. Out-of-pocket expenses are deferred and recognized at the time the related revenue, is recognized. In general, expenses incurred related to investment banking transactions that fail to close (are not consummated) are recorded gross in Other operating expenses.
Trading-related fees primarily include commissions and fees from the following: executing transactions for clients on exchanges and over-the-counter markets; sale of mutual funds, insurance and other annuity products; and assisting clients in clearing transactions, providing brokerage services and other such activities. Trading-related fees are recognized when earned in Commissions and fees. Gains or losses, if any, on these transactions are included in Principal transactions (seesee Note 65 to the Consolidated Financial Statements).Statements in Citi’s 2015 Annual Report on Form 10-K.
Credit card and bank card fees are primarily composed of interchange revenue and certain card fees, including annual fees, reduced by reward program costs and certain partner payments. Interchange revenue and fees are recognized when earned. Annual card fees are deferred and amortized on a straight-line basis over a 12-month period. Reward costs are recognized when points are earned by the customers. The following table presents Commissions and fees revenue:


Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20162015201620152016201520162015
Investment banking$753
$960
$1,327
$1,898
$726
$692
$2,053
$2,590
Trading-related544
616
1,145
1,250
519
566
1,664
1,816
Trade and securities services386
448
792
883
384
428
1,176
1,311
Credit cards and bank cards344
497
615
998
372
415
987
1,413
Corporate finance(1)
241
126
364
271
164
113
528
384
Other consumer(2)
166
182
324
362
173
160
497
522
Checking-related104
130
220
246
140
128
360
374
Loan servicing68
119
164
214
71
103
235
317
Other119
116
237
242
95
127
332
369
Total commissions and fees$2,725
$3,194
$5,188
$6,364
$2,644
$2,732
$7,832
$9,096
(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.



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 exchangeFor additional information regarding Principal transactions which are managed on a portfolio basis characterized by primary risk. Not included in the table below is the impact of net interest revenue, related to trading activities, which is an integral part of trading activities’ profitability. Seesee Note 46 to the Consolidated Financial Statements for information about
 
net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustmentsin Citi’s 2015 Annual Report on derivatives), FVA (funding valuation adjustments) on over-the-counter derivatives and, prior to 2016, DVA (debt valuation adjustments on issued liabilities for which the fair value option has been elected). These adjustments are discussed further in Note 22 to the Consolidated Financial Statements.Form 10-K.
The following table presents principalPrincipal transactions revenue:

Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20162015201620152016201520162015
Global Consumer Banking$165
$144
$310
$300
$163
$144
$473
$444
Institutional Clients Group1,911
1,793
3,485
3,990
2,063
1,209
5,548
5,199
Corporate/Other(256)182
(146)(239)(37)(26)(183)(265)
Subtotal Citicorp$1,820
$2,119
$3,649
$4,051
$2,189
$1,327
$5,838
$5,378
Citi Holdings(4)54
7
93
49
—
56
93
Total Citigroup$1,816
$2,173
$3,656
$4,144
$2,238
$1,327
$5,894
$5,471
Interest rate risks(1)
$1,140
$1,393
$1,947
$2,590
$1,282
$907
$3,229
$3,497
Foreign exchange risks(2)
402
718
1,015
804
466
432
1,481
1,236
Equity risks(3)
(55)(185)(5)(71)81
(183)76
(254)
Commodity and other risks(4)
121
117
265
434
171
180
436
614
Credit products and risks(5)
208
130
434
387
238
(9)672
378
Total$1,816
$2,173
$3,656
$4,144
$2,238
$1,327
$5,894
$5,471
(1)Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
(2)Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(3)Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(4)Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(5)Includes revenues from structured credit products.


7. INCENTIVE PLANS
 
All equity awards granted since April 19, 2005 have been made pursuant to stockholder-approved stock incentive plans that are administered by the Personnel and Compensation Committee of the Citigroup Board of Directors, which is composed entirely of independent non-employee directors. For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.




8. RETIREMENT BENEFITS

For additional information on Citi’s retirement benefits, see Note 8 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.

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 June 30, 2016. All other plans (All Other Plans) are measured annually with a December 31 measurement date.

Net (Benefit) Expense
The following tables summarize 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, for the periods indicated.Plans:
 Three Months Ended September 30,
 Pension plans Postretirement benefit plans
 U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans
In millions of dollars20162015
20162015
20162015
20162015
Qualified plans 
 
  
 
  
 
  
 
Benefits earned during the period$1
$1
 $39
$42
 $—
$—
 $1
$3
Interest cost on benefit obligation126
143
 70
77
 6
8
 24
25
Expected return on plan assets(224)(223) (71)(81) (2)—
 (22)(25)
Amortization of unrecognized 
 
  
 
  
 
  
 
Prior service benefit—
—
 —
—
 —
—
 (1)(3)
Net actuarial loss43
31
 19
17
 —
—
 8
10
Curtailment loss(1)
10
2
 —
—
 —
—
 —
—
Settlement (gain)(1)
—
—
 (2)—
 —
—
 —
—
Net qualified plans (benefit) expense$(44)$(46)
$55
$55
 $4
$8
 $10
$10
Nonqualified plans expense12
11
 —
—
 —
—
 —
—
Total net (benefit) expense$(32)$(35) $55
$55
 $4
$8
 $10
$10


 Three Months Ended June 30,
 Pension plans Postretirement benefit plans
 U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans
In millions of dollars20162015
20162015
20162015
20162015
Qualified plans 
 
  
 
  
 
  
 
Benefits earned during the period$—
$—
 $39
$43
 $—
$—
 $3
$3
Interest cost on benefit obligation132
131
 73
80
 5
8
 24
30
Expected return on plan assets(218)(223) (74)(83) (3)—
 (22)(27)
Amortization of unrecognized 
 
  
 
  
 
  
 
Prior service benefit—
(1) (1)—
 —
—
 (3)(3)
Net actuarial loss (gain)39
38
 20
18
 (1)—
 8
12
Curtailment loss(1)
—
10
 —
—
 —
—
 —
—
Settlement loss(1)
—
—
 3
—
 —
—
 —
—
Net qualified plans (benefit) expense$(47)$(45)
$60
$58
 $1
$8
 $10
$15
Nonqualified plans expense9
10
 —
—
 —
—
 —
—
Total net (benefit) expense$(38)$(35) $60
$58
 $1
$8
 $10
$15
(1)Losses due to curtailment and settlement relate to repositioning and divestiture activities.



Six Months Ended June 30,Nine Months Ended September 30,
Pension plans Postretirement benefit plansPension plans Postretirement benefit plans
U.S. plans Non-U.S. plans U.S. plans Non-U.S. plansU.S. plans Non-U.S. plans U.S. plans Non-U.S. plans
In millions of dollars20162015 20162015 20162015 2016201520162015 20162015 20162015 20162015
Qualified plans 
 
  
 
  
 
  
 
 
 
  
 
  
 
  
 
Benefits earned during the period$1
$2
 $77
$87
 $—
$—
 $6
$7
$2
$3
 $116
$129
 $—
$—
 $7
$10
Interest cost on benefit obligation273
268
 146
160
 13
16
 48
57
399
411
 216
237
 19
24
 72
82
Expected return on plan assets(436)(445) (146)(167) (5)—
 (43)(56)(660)(668) (217)(248) (7)—
 (65)(81)
Amortization of unrecognized



  
 
   
  
 




  
 
   
  
 
Prior service benefit—
(2) (1)—
 —
—
 (6)(6)—
(2) (1)—
 —
—
 (7)(9)
Net actuarial loss (gain)75
75
 39
39
 (1)—
 16
23
118
106
 58
56
 (1)—
 24
33
Curtailment loss (gain) (1)
—
10
 (3)—
 —
—
 —
—
10
12
 (3)—
 —
—
 —
—
Settlement loss(1)
—
—
 4
—
 —
—
 —
—
—
—
 2
—
 —
—
 —
—
Net qualified plans (benefit) expense$(87)$(92) $116
$119
 $7
$16
 $21
$25
$(131)$(138) $171
$174
 $11
$24
 $31
$35
Nonqualified plans expense19
22
 —
—
 —
—
 —
—
31
33
 —
—
 —
—
 —
—
Total net (benefit) expense$(68)$(70) $116
$119
 $7
$16
 $21
$25
$(100)$(105) $171
$174
 $11
$24
 $31
$35

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


Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following tables summarize the funded status and amounts recognized in the Consolidated Balance Sheet for the Company’s Significant Plans.Plans:
 Nine months ended September 30, 2016
 Pension plans Postretirement benefit plans
In millions of dollarsU.S. plans Non-U.S. plans U.S. plans Non-U.S. plans
Change in projected benefit obligation (PBO) 
  
  
  
Projected benefit obligation at beginning of year$13,943
 $6,534
 $817
 $1,291
Plans measured annually—
 (1,819) —
 (282)
Projected benefit obligation at beginning of year—Significant Plans$13,943
 $4,715
 $817
 $1,009
First quarter activity574
 199
 22
 30
Second quarter activity395
 94
 (106) (32)
Projected benefit obligation at June 30, 2016—Significant Plans$14,912
 $5,008
 $733
 $1,007
Benefits earned during the period1
 25
 —
 2
Interest cost on benefit obligation132
 57
 6
 20
Actuarial loss (gain)76
 354
 (2) (6)
Benefits paid, net of participants’ contributions(191) (76) (8) (12)
Curtailment loss(1)
10
 —
 —
 —
Foreign exchange impact and other(123) (104) —
 (47)
Projected benefit obligation at period end—Significant Plans$14,817
 $5,264

$729
 $964

Net Amount Recognized
 Six Months Ended June 30, 2016
 Pension plans Postretirement benefit plans
In millions of dollarsU.S. plans Non-U.S. plans U.S. plans Non-U.S. plans
Change in projected benefit obligation (PBO) 
  
  
  
Projected benefit obligation at beginning of year$13,943
 $6,534
 $817
 $1,291
Plans measured annually—
 (1,819) —
 (282)
Projected benefit obligation at beginning of year—Significant Plans$13,943
 $4,715
 $817
 $1,009
First quarter activity574
 199
 22
 30
Projected benefit obligation at March 31, 2016—Significant Plans$14,517
 $4,914
 $839
 $1,039
Benefits earned during the period—
 24
 —
 2
Interest cost on benefit obligation139
 60
 5
 20
Plan amendments—
 —
 —
 —
Actuarial loss (gain)459
 272
 (88) 29
Benefits paid, net of participants’ contributions(203) (55) (23) (13)
Foreign exchange impact and other—
 (207) —
 (70)
Projected benefit obligation at period end—Significant Plans$14,912
 $5,008

$733
 $1,007
(1) Losses due to curtailment relate to repositioning activities.


Six Months Ended June 30, 2016Nine months ended September 30, 2016
Pension plans Postretirement benefit plansPension plans Postretirement benefit plans
In millions of dollarsU.S. plans Non-U.S. plans U.S. plans Non-U.S. plansU.S. plans Non-U.S. plans U.S. plans Non-U.S. plans
Change in plan assets 
  
  
  
 
  
  
  
Plan assets at fair value at beginning of year$12,137
 $6,104
 $166
 $1,133
$12,137
 $6,104
 $166
 $1,133
Plans measured annually—
 (1,175) —
 (8)—
 (1,175) —
 (8)
Plan assets at fair value at beginning of year—Significant Plans$12,137
 $4,929
 $166
 $1,125
$12,137
 $4,929
 $166
 $1,125
First quarter activity(72) 233
 $—
 39
(72) 233
 $—
 39
Plan assets at fair value at March 31, 2016—Significant Plans
$12,065
 $5,162
 $166
 $1,164
Second quarter activity190
 101
 $(21) (56)
Plan assets at fair value at June 30, 2016—Significant Plans
$12,255
 $5,263
 $145
 $1,108
Actual return on plan assets380
 394
 5
 35
235
 370
 8
 61
Company contributions13
 13
 (3) —
Company contributions, net of reimbursements513
 12
 (7) —
Plan participants’ contributions—
 1
 —
 —
—
 1
 —
 —
Benefits paid, net of government subsidy(203) (56) (23) (13)(191) (76) (8) (12)
Foreign exchange impact and other—
 (251) —
 (78)(125) (157) —
 (53)
Plan assets at fair value at period end—Significant Plans$12,255
 $5,263
 $145
 $1,108
$12,687
 $5,413
 $138
 $1,104
              
Funded status of the Significant plans              
Qualified plans(1)
$(1,915) $255
 $(588) $101
$(1,387) $150
 $(591) $140
Nonqualified plans(742) —
 —
 —
(743) —
 —
 —
Funded status of the plans at period end—Significant Plans$(2,657) $255
 $(588) $101
$(2,130) $150
 $(591) $140
              
Net amount recognized 
  
  
  
 
  
  
  
Benefit asset$—
 $807
 $—
 $101
$—
 $728
 $—
 $140
Benefit liability(2,657) (552) (588) —
(2,130) (578) (591) —
Net amount recognized on the balance sheet—Significant Plans$(2,657) $255
 $(588) $101
$(2,130) $150
 $(591) $140
              
Amounts recognized in AOCI
Amounts recognized in AOCI
  
  
  
Amounts recognized in AOCI
  
  
  
Prior service benefit—
 40
 —
 100
—
 38
 —
 93
Net actuarial gain (loss)(7,322) (979) 63
 (456)(7,341) (991) 70
 (383)
Net amount recognized in equity (pretax)—Significant Plans$(7,322) $(939) $63
 $(356)$(7,341) $(953) $70
 $(290)
              
Accumulated benefit obligation at period end—Significant Plans$14,904
 $4,691
 $733
 $1,007
$14,810
 $4,935
 $729
 $964
(1)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 2016 and no minimum required funding is expected for 2016.

The following table shows the change in AOCI related to the Company’s benefit plans (SignificantSignificant Plans and All Other Plans) for the periods indicated.Plans:
In millions of dollarsThree Months Ended June 30, 2016 Six Months Ended June 30, 2016Three Months Ended September 30, 2016 Nine Months Ended September 30, 2016
Beginning of period balance, net of tax(1)(2)
$(5,581) $(5,116)$(5,608) $(5,116)
Actuarial assumptions changes and plan experience(672) (1,547)(415) (1,962)
Net asset gain due to difference between actual and expected returns508
 671
367
 1,038
Net amortization59
 115
64
 179
Prior service cost(1) 29
—
 33
Curtailment/settlement gain(3)
3
 4
(2) (2)
Foreign exchange impact and other72
 (30)(3) (33)
Change in deferred taxes, net4
 266
1
 267
Change, net of tax$(27) $(492)$12
 $(480)
End of period balance, net of tax(1)(2)
$(5,608) $(5,608)$(5,596) $(5,596)
(1)
See Note 1817 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)Gains due to curtailment and settlement relate to repositioning and divestiture activities.


PlanPlan 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 AOCI.
For the Company’s Significant Plans, the discount rates at the respective period ended in the tables below are utilized to measure the period-end PBO and the net periodic (benefit) expense for the subsequent period. 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. The discount rates for the non-U.S. pension and postretirement plans relate to the Significant Plans only.
The discount rates utilized during the period in determining the pension and postretirement net (benefit) expense for the Significant Plans are as follows:

Net benefit (expense) assumed discount rates during the periodThree Months EndedThree Months Ended
Jun. 30, 2016Mar. 31, 2016Sept. 30, 2016Jun. 30, 2016
U.S. plans  
Qualified pension3.95%4.40%3.65%3.95%
Nonqualified pension3.904.353.553.90
Postretirement3.754.203.403.75
Non-U.S. plans  
Pension0.35 - 12.300.75 to 13.200.20 - 11.850.35 to 12.30
Weighted average5.145.374.805.14
Postretirement8.458.608.208.45

The discount rates utilized at period endperiod-end in determining the pension and postretirement benefit obligations for the Significant Plans are as follows:
Plan obligations assumed discount rates at period ended
Jun. 30,
2016
Mar. 31, 2016
Dec. 31,
2015
U.S. plans  
Qualified pension3.65%3.95%4.40%
Nonqualified pension3.553.904.35
Postretirement3.403.754.20
Non-U.S. plans   
Pension0.20-11.850.35-12.300.75 to 13.20
Weighted average4.805.145.37
Postretirement8.208.458.60
Plan obligations assumed discount rates at period endedSept. 30, 2016Jun. 30, 2016
Mar. 31,
2016
U.S. plans  
Qualified pension3.55%3.65%3.95%
Nonqualified pension3.453.553.90
Postretirement3.303.403.75
Non-U.S. plans   
Pension0.20-11.550.20-11.850.35 to 12.30
Weighted average4.424.805.14
Postretirement8.258.208.45
    
Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly expense of a
one-percentage-point change in the discount rate:
Three Months Ended June 30, 2016Three Months Ended September 30, 2016
In millions of dollarsOne-percentage-point increaseOne-percentage-point decreaseOne-percentage-point increaseOne-percentage-point decrease
Pension  
U.S. plans$7
$(11)$9
$(13)
Non-U.S. plans(5)7
(6)6
Postretirement  
U.S. plans$—
$(1)$—
$(1)
Non-U.S. plans(2)2
(2)2









 
Since the U.S. plans were frozen, the majority 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, expense for the U.S. plans is driven more by interest costs than service costs and an increase in the discount rate would increase expense, while a decrease in the discount rate would decrease expense.





Contributions
The Company’s funding practice for U.S. and non-U.S. pension 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 during the first halfnine months of 2016. The Company made a discretionary contribution of $500 million to the U.S. qualified defined benefit plan during the third quarter of 2016.
 
The following table summarizes the Company’s actual Company contributions for the sixnine months ended JuneSeptember 30, 2016 and 2015, as well as estimated expected Company contributions for the remainder of 2016 and the actual contributions made in the third and fourth quartersquarter of 2015. Expected contributions are subject to change since contribution decisions are affected by various factors, such as market performance and regulatory requirements.2015:



Summary of Company Contributions
Pension plans  Postretirement plans Pension plans  Postretirement plans 
U.S. plans (1)
 Non-U.S. plans U.S. plans Non-U.S. plans
U.S. plans (1)
 Non-U.S. plans U.S. plans Non-U.S. plans
In millions of dollars20162015 20162015 20162015 2016201520162015 20162015 20162015 20162015
Company contributions(2) for the six months ended June 30
$28
$22
 $58
$29
 $11
$32
 $3
$5
Company contributions(2) for the nine months ended September 30
$541
$33
 $48
$85
 $4
$217
 $4
$7
Company contributions made or expected to be made during the remainder of the year26
30
 78
105
 —
203
 5
4
12
19
 29
49
 —
18
 3
2

(1)The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans.
(2)Company contributions are composed of cash contributions made to the plans and benefits paid directly by the Company.

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 receive matching contributions of up to 6% of their eligible compensation for 2016 and 2015, subject to statutory limits. Additionally, for eligible employees whose eligible compensation is $100,000 or less, a fixed contribution of up to 2% of eligible compensation is provided.
The following table summarizes the actual CompanyCompany’s contributions for the three months ended June 30, 2016 and 2015, respectively.defined contribution plans:
.
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2016201520162015
   U.S. plans$97
$99
$193
$200
   Non-U.S. plans72
71
140
145
 Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,
In millions of dollars2016201520162015
   U.S. plans$88
$94
$281
$295
   Non-U.S. plans67
67
207
212

Postemployment Plans
The Company sponsors U.S. postemployment 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 components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. postemployment plans.plans:

 Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,
In millions of dollars2016201520162015
Service related expense

    
Interest cost on benefit obligation

$—
$1
$2
$3
Amortization of unrecognized    
     Prior service benefit(7)(8)(23)(23)
     Net actuarial loss1
3
3
9
Total service-related benefit$(6)$(4)$(18)$(11)
Non-service-related expense$10
$9
$23
$15
Total net expense$4
$5
$5
$4






 Three Months Ended June 30, Six Months Ended June 30,
In millions of dollars2016
2015 2016 2015
Service-related expense 
  
    
Interest cost on benefit obligation$1
 $1
 $2
 $2
Amortization of unrecognized       
    Prior service benefit(8) (8) (16) (15)
    Net actuarial loss1
 3
 2
 6
Total service-related benefit$(6) $(4) $(12) $(7)
Non-service-related expense (benefit)$5
 $(3) $13
 $6
Total net expense (benefit)$(1) $(7) $1
 $(1)






9.     EARNINGS PER SHARE
The following is a reconciliation oftable reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations:
Three Months Ended 
 June 30,		Six Months Ended June 30,Three Months Ended 
 September 30,		Nine Months Ended September 30,
In millions, except per-share amounts20162015201620152016201520162015
Income from continuing operations before attribution of noncontrolling interests$4,047
$4,858
$7,555
$9,675
$3,887
$4,306
$11,442
$13,981
Less: Noncontrolling interests from continuing operations26
18
31
60
17
5
48
65
Net income from continuing operations (for EPS purposes)$4,021
$4,840
$7,524
$9,615
$3,870
$4,301
$11,394
$13,916
Income (loss) from discontinued operations, net of taxes(23)6
(25)1
(30)(10)(55)(9)
Citigroup's net income$3,998
$4,846
$7,499
$9,616
$3,840
$4,291
$11,339
$13,907
Less: Preferred dividends(1)
322
202
532
330
225
174
757
504
Net income available to common shareholders$3,676
$4,644
$6,967
$9,286
$3,615
$4,117
$10,582
$13,403
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS53
64
93
126
53
56
145
182
Net income allocated to common shareholders for basic EPS$3,623
$4,580
$6,874
$9,160
$3,562
$4,061
$10,437
$13,221
Net income allocated to common shareholders for diluted EPS$3,623
$4,580
$6,874
$9,160
$3,562
$4,061
$10,437
$13,221
Weighted-average common shares outstanding applicable to basic EPS2,915.8
3,020.0
2,929.4
3,027.1
2,879.9
2,993.3
2,912.9
3,015.8
Effect of dilutive securities(3)(2)
   
    
 
Options(2)(3)
0.1
4.9
0.1
4.9
0.1
3.4
0.1
4.4
Other employee plans—
0.1
—
0.1
0.1
0.2
0.1
0.2
Adjusted weighted-average common shares outstanding applicable to diluted EPS(4)2,915.9
3,025.0
2,929.5
3,032.1
2,880.1
2,996.9
2,913.0
3,020.4
Basic earnings per share(4)(5)
   
     
  
Income from continuing operations$1.25
$1.51
$2.36
$3.03
$1.25
$1.36
$3.60
$4.39
Discontinued operations(0.01)—
(0.01)—
(0.01)—
(0.02)—
Net income$1.24
$1.52
$2.35
$3.03
$1.24
$1.36
$3.58
$4.38
Diluted earnings per share(4)(5)
          
Income from continuing operations$1.25
$1.51
$2.36
$3.02
$1.25
$1.36
$3.60
$4.38
Discontinued operations(0.01)—
(0.01)—
(0.01)—
(0.02)—
Net income$1.24
$1.51
$2.35
$3.02
$1.24
$1.35
$3.58
$4.38
(1)See Note 19 toDuring the Consolidated Financial Statements forthird quarter of 2016, Citi distributed $225 million in dividends on its outstanding preferred stock. As of September 30, 2016, Citi estimates it will distribute preferred dividends of approximately $320 million during the potential future impactremainder of preferred stock dividends.2016, in each case assuming such dividends are declared by the Citi Board of Directors.
(2)
During the second quarters of 2016 and 2015, weighted-average options to purchase 5.3 millionand0.9 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 $75.43 and $201.01 per share, respectively, were anti-dilutive.
(3)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 $106.10 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 the three and sixnine months ended JuneSeptember 30, 2016 and 2015 because they were anti-dilutive.
(3)
During the third quarters of 2016 and 2015, weighted-average options to purchase 3.6 millionand0.9 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 $85.92 and $201.01 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.



10. FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS
For additional information on the Company’s resale and repurchase agreements and securities borrowing and lending agreements, see Note 11 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.
Federal funds sold and securities borrowed or purchased under agreements to resell, at their respective carrying values, consisted of the following:
In millions of dollarsJune 30,
2016		December 31, 2015September 30,
2016		December 31, 2015
Federal funds sold$—
$25
$41
$25
Securities purchased under agreements to resell133,019
119,777
135,967
119,777
Deposits paid for securities borrowed95,664
99,873
100,037
99,873
Total$228,683
$219,675
$236,045
$219,675
Federal funds purchased and securities loaned or sold under agreements to repurchase, at their respective carrying values, consisted of the following:
In millions of dollarsJune 30,
2016		December 31, 2015
Federal funds purchased$547
$189
Securities sold under agreements to repurchase141,056
131,650
Deposits received for securities loaned16,398
14,657
Total$158,001
$146,496
The resale and repurchase agreements represent collateralized financing transactions. The Company executes these transactions primarily through its broker-dealer subsidiaries to facilitate customer matched-book activity and to efficiently fund a portion of the Company’s trading inventory. Transactions executed by the Company’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.
In millions of dollarsSeptember 30,
2016		December 31, 2015
Federal funds purchased$372
$189
Securities sold under agreements to repurchase135,907
131,650
Deposits received for securities loaned16,845
14,657
Total$153,124
$146,496
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 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 2220 and 2321 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 2321 to the Consolidated Financial Statements. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
The enforceability of offsetting rights incorporated in the master netting agreements for resale and repurchase agreements and securities borrowing and lending agreements is evidenced to the extent that 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 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 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 amount permitted under ASC 210-20-45.ASC-210-20-45. The tables also include amounts related to financial instruments that are not permitted to be offset under ASC 210-20-45ASC-210-20-45 but would be eligible for offsetting to the extent that an event of default 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 June 30, 2016As of September 30, 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)
Gross 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$186,000
$52,981
$133,019
$100,605
$32,414
$194,788
$58,821
$135,967
$105,941
$30,026
Deposits paid for securities borrowed95,664
—
95,664
14,402
81,262
100,037
—
100,037
15,835
84,202
Total$281,664
$52,981
$228,683
$115,007
$113,676
$294,825
$58,821
$236,004
$121,776
$114,228

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)
Gross 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$194,037
$52,981
$141,056
$74,448
$66,608
$194,728
$58,821
$135,907
$65,748
$70,159
Deposits received for securities loaned16,398
—
16,398
1,761
14,637
16,845
—
16,845
2,871
13,974
Total$210,435
$52,981
$157,454
$76,209
$81,245
$211,573
$58,821
$152,752
$68,619
$84,133



 As of December 31, 2015
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$176,167
$56,390
$119,777
$92,039
$27,738
Deposits paid for securities borrowed99,873
—
99,873
16,619
83,254
Total$276,040
$56,390
$219,650
$108,658
$110,992
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$188,040
$56,390
$131,650
$60,641
$71,009
Deposits received for securities loaned14,657
—
14,657
3,226
11,431
Total$202,697
$56,390
$146,307
$63,867
$82,440


(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 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 amount of liabilities associated with repurchase agreements and securities lending agreements, by remaining contractual maturity:

As of June 30, 2016As of September 30, 2016
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotalOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$104,435
$45,117
$19,486
$24,999
$194,037
$98,771
$53,335
$19,329
$23,293
$194,728
Deposits received for securities loaned10,877
2,514
1,540
1,467
16,398
10,805
2,964
1,114
1,962
16,845
Total$115,312
$47,631
$21,026
$26,466
$210,435
$109,576
$56,299
$20,443
$25,255
$211,573


 As of December 31, 2015
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$89,732
$54,336
$21,541
$22,431
$188,040
Deposits received for securities loaned9,096
1,823
2,324
1,414
14,657
Total$98,828
$56,159
$23,865
$23,845
$202,697




The following tables present the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by class of underlying collateral:

 As of June 30, 2016
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency$82,556
$29
$82,585
State and municipal356
—
356
Foreign government60,023
928
60,951
Corporate bonds17,062
1,033
18,095
Equity securities8,599
14,365
22,964
Mortgage-backed securities17,523
—
17,523
Asset-backed securities4,345
—
4,345
Other3,573
43
3,616
Total$194,037
$16,398
$210,435



 As of September 30, 2016
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency$73,237
$349
$73,586
State and municipal381
—
381
Foreign government63,382
958
64,340
Corporate bonds18,638
725
19,363
Equity securities10,707
14,171
24,878
Mortgage-backed securities19,459
—
19,459
Asset-backed securities4,998
—
4,998
Other3,926
642
4,568
Total$194,728
$16,845
$211,573

 As of December 31, 2015
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency$67,005
$—
$67,005
State and municipal403
—
403
Foreign government66,633
789
67,422
Corporate bonds15,355
1,085
16,440
Equity securities10,297
12,484
22,781
Mortgage-backed securities19,913
—
19,913
Asset-backed securities4,572
—
4,572
Other3,862
299
4,161
Total$188,040
$14,657
$202,697



11. 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. The Company 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 the Company would have to sell or purchase the financial instruments at prevailing market prices. Credit risk is reducedFor additional information on these receivables and payables, see Note 12 to the extent that an exchange or clearing organization acts as a counterparty to the transaction and replaces the broker, dealer or customerConsolidated Financial Statements in question.
The Company 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, the Company 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 the Company. 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.Citi’s 2015 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollarsJune 30,
2016		December 31, 2015September 30,
2016		December 31, 2015
Receivables from customers$8,878
$10,435
$11,004
$10,435
Receivables from brokers, dealers, and clearing organizations27,973
17,248
25,108
17,248
Total brokerage receivables(1)
$36,851
$27,683
$36,112
$27,683
Payables to customers$38,788
$35,653
$42,619
$35,653
Payables to brokers, dealers, and clearing organizations23,266
18,069
19,302
18,069
Total brokerage payables(1)
$62,054
$53,722
$61,921
$53,722

(1)Brokerage receivables and payables are accounted for in accordance with the AICPA Audit and Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320.

12.   TRADING ACCOUNT ASSETS AND LIABILITIES
Trading account assets and Trading account liabilities are carried at fair value, other than physical commodities accounted for at the lower of cost or fair value, and consist of the following:
In millions of dollarsJune 30,
2016		December 31, 2015
Trading account assets  
Mortgage-backed securities(1)
  
U.S. government-sponsored agency guaranteed$27,562
$24,767
Prime212
803
Alt-A135
543
Subprime477
516
Non-U.S. residential171
523
Commercial1,536
2,855
Total mortgage-backed securities$30,093
$30,007
U.S. Treasury and federal agency securities  
U.S. Treasury$23,069
$15,791
Agency obligations2,574
2,005
Total U.S. Treasury and federal agency securities$25,643
$17,796
State and municipal securities$3,179
$2,696
Foreign government securities63,118
56,467
Corporate15,156
14,579
Derivatives(2)
72,213
56,184
Equity securities47,007
56,495
Asset-backed securities(1)
3,540
3,956
Other trading assets(3)
11,815
11,776
Total trading account assets$271,764
$249,956
Trading account liabilities  
Securities sold, not yet purchased$72,003
$57,827
Derivatives(2)
63,204
57,592
Other trading liabilities(3)
1,100
2,093
Total trading account liabilities$136,307
$117,512
(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 20 to the Consolidated Financial Statements.
(2)Presented net, pursuant to enforceable master netting agreements. See Note 21 to the Consolidated Financial Statements for a discussion regarding the accounting and reporting for derivatives.
(3)Includes positions related to investments in unallocated precious metals, as discussed in Note 23 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.



13.12.   INVESTMENTS

For additional information regarding Citi’s investments portfolios, including evaluating investments for other-than-temporary impairment, see Note 14 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.

Overview
The following table presents the Company’sCiti’s investments by category:
June 30,
2016		December 31,
2015		September 30,
2016		December 31,
2015
In millions of dollars
Securities available-for-sale (AFS)$312,765
$299,136
$308,117
$299,136
Debt securities held-to-maturity (HTM)(1)
35,903
36,215
38,588
36,215
Non-marketable equity securities carried at fair value(2)
1,973
2,088
1,977
2,088
Non-marketable equity securities carried at cost(3)
5,652
5,516
6,258
5,516
Total investments$356,293
$342,955
$354,940
$342,955
(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, foreign central banks and various clearing houses of which Citigroup is a member.

The following table presents interest and dividend income on investments:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20162015201620152016201520162015
Taxable interest$1,774
$1,598
$3,478
$3,191
$1,741
$1,596
$5,219
$4,773
Interest exempt from U.S. federal income tax118
49
234
72
111
44
345
116
Dividend income45
123
80
218
35
87
115
305
Total interest and dividend income$1,937
$1,770
$3,792
$3,481
$1,887
$1,727
$5,679
$5,194


The following table presents realized gains and losses on the sale of investments. The gross realized investment losses excludeinvestments, which excludes losses from other-than-temporary impairment (OTTI):
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20162015201620152016201520162015
Gross realized investment gains$244
$357
$623
$714
$483
$213
$1,105
$926
Gross realized investment losses(44)(174)(237)(224)(196)(62)(432)(285)
Net realized gains on sale of investments$200
$183
$386
$490
$287
$151
$673
$641

The Company has sold certain debt securities that were classified as HTM. These sales were in response to significant deterioration in the creditworthiness of the issuers or securities or because the Company has collected a substantial portion (at least 85%) of the principal outstanding at acquisition of the security. In addition, certain other securities were reclassified to AFS investments in response to
 

significant credit deterioration. Because the Company generally intends to sell these reclassified securities, Citi recorded OTTI on the securities. The following table sets forth, for the periods indicated, the carrying value of HTM securities sold and reclassified to AFS, as well as the related gain (loss) or the OTTI losses recorded on these securities.

 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2016201520162015
Carrying value of HTM securities sold$7
$22
$7
$49
Net realized gain (loss) on sale of HTM securities(1)3
(1)5
Carrying value of securities reclassified to AFS24
—
150
94
OTTI losses on securities reclassified to AFS(1)—
(6)(5)


Securities Available-for-Sale
The amortized cost and fair value of AFS securities were as follows:
June 30, 2016December 31, 2015September 30, 2016December 31, 2015
In millions of dollars
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
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$44,698
$864
$65
$45,497
$39,584
$367
$237
$39,714
$42,465
$808
$71
$43,202
$39,584
$367
$237
$39,714
Prime5
—
—
5
2
—
—
2
5
—
—
5
2
—
—
2
Alt-A66
7
—
73
50
5
—
55
45
5
—
50
50
5
—
55
Non-U.S. residential4,986
23
22
4,987
5,909
31
11
5,929
4,437
19
10
4,446
5,909
31
11
5,929
Commercial361
5
—
366
573
2
4
571
351
4
1
354
573
2
4
571
Total mortgage-backed securities$50,116
$899
$87
$50,928
$46,118
$405
$252
$46,271
$47,303
$836
$82
$48,057
$46,118
$405
$252
$46,271
U.S. Treasury and federal agency securities      
U.S. Treasury$111,902
$2,587
$13
$114,476
$113,096
$254
$515
$112,835
$108,857
$1,979
$33
$110,803
$113,096
$254
$515
$112,835
Agency obligations10,940
157
5
11,092
10,095
22
37
10,080
10,801
108
6
10,903
10,095
22
37
10,080
Total U.S. Treasury and federal agency securities$122,842
$2,744
$18
$125,568
$123,191
$276
$552
$122,915
$119,658
$2,087
$39
$121,706
$123,191
$276
$552
$122,915
State and municipal(2)
$11,667
$255
$669
$11,253
$12,099
$132
$772
$11,459
$11,703
$201
$713
$11,191
$12,099
$132
$772
$11,459
Foreign government93,408
657
226
93,839
88,751
402
479
88,674
97,633
708
201
98,140
88,751
402
479
88,674
Corporate20,505
242
160
20,587
19,492
129
291
19,330
18,982
230
132
19,080
19,492
129
291
19,330
Asset-backed securities(1)
8,121
7
85
8,043
9,261
5
92
9,174
7,452
6
32
7,426
9,261
5
92
9,174
Other debt securities1,123
—
—
1,123
688
—
—
688
1,192
—
—
1,192
688
—
—
688
Total debt securities AFS$307,782
$4,804
$1,245
$311,341
$299,600
$1,349
$2,438
$298,511
$303,923
$4,068
$1,199
$306,792
$299,600
$1,349
$2,438
$298,511
Marketable equity securities AFS$1,411
$18
$5
$1,424
$602
$26
$3
$625
$1,309
$18
$2
$1,325
$602
$26
$3
$625
Total securities AFS$309,193
$4,822
$1,250
$312,765
$300,202
$1,375
$2,441
$299,136
$305,232
$4,086
$1,201
$308,117
$300,202
$1,375
$2,441
$299,136
(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 2018 to the Consolidated Financial Statements.
(2)The gross unrealized losses on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting.  Specifically, Citi hedges the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged.  However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from AOCI to earnings, attributable solely to changes in the LIBOR swap rate, resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities. 

As discussed in more detail below, the Company conducts periodic reviews of all securities with unrealized losses to evaluate whether the impairment is other-than-temporary. Any credit-related impairment related to debt securities is recorded in earnings as OTTI. Non-credit-related impairment is recognized in AOCI if the Company does not plan to sell and is not likely to be required to sell the security. For other debt securities with OTTI, the entire impairment is recognized in the Consolidated Statement of Income.












The table belowfollowing shows the fair value of AFS securities that have been in an unrealized loss position for less than 12 months or for 12 months or longer:position:
Less than 12 months12 months or longerTotalLess 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
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
June 30, 2016   
September 30, 2016   
Securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$2,398
$9
$1,764
$56
$4,162
$65
$2,325
$10
$1,925
$61
$4,250
$71
Prime4
—
1
—
5
—
Alt-A22
—
—
—
22
—
Non-U.S. residential365
2
2,214
20
2,579
22
45
—
1,899
10
1,944
10
Commercial29
—
50
—
79
—
38
—
44
1
82
1
Total mortgage-backed securities$2,818
$11
$4,029
$76
$6,847
$87
$2,408
$10
$3,868
$72
$6,276
$82
U.S. Treasury and federal agency securities      
U.S. Treasury$3,398
$13
$—
$—
$3,398
$13
$7,895
$33
$175
$—
$8,070
$33
Agency obligations188
—
137
5
325
5
1,450
3
131
3
1,581
6
Total U.S. Treasury and federal agency securities$3,586
$13
$137
$5
$3,723
$18
$9,345
$36
$306
$3
$9,651
$39
State and municipal$226
$8
$3,751
$661
$3,977
$669
$302
$14
$3,632
$699
$3,934
$713
Foreign government21,672
170
4,086
56
25,758
226
23,678
116
8,230
85
31,908
201
Corporate3,452
85
1,623
75
5,075
160
2,625
84
1,831
48
4,456
132
Asset-backed securities2,937
46
3,778
39
6,715
85
522
—
4,917
32
5,439
32
Other debt securities204
—
—
—
204
—
25
—
—
—
25
—
Marketable equity securities AFS30
5
1
—
31
5
12
2
13
—
25
2
Total securities AFS$34,925
$338
$17,405
$912
$52,330
$1,250
$38,917
$262
$22,797
$939
$61,714
$1,201
December 31, 2015 
 
 
 
 
 
 
 
 
 
 
 
Securities AFS 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed$17,816
$141
$2,618
$96
$20,434
$237
$17,816
$141
$2,618
$96
$20,434
$237
Prime—
—
1
—
1
—
—
—
1
—
1
—
Non-U.S. residential2,217
7
825
4
3,042
11
2,217
7
825
4
3,042
11
Commercial291
3
55
1
346
4
291
3
55
1
346
4
Total mortgage-backed securities$20,324
$151
$3,499
$101
$23,823
$252
$20,324
$151
$3,499
$101
$23,823
$252
U.S. Treasury and federal agency securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury$59,384
$505
$1,204
$10
$60,588
$515
$59,384
$505
$1,204
$10
$60,588
$515
Agency obligations6,716
30
196
7
6,912
37
6,716
30
196
7
6,912
37
Total U.S. Treasury and federal agency securities$66,100
$535
$1,400
$17
$67,500
$552
$66,100
$535
$1,400
$17
$67,500
$552
State and municipal$635
$26
$4,450
$746
$5,085
$772
$635
$26
$4,450
$746
$5,085
$772
Foreign government34,053
371
4,021
108
38,074
479
34,053
371
4,021
108
38,074
479
Corporate7,024
190
1,919
101
8,943
291
7,024
190
1,919
101
8,943
291
Asset-backed securities5,311
58
2,247
34
7,558
92
5,311
58
2,247
34
7,558
92
Other debt securities27
—
—
—
27
—
27
—
—
—
27
—
Marketable equity securities AFS132
3
1
—
133
3
132
3
1
—
133
3
Total securities AFS$133,606
$1,334
$17,537
$1,107
$151,143
$2,441
$133,606
$1,334
$17,537
$1,107
$151,143
$2,441


The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
June 30, 2016December 31, 2015September 30, 2016December 31, 2015
In millions of dollars
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Mortgage-backed securities(1)
      
Due within 1 year$171
$171
$114
$114
$176
$176
$114
$114
After 1 but within 5 years1,218
1,230
1,408
1,411
843
850
1,408
1,411
After 5 but within 10 years2,260
2,314
1,750
1,751
2,246
2,300
1,750
1,751
After 10 years(2)
46,467
47,213
42,846
42,995
44,038
44,731
42,846
42,995
Total$50,116
$50,928
$46,118
$46,271
$47,303
$48,057
$46,118
$46,271
U.S. Treasury and federal agency securities      
Due within 1 year$3,903
$3,907
$3,016
$3,014
$3,020
$3,022
$3,016
$3,014
After 1 but within 5 years106,077
108,292
107,034
106,878
104,323
105,934
107,034
106,878
After 5 but within 10 years12,764
13,275
12,786
12,684
12,217
12,655
12,786
12,684
After 10 years(2)
98
94
355
339
98
95
355
339
Total$122,842
$125,568
$123,191
$122,915
$119,658
$121,706
$123,191
$122,915
State and municipal      
Due within 1 year$769
$763
$3,289
$3,287
$2,157
$2,155
$3,289
$3,287
After 1 but within 5 years4,109
4,118
1,781
1,781
2,685
2,693
1,781
1,781
After 5 but within 10 years322
337
502
516
459
469
502
516
After 10 years(2)
6,467
6,035
6,527
5,875
6,402
5,874
6,527
5,875
Total$11,667
$11,253
$12,099
$11,459
$11,703
$11,191
$12,099
$11,459
Foreign government      
Due within 1 year$25,129
$25,129
$25,898
$25,905
$28,878
$28,898
$25,898
$25,905
After 1 but within 5 years50,290
50,457
43,514
43,464
53,253
53,089
43,514
43,464
After 5 but within 10 years15,399
15,563
17,013
16,968
12,952
13,479
17,013
16,968
After 10 years(2)
2,590
2,690
2,326
2,337
2,550
2,674
2,326
2,337
Total$93,408
$93,839
$88,751
$88,674
$97,633
$98,140
$88,751
$88,674
All other(3)
      
Due within 1 year$2,821
$2,824
$2,354
$2,355
$3,065
$3,068
$2,354
$2,355
After 1 but within 5 years15,670
15,814
14,035
14,054
13,637
13,758
14,035
14,054
After 5 but within 10 years8,455
8,387
9,789
9,593
7,833
7,818
9,789
9,593
After 10 years(2)
2,803
2,728
3,263
3,190
3,091
3,054
3,263
3,190
Total$29,749
$29,753
$29,441
$29,192
$27,626
$27,698
$29,441
$29,192
Total debt securities AFS$307,782
$311,341
$299,600
$298,511
$303,923
$306,792
$299,600
$298,511
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate, asset-backed and other debt securities.



Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as follows:
In millions of dollars
Amortized
cost basis(1)
Net unrealized gains
(losses)
recognized in
AOCI
Carrying
value(2)
Gross
unrealized
gains
Gross
unrealized
(losses)
Fair
value
Amortized
cost basis(1)
Net unrealized gains
(losses)
recognized in
AOCI
Carrying
value(2)
Gross
unrealized
gains
Gross
unrealized
(losses)
Fair
value
June 30, 2016    
September 30, 2016September 30, 2016    
Debt securities held-to-maturity          
Mortgage-backed securities(3)
          
U.S. government agency guaranteed$17,158
$129
$17,287
$424
$—
$17,711
$16,888
$125
$17,013
$414
$(3)$17,424
Prime43
(8)35
4
(1)38
41
(8)33
3
—
36
Alt-A371
(43)328
73
(2)399
343
(28)315
85
(1)399
Subprime2
—
2
10
—
12
—
—
—
—
—
—
Non-U.S. residential1,166
(54)1,112
35
(3)1,144
2,058
(53)2,005
45
(6)2,044
Total mortgage-backed securities$18,740
$24
$18,764
$546
$(6)$19,304
$19,330
$36
$19,366
$547
$(10)$19,903
State and municipal(4)
$8,476
$(403)$8,073
$495
$(68)$8,500
$8,304
$(380)$7,924
$402
$(77)$8,249
Foreign government2,231
—
2,231
2
(1)2,232
2,120
—
2,120
—
(9)2,111
Asset-backed securities(3)
6,842
(7)6,835
15
(37)6,813
9,184
(6)9,178
25
(10)9,193
Total debt securities held-to-maturity$36,289
$(386)$35,903
$1,058
$(112)$36,849
$38,938
$(350)$38,588
$974
$(106)$39,456
December 31, 2015  
 
 
 
 
  
 
 
 
 
Debt securities held-to-maturity 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities(3)
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government agency guaranteed$17,648
$138
$17,786
$71
$(100)$17,757
$17,648
$138
$17,786
$71
$(100)$17,757
Prime121
(78)43
3
(1)45
121
(78)43
3
(1)45
Alt-A433
(1)432
259
(162)529
433
(1)432
259
(162)529
Subprime2
—
2
13
—
15
2
—
2
13
—
15
Non-U.S. residential1,330
(60)1,270
37
—
1,307
1,330
(60)1,270
37
—
1,307
Total mortgage-backed securities$19,534
$(1)$19,533
$383
$(263)$19,653
$19,534
$(1)$19,533
$383
$(263)$19,653
State and municipal$8,581
$(438)$8,143
$245
$(87)$8,301
$8,581
$(438)$8,143
$245
$(87)$8,301
Foreign government4,068
—
4,068
28
(3)4,093
4,068
—
4,068
28
(3)4,093
Asset-backed securities(3)
4,485
(14)4,471
34
(41)4,464
4,485
(14)4,471
34
(41)4,464
Total debt securities held-to-maturity(5)
$36,668
$(453)$36,215
$690
$(394)$36,511
$36,668
$(453)$36,215
$690
$(394)$36,511
(1)
For securities transferred to HTM from Trading account assets, 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, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any other-than-temporary impairment recognized in earnings.
(2)HTM securities are carried on the Consolidated Balance Sheet at 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 2018 to the Consolidated Financial Statements.
(4)The net unrealized losses recognized in AOCI on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting applied when these debt securities were classified as AFS. Specifically, Citi hedged the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged. However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from AOCI to earnings attributable solely to changes in the LIBOR swap rate resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities. Upon transfer of these debt securities to HTM, all hedges have been de-designated and hedge accounting has ceased.


(5)
During the second quarter of 2015, securities with a total fair value of approximately $7.1 billion were transferred from AFS to HTM, consisting of $7.0 billion of U.S. government agency mortgage-backed securities and $0.1 billion of obligations of U.S. states and municipalities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call 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 over the remaining contractual life of each security. Any net unrealized holding losses within AOCIrelated to the respective securities at the date of transfer, inclusive of any cumulative fair value hedge adjustments, will be amortized over the remaining contractual life of each security as an adjustment of yield in a manner consistent with the amortization of any premium or discount.

The Company has the positive intent and ability to hold these securities to maturity or, where applicable, the exercise of any issuer call options, absent any unforeseen significant changes in circumstances, including deterioration in credit or changes in regulatory capital requirements.
The net unrealized losses classified in AOCI primarily relate to debt securities previously classified as AFS that have been 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 over the remaining contractual life of the related securities 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 for less than 12 months and for 12 months or longer:position:
Less than 12 months12 months or longerTotalLess than 12 months12 months or longerTotal
In millions of dollarsFair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses
June 30, 2016     
September 30, 2016     
Debt securities held-to-maturity          
Mortgage-backed securities$48
$3
$77
$3
$125
$6
$695
$3
$553
$7
$1,248
$10
State and municipal224
8
1,755
60
1,979
68
365
4
1,435
73
1,800
77
Foreign government278
1
—
—
278
1
1,853
9
—
—
1,853
9
Asset-backed securities2
—
5,693
37
5,695
37
10
1
2,213
9
2,223
10
Total debt securities held-to-maturity$552
$12
$7,525
$100
$8,077
$112
$2,923
$17
$4,201
$89
$7,124
$106
December 31, 2015          
Debt securities held-to-maturity          
Mortgage-backed securities$935
$1
$10,301
$262
$11,236
$263
$935
$1
$10,301
$262
$11,236
$263
State and municipal881
20
1,826
67
2,707
87
881
20
1,826
67
2,707
87
Foreign government180
3
—
—
180
3
180
3
—
—
180
3
Asset-backed securities132
13
3,232
28
3,364
41
132
13
3,232
28
3,364
41
Total debt securities held-to-maturity$2,128
$37
$15,359
$357
$17,487
$394
$2,128
$37
$15,359
$357
$17,487
$394
Note: Excluded from the gross unrecognized losses presented in the above table are $(386)$(350) million and $(453) million of net unrealized losses recorded in AOCI as of JuneSeptember 30, 2016 and December 31, 2015, 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 JuneSeptember 30, 2016 and December 31, 2015.



The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
June 30, 2016December 31, 2015September 30, 2016December 31, 2015
In millions of dollarsCarrying valueFair valueCarrying valueFair valueCarrying valueFair valueCarrying valueFair value
Mortgage-backed securities      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years456
471
172
172
766
788
172
172
After 5 but within 10 years347
360
660
663
57
59
660
663
After 10 years(1)
17,961
18,473
18,701
18,818
18,543
19,056
18,701
18,818
Total$18,764
$19,304
$19,533
$19,653
$19,366
$19,903
$19,533
$19,653
State and municipal      
Due within 1 year$441
$434
$309
$305
$535
$534
$309
$305
After 1 but within 5 years262
263
336
335
139
140
336
335
After 5 but within 10 years216
231
262
270
234
247
262
270
After 10 years(1)
7,154
7,572
7,236
7,391
7,016
7,328
7,236
7,391
Total$8,073
$8,500
$8,143
$8,301
$7,924
$8,249
$8,143
$8,301
Foreign government      
Due within 1 year$1,655
$1,657
$—
$—
$1,571
$1,572
$—
$—
After 1 but within 5 years576
575
4,068
4,093
549
539
4,068
4,093
After 5 but within 10 years—
—
—
—
—
—
—
—
After 10 years(1)
—
—
—
—
—
—
—
—
Total$2,231
$2,232
$4,068
$4,093
$2,120
$2,111
$4,068
$4,093
All other(2)
      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years—
—
—
—
—
—
—
—
After 5 but within 10 years134
134
—
—
508
508
—
—
After 10 years(1)
6,701
6,679
4,471
4,464
8,670
8,685
4,471
4,464
Total$6,835
$6,813
$4,471
$4,464
$9,178
$9,193
$4,471
$4,464
Total debt securities held-to-maturity$35,903
$36,849
$36,215
$36,511
$38,588
$39,456
$36,215
$36,511
(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

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 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. For securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any impairment recognized in earnings.
Regardless of the classification of 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 any anticipated recovery.

The Company’s review for impairment generally entails:

identification and evaluation of impaired investments;
analysis of individual investments that have fair values less than 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
The entire difference between amortized cost basis and fair value is recognized in earnings as OTTI for impaired debt securities that the Company has an intent to sell or for which the Company believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings and any non-credit-related impairment is recorded in AOCI.
For debt securities, credit impairment exists where management does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security.

Equity Securities
For equity securities, management considers the various factors described above, including its intent and ability to hold the equity security for a period of time sufficient for recovery to cost or whether it is more-likely-than-not that the Company will be required to sell the security prior to recovery of its cost basis. Where management lacks that intent or ability, the security’s decline in fair value is deemed to be other-than-temporary and is recorded in earnings. AFS equity securities deemed to be other-than-temporarily impaired are written down to fair value, with the full difference between fair value and cost recognized in earnings.
Management assesses equity method investments that have fair values that are less than their respective carrying values for OTTI. Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 22 to the Consolidated Financial Statements).
For impaired equity method investments that Citi plans to sell prior to recovery of value or would likely be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized in earnings as OTTI regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.
For impaired equity method investments that management does not plan to sell and is not likely to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators, regardless of the time and extent of impairment:

the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;
the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and



the length of time and extent to which fair value has been less than the carrying value.

The sections below describe the Company’s process for identifying credit-related impairments for security types that have the most significant unrealized losses as of June 30, 2016.

Mortgage-Backed Securities
For U.S. mortgage-backed securities (and in particular for Alt-A and other mortgage-backed securities that have significant unrealized losses as a percentage of amortized cost), 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 (for AFS only), would be more-likely-than-not required to sell (for AFS only) or 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.


Recognition and Measurement of OTTI
The following tables present total OTTI recognized in earnings follows:earnings:
OTTI on Investments and Other AssetsThree Months Ended 
 June 30, 2016		Six Months Ended 
  June 30, 2016		Three Months Ended 
 September 30, 2016		Nine Months Ended  
  September 30, 2016
In millions of dollars
AFS(1)
HTM
Other
Assets
Total
AFS(1)(2)
HTM
Other
Assets(3)
Total
AFS(1)
HTM
Other
Assets
Total
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$2
$1
$—
$3
$3
$1
$—
$4
$—
$—
$—
$—
$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$2
$1
$—
$3
$3
$1
$—
$4
$—
$—
$—
$—
$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 exercise and FX losses28
17
70
115
223
24
332
579
20
12
—
32
243
36
332
611
Total impairment losses recognized in earnings$30
$18
$70
$118
$226
$25
$332
$583
$20
$12
$—
$32
$246
$37
$332
$615
(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 sixnine months ended JuneSeptember 30, 2016.


(3)The impairment charge is related to the carrying value of an equity investment.



OTTI on Investments and Other AssetsThree Months Ended 
 June 30, 2015		Six Months Ended 
  June 30, 2015		Three Months Ended 
 September 30, 2015		Nine Months Ended 
  September 30, 2015
In millions of dollars
AFS(1)
HTMOther
Assets		Total
AFS(1)
HTMOther
assets		Total
AFS(1)
HTMOther
Assets		Total
AFS(1)
HTMOther
assets		Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:        
Total OTTI losses recognized during the period$—
$—
$—
$—
$—
$—
$—
$—
$1
$—
$—
$1
$1
$—
$—
$1
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
$—
$—
$—
$—
$1
$—
$—
$1
$1
$—
$—
$1
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 exercise and FX losses19
19
5
43
88
22
5
115
64
14
1
79
152
36
6
194
Total impairment losses recognized in earnings$19
$19
$5
$43
$88
$22
$5
$115
$65
$14
$1
$80
$153
$36
$6
$195

(1)Includes OTTI on non-marketable equity securities.


The following are three-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities held that the Company does not intend to sell nor likely will be required to sell:

Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsMar. 31, 2016 balanceCredit
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		June 30, 2016 balanceJun. 30, 2016 balanceCredit
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		September 30, 2016 balance
AFS debt securities      
Mortgage-backed securities$294
$1
$—
$—
$295
$294
$—
$—
$—
$294
State and municipal—
—
—
—
—
—
—
—
—
—
Foreign government securities170
—
—
—
170
170
—
—
(5)165
Corporate110
—
2
(2)110
110
—
—
(1)109
All other debt securities166
—
—
—
166
144
—
—
(20)124
Total OTTI credit losses recognized for AFS debt securities$740
$1
$2
$(2)$741
$718
$—
$—
$(26)$692
HTM debt securities        
Mortgage-backed securities(1)
$668
$—
$—
$(24)$644
$532
$—
$—
$(2)$530
State and municipal—
1
—
—
1
1
—
—
—
1
All other debt securities132
—
—
(1)131
131
—
—
—
131
Total OTTI credit losses recognized for HTM debt securities$800
$1
$—
$(25)$776
$664
$—
$—
$(2)$662
(1)Primarily consists of Alt-A securities.



Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsMar. 31, 2015 balanceCredit
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		June 30, 2015 balanceJun. 30, 2015 balanceCredit
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		Sep. 30, 2015 balance
AFS debt securities      
Mortgage-backed securities$295
$—
$—
$—
$295
$295
$—
$—
$—
$295
State and municipal—
—
—
—
—
—
—
—
—
—
Foreign government securities170
—
—
—
170
170
—
—
—
170
Corporate112
—
—
—
112
112
1
—
—
113
All other debt securities149
—
—
—
149
149
—
—
—
149
Total OTTI credit losses recognized for AFS debt securities$726
$—
$—
$—
$726
$726
$1
$—
$—
$727
HTM debt securities        
Mortgage-backed securities(1)
$668
$—
$—
$—
$668
$650
$—
$—
$(30)$620
All other debt securities133
—
—
—
133
133
—
—
(1)132
Total OTTI credit losses recognized for HTM debt securities$801
$—
$—
$—
$801
$783
$—
$—
$(31)$752
(1)Primarily consists of Alt-A securities.

The following are six-monthnine-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities held that the Company does not intend to sell nor likely will be required to sell:

Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsDec. 31, 2015 balanceCredit
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		June 30, 2016 balanceDec. 31, 2015 balanceCredit
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		September 30, 2016 balance
AFS debt securities      
Mortgage-backed securities$294
$1
$—
$—
$295
$294
$1
$—
$(1)$294
State and municipal8
—
—
(8)—
8
—
—
(8)—
Foreign government securities170
—
—
—
170
170
—
—
(5)165
Corporate112
1
2
(5)110
112
1
2
(6)109
All other debt securities170
—
—
(4)166
148
—
—
(24)124
Total OTTI credit losses recognized for AFS debt securities$754
$2
$2
$(17)$741
$732
$2
$2
$(44)$692
HTM debt securities        
Mortgage-backed securities(1)
$668
$—
$—
$(24)$644
$556
$—
$—
$(26)$530
State and municipal—
1
—
—
1
—
1
—
—
1
All other debt securities132
—
—
(1)131
132
—
—
(1)131
Total OTTI credit losses recognized for HTM debt securities$800
$1
$—
$(25)$776
$688
$1
$—
$(27)$662
(1)Primarily consists of Alt-A securities.



Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsDec. 31, 2014 balanceCredit
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		June 30, 2015 balanceDec. 31, 2014 balanceCredit
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		September 30, 2015 balance
AFS debt securities      
Mortgage-backed securities$295
$—
$—
$—
$295
$295
$—
$—
$—
$295
State and municipal—
—
—
—
—
Foreign government securities171
—
—
(1)170
171
—
—
(1)170
Corporate118
—
—
(6)112
118
1
—
(6)113
All other debt securities149
—
—
—
149
149
—
—
—
149
Total OTTI credit losses recognized for AFS debt securities$733
$—
$—
$(7)$726
$733
$1
$—
$(7)$727
HTM debt securities      
Mortgage-backed securities(1)
$670
$—
$—
$(2)$668
$670
$—
$—
$(50)$620
All other debt securities133
—
—
—
133
133
—
—
(1)132
Total OTTI credit losses recognized for HTM debt securities$803
$—
$—
$(2)$801
$803
$—
$—
$(51)$752
(1)Primarily consists of Alt-A securities.

Investments in Alternative Investment Funds That Calculate Net Asset Value per Share
The Company holds investments in certain alternative investment funds that calculate net asset value (NAV) per share,, including hedge funds, private equity funds, funds of funds and real estate funds. Investments in such funds are generally classified as nonmarketable 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. These investments include co-investments in funds that are managed by the Company and investments in funds that are
managed by third parties. Investments in funds are generally classified as non-marketable equity securities carried at fair value. The fair valuesSome of these investments are estimated using the NAV per sharein “covered funds” for purposes of the Company’sVolcker Rule, which prohibits certain proprietary investment activities and limits the ownership interestof, and relationships with, covered funds. The deadline for compliance with the Volcker Rule is July 2017, by which date Citi is required to sell those of its investments in covered funds prohibited by the funds, where it is not probable thatrule. Subject to market demand, the Company will sell an investment at a price othermay receive value that is lower than the NAV.reported NAV for these investments.


Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
In millions of dollarsJune 30,
2016		December 31, 2015June 30,
2016		December 31, 2015 September 30,
2016		December 31, 2015September 30,
2016		December 31, 2015 
Hedge funds$2
$3
$—
$—
Generally quarterly10–95 days$3
$3
$—
$—
Generally quarterly10–95 days
Private equity funds(1)(2)
714
762
136
173
—675
762
129
173
—
Real estate funds (2)(3)
71
130
22
21
—69
130
22
21
—
Total(4)
$787
$895
$158
$194
—$747
$895
$151
$194
—
(1)Private equity funds include funds that invest in infrastructure, leveraged buyout transactions, 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.
(4)Included in the totalThe fair value of investments above are $0.8 billion and $0.9 billion of fund assets that are valued usingis based on NAVs provided by third-party asset managers as of June 30, 2016 and December 31, 2015, respectively.managers.


14.13.   LOANS

Citigroup loans are reported in two categories—consumer and corporate. These categories are classified primarily according to the segment and subsegment that manage the loans. For additional information regarding Citi’s consumer and corporate loans, including related accounting policies, see Note 15 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.

Consumer Loans
Consumer loans represent loans and leases managed primarily by the GCB businesses in Citicorp and in Citi Holdings. The following table provides informationCiti’s consumer loans by loan type for the periods indicated:type:

In millions of dollarsJune 30,
2016		December 31, 2015September 30, 2016December 31, 2015
In U.S. offices  
Mortgage and real estate(1)
$77,242
$80,281
$75,057
$80,281
Installment, revolving credit, and other3,486
3,480
3,465
3,480
Cards(2)
120,113
112,800
124,637
112,800
Commercial and industrial7,041
6,407
6,989
6,407
$207,882
$202,968
$210,148
$202,968
In offices outside the U.S.    
Mortgage and real estate(1)
$46,049
$47,062
$45,751
$47,062
Installment, revolving credit, and other27,830
29,480
28,217
29,480
Cards25,844
27,342
25,833
27,342
Commercial and industrial17,857
17,741
17,828
17,741
Lease financing140
362
113
362
$117,720
$121,987
$117,742
$121,987
Total consumer loans$325,602
$324,955
$327,890
$324,955
Net unearned income$817
830
$812
830
Consumer loans, net of unearned income$326,419
$325,785
$328,702
$325,785

(1)Loans secured primarily by real estate.
(2)Includes $11.3 billion ofSeptember 30, 2016 balance includes loans related to the acquisition of the Costco U.S. co-branded credit card portfolio, completed on June 17, 2016.2016 in addition to subsequent activity.

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 (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 three and sixnine months ended JuneSeptember 30, 2016 and 2015, the Company sold and/or reclassified to held-for-sale $2.1$1.3 billion and $4.7$6.0 billion, and $1.5 billion and $14.8$16.3 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 in regulated bank entities discharged through Chapter 7 bankruptcy, other than Federal Housing Administration (FHA)-insured loans, are classified as non-accrual. Commercial market loans are placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due.
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 one to three) 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 three consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, FHA and Department of Veterans Affairs (VA) loans are modified under those respective agencies’ guidelines and payments are not always required in order to re-age a modified loan to current.











The following tables provide details on Citigroup’s consumer loan delinquency and non-accrual loans:
Consumer Loan Delinquency and Non-Accrual Details at JuneSeptember 30, 2016
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
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$53,014
$583
$350
$1,885
$55,832
$1,281
$1,600
$52,266
$564
$336
$1,499
$54,665
$1,225
$1,267
Home equity loans(5)
20,391
252
433
—
21,076
740
—
19,324
261
434
—
20,019
728
—
Credit cards118,460
1,219
1,129
—
120,808
—
1,128
122,592
1,460
1,271
—
125,323
—
1,271
Installment and other4,695
62
36
—
4,793
64
—
4,647
64
38
—
4,749
69
—
Commercial banking loans8,731
15
69
—
8,815
433
11
8,627
23
141
—
8,791
407
12
Total$205,291
$2,131
$2,017
$1,885
$211,324
$2,518
$2,739
$207,456
$2,372
$2,220
$1,499
$213,547
$2,429
$2,550
In offices outside North America      
Residential first mortgages$38,849
$235
$161
$—
$39,245
$399
$—
$38,433
$244
$158
$—
$38,835
$392
$—
Credit cards24,276
434
396
—
25,106
282
256
24,270
438
391
—
25,099
258
260
Installment and other25,611
357
138
—
26,106
308
—
25,632
334
140
—
26,106
314
—
Commercial banking loans24,473
19
131
—
24,623
195
—
24,981
13
117
—
25,111
158
—
Total$113,209
$1,045
$826
$—
$115,080
$1,184
$256
$113,316
$1,029
$806
$—
$115,151
$1,122
$260
Total GCB and Citi Holdings consumer
$318,500
$3,176
$2,843
$1,885
$326,404
$3,702
$2,995
$320,772
$3,401
$3,026
$1,499
$328,698
$3,551
$2,810
Other(6)
14
1
—
—
15
3
—
4
—
—
—
4
1
—
Total Citigroup$318,514
$3,177
$2,843
$1,885
$326,419
$3,705
$2,995
$320,776
$3,401
$3,026
$1,499
$328,702
$3,552
$2,810
(1)Loans less than 30 days past due are presented as current.
(2)Includes $32$31 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 $0.3$0.2 billion and 90 days or more past due of $1.6$1.3 billion.
(5)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(6)Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics.


Consumer Loan Delinquency and Non-Accrual Details at December 31, 2015
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$53,146
$846
$564
$2,318
$56,874
$1,216
$1,997
Home equity loans(5)
22,335
136
277
—
22,748
1,017
—
Credit cards110,814
1,296
1,243
—
113,353
—
1,243
Installment and other4,576
80
33
—
4,689
56
2
Commercial banking loans8,241
16
61
—
8,318
222
17
Total$199,112
$2,374
$2,178
$2,318
$205,982
$2,511
$3,259
In offices outside North America       
Residential first mortgages$39,551
$240
$175
$—
$39,966
$388
$—
Credit cards25,698
477
442
—
26,617
261
278
Installment and other27,664
317
220
—
28,201
226
—
Commercial banking loans24,764
46
31
—
24,841
247
—
Total$117,677
$1,080
$868
$—
$119,625
$1,122
$278
Total GCB and Citi Holdings
$316,789
$3,454
$3,046
$2,318
$325,607
$3,633
$3,537
Other(6)
164
7
7
—
178
25
—
Total Citigroup$316,953
$3,461
$3,053
$2,318
$325,785
$3,658
$3,537
(1)Loans less than 30 days past due are presented as current.
(2)Includes $34 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 $0.3 billion and 90 days or more past due of $2.0 billion.
(5)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.


(6)Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics.

Consumer Credit Scores (FICO)
In the U.S., independent credit agencies rate an individual’s risk for assuming debt based on the individual’s credit history and assign every consumer a “FICO” (Fair Isaac Corporation) 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 attributable tofor Citi’s U.S. consumer loan portfolio (commercial marketbanking loans are not included in the tableexcluded since they are business based and FICO scores are not a primary driver in their credit evaluation). 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)
September 30, 2016
In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$2,817
$2,615
$45,203
Home equity loans1,751
1,502
15,600
Credit cards7,660
10,484
103,781
Installment and other326
269
2,649
Total$12,554
$14,870
$167,233
FICO score distribution in U.S. portfolio(1)(2)
June 30, 2016
In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$2,978
$2,742
$45,580
Home equity loans1,884
1,584
16,360
Credit cards7,332
10,234
100,186
Installment and other310
265
2,643
Total$12,504
$14,825
$164,769
(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.



FICO score distribution in U.S. portfolio(1)(2)
December 31, 2015

In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$3,483
$3,036
$45,047
Home equity loans2,067
1,782
17,837
Credit cards7,341
10,072
93,194
Installment and other337
270
2,662
Total$13,228
$15,160
$158,740
(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 FICO was not available. Such amounts are not material.


Loan to Value (LTV) Ratios
LTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data.
The following tables provide details on the LTV ratios attributable to(loan balance divided by appraised value) for Citi’s U.S. consumer mortgage portfolios. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.
LTV distribution in U.S. portfolio(1)(2)
June 30, 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$46,838
$4,032
$502
Home equity loans13,283
4,341
2,104
Total$60,121
$8,373
$2,606
(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.
LTV distribution in U.S. portfolio(1)(2)
September 30, 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$47,092
$3,299
$315
Home equity loans13,358
3,974
1,425
Total$60,450
$7,273
$1,740
LTV distribution in U.S. portfolio(1)(2)
December 31, 2015
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$46,559
$4,478
$626
Home equity loans13,904
5,147
2,527
Total$60,463
$9,625
$3,153
(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
Impaired loans are those loans where Citigroup believes it is probable 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 Citigroup 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.



Impaired Consumer Loans
The following tables present information about total impaired consumer loans and interest income recognized on impaired consumer loans:




 Three months ended June 30,Six months ended June 30, Three months ended September 30,Nine months ended September 30,
Balance at June 30, 20162016201520162015Balance at September 30, 20162016201520162015
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value (4)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value (4)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Mortgage and real estate        
Residential first mortgages$4,732
$5,183
$532
$6,366
$43
$111
$104
$252
$4,314
$4,752
$578
$5,195
$31
$107
$135
$359
Home equity loans1,329
1,858
311
1,483
9
17
18
34
1,311
1,830
200
1,351
8
16
26
50
Credit cards1,849
1,884
581
1,924
39
45
80
89
1,830
1,865
580
1,882
42
47
122
135
Installment and other 
 
 
 
Individual installment and other468
552
226
469
7
8
14
39
480
516
236
478
8
8
22
47
Commercial banking loans587
945
125
442
2
3
4
6
589
918
113
498
7
4
11
10
Total$8,965
$10,422
$1,775
$10,684
$100
$184
$220
$420
$8,524
$9,881
$1,707
$9,404
$96
$182
$316
$601
(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)$1,0811,068 million of residential first mortgages, $439$416 million of home equity loans and $128$98 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.


 Balance, December 31, 2015
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Mortgage and real estate    
Residential first mortgages$6,038
$6,610
$739
$8,932
Home equity loans1,399
1,972
406
1,778
Credit cards1,950
1,986
604
2,079
Installment and other    
Individual installment and other464
519
197
449
Commercial banking loans341
572
100
361
Total$10,192
$11,659
$2,046
$13,599
(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)$1,151 million of residential first mortgages, $459 million of home equity loans and $86 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.






Consumer Troubled Debt Restructurings
The following tables present consumer TDRs occurring:
At and for the three months ended June 30, 2016At and for the three months ended September 30, 2016
In millions of dollars except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction		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 mortgages1,346
$205
$1
$—
$1
1%1,165
$165
$1
$—
$1
1%
Home equity loans814
30
—
—
—
3
1,117
61
—
—
—
2
Credit cards42,792
164
—
—
—
17
51,260
199
—
—
—
18
Installment and other revolving1,381
12
—
—
—
14
1,421
12
—
—
—
14
Commercial markets(6)
41
6
—
—
—
—
30
36
—
—
—
—
Total(8)
46,374
$417
$1
$—
$1
 
54,993
$473
$1
$—
$1
 
International      
Residential first mortgages613
23
—
—
—
1%973
24
—
—
—
—%
Credit cards28,628
90
—
—
2
12
28,530
94
—
—
2
12
Installment and other revolving11,198
58
—
—
2
7
12,283
69
—
—
2
8
Commercial markets(6)
42
20
—
—
—
—
44
39
—
—
—
—
Total(8)
40,481
$191
$—
$—
$4
 
41,830
$226
$—
$—
$4
 
At and for the three months ended June 30, 2015At and for the three months ended September 30, 2015
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
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages2,709
$366
$2
$1
$8
1%2,282
$305
$2
$1
$7
1%
Home equity loans1,292
45
—
—
1
2
1,021
36
—
—
—
2
Credit cards44,848
184
—
—
—
16
44,972
186
—
—
—
16
Installment and other revolving1,092
9
—
—
—
14
1,035
9
—
—
—
13
Commercial markets(6)
99
17
—
—
—
—
89
10
—
—
—
—
Total(8)
50,040
$621
$2
$1
$9
 
49,399
$546
$2
$1
$7
 
International      
Residential first mortgages758
25
—
—
—
—%1,322
30
—
—
—
—%
Credit cards37,587
103
—
—
2
12
32,774
87
—
—
2
13
Installment and other revolving13,167
61
—
—
2
6
19,283
76
—
—
1
5
Commercial markets(6)
48
22
—
—
—
1
37
11
—
—
—
—
Total(8)
51,560
$211
$—
$—
$4
 
53,416
$204
$—
$—
$3
 

(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $21$17 million of residential first mortgages and $4$5 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended JuneSeptember 30, 2016. These amounts include $13$11 million of residential first mortgages and $4$5 million of home equity loans that were newly classified as TDRs in the three months ended JuneSeptember 30, 2016, 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 $62$54 million of residential first mortgages and $15$17 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended JuneSeptember 30, 2015. These amounts include $35$34 million of residential first mortgages and $12$14 million of home equity loans that were newly classified as TDRs in the three months ended JuneSeptember 30, 2015, based on previously received OCC guidance.
(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.


At and for the six months ended June 30, 2016At and for the nine months ended September 30, 2016
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
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 mortgages2,814
$417
$3
$—
$2
1%3,979
$582
$4
$—
$3
1%
Home equity loans1,672
60
—
—
—
3
2,789
121
1
—
—
2
Credit cards91,901
353
—
—
—
17
143,161
552
—
—
—
17
Installment and other revolving2,766
24
—
—
—
14
4,187
35
—
—
—
14
Commercial banking(6)
64
11
—
—
—
—
94
47
—
—
—
—
Total(8)
99,217
$865
$3
$—
$2
 154,210
$1,337
$5
$—
$3
 
International      
Residential first mortgages1,032
$38
$—
$—
$—
1%2,005
$62
$—
$—
$—
—%
Credit cards80,835
213
—
—
4
12
109,365
307
—
—
7
12
Installment and other revolving32,842
140
—
—
4
7
45,125
208
—
—
6
7
Commercial banking(6)
73
52
—
—
—
—
117
90
—
—
—
—
Total(8)
114,782
$443
$—
$—
$8
 
156,612
$667
$—
$—
$13
 
At and for the six months ended June 30, 2015At and for the nine months ended September 30, 2015
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
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 mortgages5,802
$773
$6
$3
$17
1%8,084
$1,078
$7
$3
$23
1%
Home equity loans2,550
90
1
—
2
2
3,571
126
1
—
3
2
Credit cards95,158
396
—
—
—
16
140,130
582
—
—
—
16
Installment and other revolving2,076
18
—
—
—
13
3,111
27
—
—
—
13
Commercial banking(6)
156
28
—
—
—
—
245
39
—
—
—
—
Total(8)
105,742
$1,305
$7
$3
$19
 155,141
$1,852
$8
$3
$26
 
International      
Residential first mortgages1,641
$49
$—
$—
$—
—%2,963
$80
$—
$—
$—
—%
Credit cards78,018
201
—
—
4
13
110,792
288
—
—
5
13
Installment and other revolving29,114
131
—
—
4
5
48,397
207
—
—
5
5
Commercial banking(6)
125
49
—
—
—
1
163
61
—
—
—
1
Total(8)
108,898
$430
$—
$—
$8
 162,315
$636
$—
$—
$10
 

(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $41$58 million of residential first mortgages and $9$14 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the sixnine months ended JuneSeptember 30, 2016. These amounts include $27$38 million of residential first mortgages and $9$14 million of home equity loans that were newly classified as TDRs in the sixnine months ended JuneSeptember 30, 2016, 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 $127$181 million of residential first mortgages and $29$46 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the sixnine months ended JuneSeptember 30, 2015. These amounts include $73$107 million of residential first mortgages and $24$39 million of home equity loans that were newly classified as TDRs in the sixnine months ended JuneSeptember 30, 2015, based on previously received OCC guidance.
(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.




The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
Three Months Ended
June 30,		Six Months Ended
June 30,		Three Months Ended
September 30,		Nine Months Ended
September 30,
In millions of dollars20162015201620152016201520162015
North America      
Residential first mortgages$52
$117
$139
$227
$49
$101
$188
$329
Home equity loans6
10
14
21
6
9
20
30
Credit cards46
49
95
92
43
47
139
139
Installment and other revolving2
2
4
3
3
2
7
6
Commercial banking1
1
2
3
12
1
14
5
Total$107
$179
$254
$346
$113
$160
$368
$509
International      
Residential first mortgages$3
$6
$6
$12
$3
$5
$9
$17
Credit cards37
36
73
71
41
34
115
106
Installment and other revolving24
23
47
46
24
20
70
66
Commercial banking6
7
15
15
21
7
36
16
Total$70
$72
$141
$144
$89
$66
$230
$205




Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information Citi’s corporate loans
by corporate loan type:
In millions of dollarsJune 30,
2016		December 31,
2015		September 30,
2016		December 31,
2015
In U.S. offices  
Commercial and industrial$50,286
$41,147
$50,156
$41,147
Financial institutions32,001
36,396
35,801
36,396
Mortgage and real estate(1)
40,175
37,565
41,078
37,565
Installment, revolving credit and other32,491
33,374
32,571
33,374
Lease financing1,546
1,780
1,532
1,780
$156,499
$150,262
$161,138
$150,262
In offices outside the U.S.  
Commercial and industrial$87,125
$82,358
$84,162
$82,358
Financial institutions27,856
28,704
27,305
28,704
Mortgage and real estate(1)
5,455
5,106
5,595
5,106
Installment, revolving credit and other24,825
20,853
25,462
20,853
Lease financing255
303
243
303
Governments and official institutions5,757
4,911
6,506
4,911
$151,273
$142,235
$149,273
$142,235
Total corporate loans$307,772
$292,497
$310,411
$292,497
Net unearned income(676)(665)(678)(665)
Corporate loans, net of unearned income$307,096
$291,832
$309,733
$291,832
(1)Loans secured primarily by real estate.
 
The Company sold and/or reclassified to held-for-sale $0.8$1.3 billion and $1.3$2.6 billion of corporate loans during the three and sixnine months ended JuneSeptember 30, 2016, respectively and $0.5 billion and $1.1$1.6 billion during the three and sixnine months
ended JuneSeptember 30, 2015, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and sixnine months ended JuneSeptember 30, 2016 or 2015.

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 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. While corporate loans are generally managed based on their internally assigned risk rating (see further discussion below), the following tables present delinquency information by corporate loan type.



Corporate Loan Delinquency and Non-Accrual Details at JuneSeptember 30, 2016
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans (4)
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans (4)
Commercial and industrial$44
$—
$44
$1,962
$132,551
$134,557
$208
$4
$212
$1,940
$129,531
$131,683
Financial institutions51
—
51
194
59,147
59,392
—
—
—
189
62,283
62,472
Mortgage and real estate325
—
325
183
44,940
45,448
351
—
351
169
46,051
46,571
Leases35
9
44
60
1,697
1,801
131
48
179
58
1,537
1,774
Other65
71
136
61
61,599
61,796
269
1
270
59
62,965
63,294
Loans at fair value









4,102










3,939
Purchased distressed loans









—










—
Total$520
$80
$600
$2,460
$299,934
$307,096
$959
$53
$1,012
$2,415
$302,367
$309,733
Corporate Loan Delinquency and Non-Accrual Details at December 31, 2015
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$87
$4
$91
$1,071
$118,465
$119,627
Financial institutions16
—
16
173
64,128
64,317
Mortgage and real estate137
7
144
232
42,095
42,471
Leases—
—
—
76
2,006
2,082
Other29
—
29
44
58,286
58,359
Loans at fair value









4,971
Purchased distressed loans









5
Total$269
$11
$280
$1,596
$284,980
$291,832
(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)Corporate loans are past due when principal or interest is contractually due but unpaid. Loans less than 30 days past due are presented as current.
(4)Total loans include loans at fair value, which are not included in the various delinquency columns.

Citigroup has a risk management process to monitor, evaluate and manage the principal risks associated with its corporate loan portfolio. As part of its risk management process, Citi assigns numeric risk ratings to its corporate loan facilities based on quantitative and qualitative assessments of the obligor and facility. These risk ratings are reviewed at least annually or more often if material events related to the obligor or facility warrant. Factors considered in assigning the risk ratings include financial condition of the obligor, qualitative assessment of management and strategy, amount and sources of repayment, amount and type of collateral and guarantee arrangements, amount and type of any contingencies associated with the obligor, and the obligor’s industry and geography.
The obligor risk ratings are defined by ranges of default probabilities. The facility risk ratings are defined by ranges of loss norms, which are the product of the probability of default and the loss given default. The investment grade rating categories are similar to the category BBB-/Baa3 and above as defined by S&P and Moody’s. Loans classified according to the bank regulatory definitions as special mention, substandard and doubtful will have risk ratings within the non-investment grade categories.










Corporate Loans Credit Quality Indicators
Recorded investment in loans(1)
Recorded investment in loans(1)
In millions of dollarsJune 30,
2016		December 31,
2015		September 30,
2016		December 31,
2015
Investment grade(2)
  
Commercial and industrial$92,775
$85,828
$88,871
$85,828
Financial institutions50,507
53,522
50,485
53,522
Mortgage and real estate21,066
18,869
21,477
18,869
Leases1,289
1,725
1,283
1,725
Other55,129
51,449
55,215
51,449
Total investment grade$220,766
$211,393
$217,331
$211,393
Non-investment grade(2)
  
Accrual  
Commercial and industrial$39,819
$32,726
$40,871
$32,726
Financial institutions8,691
10,622
11,799
10,622
Mortgage and real estate2,263
2,800
2,145
2,800
Leases452
282
434
282
Other6,607
6,867
8,019
6,867
Non-accrual  
Commercial and industrial1,962
1,071
1,940
1,071
Financial institutions194
173
189
173
Mortgage and real estate183
232
169
232
Leases60
76
58
76
Other61
44
59
44
Total non-investment grade$60,292
$54,893
$65,683
$54,893
Private bank loans managed on a delinquency basis(2)
$21,936
$20,575
$22,780
$20,575
Loans at fair value4,102
4,971
3,939
4,971
Corporate loans, net of unearned income$307,096
$291,832
$309,733
$291,832
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Held-for-investment loans are accounted for on an amortized cost basis.
 
Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral and there are no other available and reliable sources of repayment, are written down to the lower of cost or collateral value, less cost to sell. Cash-basis loans are returned to an accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance, generally six months, in accordance with the contractual terms of the loan.













Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loan typeloans and interest income recognized on non-accrual corporate loans:
Non-Accrual Corporate Loans
June 30, 2016
Three Months
Ended
June 30, 2016
Six Months
Ended
June 30, 2016
September 30, 2016
Three Months
Ended
September 30, 2016
Nine Months
Ended
September 30, 2016
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
Interest income recognized(3)
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
Interest income recognized(3)
Non-accrual corporate loans        
Commercial and industrial$1,962
$2,343
$417
$1,490
$7
$17
$1,940
$2,216
$427
$1,709
$5
$22
Financial institutions194
203
9
174
1
3
189
196
8
180
—
3
Mortgage and real estate183
304
11
214
1
2
169
288
18
197
3
6
Lease financing60
60
1
53
—
—
58
58
1
49
—
—
Other61
117
47
60
3
3
59
142
27
65
2
5
Total non-accrual corporate loans$2,460
$3,027
$485
$1,991
$12
$25
$2,415
$2,900
$481
$2,200
$10
$36
 December 31, 2015
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Non-accrual corporate loans    
Commercial and industrial$1,071
$1,224
$246
$859
Financial institutions173
196
10
194
Mortgage and real estate232
336
21
240
Lease financing76
76
54
62
Other44
114
32
39
Total non-accrual corporate loans$1,596
$1,946
$363
$1,394
June 30, 2016December 31, 2015September 30, 2016December 31, 2015
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans with valuation allowances      
Commercial and industrial$941
$417
$571
$246
$1,616
$427
$571
$246
Financial institutions14
9
18
10
37
8
18
10
Mortgage and real estate34
11
60
21
50
18
60
21
Lease financing59
1
75
54
58
1
75
54
Other55
47
40
32
53
27
40
32
Total non-accrual corporate loans with specific allowance$1,103
$485
$764
$363
$1,814
$481
$764
$363
Non-accrual corporate loans without specific allowance      
Commercial and industrial$1,021
 
$500
 
$324
 
$500
 
Financial institutions180
 
155
 
152
 
155
 
Mortgage and real estate149
 
172
 
119
 
172
 
Lease financing1
 
1
 
—
 
1
 
Other6
 
4
 
6
 
4
 
Total non-accrual corporate loans without specific allowance$1,357
N/A
$832
N/A
$601
N/A
$832
N/A
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowance.
(3)Interest income recognized for the three- and six-month periods ended JuneSeptember 30, 2015 was $4$2 million and $5$7 million, respectively.




Corporate Troubled Debt Restructurings

The following table presents corporate TDR activity atAt and for the three months ended JuneSeptember 30, 2016:
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$105
$73
$32
$—
Mortgage and real estate1
—
—
1
Other142
—
142
—
Total$248
$73
$174
$1
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$112
$103
$2
$7
Financial institutions10
10
—
—
Mortgage and real estate2
1
—
1
Other—
—
—
—
Total$124
$114
$2
$8

(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 commercial loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans.  Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(2)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.

The following table presents corporate TDR activity atAt and for the three months ended JuneSeptember 30, 2015:
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$66
$33
$—
$33
Mortgage and real estate11
1
—
10
Total$77
$34
$—
$43
(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 commercial 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 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$13
$12
$—
$1
Mortgage and real estate35
1
—
34
Total$48
$13
$—
$35
The following table presents corporate TDR activity atAt and for the sixnine months ended JuneSeptember 30, 2016:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Carrying
Value
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$203
$73
$32
$98
$316
$176
$34
$106
Financial institutions10
10
—
—
Mortgage and real estate5
—
—
5
7
1
—
6
Other142
—
142
—
142
—
142
—
Total$350
$73
$174
$103
$475
$187
$176
$112

At and for the nine months ended September 30, 2015:
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$79
$45
$—
$34
Mortgage and real estate47
3
—
44
Total$126
$48
$—
$78
(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 commercial loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans.  Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(2)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.





The following table presents corporate TDR activity at and for the six months ended June 30, 2015:
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$66
$33
$—
$33
Mortgage and real estate12
2
—
10
Total$78
$35
$—
$43
(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 commercial loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans.  Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(2)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.

The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
In millions of dollarsTDR balances at June 30, 2016
TDR loans in payment default during the three months ended
June 30, 2016
TDR loans in payment default six months ended
June 30, 2016
TDR balances at
June 30, 2015
TDR loans in payment default during the three months ended
June 30, 2015
TDR loans in payment default six months ended
June 30, 2015		TDR balances at September 30, 2016
TDR loans in payment default during the three months ended
September 30, 2016
TDR loans in payment default nine months ended
September 30, 2016
TDR balances at
September 30, 2015
TDR loans in payment default during the three months ended
September 30, 2015
TDR loans in payment default nine months ended
September 30, 2015
Commercial and industrial$323
$7
$7
$118
$—
$—
$394
$—
$7
$126
$—
$—
Loans to financial institutions—
—
—
1
1
1
10
—
—
1
—
1
Mortgage and real estate130
—
—
113
—
—
80
—
—
144
—
—
Other288
—
—
326
—
—
291
—
—
316
—
—
Total(1)
$741
$7
$7
$558
$1
$1
$775
$—
$7
$587
$—
$1

(1)The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.





15.14. ALLOWANCE FOR CREDIT LOSSES
 
Three Months Ended June 30,Six Months Ended 
 June 30,		Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars20162015201620152016201520162015
Allowance for loan losses at beginning of period$12,712
$14,598
$12,626
$15,994
$12,304
$14,075
$12,626
$15,994
Gross credit losses(2,048)(2,335)(4,191)(4,793)(1,948)(2,068)(6,139)(6,861)
Gross recoveries(1)
432
415
851
916
423
405
1,274
1,321
Net credit losses (NCLs)(2)
$(1,616)$(1,920)$(3,340)$(3,877)$(1,525)$(1,663)$(4,865)$(5,540)
NCLs$1,616
$1,920
$3,340
$3,877
$1,525
$1,663
$4,865
$5,540
Net reserve releases(90)(199)(48)(290)
Net reserve builds (releases)258
43
210
(247)
Net specific reserve releases(136)(206)(16)(317)(37)(124)(53)(441)
Total provision for loan losses$1,390
$1,515
$3,276
$3,270
$1,746
$1,582
$5,022
$4,852
Other, net(3)
(182)(118)(258)(1,312)
Other, net (see table below)(86)(368)(344)(1,680)
Allowance for loan losses at end of period$12,304
$14,075
$12,304
$14,075
$12,439
$13,626
$12,439
$13,626
Allowance for credit losses on unfunded lending commitments at beginning of period$1,473
$1,023
$1,402
$1,063
$1,432
$973
$1,402
$1,063
Provision (release) for unfunded lending commitments(30)(48)41
(85)(45)65
(4)(20)
Other, net(11)(2)(11)(5)1
(2)(10)(7)
Allowance for credit losses on unfunded lending commitments at end of period(4)(3)
$1,432
$973
$1,432
$973
$1,388
$1,036
$1,388
$1,036
Total allowance for loans, leases, and unfunded lending commitments$13,736
$15,048
$13,736
$15,048
$13,827
$14,662
$13,827
$14,662
 
Other, net detailsThree Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars2016201520162015
Sales or transfers of various Consumer loan portfolios to held-for-sale   
Transfer of real estate loan portfolios$(50)$(14)$(103)$(329)
Transfer of other loan portfolios(8)(96)(204)(901)
Sales or transfers of various Consumer loan portfolios to held-for-sale$(58)$(110)$(307)$(1,230)
FX translation, Consumer(46)(255)(58)(439)
Other, Corporate18
(3)21
(11)
Other, net$(86)$(368)$(344)$(1,680)

(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)As a result of the entry into an agreement in March 2015 to sell OneMain, Financial (OneMain), OneMain was classified as held-for-sale (HFS) at the end of the first quarter of 2015. As a result of HFS accounting treatment, approximately $160 million and $116 million of net credit losses were recorded as a reduction in revenue (Other revenue) during the second quarterand third quarters of 2015.2015, respectively.
(3)The second quarter of 2016 includes a reduction of approximately $101 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $24 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes a reduction of approximately $75 million related to FX translation. The first quarter of 2016 includes a reduction of approximately $148 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $29 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the first quarter of 2016 includes an increase of approximately $63 million related to FX translation. The second quarter of 2015 includes a reduction of approximately $88 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $34 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the second quarter of 2015 includes a reduction of approximately $39 million related to FX translation. The first quarter of 2015 includes a reduction of approximately $1.0 billion related to the sale or transfer to HFS of various loan portfolios, including a reduction of $281 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the first quarter of 2015 includes a reduction of approximately $145 million related to FX translation.
(4)
Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.

Allowance for Credit Losses and Investment in Loans
Three Months EndedThree Months Ended
June 30, 2016June 30, 2015September 30, 2016September 30, 2015
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,905
$9,807
$12,712
$2,546
$12,052
$14,598
$2,872
$9,432
$12,304
$2,406
$11,669
$14,075
Charge-offs(158)(1,890)(2,048)(126)(2,209)(2,335)(63)(1,885)(1,948)(78)(1,990)(2,068)
Recoveries16
416
432
19
396
415
23
400
423
28
377
405
Replenishment of net charge-offs142
1,474
1,616
107
1,813
1,920
40
1,485
1,525
50
1,613
1,663
Net reserve releases(16)(74)(90)(32)(167)(199)
Net specific reserve releases(11)(125)(136)(119)(87)(206)
Net reserve builds (releases)(110)368
258
116
(73)43
Net specific reserve builds (releases)(1)(36)(37)78
(202)(124)
Other(6)(176)(182)11
(129)(118)5
(91)(86)(4)(364)(368)
Ending balance$2,872
$9,432
$12,304
$2,406
$11,669
$14,075
$2,766
$9,673
$12,439
$2,596
$11,030
$13,626


Six Months EndedNine Months Ended
June 30, 2016June 30, 2015September 30, 2016September 30, 2015
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,791
$9,835
$12,626
$2,447
$13,547
$15,994
$2,791
$9,835
$12,626
$2,447
$13,547
$15,994
Charge-offs(382)(3,809)(4,191)(152)(4,641)(4,793)(445)(5,694)(6,139)(230)(6,631)(6,861)
Recoveries29
822
851
52
864
916
52
1,222
1,274
80
1,241
1,321
Replenishment of net charge-offs353
2,987
3,340
100
3,777
3,877
393
4,472
4,865
150
5,390
5,540
Net reserve releases(12)(36)(48)80
(370)(290)
Net reserve builds (releases)(122)332
210
196
(443)(247)
Net specific reserve builds (releases)90
(106)(16)(116)(201)(317)89
(142)(53)(38)(403)(441)
Other3
(261)(258)(5)(1,307)(1,312)8
(352)(344)(9)(1,671)(1,680)
Ending balance$2,872
$9,432
$12,304
$2,406
$11,669
$14,075
$2,766
$9,673
$12,439
$2,596
$11,030
$13,626

June 30, 2016December 31, 2015September 30, 2016December 31, 2015
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
    
 
 
   
Determined in accordance with ASC 450$2,386
$7,650
$10,036
$2,408
$7,776
$10,184
$2,285
$7,960
$10,245
$2,408
$7,776
$10,184
Determined in accordance with ASC 310-10-35486
1,775
2,261
380
2,046
2,426
481
1,707
2,188
380
2,046
2,426
Determined in accordance with ASC 310-30—
7
7
3
13
16
—
6
6
3
13
16
Total allowance for loan losses$2,872
$9,432
$12,304
$2,791
$9,835
$12,626
$2,766
$9,673
$12,439
$2,791
$9,835
$12,626
Loans, net of unearned income     

     

Loans collectively evaluated for impairment in accordance with ASC 450$300,328
$317,210
$617,538
$285,053
$315,314
$600,367
$303,179
$319,953
$623,132
$285,053
$315,314
$600,367
Loans individually evaluated for impairment in accordance with ASC 310-10-352,666
8,965
11,631
1,803
10,192
11,995
2,615
8,524
11,139
1,803
10,192
11,995
Loans acquired with deteriorated credit quality in accordance with ASC 310-30—
212
212
5
245
250
—
194
194
5
245
250
Loans held at fair value4,102
32
4,134
4,971
34
5,005
3,939
31
3,970
4,971
34
5,005
Total loans, net of unearned income$307,096
$326,419
$633,515
$291,832
$325,785
$617,617
$309,733
$328,702
$638,435
$291,832
$325,785
$617,617







16.15.   GOODWILL AND INTANGIBLE ASSETS
For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.

Goodwill
The changes in Goodwill were as follows:
In millions of dollars  
Balance, December 31, 2015$22,349
$22,349
Foreign exchange translation and other239
239
Divestitures(13)(13)
Balance at March 31, 2016$22,575
$22,575
Foreign exchange translation and other(79)(79)
Balance at June 30, 2016$22,496
$22,496
Foreign exchange translation and other

$43
Balance at September 30, 2016

$22,539

The goodwill impairment testing process, including the
methodology and assumptions used to estimate the fair
valueFor additional information on transfers of theGoodwill balances between reporting units, is disclosedsee Note 16 in more detail in Note 1 of Citigroup’s 2015 Annual Report on Form 10-K.
During the first quarterCiti’s First Quarter of 2016 Citigroup announced its intention to exit its consumer businesses in Argentina, Brazil and Colombia. These businesses, which previously had been reported as part of Latin America GCB, are reported as part of Citi Holdings—Consumer Latin America beginning in the first quarter of 2016. In addition, the other component businesses of Latin America GCB, except the Mexico consumer business, were either transferred to the ICG reporting units (Banking and Markets) or North AmericaGCB reporting unit (International Personal Banking). Furthermore, the remaining businesses in EMEA GCB, except for the commercial business which was transferred to the ICG—Banking reporting unit, are reported under Asia GCB.
Goodwill balances associated with the transfers were allocated to each of the component businesses based on their relative fair values to the legacy reporting units. An interim goodwill impairment test was performed as of January 1, 2016 for the impacted reporting units resulting in no impairment under the legacy and current reporting unit structures.Form 10-Q. There were no other triggering events during the first quartersecond and third quarters of 2016.
During the second quarterThe Company performed its annual goodwill impairment test as of 2016, there were no triggering events that would more-likely-than-not reduce the fair value of a reporting unit below its carrying value for all reporting units with goodwill balances.
July 1, 2016. The fair values of the Company’s reporting units substantially exceeded their carrying values and did not indicate a risk of impairment based on current valuations.impairment.











The following table shows reporting units with goodwill balances as of JuneSeptember 30, 2016.2016 and the fair value as a percentage of allocated book value as of the annual impairment test:
In millions of dollars   
Reporting unit(1)(2)
GoodwillGoodwill
Fair value as a % of allocated book value

North America Global Consumer Banking$6,766
$6,763
148%
Asia Global Consumer Banking (3)
5,002
5,092
157
Latin America Global Consumer Banking (4)
1,176
1,142
180
ICG—Banking
2,892
2,791
194
ICG—Markets and Securities Services
6,580
6,671
115
Citi Holdings—Consumer Latin America
80
80
127
Total$22,496
Total as of September 30, 2016$22,539



(1)
Citi Holdings—Other and Citi Holdings—ICG are excluded from the table as there is no goodwill allocated to them.
(2)
Citi Holdings—Consumer EMEA, is excluded from the table as the entire reporting unit, together with allocated goodwill, is classified as held-for-sale as of JuneSeptember 30, 2016.
(3)Asia Global Consumer Banking includes the consumer businesses in UK, Russia, Poland, UAE and Bahrain beginning in the first quarter of 2016.
(4)Latin America Global Consumer Banking contains only the consumer business in Mexico beginning in the first quarter of 2016.






Intangible Assets
The components of intangible assets were as follows:
 June 30, 2016December 31, 2015
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$8,394
$6,543
$1,851
$7,606
$6,520
$1,086
Core deposit intangibles869
818
51
1,050
969
81
Other customer relationships530
289
241
471
252
219
Present value of future profits35
30
5
37
31
6
Indefinite-lived intangible assets238
—
238
284
—
284
Other(1)
5,764
2,629
3,135
4,659
2,614
2,045
Intangible assets (excluding MSRs)$15,830
$10,309
$5,521
$14,107
$10,386
$3,721
Mortgage servicing rights (MSRs)1,324
—
1,324
1,781
—
1,781
Total intangible assets$17,154
$10,309
$6,845
$15,888
$10,386
$5,502
(1)Includes contract-related intangible assets.

 September 30, 2016December 31, 2015
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$8,396
$6,596
$1,800
$7,606
$6,520
$1,086
Credit card contract related intangibles5,255
2,249
3,006
3,922
2,021
1,901
Core deposit intangibles854
811
43
1,050
969
81
Other customer relationships536
298
238
471
252
219
Present value of future profits33
28
5
37
31
6
Indefinite-lived intangible assets228
—
228
284
—
284
Other515
477
38
737
593
144
Intangible assets (excluding MSRs)$15,817
$10,459
$5,358
$14,107
$10,386
$3,721
Mortgage servicing rights (MSRs)1,270
—
1,270
1,781
—
1,781
Total intangible assets$17,087
$10,459
$6,628
$15,888
$10,386
$5,502

 


The changes in intangible assets were as follows:
Net carrying
amount at		 
Net carrying
amount at
Net carrying
amount at		 
Net carrying
amount at
In millions of dollarsDecember 31, 2015
Acquisitions/
divestitures (1)
AmortizationFX translation and otherJune 30,
2016		December 31, 2015
Acquisitions/
divestitures (1)
AmortizationImpairmentsFX translation and otherSeptember 30,
2016
Purchased credit card relationships$1,086
$848
$(98)$15
$1,851
$1,086
$848
$(149)$—
$15
$1,800
Credit card contract related intangibles1,901
1,314
(227)—
18
3,006
Core deposit intangibles81
(13)(15)(2)51
81
(13)(22)—
(3)43
Other customer relationships219
—
(12)34
241
219
—
(19)—
38
238
Present value of future profits6
—
—
(1)5
6
—
—
—
(1)5
Indefinite-lived intangible assets284
(18)—
(28)238
284
(18)—
(1)(37)228
Other2,045
1,205
(133)18
3,135
144
(106)(7)—
7
38
Intangible assets (excluding MSRs)$3,721
$2,022
$(258)$36
$5,521
$3,721
$2,025
$(424)$(1)$37
$5,358
Mortgage servicing rights (MSRs)(2)
1,781
 1,324
1,781
 1,270
Total intangible assets$5,502
 $6,845
$5,502
 $6,628
(1)Reflects the recognition during the second quarter of 2016 of additional purchased credit card relationships and contract-related intangible assets as a result of the acquisition of the Costco cards portfolio, as well as the renewal and extension of the co-branded credit card program agreement with American Airlines.
(2)For additional information on Citi’s MSRs, including the rollforwardroll-forward for the sixnine months ended JuneSeptember 30, 2016, see Note 2018 to the Consolidated Financial Statements.




17.16.   DEBT
For additional information regarding Citi’s short-term borrowings and long-term debt, see Note 18 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.

Short-Term Borrowings
In millions of dollarsJune 30,
2016		December 31,
2015		September 30,
2016		December 31,
2015
BalanceBalanceBalanceBalance
Commercial paper$9,982
$9,995
$10,109
$9,995
Other borrowings(1)8,426
11,084
19,418
11,084
Total$18,408
$21,079
$29,527
$21,079

(1)Includes borrowings from Federal Home Loan Banks and other market participants. At September 30, 2016, collateralized short-term advances from the Federal Home Loan Banks were $10.0 billion. At December 31, 2015, no amounts were outstanding.
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
In millions of dollarsJune 30,
2016		December 31, 2015September 30,
2016		December 31, 2015
Citigroup Inc.(1)
$148,686
$142,157
$149,042
$142,157
Bank(2)
52,627
55,131
51,688
55,131
Broker-dealer(3)
6,135
3,987
8,321
3,987
Total$207,448
$201,275
$209,051
$201,275

(1)ParentRepresents the parent holding company, Citigroup Inc.company.
(2)Represents Citibank entities as well as other bank entities. At JuneSeptember 30, 2016 and December 31, 2015, collateralized long-term advances from the Federal Home Loan Banks were $19.6$21.6 billion and $17.8 billion, respectively.
(3)Represents broker-dealer subsidiaries that are consolidated into Citigroup Inc., the parent holding company.

Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.7 billion at both JuneSeptember 30, 2016 and December 31, 2015.




The following table summarizes the Company’spresents Citi’s outstanding trust preferred securities at JuneSeptember 30, 2016:
    Junior subordinated debentures owned by trust    Junior subordinated debentures owned by trust
Trust
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
In millions of dollars, except share amounts
In millions of dollars, except share amounts








In millions of dollars, except share amounts








Citigroup Capital IIIDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemableDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemable
Citigroup Capital XIIISept. 201089,840,000
2,246
3 mo LIBOR + 637 bps
1,000
2,246
Oct. 30, 2040Oct. 30, 2015Sept. 201089,840,000
2,246
3 mo LIBOR + 637 bps
1,000
2,246
Oct. 30, 2040Oct. 30, 2015
Citigroup Capital XVIIIJune 200799,901
134
6.829
50
134
June 28, 2067June 28, 2017June 200799,901
130
6.829
50
130
June 28, 2067June 28, 2017
Total obligated  
$2,574
  $2,580
   
$2,570
  $2,576
 

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.


18.17.   CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS)
Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:
Three Months Ended JuneSeptember 30, 2016
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Accumulated
other
comprehensive income (loss)
Balance, March 31, 2016$1,127
$178
$(300)$(5,581)$(22,050)$(26,626)
Balance, June 30, 2016$2,054
$190
$(149)$(5,608)$(22,602)$(26,115)
Other comprehensive income before reclassifications1,025
16
115
(66)(552)538
(270)(197)(136)(28)(375)(1,006)
Increase (decrease) due to amounts reclassified from AOCI(98)(4)36
39
—
(27)(162)(3)53
40
—
(72)
Change, net of taxes$927
$12
$151
$(27)$(552)$511
$(432)$(200)$(83)$12
$(375)$(1,078)
Balance at June 30, 2016$2,054
$190
$(149)$(5,608)$(22,602)$(26,115)
Balance at September 30, 2016$1,622
$(10)$(232)$(5,596)$(22,977)$(27,193)
SixNine Months Ended JuneSeptember 30, 2016:
Balance, December 31, 2015$(907)$—
$(617)$(5,116)$(22,704)$(29,344)$(907)$—
$(617)$(5,116)$(22,704)$(29,344)
Adjustment to opening balance, net of taxes(1)
—
(15)—
—
—
(15)—
(15)—
—
—
(15)
Adjusted balance, beginning of period$(907)$(15)$(617)$(5,116)$(22,704)$(29,359)$(907)$(15)$(617)$(5,116)$(22,704)$(29,359)
Other comprehensive income before reclassifications3,051
208
406
(566)102
3,201
2,781
11
270
(594)(273)2,195
Increase (decrease) due to amounts reclassified from AOCI(90)(3)62
74
—
43
(252)(6)115
114
—
(29)
Change, net of taxes
$2,961
$205
$468
$(492)$102
$3,244
$2,529
$5
$385
$(480)$(273)$2,166
Balance at June 30, 2016$2,054
$190
$(149)$(5,608)$(22,602)$(26,115)
Balance at September 30, 2016$1,622
$(10)$(232)$(5,596)$(22,977)$(27,193)
Three Months Ended JuneSeptember 30, 2015
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on investment securities
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Accumulated
other
comprehensive income (loss)
Balance, March 31, 2015$648
$(823)$(5,249)$(19,267)$(24,691)
Balance, June 30, 2015$(287)$(731)$(4,671)$(19,415)$(25,104)
Other comprehensive income before reclassifications(844)22
539
(148)(431)556
149
(400)(2,493)(2,188)
Increase (decrease) due to amounts reclassified from AOCI(91)70
39
—
18
(45)40
40
—
35
Change, net of taxes
$(935)$92
$578
$(148)$(413)$511
$189
$(360)$(2,493)$(2,153)
Balance, June 30, 2015$(287)$(731)$(4,671)$(19,415)$(25,104)
Balance, September 30, 2015$224
$(542)$(5,031)$(21,908)$(27,257)
SixNine Months Ended JuneSeptember 30, 2015:
Balance, December 31, 2014$57
$(909)$(5,159)$(17,205)$(23,216)$57
$(909)$(5,159)$(17,205)$(23,216)
Other comprehensive income before reclassifications(103)54
408
(2,210)(1,851)453
203
7
(4,703)(4,040)
Increase (decrease) due to amounts reclassified from
AOCI
(241)124
80
—
(37)(286)164
121
—
(1)
Change, net of taxes$(344)$178
$488
$(2,210)$(1,888)$167
$367
$128
$(4,703)$(4,041)
Balance, June 30, 2015$(287)$(731)$(4,671)$(19,415)$(25,104)
Balance, September 30, 2015$224
$(542)$(5,031)$(21,908)$(27,257)


(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 Citigroup’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, Korean Won, Japanese yen, euro,Yen, and Brazilian realAustralian Dollar against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended JuneSeptember 30, 2016. Primarily reflects the movements in (by order of impact) the Mexican peso, Japanese yen, euro,Yen, Brazilian realReal and Chilean pesoKorean Won against the U.S. dollar, and changes in related tax effects and hedges for quarternine months ended March 31,September 30, 2016. Primarily reflects the movements in (by order of impact) the Mexican peso, British pound,Brazilian real, Korean won and euroBritish pound against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended JuneSeptember 30, 2015. Primarily reflects the movements in (by order of impact) the euro, Mexican peso, British pound,Brazilian real, Korean won and Brazilian realAustralian dollar against the U.S. dollar, and changes in related tax effects and hedges for the quarternine months ended March 31,September 30, 2015.

The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three Months Ended JuneSeptember 30, 2016
In millions of dollarsPretaxTax effectAfter-taxPretaxTax effectAfter-tax
Balance, March 31, 2016$(34,668)$8,042
$(26,626)
Balance, June 30, 2016$(33,714)$7,599
$(26,115)
Change in net unrealized gains (losses) on investment securities1,482
(555)927
(686)254
(432)
Debt valuation adjustment (DVA)20
(8)12
(319)119
(200)
Cash flow hedges257
(106)151
(131)48
(83)
Benefit plans(31)4
(27)11
1
12
Foreign currency translation adjustment(774)222
(552)(313)(62)(375)
Change$954
$(443)$511
$(1,438)$360
$(1,078)
Balance, June 30, 2016$(33,714)$7,599
$(26,115)
Balance, September 30, 2016$(35,152)$7,959
$(27,193)
SixNine Months Ended JuneSeptember 30, 2016
In millions of dollarsPretaxTax effectAfter-taxPretaxTax effectAfter-tax
Balance, December 31, 2015$(38,440)$9,096
$(29,344)$(38,440)$9,096
$(29,344)
Adjustment to opening balance (1)
(26)11
(15)(26)11
(15)
Adjusted balance, beginning of period$(38,466)$9,107
$(29,359)$(38,466)$9,107
$(29,359)
Change in net unrealized gains (losses) on investment securities4,706
(1,745)2,961
4,020
(1,491)2,529
Debt valuation adjustment (DVA)327
(122)205
8
(3)5
Cash flow hedges739
(271)468
607
(222)385
Benefit plans(758)266
(492)(747)267
(480)
Foreign currency translation adjustment(262)364
102
(574)301
(273)
Change$4,752
$(1,508)$3,244
$3,314
$(1,148)$2,166
Balance, June 30, 2016$(33,714)$7,599
$(26,115)
Balance, September 30, 2016$(35,152)$7,959
$(27,193)
(1)Represents the ($15) million adjustment related to the initial adoption of ASU 2016-01. See Note 1 to the Consolidated Financial Statements.



Three Months Ended JuneSeptember 30, 2015
In millions of dollarsPretaxTax effectAfter-taxPretaxTax effectAfter-tax
Balance, March 31, 2015$(32,279)$7,588
$(24,691)
Balance, June 30, 2015$(33,148)$8,044
$(25,104)
Change in net unrealized gains (losses) on investment securities(1,517)582
(935)821
(310)511
Cash flow hedges118
(26)92
322
(133)189
Benefit plans810
(232)578
(545)185
(360)
Foreign currency translation adjustment(280)132
(148)(2,792)299
(2,493)
Change$(869)$456
$(413)$(2,194)$41
$(2,153)
Balance, June 30, 2015$(33,148)$8,044
$(25,104)$(35,342)$8,085
$(27,257)

SixNine Months Ended JuneSeptember 30, 2015
In millions of dollarsPretaxTax effectAfter-taxPretaxTax effectAfter-tax
Balance, December 31, 2014$(31,060)$7,844
$(23,216)$(31,060)$7,844
$(23,216)
Change in net unrealized gains (losses) on investment securities(468)124
(344)353
(186)167
Cash flow hedges274
(96)178
596
(229)367
Benefit plans689
(201)488
144
(16)128
Foreign currency translation adjustment(2,583)373
(2,210)(5,375)672
(4,703)
Change$(2,088)$200
$(1,888)$(4,282)$241
$(4,041)
Balance, June 30, 2015$(33,148)$8,044
$(25,104)
Balance, September 30, 2015$(35,342)$8,085
$(27,257)


During the three and six months ended June 30, 2016, theThe Company recognized pretax gain of $39 million ($27 million net of tax) and pretax loss of $75 million ($43 million net of tax), respectively,(loss) related to amounts in AOCI reclassified out of AOCI intoin the Consolidated Statement of Income as follows:
Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of IncomeIncrease (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2016201620162016
Realized (gains) losses on sales of investments$(200)$(386)$(287)$(673)
OTTI gross impairment losses48
251
32
283
Subtotal, pretax$(152)$(135)$(255)$(390)
Tax effect54
45
93
138
Net realized (gains) losses on investment securities, after-tax(1)
$(98)$(90)$(162)$(252)
Realized DVA (gains) losses on fair value option liabilities$(6)$(5)$(5)$(10)
Subtotal, pretax$(6)$(5)$(5)$(10)
Tax effect2
2
2
4
Net realized debt valuation adjustment, after-tax$(4)$(3)$(3)$(6)
Interest rate contracts$41
$57
$39
$96
Foreign exchange contracts17
43
46
89
Subtotal, pretax$58
$100
$85
$185
Tax effect(22)(38)(32)(70)
Amortization of cash flow hedges, after-tax(2)
$36
$62
$53
$115
Amortization of unrecognized    
Prior service cost (benefit)$(11)$(21)$(10)$(31)
Net actuarial loss69
135
73
208
Curtailment/settlement impact(3)
3
1
8
9
Subtotal, pretax$61
$115
$71
$186
Tax effect(22)(41)(31)(72)
Amortization of benefit plans, after-tax(3)
$39
$74
$40
$114
Foreign currency translation adjustment$—
$—
$—
$—
Total amounts reclassified out of AOCI, pretax$(39)$75
$(104)$(29)
Total tax effect12
(32)32
—
Total amounts reclassified out of AOCI, after-tax$(27)$43
$(72)$(29)
(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 1312 to the Consolidated Financial Statements for additional details.
(2)See Note 2119 to the Consolidated Financial Statements for additional details.
(3)See Note 8 to the Consolidated Financial Statements for additional details.






















During the three and six months ended June 30, 2015, theThe Company recognized pretax loss of $43 million ($18 million net of tax) and pretax gain of $42 million ($37 million net of tax), respectively,(loss) related to amounts in AOCI reclassified out of AOCI intoin the Consolidated Statement of Income as follows:
Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of IncomeIncrease (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2015201520152015
Realized (gains) losses on sales of investments$(183)$(490)$(151)$(641)
OTTI gross impairment losses43
115
80
195
Subtotal, pretax$(140)$(375)$(71)$(446)
Tax effect49
134
26
160
Net realized (gains) losses on investment securities, after-tax(1)
$(91)$(241)$(45)$(286)
Interest rate contracts$74
$120
$28
$148
Foreign exchange contracts37
77
35
112
Subtotal, pretax$111
$197
$63
$260
Tax effect(41)(73)(23)(96)
Amortization of cash flow hedges, after-tax(2)
$70
$124
$40
$164
Amortization of unrecognized    
Prior service cost (benefit)$(10)$(21)$(11)$(32)
Net actuarial loss72
147
64
211
Curtailment/settlement impact(3)
10
10
2
12
Subtotal, pretax$72
$136
$55
$191
Tax effect(33)(56)(15)(70)
Amortization of benefit plans, after-tax(3)
$39
$80
$40
$121
Foreign currency translation adjustment$—
$—
$—
$—
Total amounts reclassified out of AOCI, pretax$43
$(42)$47
$5
Total tax effect(25)5
(12)(6)
Total amounts reclassified out of AOCI, after-tax$18
$(37)$35
$(1)

(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 1312 to the Consolidated Financial Statements for additional details.
(2)See Note 2119 to the Consolidated Financial Statements for additional details.
(3)See Note 8 to the Consolidated Financial Statements for additional details.



19.   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		June 30,
2016		December 31,
2015
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
$—
Series T(17)
April 25, 2016August 15, 20266.250
1,000
1,500,000
1,500
$—
    
 
 
$19,253
$16,718
(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 semi-annually on April 30 and October 30 at a fixed rate until April 30, 2018, thereafter payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(3)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on January 30 and July 30 at a fixed rate until January 30, 2023, thereafter payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(4)
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 semi-annually 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 semi-annually 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 semi-annually 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 semi-annually 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 semi-annually 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 semi-annually 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 depository shares, each representing 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually 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 depository shares, each representing 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually 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 depository shares, each representing 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 depository shares, each representing 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually 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 the second quarter of 2016, Citi distributed $322 million in dividends on its outstanding preferred stock. As of June 30, 2016, Citi estimates it will distribute preferred dividends of approximately $546 million during the remainder of 2016, in each case assuming such dividends are declared by the Citi Board of Directors.





20.18. SECURITIZATIONS AND VARIABLE INTEREST ENTITIES
 
UsesFor additional information regarding Citi’s use 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 liquidityentities (SPEs) and favorable capital treatment by securitizing certain financial assets, to assist clients in securitizing their financial assets and to create investment products for clients. SPEs may be organized in various legal forms, including trusts, partnerships or corporations. In a securitization, the company transferring assets to an SPE converts all (or a portion) of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt and equity instruments, certificates, commercial paper or other notes of indebtedness. These issuances are recorded on the balance sheet of the SPE, which may or may not be consolidated onto the balance sheet of the company that organized the SPE.
Investors usually have recourse only to the assets in the SPE, but may also benefit from other credit enhancements, such as a collateral account, a line of credit or a liquidity facility, such as a liquidity put option or asset purchase agreement. Because of these enhancements, the SPE issuances typically obtain a more favorable credit rating than the transferor could obtain for its own debt issuances. This results in less expensive financing costs than unsecured debt. The SPE may also enter into derivative contracts in order to convert the yield or currency of the underlying assets to match the needs of the SPE investors or to limit or change the credit risk of the SPE. Citigroup may be the provider of certain credit enhancements as well as the counterparty to any related derivative contracts.
Most of Citigroup’s SPEs are variable interest entities (VIEs), as described below.
Variable Interest Entities
VIEs are entities that have either a total equity investment that is insufficient to permit the entity to finance its activities without additional subordinated financial support, or whose equity investors lack the characteristics of a controlling financial interest (i.e., ability to make significant decisions through voting rights or similar rights,see Notes 22 and a right to receive the expected residual returns of the entity or an obligation to absorb the expected losses of the entity). Investors that finance the VIE through debt or equity interests or other counterparties providing other forms of support, such as guarantees, certain fee arrangements or certain types of derivative contracts are variable interest holders in the entity.
The variable interest holder, if any, that has a controlling financial interest in a VIE is deemed to be the primary beneficiary and must consolidate the VIE. Citigroup would be deemed to have a controlling financial interest and be the primary beneficiary if it has both of the following characteristics:

power to direct the activities of the VIE that most significantly impact the entity’s economic performance; and
an obligation to absorb losses of the entity that could potentially be significant20 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 purposeConsolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K and designFirst Quarter of the entity, the role the Company had in the entity’s design and its involvement in the VIE’s ongoing activities. The Company then must evaluate which activities most significantly impact the economic performance of the VIE and who has the power to direct such activities.
For those VIEs where the Company determines that it has the power to direct the activities that most significantly impact the VIE’s economic performance, the Company must then evaluate its economic interests, if any, and determine whether it could absorb losses or receive benefits that could potentially be significant to the VIE. When evaluating whether the Company has an obligation to absorb losses that could potentially be significant, it considers the maximum exposure to such loss without consideration of probability. Such obligations could be in various forms, including, but not limited to, debt and equity investments, guarantees, liquidity agreements and certain derivative contracts.
In various other transactions, the Company may: (i) act as a derivative counterparty (for example, interest rate swap, cross-currency swap, or purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return2016 Quarterly Report 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.



Form 10-Q, respectively.

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 June 30, 2016 As of September 30, 2016 
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Funded exposures(2)
Unfunded exposures  
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$51,457
$51,457
$—
$—
$—
$—
$—
$—
$50,416
$50,416
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
  
U.S. agency-sponsored230,600
—
230,600
4,177
—
—
87
4,264
217,482
—
217,482
3,678
—
—
82
3,760
Non-agency-sponsored16,563
1,391
15,172
295
35
—
1
331
15,257
1,244
14,013
232
38
—
1
271
Citi-administered asset-backed commercial paper conduits (ABCP)21,245
21,245
—
—
—
—
—
—
20,324
20,324
—
—
—
—
—
—
Collateralized loan obligations (CLOs)15,743
—
15,743
3,708
—
—
83
3,791
18,592
—
18,592
4,752
—
—
83
4,835
Asset-based financing57,543
1,228
56,315
20,045
413
5,051
363
25,872
58,084
1,231
56,853
19,508
456
5,193
437
25,594
Municipal securities tender option bond trusts (TOBs)7,379
2,819
4,560
113
—
2,831
—
2,944
7,289
2,980
4,309
161
—
2,672
—
2,833
Municipal investments18,304
36
18,268
2,392
2,946
2,451
—
7,789
17,371
17
17,354
2,306
3,272
2,321
—
7,899
Client intermediation408
179
229
54
—
—
—
54
517
337
180
53
—
—
—
53
Investment funds2,710
789
1,921
31
156
68
—
255
2,744
788
1,956
35
156
59
3
253
Other4,402
592
3,810
210
550
77
47
884
1,346
619
727
149
—
119
45
313
Total(5)
$426,354
$79,736
$346,618
$31,025
$4,100
$10,478
$581
$46,184
$409,422
$77,956
$331,466
$30,874
$3,922
$10,364
$651
$45,811
 As of December 31, 2015 
    
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$54,916
$54,916
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
        
U.S. agency-sponsored217,291
—
217,291
3,571
—
—
95
3,666
Non-agency-sponsored13,036
1,586
11,450
527
—
—
1
528
Citi-administered asset-backed commercial paper conduits (ABCP)21,280
21,280
—
—
—
—
—
—
Collateralized loan obligations (CLOs)16,719
—
16,719
3,150
—
—
86
3,236
Asset-based financing58,862
1,364
57,498
21,270
269
3,616
436
25,591
Municipal securities tender option bond trusts (TOBs)8,572
3,830
4,742
2
—
3,100
—
3,102
Municipal investments20,290
44
20,246
2,196
2,487
2,335
—
7,018
Client intermediation434
335
99
49
—
—
—
49
Investment funds1,730
842
888
13
138
102
—
253
Other4,915
597
4,318
292
554
—
52
898
Total(5)
$418,045
$84,794
$333,251
$31,070
$3,448
$9,153
$670
$44,341

Note: Certain adjustments have been made to the December 31, 2015 information to conform to the current period’s presentation.
(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)Included on Citigroup’s JuneSeptember 30, 2016 and December 31, 2015 Consolidated Balance Sheet.


(3)A significant unconsolidated VIE is an entity where 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)Citi’s total involvement with Citicorp SPE assets was $398.2$390.9 billion and $383.2 billion as of JuneSeptember 30, 2016 and December 31, 2015, respectively, with the remainder related to Citi Holdings.




The previous tables do not 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 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 VIEs structured by third parties where the Company holds securities in inventory, as these investments are made on arm’s-length terms;
certain positions in mortgage-backed and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, where the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 1220 and 1312 to the Consolidated Financial Statements);
certain representations and warranties exposures in legacy ICG-sponsored mortgage-backed and asset-backed securitizations, where the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 where the Company has no variable interest or continuing involvement as servicer was approximately $11$10 billion and $12 billion at JuneSeptember 30, 2016 and December 31, 2015, respectively;
certain representations and warranties exposures in Citigroup residential mortgage securitizations, where the original mortgage loan balances are no longer outstanding; and
VIEs such as trust preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.

 

The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., loan or security) and the Company’s standard accounting policies for the asset type and line of business.
The asset balances for unconsolidated VIEs where 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. For VIEs that obtain asset exposures synthetically through derivative instruments, the tables generally include the full original notional amount of the derivative as an asset balance.
The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company, or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps, or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.



Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:
 June 30, 2016December 31, 2015
In millions of dollars
Liquidity
facilities
Loan / equity
commitments
Liquidity
facilities
Loan / equity
commitments
Asset-based financing$5
$5,046
$5
$3,611
Municipal securities tender option bond trusts (TOBs)2,831
—
3,100
—
Municipal investments—
2,451
—
2,335
Investment funds—
68
—
102
Other—
77
—
—
Total funding commitments$2,836
$7,642
$3,105
$6,048
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 Company’s Consolidated Balance Sheet, and any proceeds received are recognized as secured liabilities. The consolidated VIEs included in the tables below 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 the Company has provided a guarantee to the investors or is the counterparty to certain derivative transactions involving
the VIE. Thus, the Company’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 the table. 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 the Company’s general assets.
The following table presents the carrying amounts and classifications of consolidated assets that are collateral for consolidated VIE obligations:

In billions of dollarsJune 30, 2016December 31, 2015
Cash$0.1
$0.2
Trading account assets0.4
0.6
Investments4.8
5.3
Total loans, net of allowance74.3
78.6
Other0.1
0.1
Total assets$79.7
$84.8
Short-term borrowings$13.0
$14.0
Long-term debt27.7
31.3
Other liabilities2.1
2.1
Total liabilities(1)
$42.8
$47.4


(1)The total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citi were $40.8 billion and $45.3 billion as of June 30, 2016 and December 31, 2015, respectively. Liabilities of consolidated VIEs for which creditors or beneficial interest holders have recourse to the general credit of Citi comprise two items included in the above table: (i) credit enhancements provided to consolidated Citi-administered commercial paper conduits in the form of letters of credit of $1.9 billion at June 30, 2016 and December 31, 2015; and (ii) credit guarantees provided by Citi to certain consolidated municipal tender option bond trusts of $82 million at June 30, 2016 and December 31, 2015.

 September 30, 2016December 31, 2015
In millions of dollars
Liquidity
facilities
Loan / equity
commitments
Liquidity
facilities
Loan / equity
commitments
Asset-based financing$5
$5,188
$5
$3,611
Municipal securities tender option bond trusts (TOBs)2,672
—
3,100
—
Municipal investments—
2,321
—
2,335
Investment funds—
59
—
102
Other—
119
—
—
Total funding commitments$2,677
$7,687
$3,105
$6,048
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 dollarsJune 30, 2016December 31, 2015September 30, 2016December 31, 2015
Cash$0.1
$0.1
$0.1
$0.1
Trading account assets7.6
6.2
7.6
6.2
Investments3.7
3.0
4.1
3.0
Total loans, net of allowance22.5
23.6
21.8
23.6
Other1.3
1.7
1.2
1.7
Total assets$35.2
$34.6
$34.8
$34.6
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; 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 the Company’s credit card securitization activity is through two trusts—Citibank Credit Card Master Trust (Master Trust) and the Citibank Omni Master Trust (Omni
(Omni Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities because, as servicer, Citigroup has the power to direct
entities.
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, and also provides liquidity facilities to 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.
The Company 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 dollarsJune 30, 2016December 31, 2015September 30, 2016December 31, 2015
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$26.2
$29.7
$23.4
$29.7
Retained by Citigroup as trust-issued securities7.9
9.4
7.8
9.4
Retained by Citigroup via non-certificated interests17.0
16.5
18.7
16.5
Total$51.1
$55.6
$49.9
$55.6

The following tables summarize selected cash flow information related to Citigroup’s credit card securitizations:
Three months ended June 30,Three months ended September 30,
In billions of dollars2016201520162015
Proceeds from new securitizations$—
$—
$—
$—
Pay down of maturing notes(1.3)(3.1)(2.8)(0.7)
Six months ended June 30,Nine months ended September 30,
In billions of dollars2016201520162015
Proceeds from new securitizations$—
$—
$—
$—
Pay down of maturing notes(3.5)(5.8)(6.3)(6.5)

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 two securitization trusts—Master Trust, which is part of Citicorp, and Omni Trust, substantially all of which is also part of Citicorp. The liabilities of the trusts are included in the Consolidated Balance Sheet, excluding those retained by Citigroup.


The Master Trust issues fixed- and floating-rate term notes. Some of the term notes are issued to multi-seller commercial paper conduits. The weighted average maturity of
the third-party term notes issued by the Master Trust was 2.2 years as of JuneSeptember 30, 2016 and 2.4 years as of December 31, 2015.




Master Trust Liabilities (at Par Value)
In billions of dollarsJune 30, 2016Dec. 31, 2015September 30, 2016Dec. 31, 2015
Term notes issued to third parties$25.0
$28.4
$22.1
$28.4
Term notes retained by Citigroup affiliates6.1
7.5
5.9
7.5
Total Master Trust liabilities$31.1
$35.9
$28.0
$35.9

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 0.40.1 years as of JuneSeptember 30, 2016 and 0.9 years as of December 31, 2015.

Omni Trust Liabilities (at Par Value)
In billions of dollarsSeptember 30, 2016Dec. 31, 2015
Term notes issued to third parties$1.3
$1.3
Term notes retained by Citigroup affiliates1.9
1.9
Total Omni Trust liabilities$3.2
$3.2
In billions of dollarsJune 30, 2016Dec. 31, 2015
Term notes issued to third parties$1.3
$1.3
Term notes retained by Citigroup affiliates1.9
1.9
Total Omni Trust liabilities$3.2
$3.2




Mortgage Securitizations
The Company 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 the Company’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, the Company’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.
The Company securitizes mortgage loans generally through either a government-sponsored agency, such as Ginnie Mae, Fannie Mae or Freddie Mac (U.S. agency-sponsored
mortgages), or private-label (non-agency-sponsored mortgages) securitization. The Company is not the primary beneficiary of its U.S. agency-sponsored mortgage securitizations because Citigroup does not have the power to direct the activities of the VIE that most significantly impact the entity’s economic performance. Therefore, Citi does not consolidate these U.S. agency-sponsored mortgage securitizations.
The Company does not consolidate certain non-agency-sponsored mortgage securitizations because Citi is either not the servicer with the power to direct the significant activities of the entity or Citi is the servicer but the servicing relationship is deemed to be a fiduciary relationship; therefore, Citi is not deemed to be the primary beneficiary of the entity.
In certain instances, the Company has (i) the power to direct the activities and (ii) the obligation to either absorb losses or the right to receive benefits that could be potentially significant to its non-agency-sponsored mortgage securitizations and, therefore, is the primary beneficiary and thus consolidates the VIE.


The following tables summarize selected cash flow information related to Citigroup mortgage securitizations:
Three months ended June 30,Three months ended September 30,
2016201520162015
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Proceeds from new securitizations$10.3
$2.3
$10.1
$2.5
$11.7
$1.4
$6.8
$3.1
Contractual servicing fees received0.1
—
0.1
—
0.1
—
0.1
—
Six months ended June 30,Nine months ended September 30,
2016201520162015
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Proceeds from new securitizations(1)
$20.9
$6.5
$18.5
$6.1
$32.5
$8.0
$19.8
$9.2
Contractual servicing fees received0.2
—
0.2
—
0.3
—
0.4
—

(1) The proceeds from new securitizations in 2016 include $0.5 billion related to personal loan securitizations.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $20$36 million and $45$81 million for the three and sixnine months ended JuneSeptember 30, 2016, respectively. For the three and sixnine months ended JuneSeptember 30, 2016, gains recognized on the securitization of non-agency sponsored mortgages were $19$37 million and $28$65 million, respectively.


 
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $47$25 million and $90$115 million for the three and sixnine months ended JuneSeptember 30, 2015, respectively. For the three and sixnine months ended JuneSeptember 30, 2015, gains recognized on the securitization of non-agency sponsored mortgages were $15$7 million and $31$38 million, respectively.




Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
 Three months ended JuneSeptember 30, 2016
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate0.8%1.5% to 11.5%13.0%
—
—
   Weighted average discount rate9.110.0%—
—
Constant prepayment rate8.6%7.7% to 26.8%30.9%
—
—
   Weighted average constant prepayment rate13.313.7%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life0.52.0 to 11.49.8 years
—
—

Note: Citi held no retained interests in non-agency-sponsored mortgages securitized during the secondthird quarter of 2016.


Three months ended June 30, 2015Three months ended September 30, 2015
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.0% to 8.2%
—
11.2% to 12.1%
2.3% to 10.7%
3.2%—
Weighted average discount rate5.3%—
11.6%8.1%3.2%—
Constant prepayment rate5.7% to 15.5%
—
3.5% to 8.0%
8.4% to 16.6%
—
—
Weighted average constant prepayment rate9.5%—
5.6%11.8%—
—
Anticipated net credit losses(2)
   NM
—
38.1% to 52.1%
   NM
40.0%—
Weighted average anticipated net credit losses   NM
—
45.7%   NM
40.0%—
Weighted average life3.5 to 12.8 years
—
8.9 to 12.9 years
6.3 to 9.3 years
9.8 years
—
 SixNine months ended JuneSeptember 30, 2016
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.8% to 11.5%13.0%
—
—
   Weighted average discount rate8.79.1%—
—
Constant prepayment rate8.6%7.7% to 26.8%30.9%
—
—
   Weighted average constant prepayment rate12.512.8%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life0.5 to 17.5 years
—
—

Note: Citi held no retained interests in non-agency-sponsored mortgages securitized during 2016.
Six months ended June 30, 2015Nine months ended September 30, 2015
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.0% to 8.2%
2.8%4.4% to 12.1%
0.0% to 10.7%
2.8% to 3.2%
4.4% to 12.1%
Weighted average discount rate5.6%2.8%7.2%6.4%2.9%7.2%
Constant prepayment rate5.7% to 34.9%
—
3.3% to 8.0%
5.7% to 34.9%
0.0%3.3% to 8.0%
Weighted average constant prepayment rate12.9%—
4.2%12.6%0.0%4.2%
Anticipated net credit losses(2)
   NM
40.0%38.1% to 55.9%
   NM
40.0%38.1% to 55.9%
Weighted average anticipated net credit losses   NM
40.0%52.0%   NM
40.0%52.0%
Weighted average life3.5 to 12.8 years
9.7 years
0.0 to 12.9 years
3.5 to 12.8 years
9.7 to 9.8 years
0.0 to 12.9 years

(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.



The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests.
The key assumptions used to value retained interests, and the sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions, are set forth in the tables
 
below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.

June 30, 2016September 30, 2016
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate   0.3% to 27.0%
   0.3% to 8.5%
   1.6% to 30.1%
   0.3% to 31.3%
   4.8% to 7.8%
   5.2% to 32.7%
Weighted average discount rate5.4%5.2%12.3%7.0%6.5%13.3%
Constant prepayment rate10.0% to 46.5%
   4.7% to 19.7%
   0.5% to 42.0%
7.7% to 36.0%
   4.2% to 9.8%
   0.5% to 37.5%
Weighted average constant prepayment rate20.0%5.2%8.7%16.4%5.6%10.8%
Anticipated net credit losses(2)
   NM
   0.5% to 90.2%
   2.8% to 93.0%
   NM
   51.5% to 85.6%
   8.0% to 94.4%
Weighted average anticipated net credit losses   NM
83.8%48.3%   NM
76.1%47.5%
Weighted average life0.5 to 18.5 years
   4.3 to 14.8 years
   1.5 to 11.3 years
0.3 to 17.6 years
   6.5 to 16.9 years
   1.2 to 17.6 years
 December 31, 2015
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate   0.0% to 27.0%
   1.6% to 67.6%
   2.0% to 24.9%
   Weighted average discount rate4.9%7.6%8.4%
Constant prepayment rate5.7% to 27.8%
   4.2% to 100.0%
   0.5% to 20.8%
   Weighted average constant prepayment rate12.3%14.0%7.5%
Anticipated net credit losses(2)
   NM
   0.2% to 89.1%
   3.8% to 92.0%
   Weighted average anticipated net credit losses   NM
48.9%54.4%
Weighted average life1.3 to 21.0 years
   0.3 to 18.1 years
   0.9 to 19.0 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.


June 30, 2016September 30, 2016
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Carrying value of retained interests$2,555
$33
$190
$2,261
$20
$166
Discount rates  
Adverse change of 10%$(45)$(7)$(11)$(54)$(6)$(8)
Adverse change of 20%(90)(13)(20)(105)(12)(16)
Constant prepayment rate  
Adverse change of 10%(104)(2)(5)(91)(1)(4)
Adverse change of 20%(204)(3)(10)(189)(3)(9)
Anticipated net credit losses  
Adverse change of 10%NM
(10)(2)NM
(6)(2)
Adverse change of 20%NM
(18)(4)NM
(12)(3)


 December 31, 2015
  
Non-agency-sponsored mortgages(1)
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Carrying value of retained interests$3,546
$179
$533
Discount rates   
   Adverse change of 10%$(79)$(8)$(25)
   Adverse change of 20%(155)(15)(49)
Constant prepayment rate   
   Adverse change of 10%(111)(3)(9)
   Adverse change of 20%(213)(6)(18)
Anticipated net credit losses   
   Adverse change of 10%NM
(6)(7)
   Adverse change of 20%NM
(11)(14)

Note: There were no subordinated interests in mortgage securitizations in Citi Holdings as of JuneSeptember 30, 2016 and December 31, 2015.
(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, the Company’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 asset referred to as mortgage servicing rights (MSRs), which are recorded at fair value on Citi’s Consolidated Balance Sheet. The fair value of Citi’s capitalized MSRs was $1.3 billion and $1.9$1.8 billion at JuneSeptember 30, 2016 and 2015, respectively. The MSRs correspond to principal loan balances of $186$173 billion and $209$203 billion as of JuneSeptember 30, 2016 and 2015, respectively. The following tables summarize the changes in capitalized MSRs:
 Three months ended September 30,
In millions of dollars20162015
Balance, as of June 30$1,324
$1,924
Originations43
57
Changes in fair value of MSRs due to changes in inputs and assumptions13
(140)
Other changes(1)
(78)(79)
Sale of MSRs(2)
(32)4
Balance, as of September 30$1,270
$1,766
 
Three months ended June 30,Nine months ended September 30,
In millions of dollars2016201520162015
Balance, as of March 31$1,524
$1,685
Balance, beginning of year$1,781
$1,845
Originations35
68
111
168
Changes in fair value of MSRs due to changes in inputs and assumptions(137)262
(349)51
Other changes(1)
(98)(82)(255)(261)
Sale of MSRs(2)—
(9)(18)(37)
Balance, as of June 30$1,324
$1,924
Balance, as of September 30$1,270
$1,766

 Six months ended June 30,
In millions of dollars20162015
Balance, beginning of year$1,781
$1,845
Originations68
111
Changes in fair value of MSRs due to changes in inputs and assumptions(362)191
Other changes(1)
(177)(182)
Sale of MSRs(2)
14
(41)
Balance, as of June 30$1,324
$1,924


(1)Represents changes due to customer payments and passage of time.
(2)Current period’s amount is related to a saleAmount 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, the Company 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:
Three months ended June 30,Six months ended June 30,Three months ended September 30,Nine months ended September 30,
In millions of dollars20162015201620152016201520162015
Servicing fees$126
$141
$254
$281
$117
$135
$371
$416
Late fees4
4
8
8
3
4
11
12
Ancillary fees4
15
9
22
4
6
13
28
Total MSR fees$134
$160
$271
$311
$124
$145
$395
$456

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.

Re-securitizations
The 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) securities to re-securitization entities during the three and sixnine months ended JuneSeptember 30, 2016. During the three and sixnine months ended JuneSeptember 30, 2015, Citi transferred non-agency (private-label) securities with an original par value of $195$141 million and $649$790 million, respectively, to re-securitization entities. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of JuneSeptember 30, 2016, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $169$133 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, 2015, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $428 million (including $132 million related to re-securitization transactions executed in 2015). Of this amount, approximately $18 million was related to senior beneficial interests, and approximately $410 million 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 JuneSeptember 30, 2016 and December 31, 2015 was approximately $2.1$1.5 billion and $3.7 billion, respectively.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the three and sixnine months ended JuneSeptember 30, 2016, Citi transferred agency securities with a fair value of approximately $6.9$7.1 billion and $14.2$21.3 billion, respectively, to re-securitization entities compared to approximately $4.6$3.5 billion and $8.9$12.4 billion for the three and sixnine months ended JuneSeptember 30, 2015.
As of JuneSeptember 30, 2016, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.8$2.4 billion (including $785$670 million related to re-securitization transactions executed in 2016) compared to $1.8 billion as of December 31, 2015 (including $1.5 billion related to re-securitization transactions executed in 2015), which is recorded in Trading account assets. The original fair value of agency re-securitization transactions in
which Citi holds a retained interest as of JuneSeptember 30, 2016 and December 31, 2015 was approximately $71.2$69.9 billion and $65.0 billion, respectively.
As of JuneSeptember 30, 2016 and December 31, 2015, the Company did not consolidate any private-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 the Company. The funding of the conduits is facilitated by the liquidity support and credit enhancements provided by the Company.
As administrator to Citi’s conduits, the Company is generally responsible for selecting and structuring assets purchased or financed by the conduits, making decisions regarding the funding of the conduits, including determining the tenor and other features of the commercial paper issued, monitoring the quality and performance of the conduits’ assets, and facilitating the operations and cash flows of the conduits. In return, the Company earns structuring fees from customers for individual transactions and earns an administration fee from the conduit, which is equal to the income from the client program and liquidity fees of the conduit after payment of conduit expenses. This administration fee is fairly stable, since most risks and rewards of the underlying assets are passed back to the clients. Once the asset pricing is negotiated, most ongoing income, costs and fees are relatively stable as a percentage of the conduit’s size.
The conduits administered by the Company 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 the



Company’s internal risk ratings. At JuneSeptember 30, 2016 and December 31, 2015, the commercial paper conduits administered by Citi had approximately $21.2$20.3 billion and $21.3 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $13.5 billion and $11.6 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At JuneSeptember 30, 2016 and December 31, 2015, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 4960 and 56 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteed loan conduit, have obtained a letter of credit from the Company, which is equal to at least 8% to 10% of the conduit’s assets with a minimum of $200 million. The letters of credit provided by the Company to the conduits total approximately $1.9$1.8 billion as of JuneSeptember 30, 2016 and December 31, 2015. The net result across multi-seller conduits administered by the Company, other than the government guaranteed loan conduit, is that, in the event defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then the commercial paper investors.
The Company 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, the Company 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, the Company invests in commercial paper, including commercial paper issued by the Company's conduits. At JuneSeptember 30, 2016 and December 31, 2015, the Company owned $11.3$10.2 billion and $11.4 billion, respectively, of the commercial paper issued by its administered conduits. The Company's investments were
not driven by market illiquidity and 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 the Company. 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 the Company 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
A collateralized loan obligation (CLO) is a VIE that purchases a portfolio of assets consisting primarily of non-investment grade corporate loans. The CLO issues 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 the 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 the CLO, through their ownership of debt and/or equity in the CLO, can also direct certain activities of the CLO, including removing the CLO asset manager under limited circumstances, optionally redeeming the notes, voting on amendments to the CLO’s operating documents and other activities. The CLO has a finite life, typically 12 years.
Citi serves as a structuring and placement agent with respect to the CLO. Typically, the debt and equity of the CLO are sold to third-party investors. On occasion, certain Citi entities may purchase some portion of the CLO’s liabilities for investment purposes. In addition, Citi may purchase, typically in the secondary market, certain securities issued by the CLO to support its market making activities.
The Company does not generally have the power to direct the activities of the entity 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.




Key Assumptions and Retained Interests
The key assumptions used to value retained interests in CLOs, and the sensitivity of the fair value to adverse changes of 10% and 20% are set forth in the tables below:

JuneSept. 30, 2016Dec. 31, 2015
Discount rate   1.1% to 41.9%1.5%1.4% to 49.6%
In millions of dollarsJune 30, 2016Dec. 31, 2015Sept. 30, 2016Dec. 31, 2015
Carrying value of retained interests$908
$918
$909
$918
Discount rates  
Adverse change of 10%$(5)$(5)$(4)$(5)
Adverse change of 20%(10)(10)(9)(10)




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 Citigroup’sCiti’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement, and the Company’sCiti’s maximum exposure to loss are shown below. For the CompanyCiti to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
June 30, 2016September 30, 2016
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$14,981
$5,483
$12,608
$4,811
Corporate loans1,050
1,948
1,082
2,381
Hedge funds and equities386
56
374
57
Airplanes, ships and other assets39,898
18,385
42,789
18,345
Total$56,315
$25,872
$56,853
$25,594
 December 31, 2015
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$17,459
$6,528
Corporate loans1,274
1,871
Hedge funds and equities385
55
Airplanes, ships and other assets38,380
17,137
Total$57,498
$25,591

 
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 Company’s perspective, there are two types of TOB trusts: customer TOB trusts and non-customer TOB trusts. Customer TOB trusts are those trusts utilized by customers of the Company to finance their municipal securities investments. The Residuals issued by these trusts are purchased by the customer being financed. Non-customer TOB trusts are trusts that are 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, the Company 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, the Company 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. At JuneSeptember 30, 2016 and December 31, 2015, the Company held $148$193 million and $2 million, respectively, of Floaters related to customer and non-customer TOB trusts.
For certain customer TOB trusts, the Company 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 June 30, 2016, the Company had no outstanding voluntary advances to customer TOB trusts.
For certain non-customer trusts, the Company also provides credit enhancement. At JuneSeptember 30, 2016 and December 31, 2015, approximately $82 million of the municipal bonds owned by non-customer TOB trusts are subject to a credit guarantee provided by the Company.
The Company 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 the Company 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, the Company 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 JuneSeptember 30, 2016 and December 31, 2015, liquidity agreements provided with respect to customer TOB trusts totaled $2.9$2.8 billion and $3.1 billion, respectively, of which $2.2$2.1 billion and $2.2 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.
The Company 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 $8.6$9.6 billion and $8.1 billion as of JuneSeptember 30, 2016 and December 31, 2015, respectively. 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. The Company 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 the Company.

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. The Company 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.
The Company’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 the Company through a separate instrument issued by the VIE. The derivative instrument held by the Company may generate a receivable from the VIE (for example, where the Company purchases credit protection from the VIE in connection with the VIE’s issuance of a credit-linked note), which is collateralized by the assets owned by the VIE. These derivative instruments are not considered variable interests, and any associated receivables are not included in the calculation of maximum exposure to the VIE.
The proceeds from new securitizations related to the Company’s client intermediation transactions for the three and sixnine months ended JuneSeptember 30, 2016 totaled approximately $0.80.5 billion and $1.41.9 billion, respectively, compared to $0.6$0.4 billion and $0.8$1.2 billion for the three and sixnine months ended JuneSeptember 30, 2015.




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. The Company 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. The Company has also established a number of investment funds as opportunities for qualified employees to invest in private equity investments. The Company acts as investment manager to these funds and may provide employees with financing on both recourse and non-recourse bases for a portion of the employees’ investment commitments.
Prior to January 1, 2016, the Company determined that a majority of the investment entities managed by Citigroup were provided a deferral from the requirements of ASC 810, because they met the criteria in ASU No. 2010-10, Consolidation (Topic 810): Amendments for Certain Investment Funds. As part of the amended guidance under ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis, effective January 1, 2016, these entities were evaluated and the Company determined that these entities continue to meet the definition of a VIE because the limited partners in the fund do not have the ability to remove the Company as investment manager. The Company is considered the primary beneficiary and consolidates those VIE entities where it has both the power to direct the activities and a potentially significant variable interest.





21.19.   DERIVATIVES ACTIVITIES
In the ordinary course of business, Citigroup enters into various types of derivative transactions. These derivative
transactions include:

FuturesFor additional information regarding Citi’s use of and forward contracts, which are commitmentsaccounting for derivatives, see Note 23 to buy or sell at a future date a financial instrument, commodity or currency at a contracted price and may be settled in cash or through delivery.
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 and 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 these 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 risk management activities to hedge certain risks or reposition the risk profile of the Company. 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 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 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 riskFinancial Statements in Citi’s 2015 Annual Report 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 these 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 not be able to be monetized in a reasonable period of time and at a reasonable cost in periods of high volatility and financial stress.Form 10-K.
Derivative transactions are customarily documented under industry standard master netting agreements that provide that, following an uncured payment default or other 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 derivatives 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 which results in a party’s becoming a materially weaker credit, and (vi) the cessation or repudiation of any applicable guarantee or other credit support document. Obligations under master netting agreements are often secured by collateral posted under an industry standard credit support annex to the master netting agreement. An event of default may also occur under a credit support annex if a party fails to make a collateral delivery that remains uncured following applicable notice and grace periods.
The netting and collateral rights incorporated in the master netting agreements are considered to be legally enforceable if a supportive legal opinion has been obtained from counsel of recognized standing that provides the requisite level of certainty regarding enforceability and that the exercise of rights by the non-defaulting party to terminate and close-out transactions on a net basis under these agreements will not be stayed or avoided under applicable law upon an event of default including bankruptcy, insolvency or similar proceeding.
A legal opinion may not be sought for certain jurisdictions where local law is silent or unclear as to the enforceability of such rights or where adverse case law or conflicting regulation may cast doubt on the enforceability of such rights. In some jurisdictions and for some counterparty types, the insolvency law may not provide the requisite level of certainty. For example, this may be the case for certain sovereigns, municipalities, central banks and U.S. pension plans.
Exposure to credit risk on derivatives is affected by market volatility, which may impair the ability of



counterparties to satisfy their obligations to the Company. Credit limits are established and closely monitored for customers engaged in derivatives transactions. Citi considers the level of legal certainty regarding enforceability of its offsetting rights under master netting agreements and credit support annexes to be an important factor in its risk management process. Specifically, Citi generally transacts much lower volumes of derivatives under master netting agreements where Citi does not have the requisite level of legal certainty regarding enforceability, because such derivatives consume greater amounts of single counterparty credit limits than those executed under enforceable master netting agreements.
Cash collateral and security collateral in the form of G10 government debt securities is 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 derivative activity, 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, as discussed above, 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 (also as discussed above).trades. For example, if Citi enters into an interest rate swap with $100 million notional, and offsets this risk with an identical but opposite 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 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.






























Derivative Notionals
Hedging instruments under
ASC 815(1)(2)
Other derivative instruments
Hedging instruments under
ASC 815(1)(2)
Other derivative instruments

Trading derivatives
Management hedges(3)

Trading derivatives
Management hedges(3)
In millions of dollarsJune 30,
2016		December 31,
2015		June 30,
2016		December 31,
2015		June 30,
2016		December 31,
2015		September 30,
2016		December 31,
2015		September 30,
2016		December 31,
2015		September 30,
2016		December 31,
2015
Interest rate contracts          
Swaps$190,434
$166,576
$22,790,256
$22,208,794
$34,575
$28,969
$213,863
$166,576
$20,853,766
$22,208,794
$39,537
$28,969
Futures and forwards—
—
5,944,024
6,868,340
33,385
38,421
414
—
6,451,502
6,868,340
34,147
38,421
Written options—
—
3,197,007
3,033,617
5,616
2,606
—
—
3,138,417
3,033,617
4,653
2,606
Purchased options—
—
2,941,662
2,887,605
5,450
4,575
—
—
2,940,738
2,887,605
3,350
4,575
Total interest rate contract notionals$190,434
$166,576
$34,872,949
$34,998,356
$79,026
$74,571
$214,277
$166,576
$33,384,423
$34,998,356
$81,687
$74,571
Foreign exchange contracts            
Swaps$21,384
$23,007
$5,576,865
$4,765,687
$23,098
$23,960
$21,410
$23,007
$5,954,717
$4,765,687
$22,272
$23,960
Futures, forwards and spot71,422
72,124
3,510,377
2,563,649
4,472
3,034
65,417
72,124
3,410,229
2,563,649
3,080
3,034
Written options—
448
1,449,764
1,125,664
—
—
—
448
1,271,307
1,125,664
—
—
Purchased options—
819
1,485,184
1,131,816
—
—
—
819
1,310,990
1,131,816
—
—
Total foreign exchange contract notionals$92,806
$96,398
$12,022,190
$9,586,816
$27,570
$26,994
$86,827
$96,398
$11,947,243
$9,586,816
$25,352
$26,994
Equity contracts            
Swaps$—
$—
$171,361
$180,963
$—
$—
$—
$—
$195,000
$180,963
$—
$—
Futures and forwards—
—
29,938
33,735
—
—
—
—
39,964
33,735
—
—
Written options—
—
376,780
298,876
—
—
—
—
364,514
298,876
—
—
Purchased options—
—
341,476
265,062
—
—
—
—
325,200
265,062
—
—
Total equity contract notionals$—
$—
$919,555
$778,636
$—
$—
$—
$—
$924,678
$778,636
$—
$—
Commodity and other contracts            
Swaps$—
$—
$71,194
$70,561
$—
$—
$—
$—
$61,882
$70,561
$—
$—
Futures and forwards783
789
135,979
106,474
—
—
891
789
149,604
106,474
—
—
Written options—
—
79,109
72,648
—
—
—
—
73,673
72,648
—
—
Purchased options—
—
73,843
66,051
—
—
—
—
68,829
66,051
—
—
Total commodity and other contract notionals$783
$789
$360,125
$315,734
$—
$—
$891
$789
$353,988
$315,734
$—
$—
Credit derivatives(4)
            
Protection sold$—
$—
$1,071,410
$950,922
$—
$—
$—
$—
$1,021,118
$950,922
$—
$—
Protection purchased—
—
1,108,387
981,586
26,901
23,628
—
—
1,051,146
981,586
27,800
23,628
Total credit derivatives$—
$—
$2,179,797
$1,932,508
$26,901
$23,628
$—
$—
$2,072,264
$1,932,508
$27,800
$23,628
Total derivative notionals$284,023
$263,763
$50,354,616
$47,612,050
$133,497
$125,193
$301,995
$263,763
$48,682,596
$47,612,050
$134,839
$125,193
(1)The notional amounts presented in this table do not include hedge accounting relationships under ASC 815 where Citigroup is hedging the foreign currency risk of a net investment in a foreign operation by issuing a foreign-currency-denominated debt instrument. The notional amount of such debt was $2,150$1,991 million and $2,102 million at JuneSeptember 30, 2016 and December 31, 2015, respectively.
(2)
Derivatives in hedge accounting relationships accounted for under ASC 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.




The following tables present the gross and net fair values of the Company’s derivative transactions, and the related offsetting amounts permitted under ASC 210-20-45 and ASC 815-10-45, as of JuneSeptember 30, 2016 and December 31, 2015. Under ASC 210-20-45, grossGross 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 enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral. The tables also include amounts that are not permitted to be offset, under ASC 210-20-45 and ASC 815-10-45, such as security collateral posted or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.



Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at June 30, 2016
Derivatives classified
in Trading account
assets / liabilities(1)(2)(3)
Derivatives classified
in Other
assets / liabilities(2)(3)
In millions of dollars at September 30, 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 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$914
$168
$2,553
$86
$773
$180
$2,384
$27
Cleared7,596
1,945
—
185
6,692
1,730
—
225
Interest rate contracts$8,510
$2,113
$2,553
$271
$7,465
$1,910
$2,384
$252
Over-the-counter$1,849
$1,175
$142
$1,335
$1,485
$1,132
$45
$819
Cleared—
4
—
—
Foreign exchange contracts$1,849
$1,179
$142
$1,335
$1,485
$1,132
$45
$819
Total derivative instruments designated as ASC 815 hedges$10,359
$3,292
$2,695
$1,606
$8,950
$3,042
$2,429
$1,071
Derivatives instruments not designated as ASC 815 hedges





Over-the-counter$358,279
$336,680
$200
$17
$336,753
$313,154
$209
$—
Cleared199,439
204,020
673
694
175,410
182,785
581
593
Exchange traded109
75
—
—
75
56
—
—
Interest rate contracts$557,827
$540,775
$873
$711
$512,238
$495,995
$790
$593
Over-the-counter$173,386
$169,489
$—
$54
$114,573
$113,454
$—
$45
Cleared266
230
—
—
579
493
—
—
Exchange traded52
22
—
—
69
56
—
—
Foreign exchange contracts$173,704
$169,741
$—
$54
$115,221
$114,003
$—
$45
Over-the-counter$16,150
$21,209
$—
$—
$16,202
$19,998
$—
$—
Cleared987
67
—
—
876
9
—
—
Exchange traded8,378
8,378
—
—
9,315
9,645
—
—
Equity contracts$25,515
$29,654
$—
$—
$26,393
$29,652
$—
$—
Over-the-counter$11,411
$13,356
$—
$—
$10,757
$13,271
$—
$—
Exchange traded1,006
1,399
—
—
774
1,065
—
—
Commodity and other contracts$12,417
$14,755
$—
$—
$11,531
$14,336
$—
$—
Over-the-counter$29,440
$30,066
$394
$229
$23,925
$24,602
$213
$83
Cleared3,492
3,169
118
302
5,848
5,987
85
557
Credit derivatives(4)
$32,932
$33,235
$512
$531
$29,773
$30,589
$298
$640
Total derivatives instruments not designated as ASC 815 hedges$802,395
$788,160
$1,385
$1,296
$695,156
$684,575
$1,088
$1,278
Total derivatives$812,754
$791,452
$4,080
$2,902
$704,106
$687,617
$3,517
$2,349
Cash collateral paid/received(5)(6)
$9,292
$16,592
$7
$—
$8,348
$16,459
$6
$50
Less: Netting agreements(7)
(690,888)(690,888)—
—
(596,599)(596,599)—
—
Less: Netting cash collateral received/paid(8)
(58,945)(53,952)(1,793)(40)(55,239)(53,460)(1,682)(29)
Net receivables/payables included on the consolidated balance sheet(9)
$72,213
$63,204
$2,294
$2,862
$60,616
$54,017
$1,841
$2,370
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(1,236)$(24)$—
$—
$(1,254)$(26)$—
$—
Less: Non-cash collateral received/paid(14,754)(7,696)(758)—
(12,808)(6,724)(737)—
Total net receivables/payables(9)
$56,223
$55,484
$1,536
$2,862
$46,554
$47,267
$1,104
$2,370
(1)The trading derivatives fair values are presented in Note 1220 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)The credit derivatives trading assets comprise $16,313$11,245 million related to protection purchased and $16,619$18,528 million related to protection sold as of JuneSeptember 30, 2016. The credit derivatives trading liabilities comprise $17,435$19,566 million related to protection purchased and $15,800$11,023 million related to protection sold as of JuneSeptember 30, 2016.
(5)For the trading account assets/liabilities, reflects the net amount of the $63,244$61,808 million and $75,537$71,698 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $53,952$53,460 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $58,945$55,239 million was used to offset trading derivative assets.


(6)
For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $47$35 million of gross cash collateral paid, of which $40$29 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 $1,793$1,732 million of gross cash collateral received, of which $1,793$1,682 million is netted against OTC non-trading derivative positions within Other assets.
(7)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $478$405 billion, $204$183 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.
(8)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.
(9)The net receivables/payables include approximately $9 billion of derivative asset and $9 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

In millions of dollars at December 31, 2015
Derivatives classified in Trading
account assets / liabilities(1)(2)(3)
Derivatives classified in Other assets / liabilities(2)(3)
Derivatives classified in Trading
account assets / liabilities(1)(2)(3)
Derivatives classified in Other assets / liabilities(2)(3)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$262
$105
$2,328
$106
$262
$105
$2,328
$106
Cleared4,607
1,471
5
—
4,607
1,471
5
—
Interest rate contracts$4,869
$1,576
$2,333
$106
$4,869
$1,576
$2,333
$106
Over-the-counter$2,688
$364
$95
$677
$2,688
$364
$95
$677
Cleared—
—
—
—
Foreign exchange contracts$2,688
$364
$95
$677
$2,688
$364
$95
$677
Total derivative instruments designated as ASC 815 hedges$7,557
$1,940
$2,428
$783
$7,557
$1,940
$2,428
$783
Derivatives instruments not designated as ASC 815 hedges





Over-the-counter$289,124
$267,761
$182
$12
$289,124
$267,761
$182
$12
Cleared120,848
126,532
244
216
120,848
126,532
244
216
Exchange traded53
35
—
—
53
35
—
—
Interest rate contracts$410,025
$394,328
$426
$228
$410,025
$394,328
$426
$228
Over-the-counter$126,474
$133,361
$—
$66
$126,474
$133,361
$—
$66
Cleared134
152
—
—
134
152
—
—
Exchange traded21
36
—
—
21
36
—
—
Foreign exchange contracts$126,629
$133,549
$—
$66
$126,629
$133,549
$—
$66
Over-the-counter$14,560
$20,107
$—
$—
$14,560
$20,107
$—
$—
Cleared28
3
—
—
28
3
—
—
Exchange traded7,297
6,406
—
—
7,297
6,406
—
—
Equity contracts$21,885
$26,516
$—
$—
$21,885
$26,516
$—
$—
Over-the-counter$16,794
$18,641
$—
$—
$16,794
$18,641
$—
$—
Exchange traded1,216
1,912
—
—
1,216
1,912
—
—
Commodity and other contracts$18,010
$20,553
$—
$—
$18,010
$20,553
$—
$—
Over-the-counter$31,072
$30,608
$711
$245
$31,072
$30,608
$711
$245
Cleared3,803
3,560
131
318
3,803
3,560
131
318
Credit derivatives(4)
$34,875
$34,168
$842
$563
$34,875
$34,168
$842
$563
Total derivatives instruments not designated as ASC 815 hedges$611,424
$609,114
$1,268
$857
$611,424
$609,114
$1,268
$857
Total derivatives$618,981
$611,054
$3,696
$1,640
$618,981
$611,054
$3,696
$1,640
Cash collateral paid/received(5)(6)
$4,911
$13,628
$8
$37
$4,911
$13,628
$8
$37
Less: Netting agreements(7)
(524,481)(524,481)—
—
(524,481)(524,481)—
—
Less: Netting cash collateral received/paid(8)
(43,227)(42,609)(1,949)(53)(43,227)(42,609)(1,949)(53)
Net receivables/payables included on the Consolidated Balance Sheet(9)
$56,184
$57,592
$1,755
$1,624
$56,184
$57,592
$1,755
$1,624
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(779)$(2)$—
$—
$(779)$(2)$—
$—
Less: Non-cash collateral received/paid(9,855)(5,131)(270)—
(9,855)(5,131)(270)—
Total net receivables/payables(9)
$45,550
$52,459
$1,485
$1,624
$45,550
$52,459
$1,485
$1,624
(1)The trading derivatives fair values are presented in Note 1220 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.


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)The credit derivatives trading assets comprise $17,957 million related to protection purchased and $16,918 million related to protection sold as of December 31, 2015. The credit derivatives trading liabilities comprise $16,968 million related to protection purchased and $17,200 million related to protection sold as of December 31, 2015.
(5)For the trading account assets/liabilities, reflects the net amount of the $47,520 million and $56,855 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $42,609 million was used to offset derivative liabilities and, of the gross cash collateral received, $43,227 million was used to offset derivative assets.
(6)
For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $61 million of the gross cash collateral received, 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 $1,986 million of gross cash collateral received, of which $1,949 million is netted against non-trading derivative positions within Other assets.
(7)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $391 billion, $126 billion and $7 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(8)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.
(9)The net receivables/payables include approximately $10 billion of derivative asset and $10 billion of liability fair values not subject to enforceable master netting agreements, respectively.

For the three and sixnine months ended JuneSeptember 30, 2016 and 2015, the amounts recognized in Principal transactions in the Consolidated Statement of Income related to 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. 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 way these portfolios are risk managed.
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/losses on the economically hedged items to the extent such amounts are also recorded in Other revenue.
 

















Gains (losses) included in
Other revenue
Gains (losses) included in
Other revenue

Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20162015201620152016201520162015
Interest rate contracts$11
$(51)$26
$(36)$(28)$163
$(2)$127
Foreign exchange11
(31)15
(46)11
(19)26
(65)
Credit derivatives(348)61
(562)71
(399)536
(960)607
Total Citigroup$(326)$(21)$(521)$(11)$(416)$680
$(936)$669



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.
If certain hedging criteria specified in ASC 815 are met, including documentation requirements and assessing hedge effectiveness, hedge accounting may be applied. The hedge effectiveness assessment methodologies for similar hedges are performed in a similar manner and are used consistently throughout the hedging relationships. For fair value hedges, changes in the value of the hedging derivative, as well as changes in the value of the related hedged item due to the risk being hedged, are reflected in current earnings. For cash flow hedges and net investment hedges, changes in the value of the hedging derivative are reflected in Accumulated other comprehensive income (loss) in Citigroup’s stockholders’ equity to the extent the hedge is highly effective. Hedge ineffectiveness, in either case, is reflected in current earnings.
For asset/liability management hedging, fixed-rate long-term debt is recorded at amortized cost under GAAP. However, 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 for changes in the benchmark interest rate, with such changes in value recorded in current earnings. The related interest-rate swap also is recorded on the balance sheet at fair value, with any changes in fair value also reflected in earnings. Thus, any ineffectiveness resulting from the hedging relationship is captured in current earnings.
Alternatively, for management hedges that do not meet the ASC 815 hedging criteria, 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 only by the interest rate shifts and other factors that cause a change in the swap’s value. This type of hedge is undertaken when hedging requirements cannot be achieved or management decides not to apply ASC 815 hedge accounting.
Another alternative is to 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 the two offsets are not exactly equal because the full change in the fair value of the debt
 
includes risks not offset by the interest rate swap, the difference is captured in current earnings.
The key requirements to achieve ASC 815 hedge accounting are documentation of a hedging strategy and specific hedge relationships at hedge inception and substantiating hedge effectiveness on an ongoing basis. A derivative 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. Any ineffectiveness in the hedge relationship is recognized in current earnings. The assessment of effectiveness may exclude changes in the value of the hedged item that are unrelated to the risks being hedged. Similarly, the assessment of effectiveness may exclude changes in the fair value of a derivative related to time value that, if excluded, are recognized in current earnings.

Fair Value Hedges

Hedging of Benchmark Interest Rate Risk
Citigroup hedges exposure to 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 with the currency of the hedged liability. The fixed cash flows of the hedged items are converted to benchmark variable-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. 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 exposure to changes in the fair value of fixed-rate assets due to changes in benchmark interest rates, including available-for-sale debt securities and loans. The hedging instruments used are receive-variable, pay-fixed interest rate swaps. These fair value hedging 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.

Hedging of Foreign Exchange Risk
Citigroup hedges the change in fair value attributable to foreign-exchange rate movements in available-for-sale securities that are denominated in currencies other than the functional currency of the entity holding the securities, which may be within or outside the U.S. The hedging instrument employed is generally a forward foreign-exchange contract. In this hedge, the change in fair value of the hedged available-for-sale security attributable to the portion of foreign exchange risk hedged is reported in earnings, and not AOCI—which serves to offset the change in fair value of the forward contract that is also reflected in earnings. Citigroup considers the premium associated with forward contracts (i.e., the differential between spot and contractual forward rates) as the cost of hedging; this is excluded from the assessment of hedge effectiveness and reflected directly in earnings. The dollar-offset method is used to assess hedge effectiveness. Since that assessment is based on changes in fair value attributable to changes in spot rates on both the available-for-sale securities and the forward contracts for the portion of the relationship



hedged, the amount of hedge ineffectiveness is not significant.

Hedging of Commodity Price Risk
Citigroup hedges the change in fair value attributable to price movements in physical commodities inventory. The hedging instrument employed is a futures contract to sell the underlying commodity. In this hedge, the change in value of the hedged inventory is reflected in earnings, which serves to offset the change in fair value of the futures contract that is also reflected in earnings. Citigroup excludes the differential between spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness. Since 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.




The following table summarizespresents the gains (losses) on the Company’s fair value hedges:
Gains (losses) on fair value hedges(1)
Gains (losses) on fair value hedges(1)
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20162015201620152016201520162015
Gain (loss) on the derivatives in designated and qualifying fair value hedges      
Interest rate contracts$1,082
$(1,680)$3,197
$(1,039)$(450)$1,111
$2,747
$72
Foreign exchange contracts(397)16
(1,758)1,404
(602)(311)(2,360)1,093
Commodity contracts89
(75)438
41
(57)(110)381
(69)
Total gain (loss) on the derivatives in designated and qualifying fair value hedges$774
$(1,739)$1,877
$406
$(1,109)$690
$768
$1,096
Gain (loss) on the hedged item in designated and qualifying fair value hedges      
Interest rate hedges$(1,053)$1,606
$(3,143)$998
$442
$(1,113)$(2,701)$(115)
Foreign exchange hedges454
36
1,761
(1,385)664
304
2,425
(1,081)
Commodity hedges(89)76
(433)(28)59
109
(374)81
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$(688)$1,718
$(1,815)$(415)$1,165
$(700)$(650)$(1,115)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges      
Interest rate hedges$32
$(74)$59
$(41)$(11)$(1)$48
$(42)
Foreign exchange hedges25
21
(50)(17)(3)(24)(53)(41)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges$57
$(53)$9
$(58)$(14)$(25)$(5)$(83)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges      
Interest rate contracts$(3)$—
$(5)$—
$3
$(1)$(2)$(1)
Foreign exchange contracts(2)
32
31
53
36
65
17
118
53
Commodity hedges(2)
—
1
5
13
2
(1)7
12
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges$29
$32
$53
$49
$70
$15
$123
$64
(1)
Amounts are included in Other revenue on 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.
(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 variable cash flows associated with floating-rate liabilities and the rollover (re-issuance) of liabilities. Variable cash flows from those liabilities are 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. Citi also hedges variable cash flows from recognized and forecasted floating-rate assets. Variable cash flows from those assets are 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 certain 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 changes in the hedged cash flows. Since 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.

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 the risk management objectives, these types of hedges are designated as either cash flow hedges of only foreign exchange risk or cash flow hedges of both foreign exchange and interest rate risk, and the hedging instruments used 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 three and sixnine months ended JuneSeptember 30, 2016, and 2015 is not significant. The pretax change in AOCI from cash flow hedges is presented below:

Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20162015201620152016201520162015
Effective portion of cash flow hedges included in AOCI      
Interest rate contracts$220
$17
$635
$237
$(187)$357
$448
$594
Foreign exchange contracts(21)(10)3
(160)(29)(98)(26)(258)
Total effective portion of cash flow hedges included in AOCI$199
$7
$638
$77
$(216)$259
$422
$336
Effective portion of cash flow hedges reclassified from AOCI to earnings

 

 
Interest rate contracts$(41)$(74)$(57)$(120)$(39)$(28)$(96)$(148)
Foreign exchange contracts(17)(37)(43)(77)(46)(35)(89)(112)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)
$(58)$(111)$(100)$(197)$(85)$(63)$(185)$(260)
(1)
Included primarily in Other revenue and Net interest revenue on the Consolidated Income Statement.
For cash flow hedges, the changes in the fair value of the hedging derivative remaining in AOCI on the Consolidated Balance Sheet will be included in the earnings of future periods to offset the variability of the hedged cash flows when such cash flows affect earnings. The net loss associated with cash flow hedges expected to be reclassified from AOCI within 12 months of JuneSeptember 30, 2016 is approximately $0.1 billion.$39 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 1817 to the Consolidated Financial Statements.

Net Investment Hedges
Consistent with ASC 830-20, Foreign Currency Matters—Foreign Currency Transactions, ASC 815 allows hedging of the foreign currency risk of a net investment in a foreign operation. Citigroup uses foreign currency forwards, 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. Simultaneously, the effective portion of the hedge of this exposure is also recorded in the Foreign currency translation adjustment account and the ineffective portion, if any, is immediately recorded in earnings.
For derivatives designated as net investment hedges, Citigroup follows the forward-rate method outlined in ASC 815-35-35-16 through 35-26. 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.
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 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 $(47)$(371) million and $(1,420)$(1,791) million for the three and sixnine months ended JuneSeptember 30, 2016 and $(243)$1,842 million and $757$2,599 million for the three and sixnine months ended JuneSeptember 30, 2015, respectively.

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 June 30, 2016 and December 31, 2015, approximately 98% of the gross receivables are from counterparties with which Citi maintains collateral agreements. A majority of Citi’s top 15 counterparties (by receivable balance owed to Citi) are banks, financial institutions or other dealers. Contracts with these counterparties do not include ratings-based termination events. However, counterparty ratings downgrades may have an incremental effect by lowering the threshold at which Citi may
call for additional collateral.
The range of credit derivatives entered into includes credit default swaps, total return swaps, credit options and credit-linked notes.
A credit default swap is a contract in which, for a fee, a protection seller agrees to reimburse a protection buyer for any losses that occur due to a predefined credit event on a reference entity. These credit events are defined by the terms of the derivative contract and the reference credit and are generally limited to the market standard of failure to pay on indebtedness and bankruptcy of the reference credit and, in a more limited range of transactions, debt restructuring. Credit derivative transactions that reference emerging market entities will also typically include additional credit events to cover the acceleration of indebtedness and the risk of repudiation or a payment moratorium. In certain transactions, protection may be provided on a portfolio of reference entities or asset-backed securities. If there is no credit event, as defined by the specific derivative contract, then the protection seller makes
no payments to the protection buyer and receives only the contractually specified fee. However, if a credit event occurs as defined in the specific derivative contract sold, the protection seller will be required to make a payment to the protection buyer. Under certain contracts, the seller of protection may not be required to make a payment until a specified amount of losses has occurred with respect to the portfolio and/or may only be required to pay for losses up to a specified amount.
A total return swap typically transfers the total economic performance of a reference asset, which includes all associated cash flows, as well as capital appreciation or depreciation. The protection buyer receives a floating rate of interest and any depreciation on the reference asset from the protection seller and, in return, the protection seller receives the cash flows associated with the reference asset plus any appreciation. Thus, according to the total return swap agreement, the protection seller will be obligated to make a payment any time the floating interest rate payment plus any depreciation of the reference asset exceeds the cash flows associated with the underlying asset. A total return swap may terminate upon a default of the reference asset or a credit event with respect to the reference entity subject to the provisions of the related total return swap agreement between the protection seller and the protection buyer.
A credit option is a credit derivative that allows investors to trade or hedge changes in the credit quality of a reference entity. For example, in a credit spread option, the option writer assumes the obligation to purchase or sell credit protection on the reference entity at a specified “strike” spread level. The option purchaser buys the right to sell credit default protection on the reference entity to, or purchase it from, the option writer at the strike spread level. The payments on credit spread options depend either on a particular credit spread or the price of the underlying credit-sensitive asset or other reference. The options usually terminate if a credit event occurs with respect to the underlying reference entity.
A credit-linked note is a form of credit derivative structured as a debt security with an embedded credit default swap. The purchaser of the note effectively provides credit protection to the issuer by agreeing to receive a return that could be negatively affected by credit events on the underlying reference credit. If the reference entity defaults, the note may be cash settled or physically settled by delivery of a debt security of the reference entity. Thus, the maximum amount of the note purchaser’s exposure is the amount paid for the credit-linked note.




Credit Derivatives

The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
Fair valuesNotionalsFair valuesNotionals
In millions of dollars at June 30, 2016
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at September 30, 2016
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty





Banks$17,816
$15,918
$571,921
$577,825
$14,728
$13,202
$501,904
$515,590
Broker-dealers4,473
5,254
144,346
139,533
4,240
4,822
132,959
134,774
Non-financial99
127
4,200
2,120
89
104
3,497
1,279
Insurance and other financial institutions11,056
12,467
414,821
351,932
11,014
13,101
440,586
369,475
Total by industry/counterparty$33,444
$33,766
$1,135,288
$1,071,410
$30,071
$31,229
$1,078,946
$1,021,118
By instrument





Credit default swaps and options$31,520
$31,321
$1,106,801
$1,057,519
$28,457
$28,652
$1,049,969
$1,006,236
Total return swaps and other1,924
2,445
28,487
13,891
1,614
2,577
28,977
14,882
Total by instrument$33,444
$33,766
$1,135,288
$1,071,410
$30,071
$31,229
$1,078,946
$1,021,118
By rating





Investment grade$13,072
$13,254
$859,824
$810,124
$10,860
$10,914
$809,822
$767,629
Non-investment grade20,372
20,512
275,464
261,286
19,211
20,315
269,124
253,489
Total by rating$33,444
$33,766
$1,135,288
$1,071,410
$30,071
$31,229
$1,078,946
$1,021,118
By maturity





Within 1 year$5,641
$6,412
$346,615
$328,419
$4,759
$5,642
$314,629
$301,906
From 1 to 5 years23,864
23,655
720,154
689,587
21,143
21,382
661,648
626,205
After 5 years3,939
3,699
68,519
53,404
4,169
4,205
102,669
93,007
Total by maturity$33,444
$33,766
$1,135,288
$1,071,410
$30,071
$31,229
$1,078,946
$1,021,118

(1)The fair value amount receivable is composed of $16,825$11,567 million under protection purchased and $16,619$18,504 million under protection sold.
(2)The fair value amount payable is composed of $17,966$20,248 million under protection purchased and $15,800$10,981 million under protection sold.
 Fair valuesNotionals
In millions of dollars at December 31, 2015
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty



Banks$18,377
$16,988
$513,335
$508,459
Broker-dealers5,895
6,697
155,195
152,604
Non-financial128
123
3,969
2,087
Insurance and other financial institutions11,317
10,923
332,715
287,772
Total by industry/counterparty$35,717
$34,731
$1,005,214
$950,922
By instrument



Credit default swaps and options$34,849
$34,158
$981,999
$940,650
Total return swaps and other868
573
23,215
10,272
Total by instrument$35,717
$34,731
$1,005,214
$950,922
By rating



Investment grade$12,694
$13,142
$764,040
$720,521
Non-investment grade23,023
21,589
241,174
230,401
Total by rating$35,717
$34,731
$1,005,214
$950,922
By maturity



Within 1 year$3,871
$3,559
$265,632
$254,225
From 1 to 5 years27,991
27,488
669,834
639,460
After 5 years3,855
3,684
69,748
57,237
Total by maturity$35,717
$34,731
$1,005,214
$950,922



(1)The fair value amount receivable is composed of $18,799 million under protection purchased and $16,918 million under protection sold.
(2)The fair value amount payable is composed of $17,531 million under protection purchased and $17,200 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 referenced asset or entity. 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.
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 referenced credit. Credit derivatives written on an underlying non-investment grade reference credit represent greater payment risk to the Company. The non-investment grade category in the table above also includes credit derivatives where the underlying referenced 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-related contingent features that were in a net liability position at both JuneSeptember 30, 2016 and December 31, 2015 was $29$27 billion and $22 billion, respectively. The Company had posted $25$24 billion and $19 billion as collateral for this exposure in the normal course of business as of JuneSeptember 30, 2016 and December 31, 2015, 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 three major rating agencies as of JuneSeptember 30, 2016, the Company could be required to post an additional $3.2$1.7 billion as either collateral or settlement of the derivative transactions. Additionally, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $3.3$1.8 billion.

Derivatives Accompanied by Financial Asset Transfers
The Company executes total return swaps which 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 2015 Annual Report on Form 10-K, Note 1 to the Consolidated Financial Statements for further discussion of the related sale conditions for transfers of financial assets). For a significant portion of the transactions, the Company has also executed another total return swap where the Company passes on substantially all of the economic return of the referenced securities to a different third party seeking the exposure. In those cases, the Company is not exposed, on a net basis, to changes in the economic return of the referenced securities.
These transactions generally involve the transfer of the Company’s liquid government bonds, convertible bonds, or publicly traded corporate equity securities from the trading portfolio and are executed with third-party financial institutions. The accompanying derivatives are typically total return swaps. The derivatives are cash settled and subject to ongoing margin requirements.
When the conditions for sale accounting are met, the Company reports the transfer of the referenced financial asset as a sale and separately reports the accompanying derivative



transaction. These transactions generally do not result in a gain or loss on the sale of the security, because the transferred security was held at fair value in the Company’s trading portfolio. For transfers of financial assets accounted for by the Company as a sale, where the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed in contemplation of the initial sale with the same counterparty and still outstanding as of JuneSeptember 30, 2016, both the asset carrying amounts derecognized and gross cash proceeds received as of the date of derecognition were $1.3$1.5 billion. At JuneSeptember 30, 2016, the fair value of these previously derecognized assets was $1.3$1.5 billion and the fair value of the total return swaps was $21$13 million recorded as gross derivative assets and $30$6 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.




22.20.   FAIR VALUE MEASUREMENT
ASC 820-10 Fair Value Measurement, definesFor additional information regarding fair value establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined asmeasurement at Citi, see Note 25 to the price that would be received to sell an asset or paid to transfer a liabilityConsolidated Financial Statements in an orderly transaction between market participants at the measurement date. Among other things, the standard requires the Company to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value.
Under ASC 820-10, the probability of default of a counterparty is factored into the valuation of derivative and other positions as well as the impact of Citigroup’s own credit riskCiti’s 2015 Annual Report on derivatives and other liabilities measured at fair value.Form 10-K.

Fair Value Hierarchy
ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:

Level 1: Quoted prices for identical instruments in active markets.
Level 2: Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.
Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid-ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the liquidity of markets and the relevance of observed prices in those markets.
The Company’s policy with respect to transfers between levels of the fair value hierarchy is to recognize transfers into and out of each level as of the end of the reporting period.

Determination of Fair Value
For assets and liabilities carried at fair value, the Company measures fair value using the procedures set out below, irrespective of whether the assets and liabilities are measured at fair value as a result of an election or whether they are required to be measured at fair value.
When available, the Company uses quoted market prices to determine fair value and classifies such items as Level 1. In some cases where a market price is available, the
Company will make use of acceptable practical expedients (such as matrix pricing) to calculate fair value, in which case the items are classified as Level 2.
The Company may also apply a price-based methodology, which utilizes, where available, quoted prices or other market information obtained from recent trading activity in positions with the same or similar characteristics to the position being valued. The market 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 security or loan, a quoted price is stale, a significant adjustment to the price of a similar security is necessary to reflect differences in the terms of the actual security or loan being valued, or prices from independent sources are insufficient to corroborate the valuation, the “price” inputs are considered unobservable and the fair value measurements are classified as Level 3.
If quoted market prices are not available, fair value is based upon internally developed valuation techniques that use, where possible, current market-based parameters, such as interest rates, currency rates and option volatilities. Items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified as Level 3 even though there may be some significant inputs that are readily observable.
Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors or brokers. Vendors’ and brokers’ valuations may be based on a variety of inputs ranging from observed prices to proprietary valuation models.
The following section describes the valuation methodologies used by the Company to measure various financial instruments at fair value, including an indication of the level in the fair value hierarchy in which each instrument is generally classified. Where appropriate, the description includes details of the valuation models, the key inputs to those models and any significant assumptions.

Market Valuation Adjustments
Generally,The table below summarizes the unit of account for a financial instrument is the individual financial instrument. The Company applies market valuation adjustments that are consistent with the unit of account, which does not include adjustment due to the size of the Company’s position, except as follows. ASC 820-10 permits an exception, through an accounting policy election, to measure the fair value of a portfolio of financial assets and financial liabilities on the basis of the net open risk position when certain criteria are met. Citi has elected to measure certain portfolios of financial instruments, such as derivatives, that meet those criteria 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.



Liquidity adjustments are applied to items in Level 2 or Level 3 of the fair-value hierarchy in an effort to ensure that the fair value reflects the price at which the position could be liquidated. The liquidity adjustment is based on the bid/offer spread for an instrument. When Citi has elected to measure certain portfolios of financial investments, such as derivatives, on the basis of the net open risk position, the liquidity adjustment may be adjusted to take into account the size of the position.
Creditcredit valuation adjustments (CVA) and funding valuation adjustments (FVA) are applied to 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 necessary to incorporate the market view of both counterparty credit risk and Citi’s own credit risk in the valuation. FVA reflects a market funding risk premium inherent in the uncollateralized portion of derivative portfolios and in collateralized derivatives where the terms of the agreement do not permit the reuse of the collateral received.
Citi’s CVA and FVA methodology is composed of two steps.

First, the exposure profile for each counterparty is determined using the terms of all individual derivative positions and a Monte Carlo simulation or other quantitative analysis to generate a series of expected cash flows at future points in time. The calculation of this exposure profile considers the effect of credit risk mitigants and sources of funding, including pledged cash or other collateral and any legal right of offset that exists with a counterparty through arrangements such as netting agreements. Individual derivative contracts that are subject to an enforceable master netting agreement with a counterparty are aggregated as a netting set for this purpose, since it is those aggregate net cash flows that are subject to nonperformance risk. This process identifies specific, point-in-time future cash flows that are subject to nonperformance risk and unsecured funding, rather than using the current recognized net asset or liability as a basis to measure the CVA and FVA.
Second, for CVA, market-based views of default probabilities derived from observed credit spreads in the credit default swap (CDS) market are applied to the expected future cash flows determined in step one. Citi’s own-credit CVA is determined using Citi-specific CDS spreads for the relevant tenor. Generally, counterparty CVA is determined using CDS spread indices for each credit rating and tenor. For certain identified netting sets where individual analysis is practicable (e.g., exposures to counterparties with liquid CDSs), counterparty-specific CDS spreads are used. For FVA, a term structure of future liquidity spreads is applied to the expected future funding requirement.
The CVA and FVA are designed to incorporate a market view of the credit and funding risk, respectively, inherent in the derivative portfolio. However, most unsecured derivative instruments are negotiated bilateral contracts and are not commonly transferred to third parties. Derivative instruments are normally settled contractually or, if terminated early, are terminated at a value negotiated bilaterally between the counterparties. Thus, the CVA and FVA may not be realized upon a settlement or termination in the normal course of business. In addition, all or a portion of these adjustments may be reversed or otherwise adjusted in future periods in the event of changes in the credit or funding risk associated with the derivative instruments.
The table below summarizes the CVA and FVA applied to the fair value of derivative instruments at JuneSeptember 30, 2016 and December 31, 2015:
Credit and funding valuation adjustments
contra-liability (contra-asset)
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsJune 30,
2016		December 31,
2015		September 30,
2016		December 31,
2015
Counterparty CVA$(2,015)$(1,470)$(1,849)$(1,470)
Asset FVA(679)(584)(642)(584)
Citigroup (own-credit) CVA603
471
542
471
Liability FVA154
106
94
106
Total CVA—derivative instruments(1)
$(1,937)$(1,477)$(1,855)$(1,477)

(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) onreflecting the change in Citi’s own credit spreads on fair value option (FVO) liabilities for the periods indicated:
Credit/funding/debt valuation
adjustments gain (loss)
Credit/funding/debt valuation
adjustments gain (loss)
Three Months Ended June 30,Six Months Ended 
 June 30,		Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars20162015201620152016201520162015
Counterparty CVA$14
$(20)$(93)$(159)$112
$(32)$19
$(191)
Asset FVA(15)94
(95)52
37
(177)(59)(125)
Own-credit CVA(13)20
121
(16)(60)97
65
81
Liability FVA18
(12)48
45
(59)44
(11)89
Total CVA—derivative instruments(1)
$4
$82
$(19)$(78)$30
$(68)$14
$(146)
DVA related to own FVO liabilities (2)
$20
$230
$327
$318
$(319)$264
$8
$582

(1)FVA is included with CVA for presentation purposes.
(2)Effective JanuarySee Note 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 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s revenues and net income. DVA amounts in AOCI will be recognized in revenue and net income if realized upon the settlement of the related liability.Consolidated Financial Statements for additional details.




Valuation Process for Fair Value Measurements
Price verification procedures and related internal control procedures are governed by the Citigroup Pricing and Price Verification Policy and Standards, which is jointly owned by Finance and Risk Management.
For fair value measurements of substantially all assets and liabilities held by the Company, individual business units are responsible for valuing the trading account assets and liabilities, and Product Control within Finance performs independent price verification procedures to evaluate those fair value measurements. Product Control is independent of the individual business units and reports to the Global Head of Product Control. It has authority over the valuation of financial assets and liabilities. Fair value measurements of assets and liabilities are determined using various techniques, including, but not limited to, discounted cash flows and internal models, such as option and correlation models.
Based on the observability of inputs used, Product Control classifies the inventory as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a position involves one or more significant inputs that are not directly observable, price verification procedures are performed that may include reviewing relevant historical data, analyzing profit and loss, valuing each component of a structured trade individually, and benchmarking, among others.
Reports of inventory that is classified within Level 3 of the fair value hierarchy are distributed to senior management in Finance, Risk and the business. This inventory is also discussed in Risk Committees and in monthly meetings with senior trading management. As deemed necessary, reports may go to the Audit Committee of the Board of Directors or to the full Board of Directors. Whenever an adjustment is needed to bring the price of an asset or liability to its exit price, Product Control reports it to management along with other price verification results.
In addition, the pricing models used in measuring fair value are governed by an independent control framework. Although the models are developed and tested by the individual business units, they are independently validated by the Model Validation Group within Risk Management and reviewed by Finance with respect to their impact on the price verification procedures. The purpose of this independent control framework is to assess model risk arising from models’ theoretical soundness, calibration techniques where needed, and the appropriateness of the model for a specific product in a defined market. To ensure their continued applicability, models are independently reviewed annually. In addition, Risk Management approves and maintains a list of products permitted to be valued under each approved model for a given business.

Securities Purchased Under Agreements to Resell and Securities Sold Under Agreements to Repurchase
No quoted prices exist for these instruments, so fair value is determined using a discounted cash-flow technique. Cash flows are estimated based on the terms of the contract, taking into account any embedded derivative or other features. These cash flows are discounted using interest rates appropriate to the maturity of the instrument as well as the nature of the underlying collateral. Generally, when such instruments are recorded at fair value, they are classified within Level 2 of the fair value hierarchy, as the inputs used in the valuation are readily observable. However, certain long-dated positions are classified within Level 3 of the fair value hierarchy.

Trading Account Assets and Liabilities—Trading Securities and Trading Loans
When available, the Company uses quoted market prices in active markets to determine the fair value of trading securities; such items are classified as Level 1 of the fair value hierarchy. Examples include government securities and exchange-traded equity securities.
For bonds and secondary market loans traded over the counter, the Company generally determines fair value utilizing valuation techniques, including discounted cash flows, price-based and internal models, such as Black-Scholes and Monte Carlo simulation. Fair value estimates from these internal valuation techniques are verified, where possible, to prices obtained from independent sources, including third-party vendors. Vendors compile prices from various sources and may apply matrix pricing for similar bonds or loans where no price is observable. A price-based methodology utilizes, where available, quoted prices or other market information obtained from recent trading activity of assets with similar characteristics to the bond or loan being valued. The yields used in discounted cash flow models are derived from the same price information. Trading securities and loans priced using such methods are generally classified as Level 2. However, when less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the price of a similar security or loan is necessary to reflect differences in the terms of the actual security or loan being valued, or prices from independent sources are insufficient to corroborate valuation, a loan or security is generally classified as Level 3. The price input used in a price-based methodology may be zero for a security, such as a subprime CDO, that is not receiving any principal or interest and is currently written down to zero.
When the Company’s principal market for a portfolio of loans is the securitization market, the Company uses the securitization price to determine the fair value of the portfolio. The securitization price is determined from the assumed proceeds of a hypothetical securitization in the current market, adjusted for transformation costs (i.e., direct costs other than transaction costs) and securitization uncertainties such as market conditions and liquidity. As a result of the severe reduction in the level of activity in certain securitization markets since the second half of 2007, observable securitization prices for certain directly



comparable portfolios of loans have not been readily available. Therefore, such portfolios of loans are generally classified as Level 3 of the fair value hierarchy. However, for other loan securitization markets, such as commercial real estate loans, price verification of the hypothetical securitizations has been possible, since these markets have remained active. Accordingly, this loan portfolio is classified as Level 2 of the fair value hierarchy.
For most of the lending and structured direct subprime exposures, fair value is determined utilizing observable transactions where available, other market data for similar assets in markets that are not active and other internal valuation techniques. The valuation of certain asset-backed security (ABS) CDO positions utilizes prices based on the underlying assets of the ABS CDO.

Trading Account Assets and Liabilities—Derivatives
Exchange-traded derivatives, measured at fair value using quoted (i.e., exchange) prices in active markets, where available, are classified as Level 1 of the fair value hierarchy.
Derivatives without a quoted price in an active market and derivatives executed over the counter are valued using internal valuation techniques. These derivative instruments are classified as either Level 2 or Level 3 depending upon 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, including Black-Scholes and Monte Carlo simulation.
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.
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 firm to reuse the collateral received, including where counterparties post collateral to third-party custodians.

Investments
The investments category includes available-for-sale debt and marketable equity securities whose fair values are generally determined by utilizing similar procedures described for trading securities above or, in some cases, using vendor pricing as the primary source.
Also included in investments are nonpublic investments in private equity and real estate entities. Determining the fair value of nonpublic securities involves a significant degree of management judgment, as no quoted prices exist and such securities are generally thinly traded. In addition, there may
be transfer restrictions on private equity securities. The Company’s process for determining the fair value of such securities utilizes commonly accepted valuation techniques, including comparables analysis. In determining the fair value of nonpublic securities, the Company also considers events such as a proposed sale of the investee company, initial public offerings, equity issuances or other observable transactions.
Private equity securities are generally classified as Level 3 of the fair value hierarchy.
In addition, the Company holds investments in certain alternative investment funds that calculate NAV per share, including hedge funds, private equity funds and real estate funds. Investments in funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV per share of the Company’s ownership interest in the funds where it is not probable that the investment will be realized at a price other than the NAV. Consistent with the provisions of ASU No. 2015-07 these investments have not been categorized within the fair value hierarchy and are not included in the tables below. See Note 13 to the Consolidated Financial Statements for additional information.

Short-Term Borrowings and Long-Term Debt
Where fair value accounting has been elected, the fair value of non-structured liabilities is determined by utilizing internal models using the appropriate discount rate for the applicable maturity. Such instruments are generally classified as Level 2 of the fair value hierarchy when all significant inputs are readily observable.
The Company determines the fair value of hybrid financial instruments, including structured liabilities, using the appropriate derivative valuation methodology (described above in “Trading account assets and liabilities—derivatives”) given the nature of the embedded risk profile. Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model.

Alt-A Mortgage Securities
The Company classifies its Alt-A mortgage securities as held-to-maturity, available-for-sale or trading investments. The securities classified as trading and available-for-sale are recorded at fair value with changes in fair value reported in current earnings and AOCI, respectively. For these purposes, Citi defines Alt-A mortgage securities as non-agency residential mortgage-backed securities (RMBS) where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) for instances where FICO scores are greater than 720, RMBS have 30% or less of the underlying collateral composed of full documentation loans.
Similar to the valuation methodologies used for other trading securities and trading loans, the Company generally determines the fair values of Alt-A mortgage securities utilizing internal valuation techniques. Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors.



Consensus data providers compile prices from various sources. Where available, the Company may also make use of quoted prices for recent trading activity in securities with the same or similar characteristics to the security being valued.
The valuation techniques used for Alt-A mortgage securities, as with other mortgage exposures, are price-based and yield analysis. The primary market-derived input is yield. Cash flows are based on current collateral performance with prepayment rates and loss projections reflective of current economic conditions of housing price change, unemployment rates, interest rates, borrower attributes and other market indicators.
Alt-A mortgage securities that are valued using these methods are generally classified as Level 2. However, Alt-A mortgage securities backed by Alt-A mortgages of lower quality or subordinated tranches in the capital structure are mostly classified as Level 3 due to the reduced liquidity that exists for such positions, which reduces the reliability of prices available from independent sources.




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 JuneSeptember 30, 2016 and December 31, 2015. The Company’s hedging ofCompany may hedge positions that have been classified in the Level 3 category is not limited
towith other financial instruments (hedging instruments) that have been may be
classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables:



Fair Value Levels
In millions of dollars at June 30, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at September 30, 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$—
$171,688
$1,819
$173,507
$(28,691)$144,816
$—
$178,462
$1,313
$179,775
$(36,157)$143,618
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
26,832
730
27,562
—
27,562
—
25,921
228
26,149
—
26,149
Residential—
194
801
995
—
995
—
335
441
776
—
776
Commercial—
1,146
390
1,536
—
1,536
—
1,072
444
1,516
—
1,516
Total trading mortgage-backed securities$—
$28,172
$1,921
$30,093
$—
$30,093
$—
$27,328
$1,113
$28,441
$—
$28,441
U.S. Treasury and federal agency securities$21,287
$4,353
$3
$25,643
$—
$25,643
$20,537
$2,929
$1
$23,467
$—
$23,467
State and municipal—
3,062
117
3,179
—
3,179
—
3,803
157
3,960
—
3,960
Foreign government43,274
19,763
81
63,118
—
63,118
38,147
19,388
63
57,598
—
57,598
Corporate553
14,198
405
15,156
—
15,156
545
16,585
685
17,815
—
17,815
Equity securities41,219
1,818
3,970
47,007
—
47,007
50,741
1,443
3,560
55,744
—
55,744
Asset-backed securities—
870
2,670
3,540
—
3,540
—
850
2,749
3,599
—
3,599
Other trading assets(9)3
8,973
2,839
11,815
—
11,815
6
9,526
2,580
12,112
—
12,112
Total trading non-derivative assets$106,336
$81,209
$12,006
$199,551
$—
$199,551
$109,976
$81,852
$10,908
$202,736
$—
$202,736
Trading derivatives
  
  
Interest rate contracts$48
$562,908
$3,381
$566,337
  $39
$516,241
$3,423
$519,703
  
Foreign exchange contracts58
174,695
800
175,553
  57
115,889
760
116,706
  
Equity contracts2,672
21,520
1,323
25,515
  2,932
22,156
1,305
26,393
  
Commodity contracts175
11,290
952
12,417
  215
10,716
600
11,531
  
Credit derivatives—
29,847
3,085
32,932
  —
27,815
1,958
29,773
  
Total trading derivatives$2,953
$800,260
$9,541
$812,754
  $3,243
$692,817
$8,046
$704,106
  
Cash collateral paid(3)
 $9,292
   $8,348
  
Netting agreements $(690,888)  $(596,599) 
Netting of cash collateral received (58,945)  (55,239) 
Total trading derivatives$2,953
$800,260
$9,541
$822,046
$(749,833)$72,213
$3,243
$692,817
$8,046
$712,454
$(651,838)$60,616
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$45,403
$94
$45,497
$—
$45,497
$—
$43,113
$89
$43,202
$—
$43,202
Residential—
5,040
25
5,065
—
5,065
—
4,448
53
4,501
—
4,501
Commercial—
361
5
366
—
366
—
354
—
354
—
354
Total investment mortgage-backed securities$—
$50,804
$124
$50,928
$—
$50,928
$—
$47,915
$142
$48,057
$—
$48,057
U.S. Treasury and federal agency securities$113,604
$11,961
$3
$125,568
$—
$125,568
$109,926
$11,778
$2
$121,706
$—
$121,706
State and municipal—
9,237
2,016
11,253
—
11,253
—
9,535
1,656
11,191
—
11,191
Foreign government44,585
49,113
141
93,839
—
93,839
50,131
47,864
145
98,140
—
98,140
Corporate4,607
15,520
460
20,587
—
20,587
4,949
13,607
524
19,080
—
19,080
Equity securities1,251
45
128
1,424
—
1,424
1,274
41
10
1,325
—
1,325
Asset-backed securities—
7,446
597
8,043
—
8,043
—
6,744
682
7,426
—
7,426
Other debt securities—
1,118
5
1,123
—
1,123
—
1,181
11
1,192
—
1,192
Non-marketable equity securities(4)
—
47
1,139
1,186
—
1,186
—
49
1,181
1,230
—
1,230
Total investments$164,047
$145,291
$4,613
$313,951
$—
$313,951
$166,280
$138,714
$4,353
$309,347
$—
$309,347


In millions of dollars at June 30, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at September 30, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans(5)
$—
$2,900
$1,234
$4,134
$—
$4,134
$—
$2,888
$1,082
$3,970
$—
$3,970
Mortgage servicing rights—
—
1,324
1,324
—
1,324
—
—
1,270
1,270
—
1,270
Non-trading derivatives and other financial assets measured on a recurring basis, gross$—
$9,107
$111
$9,218
  $—
$8,070
$66
$8,136
  
Cash collateral paid(6)(5)
 7
   6
  
Netting of cash collateral received $(1,793)  $(1,682) 
Non-trading derivatives and other financial assets measured on a recurring basis$—
$9,107
$111
$9,225
$(1,793)$7,432
$—
$8,070
$66
$8,142
$(1,682)$6,460
Total assets$273,336
$1,210,455
$30,648
$1,523,738
$(780,317)$743,421
$279,499
$1,102,803
$27,038
$1,417,694
$(689,677)$728,017
Total as a percentage of gross assets(7)(6)
18.0%79.9%2.0%





19.8%78.2%1.9%





Liabilities    
Interest-bearing deposits$—
$1,038
$433
$1,471
$—
$1,471
$—
$1,160
$260
$1,420
$—
$1,420
Federal funds purchased and securities loaned or sold under agreements to repurchase—
73,728
1,107
74,835
(28,691)46,144
—
78,173
923
79,096
(36,157)42,939
Trading account liabilities    
Securities sold, not yet purchased62,396
9,595
12
72,003
—
72,003
67,655
9,712
159
77,526
—
77,526
Other trading liabilities—
1,100
—
1,100
—
1,100
—
105
1
106
—
106
Total trading liabilities$62,396
$10,695
$12
$73,103
$—
$73,103
$67,655
$9,817
$160
$77,632
$—
$77,632
Trading derivatives    
Interest rate contracts$20
$539,113
$3,755
$542,888
  $36
$493,883
$3,986
$497,905
  
Foreign exchange contracts10
170,081
829
170,920
  1
114,463
671
115,135
  
Equity contracts2,503
24,757
2,394
29,654
  2,764
24,616
2,272
29,652
  
Commodity contracts209
11,577
2,969
14,755
  192
11,245
2,899
14,336
  
Credit derivatives—
29,396
3,839
33,235
  —
27,612
2,977
30,589
  
Total trading derivatives$2,742
$774,924
$13,786
$791,452
  $2,993
$671,819
$12,805
$687,617
  
Cash collateral received(8)(7)
 $16,592
   $16,459
  
Netting agreements $(690,888)  $(596,599) 
Netting of cash collateral paid (53,952)  (53,460) 
Total trading derivatives$2,742
$774,924
$13,786
$808,044
$(744,840)$63,204
$2,993
$671,819
$12,805
$704,076
$(650,059)$54,017
Short-term borrowings$—
$1,797
$53
$1,850
$—
$1,850
$—
$2,567
$32
$2,599
$—
$2,599
Long-term debt—
16,793
9,138
25,931
—
25,931
—
18,353
9,182
27,535
—
27,535
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$—
$2,897
$5
$2,902
  $—
$2,316
$32
$2,348
  
Cash collateral received(9)(8)
 —
   50
  
Netting of cash collateral paid $(40)  $(29) 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$—
$2,897
$5
$2,902
$(40)$2,862
$—
$2,316
$32
$2,398
$(29)$2,369
Total liabilities$65,138
$881,872
$24,534
$988,136
$(773,571)$214,565
$70,648
$784,205
$23,394
$894,756
$(686,245)$208,511
Total as a percentage of gross liabilities(7)(6)
6.7%90.8%2.5%  8.0%89.3%2.7%  

(1)For the three and sixnine months ended JuneSeptember 30, 2016, the Company transferred assets of approximately $0.7$0.1 billion and $0.9$1.1 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. During the three and sixnine months ended JuneSeptember 30, 2016, the Company transferred assets of approximately $1.0$1.4 billion and $2.3$3.7 billion from Level 2 to Level 1, respectively, primarily related to foreign government bonds traded with sufficient frequency to constitute an active market. During the three and sixnine months ended JuneSeptember 30, 2016, the Company transferred liabilities of approximately $0.2 billion and $0.3 billion from Level 2 to Level 1, respectively. During the three and nine months ended September 30, 2016, there were no material transfers of liabilities from Level 1 to Level 2 or from Level 2 to Level 1.2.
(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)Reflects the net amount of $63,244$61,808 million of gross cash collateral paid, of which $53,952$53,460 million was used to offset trading derivative liabilities.
(4)
Amounts exclude $0.80.7 billion 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)There is no allowance for loan losses recorded for loans reported at fair value.
(6)Reflects the net amount of $47$35 million of gross cash collateral paid, of which $40$29 million was used to offset non-trading derivative liabilities.
(7)(6)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)(7)Reflects the net amount of $75,537$71,698 million of gross cash collateral received, of which $58,945$55,239 million was used to offset trading derivative assets.
(9)(8)Reflects the net amount of $1,793$1,732 million of gross cash collateral received, of which $1,793$1,682 million was used to offset non-trading derivative assets.



(9)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.

Fair Value Levels
In millions of dollars at December 31, 2015
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
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$—
$177,538
$1,337
$178,875
$(40,911)$137,964
$—
$177,538
$1,337
$178,875
$(40,911)$137,964
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
24,023
744
24,767
—
24,767
—
24,023
744
24,767
—
24,767
Residential—
1,059
1,326
2,385
—
2,385
—
1,059
1,326
2,385
—
2,385
Commercial—
2,338
517
2,855
—
2,855
—
2,338
517
2,855
—
2,855
Total trading mortgage-backed securities$—
$27,420
$2,587
$30,007
$—
$30,007
$—
$27,420
$2,587
$30,007
$—
$30,007
U.S. Treasury and federal agency securities$14,208
$3,587
$1
$17,796
$—
$17,796
$14,208
$3,587
$1
$17,796
$—
$17,796
State and municipal—
2,345
351
2,696
—
2,696
—
2,345
351
2,696
—
2,696
Foreign government35,715
20,555
197
56,467
—
56,467
35,715
20,555
197
56,467
—
56,467
Corporate302
13,901
376
14,579
—
14,579
302
13,901
376
14,579
—
14,579
Equity securities50,429
2,382
3,684
56,495
—
56,495
50,429
2,382
3,684
56,495
—
56,495
Asset-backed securities—
1,217
2,739
3,956
—
3,956
—
1,217
2,739
3,956
—
3,956
Other trading assets(9)—
9,293
2,483
11,776
—
11,776
—
9,293
2,483
11,776
—
11,776
Total trading non-derivative assets$100,654
$80,700
$12,418
$193,772
$—
$193,772
$100,654
$80,700
$12,418
$193,772
$—
$193,772
Trading derivatives    
Interest rate contracts$9
$412,802
$2,083
$414,894
  $9
$412,802
$2,083
$414,894
  
Foreign exchange contracts5
128,189
1,123
129,317
  5
128,189
1,123
129,317
  
Equity contracts2,422
17,866
1,597
21,885
  2,422
17,866
1,597
21,885
  
Commodity contracts204
16,706
1,100
18,010
  204
16,706
1,100
18,010
  
Credit derivatives—
31,082
3,793
34,875
  —
31,082
3,793
34,875
  
Total trading derivatives$2,640
$606,645
$9,696
$618,981
  $2,640
$606,645
$9,696
$618,981
  
Cash collateral paid(3)
 $4,911
   $4,911
  
Netting agreements $(524,481)  $(524,481) 
Netting of cash collateral received (43,227)  (43,227) 
Total trading derivatives$2,640
$606,645
$9,696
$623,892
$(567,708)$56,184
$2,640
$606,645
$9,696
$623,892
$(567,708)$56,184
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$39,575
$139
$39,714
$—
$39,714
$—
$39,575
$139
$39,714
$—
$39,714
Residential—
5,982
4
5,986
—
5,986
—
5,982
4
5,986
—
5,986
Commercial—
569
2
571
—
571
—
569
2
571
—
571
Total investment mortgage-backed securities$—
$46,126
$145
$46,271
$—
$46,271
$—
$46,126
$145
$46,271
$—
$46,271
U.S. Treasury and federal agency securities$111,536
$11,375
$4
$122,915
$—
$122,915
$111,536
$11,375
$4
$122,915
$—
$122,915
State and municipal—
9,267
2,192
11,459
—
11,459
—
9,267
2,192
11,459
—
11,459
Foreign government42,073
46,341
260
88,674
—
88,674
42,073
46,341
260
88,674
—
88,674
Corporate3,605
15,122
603
19,330
—
19,330
3,605
15,122
603
19,330
—
19,330
Equity securities430
71
124
625
—
625
430
71
124
625
—
625
Asset-backed securities—
8,578
596
9,174
—
9,174
—
8,578
596
9,174
—
9,174
Other debt securities—
688
—
688
—
688
—
688
—
688
—
688
Non-marketable equity securities(4)
—
58
1,135
1,193
—
1,193
—
58
1,135
1,193
—
1,193
Total investments$157,644
$137,626
$5,059
$300,329
$—
$300,329
$157,644
$137,626
$5,059
$300,329
$—
$300,329


In millions of dollars at December 31, 2015
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans(5)
$—
$2,839
$2,166
$5,005
$—
$5,005
$—
$2,839
$2,166
$5,005
$—
$5,005
Mortgage servicing rights—
—
1,781
1,781
—
1,781
—
—
1,781
1,781
—
1,781
Non-trading derivatives and other financial assets measured on a recurring basis, gross$—
$7,882
$180
$8,062
  $—
$7,882
$180
$8,062
  
Cash collateral paid(6)(5)
 8
   8
  
Netting of cash collateral received $(1,949)  $(1,949) 
Non-trading derivatives and other financial assets measured on a recurring basis$—
$7,882
$180
$8,070
$(1,949)$6,121
$—
$7,882
$180
$8,070
$(1,949)$6,121
Total assets$260,938
$1,013,230
$32,637
$1,311,724
$(610,568)$701,156
$260,938
$1,013,230
$32,637
$1,311,724
$(610,568)$701,156
Total as a percentage of gross assets(7)(6)
20.0%77.5%2.5%  20.0%77.5%2.5%  
Liabilities    
Interest-bearing deposits$—
$1,156
$434
$1,590
$—
$1,590
$—
$1,156
$434
$1,590
$—
$1,590
Federal funds purchased and securities loaned or sold under agreements to repurchase—
76,507
1,247
77,754
(40,911)36,843
—
76,507
1,247
77,754
(40,911)36,843
Trading account liabilities    
Securities sold, not yet purchased48,452
9,176
199
57,827
—
57,827
48,452
9,176
199
57,827
—
57,827
Other trading liabilities—
2,093
—
2,093
—
2,093
—
2,093
—
2,093
—
2,093
Total trading liabilities$48,452
$11,269
$199
$59,920
$—
$59,920
$48,452
$11,269
$199
$59,920
$—
$59,920
Trading account derivatives    
Interest rate contracts$5
$393,321
$2,578
$395,904
  $5
$393,321
$2,578
$395,904
  
Foreign exchange contracts6
133,404
503
133,913
  6
133,404
503
133,913
  
Equity contracts2,244
21,875
2,397
26,516
  2,244
21,875
2,397
26,516
  
Commodity contracts263
17,329
2,961
20,553
  263
17,329
2,961
20,553
  
Credit derivatives—
30,682
3,486
34,168
  —
30,682
3,486
34,168
  
Total trading derivatives$2,518
$596,611
$11,925
$611,054
  $2,518
$596,611
$11,925
$611,054
  
Cash collateral received(8)(7)
 $13,628
   $13,628
  
Netting agreements $(524,481)  $(524,481) 
Netting of cash collateral paid (42,609)  (42,609) 
Total trading derivatives$2,518
$596,611
$11,925
$624,682
$(567,090)$57,592
$2,518
$596,611
$11,925
$624,682
$(567,090)$57,592
Short-term borrowings$—
$1,198
$9
$1,207
$—
$1,207
$—
$1,198
$9
$1,207
$—
$1,207
Long-term debt—
17,750
7,543
25,293
—
25,293
—
17,750
7,543
25,293
—
25,293
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$—
$1,626
$14
$1,640
  $—
$1,626
$14
$1,640
  
Cash collateral received(9)(8)
 37
   37
  
Netting of cash collateral paid $(53)  $(53) 
Non-trading derivatives and other financial liabilities measured on a recurring basis$—
$1,626
$14
$1,677
$(53)$1,624
$—
$1,626
$14
$1,677
$(53)$1,624
Total liabilities$50,970
$706,117
$21,371
$792,123
$(608,054)$184,069
$50,970
$706,117
$21,371
$792,123
$(608,054)$184,069
Total as a percentage of gross liabilities(7)(6)
6.5%90.7%2.7%  6.5%90.7%2.7%  

(1)In 2015, the Company transferred assets of approximately $3.3 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. In 2015, the Company transferred assets of approximately $4.4 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 2015, the Company transferred liabilities of approximately $0.6 billion from Level 2 to Level 1. In 2015, the Company transferred liabilities of approximately $0.4 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)Reflects the net amount of $47,520 million of gross cash collateral paid, of which $42,609 million was used to offset trading derivative liabilities.
(4)
Amounts exclude $0.9 billion 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)There is no allowance for loan losses recorded for loans reported at fair value.
(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)(6)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)(7)Reflects the net amount of $56,855 million of gross cash collateral received, of which $43,227 million was used to offset trading derivative assets.
(9)(8)Reflects the net amount of $1,986 million of gross cash collateral received, of which $1,949 million was used to offset non-trading derivative assets.
(9)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.


Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the three and sixnine months ended JuneSeptember 30, 2016 and 2015. As discussed above, the Company classifies financial instruments as Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly. 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 have beenmay be classified by the Company in the Level 1 andor 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 effects of thesehedged items and related hedges are presented gross in the following tables:


Level 3 Fair Value Rollforward
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016Jun. 30, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2016
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$1,909
$(62)$—
$—
$(28)$—
$—
$—
$—
$1,819
$(54)$1,819
$(6)$—
$—
$—
$5
$—
$—
$(505)$1,313
$(3)
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed1,039
—
—
83
(362)405
—
(443)8
730
—
730
1
—
67
(387)96
—
(286)7
228
—
Residential1,192
(61)—
25
(44)46
—
(351)(6)801
(72)801
116
—
5
(66)18
—
(433)—
441
(58)
Commercial581
4
—
123
(75)107
—
(350)—
390
(5)390
2
—
1
(107)309
—
(151)—
444
6
Total trading mortgage-backed securities$2,812
$(57)$—
$231
$(481)$558
$—
$(1,144)$2
$1,921
$(77)$1,921
$119
$—
$73
$(560)$423
$—
$(870)$7
$1,113
$(52)
U.S. Treasury and federal agency securities$3
$—
$—
$—
$—
$—
$—
$—
$—
$3
$—
$3
$—
$—
$—
$—
$—
$—
$(2)$—
$1
$—
State and municipal209
1
—
5
(57)65
—
(106)—
117
(2)117
18
—
118
(37)56
—
(115)—
157
(1)
Foreign government219
(7)—
—
(13)34
—
(152)—
81
(2)81
(19)—
—
—
24
—
(23)—
63
1
Corporate477
272
—
35
(60)165
—
(479)(5)405
77
405
39
—
49
(26)414
—
(208)12
685
(31)
Equity securities3,755
(491)—
174
(26)670
—
(112)—
3,970
(438)3,970
348
—
12
(811)102
—
(61)—
3,560
(371)
Asset-backed securities2,814
6
—
40
(181)694
—
(703)—
2,670
5
2,670
47
—
38
(42)783
—
(747)—
2,749
(58)
Other trading assets2,574
(89)—
680
(869)1,074
(13)(509)(9)2,839
(125)2,839
12
—
296
(897)966
9
(628)(17)2,580
(63)
Total trading non-derivative assets$12,863
$(365)$—
$1,165
$(1,687)$3,260
$(13)$(3,205)$(12)$12,006
$(562)$12,006
$564
$—
$586
$(2,373)$2,768
$9
$(2,654)$2
$10,908
$(575)
Trading derivatives, net(4)
      
Interest rate contracts$(755)$182
$—
$144
$(51)$137
$(18)$(100)$87
$(374)$136
$(374)$(82)$—
$(59)$77
$5
$—
$(37)$(93)$(563)$(143)
Foreign exchange contracts295
(324)—
1
(90)89
—
(52)52
(29)(428)(29)10
—
69
(13)52
—
(50)50
89
149
Equity contracts(876)76
—
(11)(284)22
38
(12)(24)(1,071)108
(1,071)29
—
14
123
17
—
(28)(51)(967)(189)
Commodity contracts(1,949)(139)—
3
(36)356
—
(352)100
(2,017)(122)(2,017)(76)—
(379)74
3
—
5
91
(2,299)(285)
Credit derivatives(321)(637)—
(33)(52)41
—
—
248
(754)(603)(754)(651)—
32
26
(4)—
(35)367
(1,019)450
Total trading derivatives, net(4)
$(3,606)$(842)$—
$104
$(513)$645
$20
$(516)$463
$(4,245)$(909)$(4,245)$(770)$—
$(323)$287
$73
$—
$(145)$364
$(4,759)$(18)


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016Jun. 30, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2016
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$111
$—
$6
$5
$(23)$1
$—
$(6)$—
$94
$1
$94
$—
$(4)$3
$(10)$6
$—
$—
$—
$89
$(1)
Residential—
—
—
—
—
25
—
—
—
25
—
25
—
1
49
—
1
—
(23)—
53
—
Commercial3
—
—
3
(1)—
—
—
—
5
—
5
—
(1)—
(4)—
—
—
—
—
—
Total investment mortgage-backed securities$114
$—
$6
$8
$(24)$26
$—
$(6)$—
$124
$1
$124
$—
$(4)$52
$(14)$7
$—
$(23)$—
$142
$(1)
U.S. Treasury and federal agency securities$3
$—
$—
$—
$—
$—
$—
$—
$—
$3
$—
$3
$—
$—
$—
$—
$—
$—
$(1)$—
$2
$—
State and municipal2,098
—
127
130
(374)89
—
(54)—
2,016
99
2,016
—
(54)5
(338)60
—
(33)—
1,656
40
Foreign government175
—
17
—
—
41
—
(89)(3)141
—
141
—
(14)5
—
42
—
(29)—
145
(5)
Corporate498
—
31
—
(8)93
—
(154)—
460
(5)460
—
42
1
(18)412
—
(8)(365)524
(1)
Equity securities126
—
—
2
—
—
—
—
—
128
—
128
—
11
—
—
—
—
(129)—
10
—
Asset-backed securities701
—
61
—
(22)72
—
(215)—
597
51
597
—
(88)3
(25)121
—
(7)81
682
88
Other debt securities—
—
—
—
—
5
—
—
—
5
—
5
—
—
10
—
1
—
(5)—
11
—
Non-marketable equity securities1,165
—
26
13
—
6
—
—
(71)1,139
26
1,139
—
54
53
(23)1
—
(14)(29)1,181
(9)
Total investments$4,880
$—
$268
$153
$(428)$332
$—
$(518)$(74)$4,613
$172
$4,613
$—
$(53)$129
$(418)$644
$—
$(249)$(313)$4,353
$112
Loans$1,723
$—
$19
$—
$—
$211
$58
$(297)$(480)$1,234
$(34)$1,234
$—
$89
$24
$(196)$93
$—
$(137)$(25)$1,082
$(179)
Mortgage servicing rights1,524
—
(137)—
—
—
35
—
(98)1,324
(154)1,324
—
13
—
—
—
43
(32)(78)1,270
15
Other financial assets measured on a recurring basis57
—
16
37
(2)—
67
(4)(60)111
(61)111
—
31
1
(41)1
72
(4)(105)66
(69)
Liabilities      
Interest-bearing deposits$191
$—
$39
$318
$—
$—
$1
$—
$(38)$433
$39
$433
$—
$41
$—
$(100)$—
$—
$—
$(32)$260
$42
Federal funds purchased and securities loaned or sold under agreements to repurchase1,238
4
—
—
—
—
—
—
(127)1,107
4
1,107
10
—
—
(150)—
—
11
(35)923
8
Trading account liabilities      
Securities sold, not yet purchased118
(11)—
38
(18)(61)(41)34
(69)12
(30)12
(30)—
21
(42)(9)—
142
5
159
(30)
Other trading liabilities—
—
—
1
—
—
—
—
—
1
—
Short-term borrowings46
(24)—
12
—
—
7
—
(36)53
(15)53
(9)—
1
(32)—
15
—
(14)32
2
Long-term debt8,736
(48)—
712
(756)—
990
61
(653)9,138
(48)9,138
(191)—
947
(1,550)—
1,719
—
(1,263)9,182
(191)
Other financial liabilities measured on a recurring basis14
—
1
—
(6)(2)1
—
(1)5
(1)5
—
(26)2
—
(1)—
—
—
32
(2)






 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016Dec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2016
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$1,337
$8
$—
$—
$(28)$503
$—
$—
$(1)$1,819
$(55)$1,337
$2
$—
$—
$(28)$508
$—
$—
$(506)$1,313
$3
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed744
12
—
418
(582)761
—
(634)11
730
(3)744
13
—
485
(969)857
—
(920)18
228
4
Residential1,326
(12)—
129
(87)257
—
(806)(6)801
(40)1,326
104
—
134
(153)275
—
(1,239)(6)441
23
Commercial517
13
—
179
(102)352
—
(569)—
390
(13)517
15
—
180
(209)661
—
(720)—
444
(23)
Total trading mortgage-backed securities$2,587
$13
$—
$726
$(771)$1,370
$—
$(2,009)$5
$1,921
$(56)$2,587
$132
$—
$799
$(1,331)$1,793
$—
$(2,879)$12
$1,113
$4
U.S. Treasury and federal agency securities$1
$—
$—
$2
$—
$—
$—
$—
$—
$3
$(1)$1
$—
$—
$2
$—
$—
$—
$(2)$—
$1
$—
State and municipal351
8
—
18
(216)168
—
(212)—
117
(1)351
26
—
136
(253)224
—
(327)—
157
—
Foreign government197
(8)—
2
(17)75
—
(168)—
81
1
197
(27)—
2
(17)99
—
(191)—
63
(2)
Corporate376
284
—
80
(76)334
—
(588)(5)405
89
376
323
—
129
(102)748
—
(796)7
685
58
Equity securities3,684
(535)—
267
(60)749
—
(135)—
3,970
(474)3,684
(187)—
279
(871)851
—
(196)—
3,560
(125)
Asset-backed securities2,739
134
—
157
(195)1,186
—
(1,351)—
2,670
29
2,739
181
—
195
(237)1,969
—
(2,098)—
2,749
87
Other trading assets2,483
(116)—
1,458
(1,482)1,357
(2)(840)(19)2,839
(223)2,483
(104)—
1,754
(2,379)2,323
7
(1,468)(36)2,580
136
Total trading non-derivative assets$12,418
$(220)$—
$2,710
$(2,817)$5,239
$(2)$(5,303)$(19)$12,006
$(636)$12,418
$344
$—
$3,296
$(5,190)$8,007
$7
$(7,957)$(17)$10,908
$158
Trading derivatives, net(4)












































Interest rate contracts(495)(326)—
309
39
142
(18)(103)78
(374)(154)(495)(408)—
250
116
147
(18)(140)(15)(563)84
Foreign exchange contracts620
(677)—
4
(60)106
—
(91)69
(29)(572)620
(667)—
73
(73)158
—
(141)119
89
(428)
Equity contracts(800)108
—
64
(428)46
38
(71)(28)(1,071)107
(800)137
—
78
(305)63
38
(99)(79)(967)191
Commodity contracts(1,861)(281)—
(49)(26)356
—
(352)196
(2,017)(288)(1,861)(357)—
(428)48
359
—
(347)287
(2,299)11
Credit derivatives307
(1,152)—
(114)(23)42
—
—
186
(754)(1,086)307
(1,803)—
(82)3
38
—
(35)553
(1,019)(1,272)
Total trading derivatives, net(4)
$(2,229)$(2,328)$—
$214
$(498)$692
$20
$(617)$501
$(4,245)$(1,993)$(2,229)$(3,098)$—
$(109)$(211)$765
$20
$(762)$865
$(4,759)$(1,414)


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016Dec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2016
Investments  
Mortgage-backed securities  
U.S. government-sponsored agency guaranteed$139
$—
$(25)$12
$(62)$40
$—
$(9)$(1)$94
$41
$139
$—
$(29)$15
$(72)$46
$—
$(9)$(1)$89
$49
Residential4
—
1
—
—
25
—
(5)—
25
—
4
—
2
49
—
26
—
(28)—
53
1
Commercial2
—
—
6
(3)—
—
—
—
5
—
2
—
(1)6
(7)—
—
—
—
—
—
Total investment mortgage-backed securities$145
$—
$(24)$18
$(65)$65
$—
$(14)$(1)$124
$41
$145
$—
$(28)$70
$(79)$72
$—
$(37)$(1)$142
$50
U.S. Treasury and federal agency securities$4
$—
$—
$—
$—
$—
$—
$(1)$—
$3
$—
$4
$—
$—
$—
$—
$—
$—
$(2)$—
$2
$—
State and municipal2,192
—
162
391
(783)240
—
(186)—
2,016
118
2,192
—
108
396
(1,121)300
—
(219)—
1,656
45
Foreign government260
—
19
33
—
103
—
(271)(3)141
(106)260
—
5
38
—
145
—
(300)(3)145
1
Corporate603
—
45
5
(45)94
—
(242)—
460
(1)603
—
87
6
(63)506
—
(250)(365)524
1
Equity securities124
—
—
4
—
—
—
—
—
128
—
124
—
11
4
—
—
—
(129)—
10
—
Asset-backed securities596
—
35
—
(23)204
—
(215)—
597
24
596
—
(53)3
(48)325
—
(222)81
682
(35)
Other debt securities—
—
—
—
—
5
—
—
—
5
—
—
—
—
10
—
6
—
(5)—
11
—
Non-marketable equity securities1,135
—
24
51
—
18
—
—
(89)1,139
20
1,135
—
78
104
(23)19
—
(14)(118)1,181
29
Total investments$5,059
$—
$261
$502
$(916)$729
$—
$(929)$(93)$4,613
$96
$5,059
$—
$208
$631
$(1,334)$1,373
$—
$(1,178)$(406)$4,353
$91
Loans$2,166
$—
$(58)$89
$(538)$570
$219
$(675)$(539)$1,234
$(63)$2,166
$—
$31
$113
$(734)$663
$219
$(812)$(564)$1,082
$383
Mortgage servicing rights$1,781
$—
$(362)$—
$—
$—
$68
$14
$(177)$1,324
$(154)$1,781
$—
$(349)$—
$—
$—
$111
$(18)$(255)$1,270
$(154)
Other financial assets measured on a recurring basis$180
$—
$33
$40
$(5)$—
$130
$(124)$(143)$111
$(277)$180
$—
$64
$41
$(46)$1
$202
$(128)$(248)$66
$(260)
Liabilities  
Interest-bearing deposits$434
$—
$35
$322
$(209)$—
$5
$—
$(84)$433
$39
$434
$—
$76
$322
$(309)$—
$5
$—
$(116)$260
$42
Federal funds purchased and securities loaned or sold under agreements to repurchase1,247
(21)—
—
—
—
—
16
(177)1,107
(25)1,247
(11)—
—
(150)—
—
27
(212)923
(24)
Trading account liabilities  
Securities sold, not yet purchased199
14
—
97
(43)(61)(41)70
(195)12
(29)199
(16)—
118
(85)(70)(41)212
(190)159
(61)
Other trading liabilities—
—
—
1
—
—
—
—
—
1
—
Short-term borrowings9
(27)—
17
(4)—
41
—
(37)53
(19)9
(36)—
18
(36)—
56
—
(51)32
2
Long-term debt7,543
(26)—
1,221
(1,843)—
2,872
61
(742)9,138
(86)7,543
(217)—
2,168
(3,393)—
4,591
61
(2,005)9,182
(277)
Other financial liabilities measured on a recurring basis14
—
(7)—
(10)(6)2
—
(2)5
(3)14
—
(33)2
(10)(7)2
—
(2)32
(7)

(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. Effective January 1, 2016, changes in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of Accumulated other comprehensive income (AOCI).
(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 JuneSeptember 30, 2016.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.



 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2015Jun. 30, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2015
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$4,022
$(95)$—
$—
$(2,756)$20
$—
$—
$(121)$1,070
$—
$1,070
$66
$—
$279
$—
$—
$—
$—
$—
$1,415
$1
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed$818
$26
$—
$188
$(340)$172
$—
$(267)$14
$611
$7
$611
$1
$—
$208
$(212)$166
$—
$(131)$9
$652
$2
Residential2,130
129
—
133
(66)631
—
(751)—
2,206
14
2,206
37
—
57
(119)294
—
(450)—
2,025
1
Commercial599
(2)—
68
(65)92
—
(324)—
368
(1)368
3
—
20
(60)30
—
(139)—
222
1
Total trading mortgage-backed securities$3,547
$153
$—
$389
$(471)$895
$—
$(1,342)$14
$3,185
$20
$3,185
$41
$—
$285
$(391)$490
$—
$(720)$9
$2,899
$4
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$1
$—
$2
$—
$—
$—
$3
$—
State and municipal247
(2)—
13
—
—
—
(9)—
249
1
249
9
—
8
(22)39
—
(6)—
277
—
Foreign government115
—
—
—
(8)39
—
(59)(5)82
(2)82
(1)—
25
—
19
—
(40)—
85
(1)
Corporate767
128
—
41
(26)164
—
(355)(11)708
(45)708
(19)—
53
(177)94
—
(268)—
391
(6)
Equity securities2,598
(25)—
38
(173)360
—
(57)—
2,741
66
2,741
75
—
148
(52)438
—
(66)—
3,284
16
Asset-backed securities3,553
106
—
505
(81)1,696
—
(1,543)—
4,236
181
4,236
66
—
53
(109)827
—
(1,696)—
3,377
11
Other trading assets4,393
201
—
107
(1,536)630
19
(704)(12)3,098
29
3,098
(45)—
124
(816)457
9
(520)(19)2,288
27
Total trading non-derivative assets$15,220
$561
$—
$1,093
$(2,295)$3,784
$19
$(4,069)$(14)$14,299
$250
$14,299
$126
$—
$697
$(1,567)$2,366
$9
$(3,316)$(10)$12,604
$51
Trading derivatives, net(4)
      
Interest rate contracts(334)(358)—
(2)(46)12
—
169
136
(423)(152)(423)(205)—
(1)2
(5)—
—
(8)(640)(61)
Foreign exchange contracts646
(123)—
(42)(85)83
—
(83)(5)391
(153)391
206
—
(4)106
102
—
(92)(42)667
83
Equity contracts(774)351
—
—
15
61
—
(75)67
(355)(70)(355)272
—
(31)(108)172
—
(184)(218)(452)187
Commodity contracts(1,729)(56)—
1
(6)—
—
—
63
(1,727)89
(1,727)(166)—
31
(21)—
—
—
36
(1,847)(196)
Credit derivatives(663)(24)—
(51)(45)—
—
(3)212
(574)(228)(574)457
—
52
64
—
—
—
90
89
196
Total trading derivatives, net(4)
$(2,854)$(210)$—
$(94)$(167)$156
$—
$8
$473
$(2,688)$(514)$(2,688)$564
$—
$47
$43
$269
$—
$(276)$(142)$(2,183)$209
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$70
$—
$1
$59
$(33)$—
$—
$(1)$—
$96
$1
$96
$—
$(4)$29
$(68)$62
$—
$(1)$—
$114
$(4)
Residential10
—
(3)—
—
11
—
(8)—
10
—
10
—
—
—
—
—
—
(10)—
—
—
Commercial2
—
—
—
(2)—
—
—
—
—
—
—
—
—
2
—
—
—
—
—
2
—
Total investment mortgage-backed securities$82
$—
$(2)$59
$(35)$11
$—
$(9)$—
$106
$1
$106
$—
$(4)$31
$(68)$62
$—
$(11)$—
$116
$(4)
U.S. Treasury and federal agency securities$5
$—
$—
$—
$—
$—
$—
$—
$—
$5
$—
$5
$—
$—
$—
$—
$6
$—
$(1)$—
$10
$—
State and municipal2,247
—
(39)54
(99)166
—
(176)—
2,153
(43)2,153
—
11
305
(268)253
—
(189)(100)2,165
(4)
Foreign government575
—
(3)(8)—
310
—
(223)(158)493
4
493
—
(7)3
(156)74
—
(164)—
243
—
Corporate584
—
72
—
(3)55
—
(9)(1)698
—
698
—
(38)4
—
53
—
(75)(1)641
(35)
Equity securities519
—
2
—
(7)—
—
(31)—
483
(1)483
—
31
5
—
7
—
(81)—
445
10
Asset-backed securities517
—
20
—
(48)14
—
—
—
503
22
503
—
(8)45
—
18
—
—
—
558
(5)
Other debt securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
10
—
—
—
10
—
Non-marketable equity securities1,289
—
(53)75
(6)4
—
(53)(18)1,238
11
1,238
—
14
1
—
1
—
—
(12)1,242
18
Total investments$5,818
$—
$(3)$180
$(198)$560
$—
$(501)$(177)$5,679
$(6)$5,679
$—
$(1)$394
$(492)$484
$—
$(521)$(113)$5,430
$(20)


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2015Jun. 30, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2015
Loans$3,906
$—
$(20)$—
$(85)$365
$42
$(278)$(90)$3,840
$26
$3,840
$—
$(125)$—
$(720)$162
$69
$(121)$(450)$2,655
$(7)
Mortgage servicing rights1,685
—
270
—
—
—
68
(9)(90)1,924
(77)1,924
—
(131)—
—
—
55
4
(86)1,766
(129)
Other financial assets measured on a recurring basis148
—
10
14
(5)—
38
(9)(57)139
348
139
—
78
7
(11)1
67
(7)(82)192
(12)
Liabilities      
Interest-bearing deposits$465
$—
$101
$—
$—
$—
$—
$—
$(17)$347
$(164)$347
$—
$(108)$—
$—
$—
$12
$—
$(9)$458
$(204)
Federal funds purchased and securities loaned or sold under agreements to repurchase1,060
29
—
—
—
—
—
(8)(58)965
25
965
(1)—
—
—
—
—
292
1
1,259
(1)
Trading account liabilities      
Securities sold, not yet purchased223
(12)—
105
(144)—
—
87
(26)257
(38)257
63
—
66
(9)—
—
103
(120)234
(9)
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings120
17
—
16
(3)—
33
—
(16)133
(1)133
(9)—
4
(3)—
10
—
(51)102
(12)
Long-term debt7,196
82
—
374
(1,091)—
1,452
—
(184)7,665
213
7,665
194
—
995
(736)—
679
—
(214)8,195
(180)
Other financial liabilities measured on a recurring basis8
—
(4)—
(4)(1)2
—
(5)4
(4)4
—
(1)2
—
(1)1
2
(4)5
1


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2014Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2015Dec. 31, 2014Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2015
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$3,398
$(135)$—
$—
$(2,856)$784
$—
$—
$(121)$1,070
$—
$3,398
$(69)$—
$279
$(2,856)$784
$—
$—
$(121)$1,415
$1
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed1,085
29
—
482
(850)339
—
(488)14
611
5
1,085
30
—
690
(1,062)505
—
(619)23
652
1
Residential2,680
206
—
178
(282)1,129
—
(1,705)—
2,206
(91)2,680
243
—
235
(401)1,423
—
(2,155)—
2,025
(97)
Commercial440
13
—
156
(78)412
—
(575)—
368
(8)440
16
—
176
(138)442
—
(714)—
222
(9)
Total trading mortgage-backed securities$4,205
$248
$—
$816
$(1,210)$1,880
$—
$(2,768)$14
$3,185
$(94)$4,205
$289
$—
$1,101
$(1,601)$2,370
$—
$(3,488)$23
$2,899
$(105)
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$1
$—
$2
$—
$—
$—
$3
$—
State and municipal241
(10)—
27
(7)9
—
(11)—
249
2
241
(1)—
35
(29)48
—
(17)—
277
2
Foreign government206
(3)—
27
(100)105
—
(99)(54)82
4
206
(4)—
52
(100)124
—
(139)(54)85
2
Corporate820
204
—
54
(85)511
—
(785)(11)708
48
820
185
—
107
(262)605
—
(1,053)(11)391
24
Equity securities2,219
(46)—
162
(188)742
—
(148)—
2,741
55
2,219
29
—
310
(240)1,180
—
(214)—
3,284
93
Asset-backed securities3,294
233
—
570
(115)2,759
—
(2,505)—
4,236
179
3,294
299
—
623
(224)3,586
—
(4,201)—
3,377
74
Other trading assets4,372
60
—
317
(1,928)1,632
32
(1,367)(20)3,098
15
4,372
15
—
441
(2,744)2,089
41
(1,887)(39)2,288
34
Total trading non-derivative assets$15,357
$686
$—
$1,973
$(3,633)$7,638
$32
$(7,683)$(71)$14,299
$209
$15,357
$812
$—
$2,670
$(5,200)$10,004
$41
$(10,999)$(81)$12,604
$124
Trading derivatives, net(4)
      
Interest rate contracts$(211)$(428)$—
$(136)$(39)$18
$—
$166
$207
$(423)$(58)$(211)$(633)$—
$(137)$(37)$13
$—
$166
$199
$(640)$117
Foreign exchange contracts778
(424)—
(1)(81)174
—
(178)123
391
(63)778
(218)—
(5)25
276
—
(270)81
667
95
Equity contracts(863)322
—
(23)116
150
—
(140)83
(355)(166)(863)594
—
(54)8
322
—
(324)(135)(452)47
Commodity contracts(1,622)(390)—
183
10
—
—
—
92
(1,727)(158)(1,622)(556)—
214
(11)—
—
—
128
(1,847)(361)
Credit derivatives(743)(122)—
31
8
—
—
(3)255
(574)(191)(743)335
—
83
72
—
—
(3)345
89
219
Total trading derivatives, net(4)
$(2,661)$(1,042)$—
$54
$14
$342
$—
$(155)$760
$(2,688)$(636)$(2,661)$(478)$—
$101
$57
$611
$—
$(431)$618
$(2,183)$117
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$38
$—
$—
$104
$(45)$—
$—
$(1)$—
$96
$(1)$38
$—
$(4)$133
$(113)$62
$—
$(2)$—
$114
$(4)
Residential8
—
(1)—
—
11
—
(8)—
10
1
8
—
(1)—
—
11
—
(18)—
—
—
Commercial1
—
—
2
(3)—
—
—
—
—
—
1
—
—
4
(3)—
—
—
—
2
—
Total investment mortgage-backed securities$47
$—
$(1)$106
$(48)$11
$—
$(9)$—
$106
$—
$47
$—
$(5)$137
$(116)$73
$—
$(20)$—
$116
$(4)
U.S. Treasury and federal agency securities$6
$—
$—
$—
$—
$—
$—
$(1)$—
$5
$—
$6
$—
$—
$—
$—
$6
$—
$(2)$—
$10
$—
State and municipal2,180
—
(7)159
(238)399
—
(340)—
2,153
(31)2,180
—
4
464
(506)652
—
(529)(100)2,165
(35)
Foreign government678
—
48
(8)(105)484
—
(334)(270)493
5
678
—
41
(5)(261)558
—
(498)(270)243
—
Corporate672
—
46
2
(44)69
—
(13)(34)698
—
672
—
8
6
(44)122
—
(88)(35)641
(38)
Equity securities681
—
(86)7
(10)—
—
(109)—
483
—
681
—
(55)12
(10)7
—
(190)—
445
10
Asset-backed securities549
—
(20)—
(58)33
—
(1)—
503
22
549
—
(28)45
(58)51
—
(1)—
558
(6)
Other debt securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
10
—
—
—
10
—
Non-marketable equity securities1,460
—
(10)75
6
4
—
(53)(244)1,238
74
1,460
—
4
76
6
5
—
(53)(256)1,242
74
Total investments$6,273
$—
$(30)$341
$(497)$1,000
$—
$(860)$(548)$5,679
$70
$6,273
$—
$(31)$735
$(989)$1,484
$—
$(1,381)$(661)$5,430
$1


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2014Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2015Dec. 31, 2014Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2015
Loans$3,108
$—
$(74)$689
$(85)$574
$363
$(375)$(360)$3,840
$29
$3,108
$—
$(199)$689
$(805)$736
$432
$(496)$(810)$2,655
$16
Mortgage servicing rights1,845
—
193
—
—
—
111
(41)(184)1,924
(390)1,845
—
62
—
—
—
165
(37)(269)1,766
(390)
Other financial assets measured on a recurring basis78
—
16
80
(7)3
98
(14)(115)139
596
78
—
94
87
(18)4
165
(21)(197)192
453
Liabilities      
Interest-bearing deposits$486
$—
$101
$—
$—
$—
$—
$—
$(38)$347
$(265)$486
$—
$(7)$—
$—
$—
$12
$—
$(47)$458
$(250)
Federal funds purchased and securities loaned or sold under agreements to repurchase1,043
(23)—
—
—
—
—
(7)(94)965
15
1,043
(24)—
—
—
—
—
285
(93)1,259
—
Trading account liabilities      
Securities sold, not yet purchased424
(22)—
197
(187)—
—
157
(356)257
(50)424
41
—
263
(196)—
—
260
(476)234
(22)
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings344
10
—
17
(15)—
49
—
(252)133
(3)344
1
—
21
(18)—
59
—
(303)102
(15)
Long-term debt7,290
368
—
1,086
(2,038)—
2,401
—
(706)7,665
(17)7,290
562
—
2,081
(2,774)—
3,080
—
(920)8,195
(230)
Other financial liabilities measured on a recurring basis7
—
(7)—
(4)(2)2
—
(6)4
(3)7
—
(8)2
(4)(3)3
2
(10)5
—
(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 JuneSeptember 30, 2015.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.
Level 3 Fair Value Rollforward
There were no significant Level 3 transfers for the period from March 31, 2016 to June 30, 2016.

The following were the significant Level 3 transfers for the period December 31, 2015June 30, 2016 to JuneSeptember 30, 2016:

Transfers of Other trading assets of $1.5$0.3 billion from Level 2 to Level 3, and of $1.5$0.9 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations.
Transfers of Long-term debt of $1.2$0.9 billion from Level 2 to Level 3, and of $1.8$1.6 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.

The following were the significant Level 3 transfers for the period MarchDecember 31, 2015 to JuneSeptember 30, 2015:2016:

Transfers of Federal Funds sold andTrading mortgage-backed securities borrowed or purchased under agreements to resell of $2.8$0.5 billion from Level 2 to Level 3, and of $1.0 billion from Level 3 to Level 2, related to shortening of the remaining tenor of certain reverse repos. There is more transparency and observability for repo curves usedAgency Guaranteed MBS securities, reflecting changes in the valuationvolume of structured reverse repos with tenors up to five years; thus, these positions are generally classified as Level 2.market quotations.
Transfers of Other trading assets of $1.5$1.8 billion from Level 2 to Level 3, and of $2.4 billion from Level 3 to Level 2, related to trading loans, for which there was increased transparency intoreflecting changes in the volume of market quotations.
Transfers of Long-term debt of $2.2 billion from Level 2 to Level 3, and of $3.4 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.
Transfers of State and municipal of $1.1 billion from Level 3 to Level 2, mainly related to structured debt, reflecting certain unobservable inputs becoming lesschanges in the volume of market quotations.

There were no significant and certain underlying market inputs being more observable.
Level 3 transfers for the period from June 30, 2015 to September 30, 2015.

The following were the significant Level 3 transfers for the period December 31, 2014 to JuneSeptember 30, 2015:

Transfers of Federal Funds sold and securities borrowed or purchased under agreements to resell of $2.9 billion from Level 3 to Level 2 related to shortening of the remaining tenor of certain reverse repos. There is more transparency and observability for repo curves used in the valuation of structured reverse repos with tenors up to five years; thus, these positions are generally classified as Level 2.
Transfers of U.S. government-sponsored agency guaranteed MBS in Trading account assets of $1 billion from Level 3 to Level 2 primarily related to increased observability due to an increase in market trading activity.
Transfers of Other trading assets of $1.9$2.7 billion from Level 3 to Level 2 primarily related to trading loans for which there was increased volume of and transparency into market quotations.
Transfers of Long-term debtof $1.1$2.1 billion from Level 2 to Level 3, and of $2.0$2.8 billion from Level 3 to Level 2, mainly related to structured debt, reflecting certain



unobservable inputs becoming less significant and certain underlying market inputs being more observable.



Valuation Techniques and Inputs for Level 3 Fair Value Measurements
The Company’s Level 3 inventory consists of both cash instruments and derivatives of varying complexity. The valuation methodologies used to measure the fair value of these positions include discounted cash flow analysis, internal models and comparative analysis. A position is classified within Level 3 of the fair value hierarchy when at least one input is unobservable and is considered significant to its valuation. The specific reason an input is deemed unobservable varies. For example, at least one significant input to the pricing model is not observable in the market, at least one significant input has been adjusted to make it more representative of the position being valued, or the price quote available does not reflect sufficient trading activities.
The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements.
Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.

Valuation Techniques and Inputs for Level 3 Fair Value Measurements
As of June 30, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of September 30, 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$804
Model-basedInterest rate(0.44)%2.74 %1.61 %$1,313
Model-basedInterest rate(0.47)%1.40%(0.39)%
  IR normal volatility32.32 %80.41%68.61 %
Mortgage-backed securities$1,021
Price-basedPrice$6.00
$119.62
$76.52
$659
Price-basedPrice$6.65
$118.45
$75.90
972
Yield analysisYield0.90 %14.62 %4.06 %547
Yield analysisYield0.11 %16.08%4.19 %
State and municipal, foreign government, corporate and other debt securities$3,828
Price-basedPrice$0.01
$141.45
$92.24
$3,595
Price-basedPrice$7.00
$106.00
$93.73
1,750
Cash flowCredit spread35 bps
600 bps
229 bps
1,699
Cash flowCredit spread35 bps
600 bps
228 bps
Equity securities(5)
$3,796
Model-basedWAL4 years
29 years
4.49 years
$3,404
Model-basedWAL4 years
4 years
4 years
  Interest rate2.86 %10.75 %3.63 %
Asset-backed securities$3,008
Price-basedPrice$5.00
$100.00
$70.39
$3,285
Price-basedPrice$6.25
$100.00
$73.98
Non-marketable equity$581
Comparables analysisEBITDA multiples7.00x10.35x8.79x$603
Comparables analysisEBITDA multiples7.00x10.40x8.66x
519
Price-basedDiscount to price— %90.00 %10.85 %539
Price-basedDiscount to price— %73.80%11.23 %
  Price-to-book ratio— %2.16 %1.10 %  Price-to-book ratio0.32 %2.10%1.11 %
  Price$—
$28.28
$2.32
  Price$—
$113.23
$39.02
Derivatives—gross(6)
      
Interest rate contracts (gross)$7,548
Model-basedIR log-normal volatility61.89 %151.86 %82.56 %$7,228
Model-basedIR normal volatility15.10 %75.30%56.39 %
  Mean reversion1.00 %20.00 %10.50 %  Mean reversion1.00 %20.00%10.50 %
Foreign exchange contracts (gross)$1,457
Model-basedForeign exchange (FX) volatility3.64 %58.13 %17.05 %$1,237
Model-basedForeign exchange (FX) volatility3.61 %25.47%9.84 %
172
Cash flowIR-IR correlation(51.00)%40.00 %35.23 %174
Cash flowIR-IR correlation40.00 %40.00%40.00 %
  IR-FX correlation40.00 %60.00 %50.00 %  IR-FX correlation40.00 %60.00%50.00 %
  IR basis(0.90)%(0.40)%(0.83)%  Credit spread15 bps
537 bps
179 bps
Equity contracts (gross)(7)
$3,370
Model-basedEquity volatility12.05 %61.31 %30.75 %$3,562
Model-basedEquity volatility0.37 %59.43%18.82 %
  Equity forward66.94 %106.31 %95.53 %  Equity forward66.94 %111.91%90.91 %
  Equity-Equity correlation(81.18)%100.00 %57.09 %  Forward price22.38 %104.46%98.37 %
  Equity - FX correlation(88.20)%56.90 %(21.74)%  WAL4 years
4 years
4 years
  WAL4 years
4 years
4 years
  Equity-IR correlation(35.00)%71.00%(11.50)%
Commodity contracts (gross)$3,921
Model-basedForward price42.87 %191.93 %115.58 %$3,499
Model-basedForward price42.00 %387.95%133.57 %
  Commodity volatility2.00 %53.36 %23.44 %  Commodity volatility2.00 %49.32%21.38 %
  Commodity correlation(51.05)%92.17 %56.68 %  Commodity correlation(43.68)%92.17%20.00 %
Credit derivatives (gross)$6,195
Model-basedRecovery rate10.00 %75.00 %33.49 %$3,482
Model-basedRecovery rate15.27 %75.00%37.56 %
927
Price-basedCredit correlation50.00 %95.00 %52.14 %1,449
Price-basedCredit correlation5.00 %65.00%35.53 %
  Upfront points4.48 %100.00 %64.24 %  Upfront points10.11 %99.95%67.49 %
  Price$1.00
$621.00
$86.26
  Credit spread5 bps
1,613 bps
285 bps
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$99
Model-basedRedemption rate5.05 %99.50%73.31 %
  Interest rate0.36 %0.38%0.37 %
Loans$455
Model-basedPrice$—
$111.68
$11.12
395
Price-basedCredit spread4 bps
500 bps
76 bps
222
Yield AnalysisYield1.75 %4.40%2.92 %
Mortgage servicing rights$1,178
Cash flowYield1.62 %18.52%8.64 %


 WAL3.17 years
6.07 years
4.77 years


As of June 30, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
  Price$—
$105.00
$45.43
  Credit spread1 bps
1,705 bps
449 bps
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$117
Model-basedRedemption rate6.10 %99.50 %74.35 %
  Recovery rate33.00 %40.00 %33.59 %
  Upfront points22.00 %22.00 %22.00 %
Loans$624
Model-basedPrice$—
$107.39
$31.68
598
Price-basedCredit spread46 bps
500 bps
108 bps
Mortgage servicing rights$1,232
Cash flowYield— %23.32 %6.85 %
289
Model-basedWAL3.01 years
5.88 years
4.49 years
As of September 30, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Liabilities      
Interest-bearing deposits$433
Model-basedIR log-normal volatility61.89 %151.86 %82.56 %$260
Model-basedMean reversion1.00 %20.00%10.50 %
  Interest rate0.47 %1.83 %1.55 %
Federal funds purchased and securities loaned or sold under agreements to repurchase$1,107
Model-basedInterest rate0.99 %1.14 %1.10 %$923
Model-basedInterest rate0.15 %1.40%1.11 %
Trading account liabilities      
Securities sold, not yet purchased$7
Yield analysisPrice$—
$109.29
$199.85
$195
Price-basedPrice$—
$621.00
$86.97
  Commodity correlation(51.05)%92.17 %56.68 %
  Commodity volatility2.00 %53.36 %23.44 %
  Forward price$42.87
$191.93
$112.58
  Forward price42.00 %387.95%131.84 %
  Equity volatility10.15 %40.42 %23.29 %  Commodity correlation(43.68)%92.17%20.00 %
  Yield1.51 %2.22 %1.83 %  Commodity volatility2.00 %49.32%21.30 %
Short-term borrowings and long-term debt$9,279
Model-basedEquity volatility15.05 %61.31 %27.89 %$9,241
Model-basedEquity volatility7.55 %41.94%19.85 %
  Equity forward66.94 %102.58 %94.32 %  Mean Reversion1.00 %20.00%10.49 %
  Equity-equity correlation(81.18)%100.00 %49.17 %  Forward price88.11 %198.89%113.04 %
  Equity-FX correlation(88.20)%56.90 %(21.73)%  Commodity correlation(43.68)%92.17%20.00 %
  Mean Reversion1.00 %20.00 %10.50 %  Commodity volatility2.00 %49.32%21.38 %
  IR log-normal volatility61.89 %151.86 %82.56 %
As of December 31, 2015
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
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$1,337
Model-basedIR log-normal volatility29.02 %137.02%37.90 %$1,337
Model-basedIR log-normal volatility29.02 %137.02%37.90 %
  Interest rate— %2.03%0.27 %  Interest rate— %2.03%0.27 %
Mortgage-backed securities$1,287
Price-basedPrice$3.45
$109.21
$78.25
$1,287
Price-basedPrice$3.45
$109.21
$78.25
1,377
Yield analysisYield0.50 %14.07%4.83 %1,377
Yield analysisYield0.50 %14.07%4.83 %
State and municipal, foreign government, corporate and other debt securities$3,761
Price-basedPrice$—
$217.00
$79.41
$3,761
Price-basedPrice$—
$217.00
$79.41
1,719
Cash flowCredit spread20 bps
600 bps
251 bps
1,719
Cash flowCredit spread20 bps
600 bps
251 bps
Equity securities(5)
$3,499
Model-basedWAL1.5 years
1.5 years
1.5 years
$3,499
Model-basedWAL1.5 years
1.5 years
1.5 years
  Redemption rate41.21 %41.21%41.21 %  Redemption rate41.21 %41.21%41.21 %
Asset-backed securities$3,075
Price-basedPrice$5.55
$100.21
$71.57
$3,075
Price-basedPrice$5.55
$100.21
$71.57
Non-marketable equity$633
Comparables analysisEBITDA multiples6.80x10.80x9.05x$633
Comparables analysisEBITDA multiples6.80x10.80x9.05x
473
Price-basedDiscount to price— %90.00%10.89 %473
Price-basedDiscount to price— %90.00%10.89 %
  Price-to-book ratio0.19x1.09x0.60x  Price-to-book ratio0.19x1.09x0.60x
  Price$—
$132.78
$46.66
  Price$—
$132.78
$46.66
Derivatives—gross(6)
   
Interest rate contracts (gross)$4,553
Model-basedIR log-normal volatility17.41 %137.02%37.60 %
  Mean reversion(5.52)%20.00%0.71 %
Foreign exchange contracts (gross)$1,326
Model-basedForeign exchange (FX) volatility0.38 %25.73%11.63 %
275
Cash flowInterest rate7.50 %7.50%7.50 %
  Forward price1.48 %138.09%56.80 %
  Credit spread3 bps
515 bps
235 bps
  IR-IR correlation(51.00)%77.94%32.91 %
  IR-FX correlation(20.30)%60.00%48.85 %
Equity contracts (gross)(7)
$3,976
Model-basedEquity volatility11.87 %49.57%27.33 %
  Equity-FX correlation(88.17)%65.00%(21.09)%
  Equity forward82.72 %100.53%95.20 %
  Equity-equity correlation(80.54)%100.00%49.54 %
Commodity contracts (gross)$4,061
Model-basedForward price35.09 %299.32%112.98 %


As of December 31, 2015
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Derivatives—gross(6)
   
Interest rate contracts (gross)$4,553
Model-basedIR log-normal volatility17.41 %137.02%37.60 %
  Mean reversion(5.52)%20.00%0.71 %
Foreign exchange contracts (gross)$1,326
Model-basedForeign exchange (FX) volatility0.38 %25.73%11.63 %
275
Cash flowInterest rate7.50 %7.50%7.50 %
  Forward price1.48 %138.09%56.80 %
  Credit spread3 bps
515 bps
235 bps
  IR-IR correlation(51.00)%77.94%32.91 %
  IR-FX correlation(20.30)%60.00%48.85 %
Equity contracts (gross)(7)
$3,976
Model-basedEquity volatility11.87 %49.57%27.33 %
  Equity-FX correlation(88.17)%65.00%(21.09)%
  Equity forward82.72 %100.53%95.20 %
  Equity-equity correlation(80.54)%100.00%49.54 %
Commodity contracts (gross)$4,061
Model-basedForward price35.09 %299.32%112.98 %
  Commodity volatility5.00 %83.00%24.00 %  Commodity volatility5.00 %83.00%24.00 %
  Commodity correlation(57.00)%91.00%30.00 %  Commodity correlation(57.00)%91.00%30.00 %
Credit derivatives (gross)$5,849
Model-basedRecovery rate1.00 %75.00%32.49 %$5,849
Model-basedRecovery rate1.00 %75.00%32.49 %
1,424
Price-basedCredit correlation5.00 %90.00%43.48 %1,424
Price-basedCredit correlation5.00 %90.00%43.48 %
  Price$0.33
$101.00
$61.52
  Price$0.33
$101.00
$61.52
  Credit spread1 bps
967 bps
133 bps
  Credit spread1 bps
967 bps
133 bps
  Upfront points7.00 %99.92%66.75 %  Upfront points7.00 %99.92%66.75 %
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$194
Model-basedRecovery rate7.00 %40.00%10.72 %$194
Model-basedRecovery rate7.00 %40.00%10.72 %
  Redemption rate27.00 %99.50%74.80 %  Redemption rate27.00 %99.50%74.80 %
  Interest rate5.26 %5.28%5.27 %  Interest rate5.26 %5.28%5.27 %
Loans$750
Price-basedYield1.50 %4.50%2.52 %$750
Price-basedYield1.50 %4.50%2.52 %
892
Model-basedPrice$—
$106.98
$40.69
892
Model-basedPrice$—
$106.98
$40.69
524
Cash flowCredit spread29 bps
500 bps
105 bps
524
Cash flowCredit spread29 bps
500 bps
105 bps
Mortgage servicing rights$1,690
Cash flowYield— %23.32%6.83 %$1,690
Cash flowYield— %23.32%6.83 %
  WAL3.38 years
7.48 years
5.5 years
  WAL3.38 years
7.48 years
5.5 years
Liabilities      
Interest-bearing deposits$434
Model-basedEquity-IR correlation23.00 %39.00%34.51 %$434
Model-basedEquity-IR correlation23.00 %39.00%34.51 %
  Forward price35.09 %299.32%112.72 %  Forward price35.09 %299.32%112.72 %
  Commodity correlation(57.00)%91.00%30.00 %  Commodity correlation(57.00)%91.00%30.00 %
  Commodity volatility5.00 %83.00%24.00 %  Commodity volatility5.00 %83.00%24.00 %
Federal funds purchased and securities loaned or sold under agreements to repurchase$1,245
Model-basedInterest rate1.27 %2.02%1.92 %$1,245
Model-basedInterest rate1.27 %2.02%1.92 %
Trading account liabilities      
Securities sold, not yet purchased$152
Price-basedPrice$—
$217.00
$87.78
$152
Price-basedPrice$—
$217.00
$87.78
Short-term borrowings and long-term debt$7,004
Model-basedMean reversion(5.52)%20.00%7.80 %$7,004
Model-basedMean reversion(5.52)%20.00%7.80 %
  Equity volatility9.55 %42.56%22.26 %  Equity volatility9.55 %42.56%22.26 %
  Equity forward82.72 %100.80%94.48 %  Equity forward82.72 %100.80%94.48 %
  Equity-equity correlation(80.54)%100.00%49.16 %  Equity-equity correlation(80.54)%100.00%49.16 %
  Forward price35.09 %299.32%106.32 %  Forward price35.09 %299.32%106.32 %
  Equity-FX correlation(88.20)%56.85%(31.76)%  Equity-FX correlation(88.20)%56.85%(31.76)%
(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.

Sensitivity to Unobservable Inputs and Interrelationships between Unobservable Inputs
The impact of 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 impact 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 interrelationships 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-exchange options, CDOs backed by loans or bonds, mortgages, subprime mortgages and many other instruments. For almost all of these instruments, correlations are not observable in the market and must be calculated using historical information. Estimating correlation can be especially difficult where it may vary over time. Calculating correlation information from market data requires significant assumptions regarding the informational efficiency of the market (for example, swaption markets). Changes in correlation levels can have a major 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 larger losses in the event of default and a part 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. The general relationship between changes in the
value of a portfolio to changes in volatility also depends on changes in interest rates and the level of the underlying index. Generally, long option positions (assets) benefit from increases in volatility, whereas short option positions (liabilities) will suffer losses. Some instruments are more sensitive to changes in volatility than others. For example, an at-the-money option would experience a larger 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, an option on a basket of bonds) depends on the volatility of the individual underlying securities as well as their correlations.

Yield
In some circumstances, the yield of an instrument is not observable in the market and must be estimated from historical data or from yields of similar securities. This estimated yield may need to be adjusted to capture the characteristics of the security being valued. In other situations, the estimated yield may not represent sufficient market liquidity and must be adjusted as well. Whenever the amount of the adjustment is significant to the value of the security, the fair value measurement is classified as Level 3.
Adjusted yield is generally used to discount the projected future principal and interest cash flows on instruments, such as asset-backed securities. Adjusted yield is impacted by changes in the interest rate environment and relevant credit spreads.

Prepayment
Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. The effect of prepayments is more pronounced for residential mortgage-backed securities. An increase in prepayments—in speed or magnitude—generally creates losses for the holder of these securities. Prepayment is generally negatively correlated with delinquency and interest rate. A combination of low prepayment and high delinquencies amplify each input’s negative impact on mortgage securities’ valuation. As prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending upon the nature of the security and the direction of the change in the weighted average life.




Recovery
Recovery is the proportion of the total outstanding balance of a bond or loan that is expected to be collected in a liquidation scenario. For many credit securities (such as asset-backed securities), there is no directly observable market input for recovery, but indications of recovery levels are available from pricing services. The assumed recovery of a security may differ from its actual recovery that will be observable in the future. The recovery rate impacts the valuation of credit securities. Generally, an increase in the recovery rate assumption increases the fair value of the security. An increase in loss severity, the inverse of the recovery rate, reduces the amount of principal available for distribution and, as a result, decreases the fair value of the security.



Credit Spread
Credit spread is a component of the security representing its credit quality. Credit spread reflects the market perception of changes in prepayment, delinquency and recovery rates, therefore capturing the impact of other variables on the fair value. Changes in credit spread affect the fair value of
securities differently depending on the characteristics and maturity profile of the security. For example, credit spread is a more significant driver of the fair value measurement of a high yield bond as compared to an investment grade bond. Generally, the credit spread for an investment grade bond is also more observable and less volatile than its high yield counterpart.

Qualitative Discussion of the Ranges of Significant Unobservable Inputs
The following section describes the ranges of the most significant unobservable inputs used by the Company in Level 3 fair value measurements. The level of aggregation and the diversity of instruments held by the Company lead to a wide range of unobservable inputs that may not be evenly distributed across the Level 3 inventory.

Correlation
There are many different types of correlation inputs, including credit correlation, cross-asset correlation (such as equity-interest rate correlation), and same-asset correlation (such as interest rate-interest rate correlation). Correlation inputs are generally used to value hybrid and exotic instruments. Generally, same-asset correlation inputs have a narrower range than cross-asset correlation inputs. However, due to the complex and unique nature of these instruments, the ranges for correlation inputs can vary widely across portfolios.

Volatility
Similar to correlation, asset-specific volatility inputs vary widely by asset type. For example, ranges for foreign exchange volatility are generally lower and narrower than equity volatility. Equity volatilities are wider due to the nature of the equities market and the terms of certain exotic instruments. For most instruments, the interest rate volatility input is on the lower end of the range; however, for certain structured or exotic instruments (such as market-linked deposits or exotic interest rate derivatives), the range is much wider.

Yield
Ranges for the yield inputs vary significantly depending upon the type of security. For example, securities that typically have lower yields, such as municipal bonds, will fall on 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
Stronger companies have tighter credit spreads, and weaker companies have wider credit spreads. Credit spread is relevant primarily for fixed income and credit instruments; however, the ranges for the credit spread input can vary across instruments. For example, certain fixed income instruments, such as certificates of deposit, typically have lower credit spreads, whereas certain derivative instruments with high-risk counterparties are typically subject to higher credit spreads when they are uncollateralized or have a longer tenor. Other instruments, such as credit default swaps, also have credit spreads that vary with the attributes of the underlying obligor.

Price
Price 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. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market.
The following table presents the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded during the three months ended:
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
June 30, 2016 
September 30, 2016 
Loans held-for-sale$7,549
$5,814
$1,735
$8,665
$6,677
$1,988
Other real estate owned85
16
69
80
17
63
Loans(1)
1,502
464
1,038
983
519
464
Other Assets(2)
2,991
2,991
—
Total assets at fair value on a nonrecurring basis$12,127
$9,285
$2,842
$9,728
$7,213
$2,515
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
December 31, 2015  
Loans held-for-sale$10,326
$6,752
$3,574
$10,326
$6,752
$3,574
Other real estate owned107
15
92
107
15
92
Loans(1)
1,173
836
337
1,173
836
337
Other Assets—
—
—
Total assets at fair value on a nonrecurring basis$11,606
$7,603
$4,003
$11,606
$7,603
$4,003
(1)
Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate secured loans.
(2)Represents the carrying value of an equity investment which was impaired.




The fair value of loans held-for-sale 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, 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.

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 June 30, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(5)
High
Weighted
average(2)
As of September 30, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(5)
High
Weighted
average(2)
Loans held-for-sale$2,047
Price-basedPrice$—
$100.00
$33.27
$1,988
Price-basedPrice$—
$100.00
$93.47
Other real estate owned$68
Price-based
Discount to price(4)
0.34%13.00%2.45%$62
Price-based
Discount to price(4)
0.34%13.00%2.96%
  Price58.91
68.50
59.42
Loans(3)
$576
Recovery analysisRecovery rates—%97.85%83.69%$347
CashflowPrice$3.00
$105.00
$55.67
183
Price-based
Discount to price(4)
13.00%35.00%8.90%278
Price-based
Discount to price(4)
13.00%13.00%13.00%
(1)
The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Weighted averages are calculated based on the fair values of the instruments.
(3)Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.
(4)Includes estimated costs to sell.
(5)Some inputs are shown as zero due to rounding.



As of December 31, 2015
Fair value(1)
 (in millions)
MethodologyInput
Low(5)
High
Weighted
average(2)
Loans held-for-sale$3,486
Price-basedPrice$—
$100.00
$81.05
Other real estate owned$90
Price-based
Discount to price(4)
0.34%13.00%2.86%
 2
 Appraised value$—
$8,518,230
$3,813,045
Loans(3)
$157
Recovery analysisRecovery rate11.79%60.00%23.49%
 87
Price-based
Discount to price(4)
13.00%34.00%7.99%

(1)The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Weighted averages are calculated based on the fair values of the instruments.
(3)Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.
(4)Includes estimated costs to sell.
(5)Some inputs are shown as zero due to rounding.


Nonrecurring Fair Value Changes
The following table presents 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:
Three Months Ended June 30,Three Months Ended September 30,
In millions of dollars2016201520162015
Loans held-for-sale$(35)$(20)$(17)$(7)
Other real estate owned(4)(3)(4)(5)
Loans(1)
(48)(61)(42)(72)
Other Assets(2)
$(23)$—
Total nonrecurring fair value gains (losses)$(110)$(84)$(63)$(84)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate loans.
(2)Represents net impairment losses related to an equity investment.


Six Months Ended June 30,Nine Months Ended September 30,
In millions of dollars2016201520162015
Loans held-for-sale$(32)$(20)$(15)$(7)
Other real estate owned(5)(4)(6)(12)
Loans(1)
(105)(107)(110)(220)
Other Assets (2)
$(211)—
Total nonrecurring fair value gains (losses)$(353)$(131)$(131)$(239)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate loans.
(2)Represents net impairment losses related to an equity investment.



Estimated Fair Value of Financial Instruments Not Carried at Fair Value
The table below presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table below therefore excludes 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 and insurance policy claim reserves. In addition, contract-holder fund amounts exclude certain insurance contracts. 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 excludes 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.

June 30, 2016Estimated fair valueSeptember 30, 2016Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$41.6
$43.1
$1.7
$37.5
$3.9
$44.8
$46.1
$1.6
$42.6
$1.9
Federal funds sold and securities borrowed or purchased under agreements to resell83.9
83.9
—
80.8
3.1
92.4
92.4
—
86.2
6.2
Loans(1)(2)
615.1
617.5
—
6.8
610.7
620.1
617.9
—
8.4
609.5
Other financial assets(2)(3)
215.4
215.4
6.5
143.6
65.3
214.6
214.6
7.2
148.8
58.6
Liabilities  
Deposits$936.4
$935.1
$—
$784.1
$151.0
$938.8
$937.3
$—
$781.9
$155.4
Federal funds purchased and securities loaned or sold under agreements to repurchase111.9
111.9
—
111.5
0.4
110.2
110.2
—
109.6
0.6
Long-term debt(4)
181.5
185.1
—
158.6
26.5
181.5
186.3
—
156.1
30.2
Other financial liabilities(5)
108.2
108.2
—
14.7
93.5
115.3
115.3
—
15.7
99.6

 December 31, 2015Estimated fair value
 
Carrying
value
Estimated
fair value
   
In billions of dollarsLevel 1Level 2Level 3
Assets     
Investments$41.7
$42.7
$3.5
$36.4
$2.8
Federal funds sold and securities borrowed or purchased under agreements to resell81.7
81.7
—
77.4
4.3
Loans(1)(2)
597.5
599.4
—
6.0
593.4
Other financial assets(2)(3)
186.5
186.5
6.9
126.2
53.4
Liabilities     
Deposits$906.3
$896.7
$—
$749.4
$147.3
Federal funds purchased and securities loaned or sold under agreements to repurchase109.7
109.7
—
109.4
0.3
Long-term debt(4)
176.0
180.8
—
153.8
27.0
Other financial liabilities(5)
97.6
97.6
—
18.0
79.6


(1)
The carrying value of loans is net of the Allowance for loan losses of $12.3$12.4 billion for JuneSeptember 30, 2016 and $12.6 billion for December 31, 2015. In addition, the carrying values exclude $1.9 billion and $2.4 billion of lease finance receivables at JuneSeptember 30, 2016 and December 31, 2015, 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, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

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, as existing assets and liabilities run off and new transactions are executed. The estimated fair values of loans reflect changes in credit status since the loans were made, changes in interest rates in the case of fixed-rate loans, and premium values at origination of certain loans.
The estimated fair values of the Company’s corporate unfunded lending commitments at JuneSeptember 30, 2016 and December 31, 2015 were liabilities of $6.4$4.4 billion and $7.0 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 cancellable by providing notice to the borrower.




23.21.   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 be revoked once made. The changes in fair value are
 
recorded in current earnings, other than DVA, which from January 1, 2016 is reported in AOCI. Additional discussion regarding the applicable areas in which fair value elections were made is presented in Note 2220 to the Consolidated Financial Statements.
The Company has elected fair value accounting for its mortgage servicing rights. See Note 2018 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting of MSRs.


The following table presents the changes in fair value of those items for which the fair value option has been elected:
Changes in fair value gains (losses) for theChanges in fair value gains (losses) for the
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20162015201620152016201520162015
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
$19
$(95)$47
$(93)$(54)$1
$(7)$(92)
Trading account assets(320)136
(62)227
571
(676)509
(449)
Investments(22)4
(21)49
(4)3
(25)52
Loans  
  
Certain corporate loans(1)
36
40
60
(9)5
(164)65
(173)
Certain consumer loans(1)
—
—
(1)2
1
—
—
2
Total loans$36
$40
$59
$(7)$6
$(164)$65
$(171)
Other assets  
  
MSRs(137)262
$(362)$191
$13
$(140)$(349)$51
Certain mortgage loans held for sale(2)
91
70
171
172
100
95
271
267
Other assets—
—
370
—
6
—
376
—
Total other assets$(46)$332
$179
$363
$119
$(45)$298
$318
Total assets$(333)$417
$202
$539
$638
$(881)$840
$(342)
Liabilities      
Interest-bearing deposits$(18)$23
$(68)$33
$(16)$(107)$(84)$(74)
Federal funds purchased and securities loaned or sold under agreements to repurchase
selected portfolios of securities sold under agreements to repurchase and securities loaned
(2)—
(8)2
32
(5)24
(3)
Trading account liabilities3
(44)97
(15)4
(51)101
(66)
Short-term borrowings(114)(67)(34)(68)(173)14
(207)(54)
Long-term debt(117)707
(540)896
(305)246
(845)701
Total liabilities$(248)$619
$(553)$848
$(458)$97
$(1,011)$504
(1)
Includes mortgage loans held by mortgage loan securitization VIEs consolidated upon the adoption of ASC 810, Consolidation (SFAS 167), on January 1, 2010.
(2)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 by reference to Citi’s credit spreads observed in the bond market. Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.
The estimated change in the fair value of these liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) were gainswas a loss of $20$319 million and $231a gain of $264 million for the three months ended JuneSeptember 30, 2016 and 2015, and gains of $327$8 million and $318$582 million for the sixnine months ended JuneSeptember 30, 2016 and 2015, 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. Effective January 1, 2016, changes 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. See Note 1 to the Consolidated Financial Statements for additional information.

The Fair Value Option for Financial Assets and Financial Liabilities

Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Non-Collateralized Short-Term Borrowings
The Company elected the fair value option for certain portfolios of fixed-income securities purchased under agreements to resell and fixed-income securities sold under agreements to repurchase, securities borrowed, securities loaned, and certain non-collateralized short-term borrowings held primarily by broker-dealer entities in the United States, United Kingdom and Japan. In each case, the election was made because the related interest-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 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:
June 30, 2016December 31, 2015September 30, 2016December 31, 2015
In millions of dollarsTrading assetsLoansTrading assetsLoansTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$9,321
$4,134
$9,314
$5,005
$9,561
$3,970
$9,314
$5,005
Aggregate unpaid principal balance in excess of fair value744
84
980
280
700
47
980
280
Balance of non-accrual loans or loans more than 90 days past due4
2
5
2
—
1
5
2
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due9
1
13
1
—
1
13
1
In addition to the amounts reported above, $1,855$1,463 million and $2,113 million of unfunded commitments related to certain credit products selected for fair value accounting were
 
outstanding as of JuneSeptember 30, 2016 and December 31, 2015, respectively.



Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in the Company’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 sixnine months ended JuneSeptember 30, 2016 and 2015 due to instrument-specific credit risk totaled to a gain of $56$83 million and loss of $27$203 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 $0.8$0.7 billion and $0.6 billion at JuneSeptember 30, 2016 and December 31, 2015, 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 JuneSeptember 30, 2016, there were approximately $18.1$18.2 billion and $11.4$14.6 billion 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 dollarsJune 30,
2016		December 31, 2015September 30,
2016		December 31, 2015
Carrying amount reported on the Consolidated Balance Sheet$1,122
$745
$1,031
$745
Aggregate fair value in excess of unpaid principal balance49
20
39
20
Balance of non-accrual loans or loans more than 90 days past due—
—
—
—
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—
—
—

The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the sixnine months ended JuneSeptember 30, 2016 and 2015 due to instrument-specific credit risk. Related interest income continues to be measured based on the contractual interest
rates and reported as Interest revenue in the Consolidated Statement of Income.



Certain Structured Liabilities
The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks. The Company elected the fair value option, because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (Trading account liabilities) on the Company’s Consolidated Balance Sheet according to their legal form.

The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument:
In billions of dollarsJune 30, 2016December 31, 2015September 30, 2016December 31, 2015
Interest rate linked$10.3
$9.6
$11.0
$9.6
Foreign exchange linked0.2
0.3
0.2
0.3
Equity linked11.1
9.9
12.1
9.9
Commodity linked1.1
1.4
1.1
1.4
Credit linked1.0
1.6
0.9
1.6
Total$23.7
$22.8
$25.3
$22.8
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, the portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI while all other changes in fair value will continue to be 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-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, the portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI while all other changes in fair value will continue to be 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 dollarsJune 30, 2016December 31, 2015September 30, 2016December 31, 2015
Carrying amount reported on the Consolidated Balance Sheet$25,931
$25,293
$27,535
$25,293
Aggregate unpaid principal balance in excess of fair value564
1,569
Aggregate unpaid principal balance in excess of (less than) fair value(148)1,569
The following table provides information about short-term borrowings carried at fair value:
In millions of dollarsJune 30, 2016December 31, 2015September 30, 2016December 31, 2015
Carrying amount reported on the Consolidated Balance Sheet$1,850
$1,207
$2,599
$1,207
Aggregate unpaid principal balance in excess of fair value6
130
Aggregate unpaid principal balance in excess of (less than) fair value(52)130


24.22.   GUARANTEES AND COMMITMENTS
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. For additional information regarding Citi’s guarantees and indemnifications included in the tables below, as well as its other guarantees and indemnifications excluded from the tables below, see Note 27 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at JuneSeptember 30, 2016 and December 31, 2015:


Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at June 30, 2016 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
In billions of dollars at September 30, 2016 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$25.5
$69.9
$95.4
$146
$25.8
$69.3
$95.1
$170
Performance guarantees7.7
3.8
11.5
21
7.7
3.8
11.5
19
Derivative instruments considered to be guarantees4.6
73.9
78.5
1,113
4.5
78.4
82.9
954
Loans sold with recourse—
0.2
0.2
14
—
0.2
0.2
13
Securities lending indemnifications(1)
83.2
—
83.2
—
83.9
—
83.9
—
Credit card merchant processing(1)(2)
81.1
—
81.1
—
83.3
—
83.3
—
Credit card arrangements with partners—
1.5
1.5
206
—
1.5
1.5
206
Custody indemnifications and other0.3
46.6
46.9
58
0.1
47.1
47.2
58
Total$202.4
$195.9
$398.3
$1,558
$205.3
$200.3
$405.6
$1,420
Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at December 31, 2015 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$23.8
$73.0
$96.8
$152
$23.8
$73.0
$96.8
$152
Performance guarantees7.4
4.1
11.5
23
7.4
4.1
11.5
23
Derivative instruments considered to be guarantees3.6
74.9
78.5
1,779
3.6
74.9
78.5
1,779
Loans sold with recourse—
0.2
0.2
17
—
0.2
0.2
17
Securities lending indemnifications(1)
79.0
—
79.0
—
79.0
—
79.0
—
Credit card merchant processing(1)(2)
84.2
—
84.2
—
84.2
—
84.2
—
Custody indemnifications and other—
51.7
51.7
56
—
51.7
51.7
56
Total$198.0
$203.9
$401.9
$2,027
$198.0
$203.9
$401.9
$2,027
(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 September 30, 2016 and December 31, 2015, this maximum potential exposure was estimated to be $83 billion and $84 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 21 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 21 to the Consolidated Financial Statements. In instances where Citi’s maximum potential future payment is unlimited, the notional amount of the contract is disclosed.

Loans sold with recourse
Loans sold with recourse represent Citi’s obligations to
reimburse the buyers for loan losses under certain
circumstances. Recourse refers to the clause in a sales
agreement under which a seller/lender will fully reimburse
the buyer/investor for any losses resulting from the
purchased loans. This may be accomplished by the seller seller’s
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) and, to a lesser extent, private investors.
The repurchase reserve was approximately$121 $114 million and $152
$152 million at JuneSeptember 30, 2016 and December 31, 2015,
respectively, and these amounts are included in Other
liabilitieson 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-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-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-label merchant is unable to deliver products, services or a refund to its private-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-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 June 30, 2016 and December 31, 2015, this maximum potential exposure was estimated to be $81 billion and $84 billion, respectively.
However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants. Citi assesses the probability and amount of its contingent liability related to merchant processing based on the financial strength of the primary guarantor, the extent and nature of unresolved charge-backs and its historical loss experience. At June 30, 2016 and December 31, 2015, the losses incurred and the carrying amounts of Citi’s contingent obligations related to merchant processing activities were immaterial.

Credit card arrangements with partners
Citi, in certain of its credit card partner arrangements,
provides guarantees to the partner regarding the volume of
certain customer originations during the term of the
agreement. To the extent such origination targets are not met,
the guarantees serve to compensate the partner for certain
payments that otherwise would have been generated in
connection with such originations.

Custody indemnifications
Custody indemnifications are issued to guarantee that custody clients will be made whole in the event that a third-party subcustodian or depository institution fails to safeguard clients’ assets.




Other guarantees and indemnifications

Credit Card Protection Programs
Citi, through its credit card businesses, provides various
cardholder protection programs on several of its card
products, including programs that provide insurance
coverage for rental cars, coverage for certain losses
associated with purchased products, price protection for
certain purchases and protection for lost luggage. These
guarantees are not included in the table, since the total
outstanding amount of the guarantees and Citi’s maximum
exposure to loss cannot be quantified. The protection is
limited to certain types of purchases and losses, and it is not
possible to quantify the purchases that would qualify for
these benefits at any given time. Citi assesses the probability
and amount of its potential liability related to these programs
based on the extent and nature of its historical loss
experience. At JuneSeptember 30, 2016 and December 31, 2015, 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.immaterial.

Value-Transfer Networks
Citi is a member of, or shareholder in, hundreds of value-transfervalue 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 limited cases, the obligation may be
unlimited. The maximum exposure cannot be estimated as
this would require an assessment of future claims that have
not yet occurred. 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 JuneSeptember 30, 2016 or
December 31, 2015 for potential obligations that could arise
from Citi’s involvement with VTN associations.

Long-Term Care Insurance Indemnification
In the sale of an insurance subsidiary, the Company provided
an indemnification to an insurance company for policyholder
claims and other liabilities relating to a book of long-term
care (LTC) business (for the entire term of the LTC policies)
that is fully reinsured by another insurance company. The
reinsurer has funded two trusts with securities whose fair
value (approximately $7.3$7.4 billion at JuneSeptember 30, 2016,
compared to $6.3 billion at December 31, 2015) is designed
to cover the insurance company’s statutory liabilities for the
LTC policies. The assets in these trusts are evaluated and
adjusted periodically to ensure that the fair value of the
assets continues to cover the estimated statutory liabilities
related to the LTC policies, as those statutory liabilities
change over time.
If the reinsurer fails to perform under the reinsurance
agreement for any reason, including insolvency, and the
assets in the two trusts are insufficient or unavailable to the
ceding insurance company, then Citi must indemnify the
ceding insurance company for any losses actually incurred in
connection with the LTC policies. Since both events would
have to occur before Citi would become responsible for any
payment to the ceding insurance company pursuant to its
indemnification obligation, and the likelihood of such events
occurring is currently not probable, there is no liability
reflected in the Consolidated Balance Sheet as of JuneSeptember 30, 2016 and December 31, 2015 related to this indemnification. Citi continues to closely monitor its potential exposure under this indemnification obligation.

Futures and over-the-counter derivatives clearing
Citi provides clearing services for clients executing
exchange-traded futures and over-the-counter (OTC)
derivatives contracts with central counterparties (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-traded
futures or OTC derivatives contracts in its Consolidated
Financial Statements. See Note 2119 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. There are two types of margin: initial
margin and variation margin. 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 is reflected within Brokerage Payables



(payables (payables to customers) andBrokerage Receivables (receivables
(receivables from brokers, dealers and clearing
organizations), respectively. However, for OTC derivatives
contracts where Citi has contractually agreed with the client
that (a) Citi will pass through to the client all interest paid by
the CCP on cash initial margin; (b) Citi will not utilize its
right as a clearing member to transform cash margin into
other assets; and (c) Citi does not guarantee and is not liable
to the client for the performance of the CCP, cash initial
margin collected from clients and remitted to the CCP is not
reflected on Citi’s Consolidated Balance Sheet. The total
amount of cash initial margin collected and remitted in this
manner was approximately $4.5$6.0 billion and $4.3 billion as of June
September 30, 2016 and December 31, 2015, 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-performancenonperformance 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 the client fails to perform.
As required by ASC 860-30-25-5, securities collateral posted by clients is not recognized on Citi’s Consolidated Balance Sheet.



Carrying Value—Guarantees and Indemnifications
At JuneSeptember 30, 2016 and December 31, 2015, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately $1.6$1.4 billion and $2.0 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 $51 billion and $52 billion at Juneboth September 30, 2016 and December 31, 2015, respectively.2015. Securities and other marketable assets held as collateral amounted to $36$37 billion and $33 billion at JuneSeptember 30, 2016 and December 31, 2015, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. Additionally, letters of credit in favor of Citi held as collateral amounted to $4.0$4.1 billion and $4.2 billion at JuneSeptember 30, 2016 and December 31, 2015, respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.

Performance risk
Citi evaluates the performance risk of its guarantees based on the assigned referenced counterparty internal or external ratings. Where external ratings are used, investment-grade ratings are considered to be Baa/BBB and above, while anything below is considered non-investment grade. Citi’s internal ratings are in line with the related external rating system. On certain underlying referenced assets or entities, ratings are not available. Such referenced assets are included in the “not rated” category. The maximum potential amount of the future payments related to the outstanding guarantees is determined to be the notional amount of these contracts, which is the par amount of the assets guaranteed.
Presented in the tables below are the maximum potential amounts of future payments that are classified based upon internal and external credit ratings as of JuneSeptember 30, 2016 and December 31, 2015. As previously mentioned, theThe determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.




Maximum potential amount of future paymentsMaximum potential amount of future payments
In billions of dollars at June 30, 2016
Investment
grade
Non-investment
grade
Not
rated
Total
In billions of dollars at September 30, 2016
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$63.8
$18.9
$12.7
$95.4
$68.4
$14.1
$12.6
$95.1
Performance guarantees6.4
4.3
0.8
11.5
6.5
4.1
0.9
11.5
Derivative instruments deemed to be guarantees—
—
78.5
78.5
—
—
82.9
82.9
Loans sold with recourse—
—
0.2
0.2
—
—
0.2
0.2
Securities lending indemnifications—
—
83.2
83.2
—
—
83.9
83.9
Credit card merchant processing—
—
81.1
81.1
—
—
83.3
83.3
Credit card arrangements with partners—
—
1.5
1.5
—
—
1.5
1.5
Custody indemnifications and other46.8
0.1
—
46.9
47.1
0.1
—
47.2
Total$117.0
$23.3
$258.0
$398.3
$122.0
$18.3
$265.3
$405.6



 Maximum potential amount of future payments
In billions of dollars at December 31, 2015
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$69.2
$15.4
$12.2
$96.8
Performance guarantees6.6
4.1
0.8
11.5
Derivative instruments deemed to be guarantees—
—
78.5
78.5
Loans sold with recourse—
—
0.2
0.2
Securities lending indemnifications—
—
79.0
79.0
Credit card merchant processing—
—
84.2
84.2
Custody indemnifications and other51.6
0.1
—
51.7
Total$127.4
$19.6
$254.9
$401.9



Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments as of June 30, 2016 and December 31, 2015:
In millions of dollarsU.S.
Outside of 
U.S.
June 30,
2016
December 31,
2015
U.S.
Outside of 
U.S.
September 30,
2016
December 31,
2015
Commercial and similar letters of credit$1,204
$4,121
$5,325
$6,102
$1,268
$4,209
$5,477
$6,102
One- to four-family residential mortgages1,604
1,807
3,411
3,196
1,644
1,810
3,454
3,196
Revolving open-end loans secured by one- to four-family residential properties12,361
2,088
14,449
14,726
11,939
1,621
13,560
14,726
Commercial real estate, construction and land development7,940
1,280
9,220
10,522
8,414
1,593
10,007
10,522
Credit card lines571,146
98,243
669,389
573,057
571,251
99,088
670,339
573,057
Commercial and other consumer loan commitments167,467
89,125
256,592
271,076
161,524
91,791
253,315
271,076
Other commitments and contingencies2,838
6,888
9,726
9,982
2,477
9,021
11,498
9,982
Total$764,560
$203,552
$968,112
$888,661
$758,517
$209,133
$967,650
$888,661

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 cancellable 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, to purchase third-party receivables, to provide note issuance or revolving underwriting facilities and to 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.





25.23.   CONTINGENCIES

The following information supplements and amends, as applicable, the disclosures in Note 28 to the Consolidated Financial Statements of Citigroup’s 2015 Annual Report on Form 10-K and Note 25 to the Consolidated Financial Statements of each of Citigroup’s First Quarter of 2016 Form 10-Q and Second Quarter of 2016 Form 10-Q. For purposes of this Note, Citigroup, its affiliates and subsidiaries and current and former officers, directors and employees, are sometimes collectively referred to as Citigroup and Related Parties.
In accordance with ASC 450, Citigroup establishes accruals for contingencies, including the litigation and regulatory matters disclosed herein, when Citigroup believes it is probable that a loss has beenwill be incurred and the amount of the loss can be reasonably estimated. 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.
If Citigroup has not accrued for a matter because the matter does not meet the criteria for accrual (as set forth above), or Citigroup believes an exposure to loss exists in excess of the amount accrued for a particular matter, in each case assuming a material loss is reasonably possible, Citigroup discloses the matter. In addition, for such matters, Citigroup discloses an estimate of the aggregate reasonably possible loss or range of loss in excess of the amounts accrued for those matters as to which an estimate can be made. At JuneSeptember 30, 2016, Citigroup’s estimate was materially unchanged from its estimate of approximately $3.0 billion in the aggregate as of March 31,June 30, 2016.
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 disclosuredisclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation and regulatory proceedings are subject to particular uncertainties. For example, at the time of making an estimate, Citigroup may have only preliminary, incomplete or inaccurate information about the facts underlying the claim; its assumptions about the future rulings of the court or other tribunal on significant issues, or the behavior and incentives of adverse parties or regulators, may prove to be wrong; and 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 estimates because it had deemed such an outcome to be remote. For all these reasons, the amount of loss in excess of accruals ultimately incurred for the matters as to which an estimate has been made could be substantially higher or lower than the range of loss included in the estimate.
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.
For further information on ASC 450 and Citigroup's accounting and disclosure framework for contingencies, including for litigation and regulatory matters disclosed herein, see Note 28 to the Consolidated Financial Statements of Citigroup’s 2015 Annual Report on Form 10-K.

Credit Crisis-Related Litigation and Other Matters
Mortgage-RelatedMortgage Related Litigation and Other Matters
Mortgage Backed Security Repurchase Claims: The final payment of the settlement of representation and warranty claims reached with the trustees of 68 trusts established by Citigroup’s legacy Securities and Banking business during 2005–2008 was made in October 2016. Additional information concerning this proceeding is publicly available in court filings under docket number 653902/2014 (N.Y. Sup. Ct.) (Friedman, J.). 
Mortgage Backed Securities Trustee Actions: On August 5, 2016, plaintiffs filed an amended complaint in the New York State Supreme Court action captioned FIXED INCOME SHARES: SERIES M, ET AL. v. CITIBANK N.A., which Citibank moved to dismiss on September 9, 2016. Additional information concerning this action is publicly available in court filings under the docket number 653891/2015 (N.Y. Sup. Ct.) (Ramos, J.).
On September 7, 2016, plaintiffs in the federal district court action captioned FIXED INCOME SHARES: SERIES M ET AL. v. CITIBANK N.A. submitted a stipulation of voluntary dismissal of plaintiffs’ claims as they relate to two of the three trusts in the action. 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 September 30, 2016, Citibank’s motion to dismiss the action captioned FEDERAL DEPOSIT INSURANCE  CORPORATION AS RECEIVER FOR GUARANTY BANK v. CITIBANK N.A. was granted for lack of subject matter jurisdiction. Additional information concerning this action is publicly available in court filings under the docket number 15-cv-6574 (S.D.N.Y.) (Carter, J.).
Derivative Actions and Related Proceedings: On June 7,October 5, 2016, defendants moved to dismissthe court dismissed with prejudice plaintiff’s derivative complaint in IRA FOR THE BENEFIT OF VICTORIA SHAEV v. CORBAT, ET AL. Additional information concerning this action is publicly available in court filings under the docket number 652066/2016 (N.Y. Sup. Ct.) (Bransten, J.).

Lehman Brothers Bankruptcy Proceedings
On June 6,July 1, 2016, a motion for approval of the bankruptcy court entered an order approving the parties’ settlement in LEHMAN BROTHERS FINANCE AG v. CITIBANK, N.A., ET AL. A stipulation of dismissal with prejudice was filed with the bankruptcy court.on July 26, 2016.  Additional information concerning this action is publicly



available in court filings under the docket numbers 14-02050 and 09-10583 (Bankr. S.D.N.Y.) (Chapman, J.).

Terra Firma LitigationTribune Company Bankruptcy
On June 15,September 9, 2016, by consentTribune noteholders filed a petition for certiorari with the U.S. Supreme Court with respect to the order of the parties, the English HighU.S. Court of Justice dismissed Terra Firma’s lawsuit against Citigroup Global Markets Limited (CGML), Citibank and Citigroup with prejudice and ordered Terra Firma to pay the Citigroup defendants’ costs associated with defending the lawsuit. Additional information concerning this action is publicly available in court filings under the claim reference Terra Firma Investments (GP) 2 Ltd. & Ors v Citigroup Global Markets Ltd. & Ors (CL-2013-000293).

Interest Rate Swaps Matters
Numerous interest rate swap (IRS) market participants, including Citigroup, Citibank, Citigroup Global Markets Inc. and CGML, were named as defendants in industry-wide putative class actions filed in the United States District CourtsAppeals for the Southern DistrictSecond Circuit affirming the dismissal of New York and the Northern District of Illinois. These actions have been consolidated before Judge Paul A. Engelmayer in the United States District Court for the Southern District of New York under the caption IN RE INTEREST RATE SWAPS ANTITRUST LITIGATION. Plaintiffs in these actions allege thattheir state-law constructive fraudulent conveyance claims against various 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 investments. Plaintiffs assert federal 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.including certain Citigroup affiliates. Additional information concerning these actions is publicly available in court filings under the docket numbers 16-MD-2704 (S.D.N.Y.) (Engelmayer, J.), 15-cv-09319 (S.D.N.Y.) (Engelmayer, J.), 16-cv-02858 (S.D.N.Y.) (Engelmayer, J.), 16-cv-03542 (S.D.N.Y.) (Engelmayer, J.), 16-cv-04005 (S.D.N.Y.) (Engelmayer, J.), 16-cv-04089 (S.D.N.Y.) (Engelmayer, J.), 16-cv-04239 (S.D.N.Y.) (Engelmayer, J.), 16-cv-02382 (Lefkow, J.) (N.D. Ill.), 16-cv-04561 (S.D.N.Y.) (Engelmayer, J.), 16-cv-04950 (N.D. Ill.) (Dow, J.); 16-cv-04566 (S.D.N.Y.) (Engelmayer, J.), 16-cv-05409 (N.D. Ill.) (Ellis, J.)13-3992, 13-3875, 13-4178, and 16-cv-04563 (S.D.N.Y.) (Engelmayer, J.13-4196 (2d Cir.).

Foreign Exchange MattersDepositary Receipts Conversion Litigation 
AntitrustCitigroup, Citibank and Other Litigation: On June 8, 2016, in NYPL v. JPMORGAN CHASE & CO., ET AL.,CGMI were sued by a purported class of persons or entities who, from January 2000 to the court denied defendants’present, are or were holders of depositary receipts for which Citi served as the depositary bank and converted foreign-currency dividends or other distributions into U.S. dollars. Plaintiffs allege, among other things, that Citibank breached its deposit agreements by charging a spread for such conversions. Citi’s motion to staydismiss was granted in part and granted defendants’ motiondenied in part on August 15, 2016, and only the breach of contract claim against Citibank survived the motion. Plaintiffs are seeking disgorgement of Citi’s profits, as well as compensatory, consequential and general damages. An appeal of the decision as it relates to consolidate the case for discovery purposes with the consolidated proceeding captioned IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION.standing and statute of limitations was filed on October 7, 2016. Additional information concerning this action is publicly available in court filings under the docket numbersnumber 15 Civ. 9185 (S.D.N.Y.) (McMahon, C.).

Foreign Exchange Matters
Antitrust and Other Litigation: On October 5, 2016, a preliminary approval hearing was held with respect to the plaintiffs’ proposed plan of distribution and notice in the consolidated foreign exchange case. Additional information concerning this action is publicly available in court filings under the docket number 13 Civ. 7789 (S.D.N.Y.) (Schofield, J.).
On September 2, 2016, in NYPL v. JPMORGAN CHASE & CO., ET AL., Citigroup and Related Parties, along with other defendant banks, moved to dismiss the second amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).
On April 15,September 20, 2016, in ALLEN v. BANK OF AMERICA CORPORATION, ET AL., theplaintiffs and settling defendants in IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION moved to enjoin the ALLEN action pending final settlement approval in IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION. On June 1, 2016, the court granted the motion in part as to claims based on collusive conduct and directed plaintiffs to file a separate pleading for claims based exclusively on non-collusive conduct. The plaintiffs filed a third amended complaint on July 15, 2016.joint stipulation dismissing plaintiffs’ claims with prejudice. Additional information concerning this action is publicly available in court filings under the docket numbers 13 Civ. 7789 (S.D.N.Y.) (Schofield, J.) and 15 Civ. 4285 (S.D.N.Y.) (Schofield, J.).
On May 19,August 11, 2016, in NEGRETEWAH ET AL. v. CITIBANK, N.A.HSBC NORTH AMERICA HOLDINGS INC. ET AL., the court granted Citibank’sdefendants’ motion to dismiss and denied plaintiffs’ cross-motion for summary judgment, while granting leave fordismiss. On September 28, 2016, the court permitted plaintiffs to replead. On June 20, 2016, plaintiffs filed an amended move for leave to amend the
complaint and, on July 27, 2016, Citibank filed a motion to dismiss the amended complaint.by October 28, 2016. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 72508974 (S.D.N.Y.) (Sweet,(Schofield, J.).
On March 10,September 26, 2016, Citibank, Citigroup and various other banks were joined as defendantsinvestors in exchange-traded funds (ETFs) commenced a pro se actionsuit captioned WAHBAKER ET AL. v. HSBC NORTHBANK OF AMERICA HOLDINGS INC.CORPORATION ET AL. pending in the United States District Court for the Southern District of New York.York against Citigroup, Citibank and CGMI, as well as various other banks. The complaint asserts claims under the Sherman Act, New York state antitrust law, and California state antitrust law and unfair competition law, based on alleged FXforeign exchange market collusion in violation ofaffecting ETF investments. The plaintiffs seek to certify nationwide, California and New York classes, and request damages and injunctive relief under the Sherman Act and Commodity Exchange Act.  On March 31, 2016, plaintiffs filed an amended complaint. On April 29, 2016, Citi and the other newly-joined defendants joined a
previously filed motion to dismiss or stay the action.relevant statutes, including treble damages where applicable. Additional information concerning this action is publicly available in court filings under the docket number 1516 Civ. 089747512 (S.D.N.Y.) (Schofield, J.).
Derivative Actions and Related Proceedings: On April 19,August 15, 2016, plaintiffs in OKLAHOMA FIREFIGHTERS PENSION & RETIREMENT SYSTEM, ET AL. v. CORBAT, ET AL. filed a supplemental complaint. On June 30, 2016,an amended complaint, which the defendants moved to dismiss the supplemental complaint.on September 30, 2016. Additional information concerning this action is publicly available in court filings under the docket number C.A. No. 12151-VCG (Del. Ch.) (Glasscock, Ch.).

Interbank Offered Rates-Related Litigation and Other Matters
Regulatory Actions: On May 25, 2016, Citibank, Citigroup Global Markets Japan Inc. and Citibank Japan Limited entered into a civil settlement with the CFTC, concluding the CFTC’s investigation into U.S. Dollar LIBOR, yen LIBOR and Euroyen TIBOR. As part of the settlement, Citigroup agreed to pay a civil monetary penalty in the amount of $175 million and to enhance further the control framework governing its rate submissions.
Antitrust and Other Litigation:On May 23,July 6, 2016, United States Court of Appeals for the Second Circuit reversed the district court’s dismissal of antitrust claims in the action captioned IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION, Citibank and remanded “efficient enforcer” issuesCitigroup along with the other defendants moved to dismiss all antitrust claims based on the district court.efficient enforcer doctrine. Additional information concerning these actions is publicly available in court filings under the docket number 11 MD 2262 (S.D.N.Y.) (Buchwald, J.).
On July 1,August 16, 2016, a putative classcomplaint was filed against Citigroup, Citibank, and 16 other banks in an action captioned FRONTPOINT ASIAN EVENT DRIVEN FUND, LTD. ET AL v. CITIBANK, N.A.DENNIS, ET AL. was filed in the United States District Court for the Southern District of New York against Citibank, Citigroup and various other banks. Plaintiffs assertv. JPMORGAN CHASE & CO., ET AL. asserting common law claims, for violationas well as violations of the Sherman Act, Claytonthe Commodity Exchange Act, and RICO Act, as well as state lawthe Racketeer Influenced and Corrupt Organizations Act. These claims for alleged manipulation ofare based on allegations that the Singapore Interbank Offered Ratebanks conspired to manipulate the Bank Bill Swap Reference Rate. The plaintiffs are seeking injunctive relief, disgorgement, and Singapore Swap Offer Rate.damages, including treble damages where applicable. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 0526306496 (S.D.N.Y.) (Hellerstein,(Kaplan, J.).

Interchange Fees Litigation
On June 30, 2016, the United States Court of Appeals for the Second Circuit reversed the district court’s approval of the class settlement and remanded for further proceedings.  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.) and 12-4671 (2d Cir.).

ISDAFIX-Related Litigation and OtherInterest Rate Swaps Matters
Regulatory Actions: On May 25, 2016, Citibank enteredThe U.S. Commodity Futures Trading Commission is conducting an investigation into a civil settlementthe trading and clearing of interest rate swaps by investment banks. Citigroup is cooperating with the CFTC, concluding the CFTC’s ISDAFIX investigation. As part of the settlement, Citibank agreed to pay a civil monetary penalty in the amount of $250 million and to enhance further the control framework governing interest-rate swap benchmarks.






Antitrust and Other Litigation: On May 11, 2016, the court granted plaintiffs’ motion for preliminary approval of settlement with Citigroup and six other banks. Additional information concerning these actions is publicly available in court filings under the consolidated lead docket number 14 Civ. 7126 (S.D.N.Y.) (Furman, J.).

Money Laundering Inquiries
Derivative Actions and Related Proceedings: As described above in Foreign Exchange Matters, on April 19, 2016, plaintiffs in OKLAHOMA FIREFIGHTERS PENSION & RETIREMENT SYSTEM, ET AL. v. CORBAT, ET AL. filed a supplemental complaint. On June 30, 2016, defendants moved to dismiss the supplemental complaint. Additional information concerning this action is publicly available in court filings under the docket number C.A. No. 12151-VCG (Del. Ch.) (Glasscock, Ch.).

Oceanografia Fraud and Related Matters
Other Litigation:On May 9,August 23, 2016, Citigroupplaintiffs filed aan amended complaint in lieu of opposing Citigroup’s motion to dismiss the original complaint. In addition to re-alleging the claims that were asserted in the original complaint, brought by 39 plaintiffs alleging that Citigroup conspired with Oceanografia, S.A. de C.V. (OSA)the amended complaint also asserts common law claims for fraud, aiding and others with respect to receivable financingsabetting fraud, and other financing arrangements related to OSA in a manner that injured bondholders and other creditorsconspiracy on behalf of OSA.all plaintiffs. Additional information concerning this action is publicly available in court filings under the docket number 16-20725 (S.D. Fla.) (Gayles, J.).

Sovereign Securities Matters
Antitrust and Other Litigation: On October 12, 2016, a putative class action captioned LOUISIANA MUNICIPAL POLICE EMPLOYEES’ RETIREMENT SYSTEM v. BANK OF AMERICA CORPORATION ET AL. was filed in the United States District Court for the Southern District of New York against Citigroup, Citibank, CGMI and CGML and various other banks. The plaintiff asserts claims under the Sherman Act based on the defendants' alleged manipulation of the supranational, sub-sovereign, and agency bond market, and seeks disgorgement and treble damages. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 07991 (S.D.N.Y.) (Ramos, J.).

Settlement Payments
Payments required in settlement agreements described above have been made or are covered by existing litigation accruals.










26.24.   CONDENSED CONSOLIDATING FINANCIAL STATEMENTS

Citigroup amended its Registration Statement on Form S-3 on file with the SEC (File No. 33-192302) to add its wholly owned subsidiary, Citigroup Global Markets Holdings Inc. (CGMHI), as a co-registrant. Any securities issued by CGMHI under the Form S-3 will be fully and unconditionally guaranteed by Citigroup.
The following are the Condensed Consolidating Statements of Income and Comprehensive Income for the three and sixnine months ended JuneSeptember 30, 2016 and 2015, Condensed Consolidating Balance Sheet as of JuneSeptember 30, 2016 and December 31, 2015 and Condensed Consolidating Statement of Cash Flows for the sixnine months ended JuneSeptember 30, 2016 and 2015 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
Three Months Ended June 30, 2016Three Months Ended September 30, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$2,900
 $—
 $—
 $(2,900) $—
$4,000
 $—
 $—
 $(4,000) $—
Interest revenue1
 1,251
 13,104
 —
 14,356
2
 1,158
 13,493
 —
 14,653
Interest revenue—intercompany668
 139
 (807) —
 —
695
 148
 (843) —
 —
Interest expense1,094
 401
 1,625
 —
 3,120
1,102
 345
 1,727
 —
 3,174
Interest expense—intercompany38
 416
 (454) —
 —
61
 401
 (462) —
 —
Net interest revenue$(463) $573
 $11,126
 $—
 $11,236
$(466) $560
 $11,385
 $—
 $11,479
Commissions and fees$—
 $1,119
 $1,606
 $—
 $2,725
$—
 $1,062
 $1,582
 $—
 $2,644
Commissions and fees—intercompany(17) (24) 41
 —
 —
—
 63
 (63) —
 —
Principal transactions(186) 2,394
 (392) —
 1,816
(1,103) 1,600
 1,741
 —
 2,238
Principal transactions—intercompany(217) (1,791) 2,008
 —
 —
977
 (470) (507) —
 —
Other income(585) 51
 2,305
 —
 1,771
482
 51
 866
 —
 1,399
Other income—intercompany736
 339
 (1,075) —
 —
(501) 51
 450
 —
 —
Total non-interest revenues$(269) $2,088
 $4,493
 $—
 $6,312
$(145) $2,357
 $4,069
 $—
 $6,281
Total revenues, net of interest expense$2,168
 $2,661
 $15,619
 $(2,900) $17,548
$3,389
 $2,917
 $15,454
 $(4,000) $17,760
Provisions for credit losses and for benefits and claims$—
 $—
 $1,409
 $—
 $1,409
$—
 $—
 $1,736
 $—
 $1,736
Operating expenses
 
 
 
 

 
 0 
 
Compensation and benefits$(16) $1,202
 $4,043
 $—
 $5,229
$26
 $1,150
 $4,027
 $—
 $5,203
Compensation and benefits—intercompany23
 —
 (23) —
 —
8
 —
 (8) —
 —
Other operating213
 412
 4,515
 —
 5,140
(103) 444
 4,860
 —
 5,201
Other operating—intercompany79
 322
 (401) —
 —
133
 379
 (512) —
 —
Total operating expenses$299
 $1,936
 $8,134
 $—
 $10,369
$64
 $1,973
 $8,367
 $—
 $10,404
Income (loss) before income taxes and equity in undistributed income of subsidiaries$1,869
 $725
 $6,076
 $(2,900) $5,770
$3,325
 $944
 $5,351
 $(4,000) $5,620
Provision (benefit) for income taxes(420) 157
 1,986
 —
 1,723
(395) 345
 1,783
 —
 1,733
Equity in undistributed income of subsidiaries1,709
 —
 —
 (1,709) —
120
 —
 —
 (120) —
Income (loss) from continuing operations$3,998
 $568
 $4,090
 $(4,609) $4,047
$3,840
 $599
 $3,568
 $(4,120) $3,887
Loss from discontinued operations, net of taxes—
 —
 (23) —
 (23)—
 —
 (30) —
 (30)
Net income (loss) before attribution of noncontrolling interests$3,998
 $568
 $4,067
 $(4,609) $4,024
$3,840
 $599
 $3,538
 $(4,120) $3,857
Net income (loss) attributable to noncontrolling interests—
 (3) 29
 —
 26
—
 (9) 26
 —
 17
Net income (loss) after attribution of noncontrolling interests$3,998
 $571
 $4,038
 $(4,609) $3,998
$3,840
 $608
 $3,512
 $(4,120) $3,840
Comprehensive income

 

 

 

 



 

 $—
 

 

Other comprehensive income (loss)$511
 $58
 $569
 $(627) $511
$(1,078) $(86) $(1,019) $1,105
 $(1,078)
Comprehensive income$4,509
 $629
 $4,607
 $(5,236) $4,509
$2,762
 $522
 $2,493
 $(3,015) $2,762


Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended June 30, 2015Three Months Ended September 30, 2015
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$3,500
 $—
 $—
 $(3,500) $—
$3,600
 $—
 $—
 $(3,600) $—
Interest revenue2
 1,240
 13,631
 —
 14,873
2
 1,116
 13,596
 —
 14,714
Interest revenue—intercompany711
 67
 (778) —
 —
739
 60
 (799) —
 —
Interest expense1,154
 277
 1,620
 —
 3,051
1,121
 236
 1,584
 —
 2,941
Interest expense—intercompany(155) 304
 (149) —
 —
(80) 334
 (254) —
 —
Net interest revenue$(286) $726
 $11,382
 $—
 $11,822
$(300) $606
 $11,467
 $—
 $11,773
Commissions and fees$—
 $1,319
 $1,875
 $—
 $3,194
$—
 $1,043
 $1,689
 $—
 $2,732
Commissions and fees—intercompany—
 44
 (44) —
 —
—
 29
 (29) —
 —
Principal transactions790
 873
 510
 —
 2,173
735
 4,707
 (4,115) —
 1,327
Principal transactions—intercompany(340) (575) 915
 —
 —
(774) (4,418) 5,192
 —
 —
Other income1,161
 (71) 1,191
 —
 2,281
(713) 299
 3,274
 —
 2,860
Other income—intercompany(1,194) 47
 1,147
 —
 —
1,012
 464
 (1,476) —
 —
Total non-interest revenues$417
 $1,637
 $5,594
 $—
 $7,648
$260
 $2,124
 $4,535
 $—
 $6,919
Total revenues, net of interest expense$3,631
 $2,363
 $16,976
 $(3,500) $19,470
$3,560
 $2,730
 $16,002
 $(3,600) $18,692
Provisions for credit losses and for benefits and claims$—
 $—
 $1,648
 $—
 $1,648
$—
 $—
 $1,836
 $—
 $1,836
Operating expenses
 
 
 
 

 
 
 
 
Compensation and benefits$13
 $1,243
 $4,227
 $—
 $5,483
$(70) $1,253
 $4,138
 $—
 $5,321
Compensation and benefits—intercompany23
 —
 (23) —
 —
24
 —
 (24) —
 —
Other operating(189) 491
 5,143
 —
 5,445
70
 514
 4,764
 —
 5,348
Other operating—intercompany73
 200
 (273) —
 —
36
 298
 (334) —
 —
Total operating expenses$(80) $1,934
 $9,074
 $—
 $10,928
$60
 $2,065
 $8,544
 $—
 $10,669
Income (loss) before income taxes and equity in undistributed income of subsidiaries$3,711
 $429
 $6,254
 $(3,500) $6,894
$3,500
 $665
 $5,622
 $(3,600) $6,187
Provision (benefit) for income taxes(97) (255) 2,388
 —
 2,036
(60) 293
 1,648
 —
 1,881
Equity in undistributed income of subsidiaries1,038
 —
 —
 (1,038) —
731
 —
 —
 (731) —
Income (loss) from continuing operations$4,846
 $684
 $3,866
 $(4,538) $4,858
$4,291
 $372
 $3,974
 $(4,331) $4,306
Income from discontinued operations, net of taxes—
 —
 6
 —
 6
—
 —
 (10) —
 (10)
Net income (loss) before attribution of noncontrolling interests$4,846
 $684
 $3,872
 $(4,538) $4,864
$4,291
 $372
 $3,964
 $(4,331) $4,296
Net income (loss) attributable to noncontrolling interests—
 (1) 19
 —
 18
—
 9
 (4) —
 5
Net income (loss) after attribution of noncontrolling interests$4,846
 $685
 $3,853
 $(4,538) $4,846
$4,291
 $363
 $3,968
 $(4,331) $4,291
Comprehensive income

 

 

 

 



 

 

 

 

Other comprehensive income (loss)$(413) $(48) $(711) $759
 $(413)$(2,153) $12
 $5,323
 $(5,335) $(2,153)
Comprehensive income$4,433
 $637
 $3,142
 $(3,779) $4,433
$2,138
 $375
 $9,291
 $(9,666) $2,138



Condensed Consolidating Statements of Income and Comprehensive Income
Six Months Ended June 30, 2016Nine months ended September 30, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$5,700
 $—
 $—
 $(5,700) $—
$9,700
 $—
 $—
 $(9,700) $—
Interest revenue3
 2,397
 26,123
 —
 28,523
5
 3,555
 39,616
 —
 43,176
Interest revenue—intercompany1,540
 275
 (1,815) —
 —
2,235
 423
 (2,658) —
 —
Interest expense2,164
 765
 3,131
 —
 6,060
3,266
 1,110
 4,858
 —
 9,234
Interest expense—intercompany79
 845
 (924) —
 —
140
 1,246
 (1,386) —
 —
Net interest revenue$(700) $1,062
 $22,101
 $—
 $22,463
$(1,166) $1,622
 $33,486
 $—
 $33,942
Commissions and fees$—
 $2,079
 $3,109
 $—
 $5,188
$—
 $3,141
 $4,691
 $—
 $7,832
Commissions and fees—intercompany(19) (30) 49
 —
 —
(19) 33
 (14) —
 —
Principal transactions(395) 2,257
 1,794
 —
 3,656
(1,498) 3,857
 3,535
 —
 5,894
Principal transactions—intercompany41
 (1,043) 1,002
 —
 —
1,018
 (1,513) 495
 —
 —
Other income(3,679) 127
 7,348
 —
 3,796
(3,197) 178
 8,214
 —
 5,195
Other income—intercompany3,996
 199
 (4,195) —
 —
3,495
 250
 (3,745) —
 —
Total non-interest revenues$(56) $3,589
 $9,107
 $—
 $12,640
$(201) $5,946
 $13,176
 $—
 $18,921
Total revenues, net of interest expense$4,944
 $4,651
 $31,208
 $(5,700) $35,103
$8,333
 $7,568
 $46,662
 $(9,700) $52,863
Provisions for credit losses and for benefits and claims$—
 $—
 $3,454
 $—
 $3,454
$—
 $—
 $5,190
 $—
 $5,190
Operating expenses                  
Compensation and benefits$(8) $2,491
 $8,302
 $—
 $10,785
$18
 $3,641
 $12,329
 $—
 $15,988
Compensation and benefits—intercompany26
 —
 (26) —
 —
34
 —
 (34) —
 —
Other operating480
 798
 8,829
 —
 10,107
377
 1,242
 13,689
 —
 15,308
Other operating—intercompany80
 629
 (709) —
 —
213
 1,008
 (1,221) —
 —
Total operating expenses$578
 $3,918
 $16,396
 $—
 $20,892
$642
 $5,891
 $24,763
 $—
 $31,296
Income (loss) before income taxes and equity in undistributed income of subsidiaries$4,366
 $733
 $11,358
 $(5,700) $10,757
$7,691
 $1,677
 $16,709
 $(9,700) $16,377
Provision (benefit) for income taxes(480) 194
 3,488
 —
 3,202
(875) 539
 5,271
 —
 4,935
Equity in undistributed income of subsidiaries2,653
 —
 —
 (2,653) —
2,773
 —
 —
 (2,773) —
Income (loss) from continuing operations$7,499
 $539
 $7,870
 $(8,353) $7,555
$11,339
 $1,138
 $11,438
 $(12,473) $11,442
Loss from discontinued operations, net of taxes—
 —
 (25) —
 (25)—
 —
 (55) —
 (55)
Net income (loss) before attribution of noncontrolling interests$7,499
 $539
 $7,845
 $(8,353) $7,530
$11,339
 $1,138
 $11,383
 $(12,473) $11,387
Net income (loss) attributable to noncontrolling interests—
 (1) 32
 —
 31
—
 (10) 58
 —
 48
Net income (loss) after attribution of noncontrolling interests$7,499
 $540
 $7,813
 $(8,353) $7,499
$11,339
 $1,148
 $11,325
 $(12,473) $11,339
Comprehensive income                  
Other comprehensive income (loss)$3,244
 $105
 $3,608
 $(3,713) $3,244
$2,166
 $(28) $2,589
 $(2,561) $2,166
Comprehensive income$10,743
 $645
 $11,421
 $(12,066) $10,743
$13,505
 $1,120
 $13,914
 $(15,034) $13,505


Condensed Consolidating Statements of Income and Comprehensive Income
Six Months Ended June 30, 2015Nine months ended September 30, 2015
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$4,600
 $—
 $—
 $(4,600) $—
$8,200
 $—
 $—
 $(8,200) $—
Interest revenue5
 2,247
 27,221
 —
 29,473
7
 3,363
 40,817
 —
 44,187
Interest revenue—intercompany1,383
 120
 (1,503) —
 —
2,122
 180
 (2,302) —
 —
Interest expense2,309
 505
 3,265
 —
 6,079
3,430
 741
 4,849
 —
 9,020
Interest expense—intercompany(331) 601
 (270) —
 —
(411) 935
 (524) —
 —
Net interest revenue$(590) $1,261
 $22,723
 $—
 $23,394
$(890) $1,867
 $34,190
 $—
 $35,167
Commissions and fees$—
 $2,664
 $3,700
 $—
 $6,364
$—
 $3,707
 $5,389
 $—
 $9,096
Commissions and fees—intercompany—
 103
 (103) —
 —
—
 132
 (132) —
 —
Principal transactions457
 2,189
 1,498
 —
 4,144
1,192
 6,896
 (2,617) —
 5,471
Principal transactions—intercompany(669) (834) 1,503
 —
 —
(1,443) (5,252) 6,695
 —
 —
Other income3,176
 27
 2,101
 —
 5,304
2,463
 326
 5,375
 —
 8,164
Other income—intercompany(2,614) 540
 2,074
 —
 —
(1,602) 1,004
 598
 —
 —
Total non-interest revenues$350
 $4,689
 $10,773
 $—
 $15,812
$610
 $6,813
 $15,308
 $—
 $22,731
Total revenues, net of interest expense$4,360
 $5,950
 $33,496
 $(4,600) $39,206
$7,920
 $8,680
 $49,498
 $(8,200) $57,898
Provisions for credit losses and for benefits and claims$—
 $—
 $3,563
 $—
 $3,563
$—
 $—
 $5,399
 $—
 $5,399
Operating expenses
 
 
 
 

 
 
 
 
Compensation and benefits$48
 $2,511
 $8,444
 $—
 $11,003
$(22) $3,764
 $12,582
 $—
 $16,324
Compensation and benefits—intercompany30
 —
 (30) —
 —
54
 —
 (54) —
 —
Other operating(40) 948
 9,901
 —
 10,809
30
 1,462
 14,665
 —
 16,157
Other operating—intercompany130
 605
 (735) —
 —
166
 903
 (1,069) —
 —
Total operating expenses$168
 $4,064
 $17,580
 $—
 $21,812
$228
 $6,129
 $26,124
 $—
 $32,481
Income (loss) before income taxes and equity in undistributed income of subsidiaries$4,192
 $1,886
 $12,353
 $(4,600) $13,831
$7,692
 $2,551
 $17,975
 $(8,200) $20,018
Provision (benefit) for income taxes(726) 269
 4,613
 —
 4,156
(786) 562
 6,261
 —
 6,037
Equity in undistributed income of subsidiaries4,698
 —
 —
 (4,698) —
5,429
 —
 —
 (5,429) —
Income (loss) from continuing operations$9,616
 $1,617
 $7,740
 $(9,298) $9,675
$13,907
 $1,989
 $11,714
 $(13,629) $13,981
Income from discontinued operations, net of taxes—
 —
 1
 —
 1
—
 —
 (9) —
 (9)
Net income (loss) before attribution of noncontrolling interests$9,616
 $1,617
 $7,741
 $(9,298) $9,676
$13,907
 $1,989
 $11,705
 $(13,629) $13,972
Net income (loss) attributable to noncontrolling interests—
 (3) 63
 —
 60
—
 6
 59
 —
 65
Net income (loss) after attribution of noncontrolling interests$9,616
 $1,620
 $7,678
 $(9,298) $9,616
$13,907
 $1,983
 $11,646
 $(13,629) $13,907
Comprehensive income

 

 

 

 



 

 

 

 

Other comprehensive income (loss)$(1,888) $(86) $(2,297) $2,383
 $(1,888)$(4,041) $(74) $(2,285) $2,359
 $(4,041)
Comprehensive income$7,728
 $1,534
 $5,381
 $(6,915) $7,728
$9,866
 $1,909
 $9,361
 $(11,270) $9,866




Condensed Consolidating Balance Sheet
June 30, 2016September 30, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets                  
Cash and due from banks$—
 $348
 $21,792
 $—
 $22,140
$—
 $593
 $22,826
 $—
 $23,419
Cash and due from banks—intercompany133
 2,644
 (2,777) —
 —
131
 2,241
 (2,372) —
 —
Federal funds sold and resale agreements—
 188,567
 40,116
 —
 228,683
—
 197,446
 38,599
 —
 236,045
Federal funds sold and resale agreements—intercompany—
 8,901
 (8,901) —
 —
—
 8,164
 (8,164) —
 —
Trading account assets20
 136,124
 135,620
 —
 271,764
(97) 141,187
 122,262
 —
 263,352
Trading account assets—intercompany801
 3,676
 (4,477) —
 —
656
 1,148
 (1,804) —
 —
Investments438
 357
 355,498
 —
 356,293
193
 353
 354,394
 —
 354,940
Loans, net of unearned income—
 845
 632,670
 —
 633,515
—
 749
 637,686
 —
 638,435
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,304) —
 (12,304)—
 —
 (12,439) —
 (12,439)
Total loans, net$—
 $845
 $620,366
 $—
 $621,211
$—
 $749
 $625,247
 $—
 $625,996
Advances to subsidiaries$117,175
 $—
 $(117,175) $—
 $—
$115,107
 $—
 $(115,107) $—
 $—
Investments in subsidiaries232,490
 —
 —
 (232,490) —
232,108
 —
 —
 (232,108) —
Other assets (1)
27,200
 42,046
 249,434
 —
 318,680
24,243
 40,433
 249,689
 —
 314,365
Other assets—intercompany55,579
 40,706
 (96,285) —
 —
55,500
 32,526
 (88,026) —
 —
Total assets$433,836
 $424,214
 $1,193,211
 $(232,490) $1,818,771
$427,841
 $424,840
 $1,197,544
 $(232,108) $1,818,117
Liabilities and equity

 
 
 
 


 
 
 
 
Deposits$—
 $—
 $937,852
 $—
 $937,852
$—
 $—
 $940,252
 $—
 $940,252
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 137,985
 20,016
 —
 158,001
—
 133,214
 19,910
 —
 153,124
Federal funds purchased and securities loaned or sold—intercompany185
 20,066
 (20,251) —
 —
—
 23,538
 (23,538) —
 —
Trading account liabilities—
 78,093
 58,214
 —
 136,307
—
 84,252
 47,397
 —
 131,649
Trading account liabilities—intercompany612
 2,973
 (3,585) —
 —
563
 1,303
 (1,866) —
 —
Short-term borrowings4
 771
 17,633
 —
 18,408
1
 1,439
 28,087
 —
 29,527
Short-term borrowings—intercompany—
 36,771
 (36,771) —
 —
—
 34,190
 (34,190) —
 —
Long-term debt148,431
 5,094
 53,923
 —
 207,448
149,042
 6,993
 53,016
 —
 209,051
Long-term debt—intercompany—
 40,990
 (40,990) —
 —
—
 38,573
 (38,573) —
 —
Advances from subsidiaries39,579
 —
 (39,579) —
 —
34,135
 —
 (34,135) —
 —
Other liabilities3,766
 59,368
 64,600
 —
 127,734
3,547
 68,047
 50,230
 —
 121,824
Other liabilities—intercompany9,371
 9,974
 (19,345) —
 —
8,978
 704
 (9,682) —
 —
Stockholders’ equity231,888
 32,129
 201,494
 (232,490) 233,021
231,575
 32,587
 200,636
 (232,108) 232,690
Total liabilities and equity$433,836
 $424,214
 $1,193,211
 $(232,490) $1,818,771
$427,841
 $424,840
 $1,197,544
 $(232,108) $1,818,117

(1)
Other assets for Citigroup parent company at JuneSeptember 30, 2016 included $17.4$18.2 billion of placements to Citibank and its branches, of which $9.5$8.3 billion had a remaining term of less than 30 days.





Condensed Consolidating Balance Sheet
 December 31, 2015
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets         
Cash and due from banks$—
 $592
 $20,308
 $—
 $20,900
Cash and due from banks—intercompany124
 1,403
 (1,527) —
 —
Federal funds sold and resale agreements—
 178,178
 41,497
 —
 219,675
Federal funds sold and resale agreements—intercompany—
 15,035
 (15,035) —
 —
Trading account assets(8) 124,731
 125,233
 —
 249,956
Trading account assets—intercompany1,032
 1,765
 (2,797) —
 —
Investments484
 402
 342,069
 —
 342,955
Loans, net of unearned income—
 1,068
 616,549
 —
 617,617
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
Allowance for loan losses—
 (3) (12,623) —
 (12,626)
Total loans, net$—
 $1,065
 $603,926
 $—
 $604,991
Advances to subsidiaries$104,405
 $—
 $(104,405) $—
 $—
Investments in subsidiaries221,362
 —
 —
 (221,362) —
Other assets(1)
25,819
 36,860
 230,054
 —
 292,733
Other assets—intercompany58,207
 30,737
 (88,944)��—
 —
Total assets$411,425
 $390,768
 $1,150,379
 $(221,362) $1,731,210
Liabilities and equity
 
 
 
 

Deposits$—
 $—
 $907,887
 $—
 $907,887
Deposits—intercompany—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 122,459
 24,037
 —
 146,496
Federal funds purchased and securities loaned or sold—intercompany185
 22,042
 (22,227) —
 —
Trading account liabilities—
 62,386
 55,126
 —
 117,512
Trading account liabilities—intercompany1,036
 2,045
 (3,081) —
 —
Short-term borrowings146
 188
 20,745
 —
 21,079
Short-term borrowings—intercompany—
 34,916
 (34,916) —
 —
Long-term debt141,914
 2,530
 56,831
 —
 201,275
Long-term debt—intercompany—
 51,171
 (51,171) —
 —
Advances from subsidiaries36,453
 —
 (36,453) —
 —
Other liabilities3,560
 55,482
 54,827
 —
 113,869
Other liabilities—intercompany6,274
 10,967
 (17,241) —
 —
Stockholders’ equity221,857
 26,582
 196,015
 (221,362) 223,092
Total liabilities and equity$411,425
 $390,768
 $1,150,379
 $(221,362) $1,731,210

(1)
Other assets for Citigroup parent company at December 31, 2015 included $21.8 billion of placements to Citibank and its branches, of which $13.9 billion had a remaining term of less than 30 days.




Condensed Consolidating Statement of Cash Flows
Six Months Ended June 30, 2016Nine months ended September 30, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by operating activities of continuing operations$13,794
 $2,380
 $4,893
 $—
 $21,067
$16,685
 $5,285
 $6,364
 $—
 $28,334
Cash flows from investing activities of continuing operations                  
Purchases of investments$—
 $—
 $(108,359) $—
 $(108,359)$—
 $—
 $(155,804) $—
 $(155,804)
Proceeds from sales of investments—
 —
 66,138
 —
 66,138
229
 —
 98,943
 —
 99,172
Proceeds from maturities of investments46
 —
 33,337
 —
 33,383
61
 —
 52,546
 —
 52,607
Change in deposits with banks—
 (5,390) (10,406) —
 (15,796)—
 (1,464) (18,910) —
 (20,374)
Change in loans—
 —
 (30,170) —
 (30,170)—
 —
 (42,163) —
 (42,163)
Proceeds from sales and securitizations of loans—
 —
 7,021
 —
 7,021
—
 —
 12,676
 —
 12,676
Proceeds from significant disposals—
 —
 265
 —
 265
—
 —
 265
 —
 265
Change in federal funds sold and resales—
 (4,256) (4,752) —
 (9,008)—
 (12,398) (3,972) —
 (16,370)
Changes in investments and advances—intercompany(16,412) (5,125) 21,537
 —
 —
(14,378) (23) 14,401
 —
 —
Other investing activities—
 —
 (987) —
 (987)2,962
 —
 (4,587) —
 (1,625)
Net cash used in investing activities of continuing operations$(16,366) $(14,771) $(26,376) $—
 $(57,513)$(11,126) $(13,885) $(46,605) $—
 $(71,616)
Cash flows from financing activities of continuing operations                  
Dividends paid$(828) $—
 $—
 $—
 $(828)$(1,517) $—
 $—
 $—
 $(1,517)
Issuance of preferred stock2,498
 —
 —
 —
 2,498
2,498
 —
 —
 —
 2,498
Treasury stock acquired(2,634) —
 —
 —
 (2,634)(5,167) —
 —
 —
 (5,167)
Proceeds (repayments) from issuance of long-term debt, net890
 2,512
 (3,115) —
 287
1,613
 4,196
 (2,806) —
 3,003
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (10,112) 10,112
 —
 —
—
 (12,533) 12,533
 —
 —
Change in deposits—
 —
 29,965
 ���
 29,965
—
 —
 32,365
 —
 32,365
Change in federal funds purchased and repos—
 13,550
 (2,045) —
 11,505
—
 12,251
 (5,623) —
 6,628
Change in short-term borrowings(160) 583
 (3,094) —
 (2,671)(163) 1,251
 7,360
 —
 8,448
Net change in short-term borrowings and other advances—intercompany3,127
 1,855
 (4,982) —
 —
(2,503) (726) 3,229
 —
 —
Capital contributions from parent—
 5,000
 (5,000) —
 —
—
 5,000
 (5,000) —
 —
Other financing activities(312) —
 —
 —
 (312)(313) —
 —
 —
 (313)
Net cash provided by financing activities of continuing operations$2,581
 $13,388
 $21,841
 $—
 $37,810
Net cash provided by (used in) financing activities of continuing operations$(5,552) $9,439
 $42,058
 $—
 $45,945
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(124) $—
 $(124)$—
 $—
 $(144) $—
 $(144)
Change in cash and due from banks$9
 $997
 $234
 $—
 $1,240
$7
 $839
 $1,673
 $—
 $2,519
Cash and due from banks at beginning of period124
 1,995
 18,781
 —
 20,900
124
 1,995
 18,781
 —
 20,900
Cash and due from banks at end of period$133
 $2,992
 $19,015
 $—
 $22,140
$131
 $2,834
 $20,454
 $—
 $23,419
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 



 

 

 

 

Cash paid (refund) during the year for income taxes$(323) $40
 $2,328
 $—
 $2,045
$(265) $81
 $3,039
 $—
 $2,855
Cash paid during the year for interest2,040
 1,666
 2,020
 —
 5,726
3,402
 2,378
 3,980
 —
 9,760
Non-cash investing activities

 

 

 

 



 

 

 

 

Transfers to loans HFS from loans—
 —
 6,000
 —
 6,000
—
 —
 7,900
 —
 7,900
Transfers to OREO and other repossessed assets—
 —
 97
 —
 97
—
 —
 138
 —
 138


Condensed Consolidating Statement of Cash Flows
Six Months Ended June 30, 2015Nine months ended September 30, 2015
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$16,287
 $(9,008) $11,067
 $—
 $18,346
$14,915
 $(1,849) $28,298
 $—
 $41,364
Cash flows from investing activities of continuing operations                  
Purchases of investments$—
 $(4) $(140,941) $—
 $(140,945)$—
 $(4) $(195,417) $—
 $(195,421)
Proceeds from sales of investments—
 53
 89,654
 —
 89,707
—
 53
 113,900
 —
 113,953
Proceeds from maturities of investments181
 —
 44,551
 —
 44,732
210
 —
 64,640
 —
 64,850
Change in deposits with banks—
 (10,181) 7,270
 —
 (2,911)—
 (10,267) 17
 —
 (10,250)
Change in loans—
 —
 (9,945) —
 (9,945)—
 —
 (7,158) —
 (7,158)
Proceeds from sales and securitizations of loans—
 —
 6,377
 —
 6,377
—
 —
 8,127
 —
 8,127
Change in federal funds sold and resales—
 2,883
 2,633
 —
 5,516
—
 4,628
 6,247
 —
 10,875
Changes in investments and advances—intercompany(20,724) 2,602
 18,122
 —
 —
(22,517) 2,207
 20,310
 —
 —
Other investing activities1
 (43) (1,101) —
 (1,143)1
 (63) (1,939) —
 (2,001)
Net cash provided by (used in) investing activities of continuing operations$(20,542) $(4,690) $16,620
 $—
 $(8,612)$(22,306) $(3,446) $8,727
 $—
 $(17,025)
Cash flows from financing activities of continuing operations                  
Dividends paid$(514) $—
 $—
 $—
 $(514)$(838) $—
 $—
 $—
 $(838)
Issuance of preferred stock3,486
 —
 —
 —
 3,486
4,731
 —
 —
 —
 4,731
Treasury stock acquired(1,850) —
 —
 —
 (1,850)(3,800) —
 —
 —
 (3,800)
Proceeds (repayments) from issuance of long-term debt, net7,046
 12,514
 (18,436) —
 1,124
8,683
 (98) (6,544) —
 2,041
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (232) 232
 —
 —
—
 12,514
 (12,514) —
 —
Change in deposits—
 —
 8,705
 —
 8,705
—
 —
 4,911
 —
 4,911
Change in federal funds purchased and repos—
 4,511
 (937) —
 3,574
—
 (5,956) 1,122
 —
 (4,834)
Change in short-term borrowings(349) (1,212) (30,867) —
 (32,428)(529) (1,752) (33,475) —
 (35,756)
Net change in short-term borrowings and other advances—intercompany(3,126) (1,144) 4,270
 —
 —
(434) 335
 99
 —
 —
Other financing activities(423) —
 —
 —
 (423)(425) —
 —
 —
 (425)
Net cash provided by (used in) financing activities of continuing operations$4,270
 $14,437
 $(37,033) $—
 $(18,326)$7,388
 $5,043
 $(46,401) $—
 $(33,970)
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(103) $—
 $(103)$—
 $—
 $(751) $—
 $(751)
Change in cash and due from banks$15
 $739
 $(9,449) $—
 $(8,695)$(3) $(252) $(10,127) $—
 $(10,382)
Cash and due from banks at beginning of period125
 1,751
 30,232
 —
 32,108
125
 1,751
 30,232
 —
 32,108
Cash and due from banks at end of period$140
 $2,490
 $20,783
 $—
 $23,413
$122
 $1,499
 $20,105
 $—
 $21,726
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 



 

 

 

 

Cash paid (refund) during the year for income taxes$(248) $348
 $2,763
 $—
 $2,863
$88
 $157
 $3,798
 $—
 $4,043
Cash paid during the year for interest2,332
 1,101
 2,045
 —
 5,478
3,759
 1,704
 2,978
 —
 8,441
Non-cash investing activities

 

 

 

 



 

 

 

 

Decrease in net loans associated with significant disposals reclassified to HFS$—
 $—
 $(8,874) $—
 $(8,874)$—
 $—
 $(9,063) $—
 $(9,063)
Decrease in investments associated with significant disposals reclassified to HFS—
 —
 (1,444) —
 (1,444)—
 —
 (1,402) —
 (1,402)
Decrease in goodwill and intangible assets associated with significant disposals reclassified to HFS—
 —
 (216) —
 (216)
Decrease in deposits with banks associated with significant disposals reclassified to HFS—
 —
 (404) —
 (404)
Transfers to loans HFS from loans—
 —
 15,900
 —
 15,900
—
 —
 17,900
 —
 17,900
Transfers to OREO and other repossessed assets—
 —
 158
 —
 158
—
 —
 225
 —
 225
Non-cash financing activities

 

 

 

 



 

 

 

 

Decrease in long-term debt associated with significant disposals reclassified to HFS

$—
 $—
 $(5,923) $—
 $(5,923)$—
 $—
 $(6,179) $—
 $(6,179)


UNREGISTERED SALES OF EQUITY SECURITIES, PURCHASES OF EQUITY SECURITIES, DIVIDENDS

Unregistered Sales of Equity Securities
None.

Equity Security Repurchases
The following table summarizes Citi’s equity security repurchases, which consisted entirely of common stock repurchases:

In millions, except per share amounts
Total shares
purchased
Average
price paid
per share
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
Total shares
purchased
Average
price paid
per share
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
April 2016  
July 2016  
Open market repurchases(1)
14.3
$43.82
$695
16.2
$43.02
$7,937
Employee transactions(2)
—
—
N/A
—
—
N/A
May 2016  
August 2016  
Open market repurchases(1)
8.7
44.91
304
15.2
45.73
7,244
Employee transactions(2)
—
—
N/A
—
—
N/A
June 2016  
September 2016  
Open market repurchases(1)
6.7
45.50
—
24.3
46.96
6,103
Employee transactions(2)
—
—
N/A
—
—
N/A
Total29.7
$44.52
$—
55.7
$45.48
$6,103
(1)Represents repurchases under the $7.8$8.6 billion 20152016 common stock repurchase program (2015(2016 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on March 11, 2015,June 29, 2016, which was part of the planned capital actions included by Citi in its 20152016 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 20152016 Repurchase Program were added to treasury stock. The 2015 Repurchase Program expired on June 30, 2016. On June 29, 2016, Citigroup announced an $8.6 billion common stock repurchase program during the four quarters beginning in the third quarter of 2016 (2016 Repurchase Program), which was part of the planned capital actions included by Citi as part of its 2016 CCAR. The 2016 Repurchase Program expires on June 30, 2017. Shares repurchased under the 2016 Repurchase Program will be 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 stock programs where shares are withheld to satisfy tax requirements.
N/A Not applicable

Dividends
In addition to Board of Directors’ approval, Citi’s ability to pay common stock dividends substantially depends on regulatory approval, including an annual regulatory review of the results of the CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act. For additional information regarding Citi’s capital planning and stress testing, see “Capital Resources—Current Regulatory Capital Standards—Capital Planning and Stress Testing” and “Risk Factors—Regulatory Risks” in Citi’s 2015 Annual Report on Form 10-K.
On June 29, 2016, Citi announced the Federal Reserve Board did not object to its planned capital actions as part of the 2016 CCAR, which included an increase of Citi’s quarterly common stock dividend to $0.16 per share over the four quarters beginning with the third quarter of 2016 (subject to quarterly approval by the Board of Directors). Any dividend on Citi’s outstanding common stock would also need to be made in compliance with Citi’s obligations to its outstanding preferred stock.
For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 19 to the



Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.




SIGNATURES



Pursuant to the requirements 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 1st31st day of August,October, 2016.



CITIGROUP INC.
(Registrant)





By    /s/ John C. Gerspach
John C. Gerspach
Chief Financial Officer
(Principal Financial Officer)



By    /s/ Jeffrey R. Walsh
Jeffrey R. Walsh
Controller and Chief Accounting Officer
(Principal Accounting Officer)





EXHIBIT INDEX
 
Exhibit  
Number Description of Exhibit
3.01 Restated Certificate of Incorporation of the Company, as in effect on the date hereof, incorporated by reference to Exhibit 3.01 to the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2016 (File No. 1-9924).
   
12.01+ Calculation of Ratio of Income to Fixed Charges.
   
12.02+ Calculation of Ratio of Income to Fixed Charges Including Preferred Stock Dividends.
   
31.01+ Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   
31.02+ Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   
32.01+ Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
   
101.01+ 
Financial statements from the AnnualQuarterly Report on Form 10-Q of the Company for the quarter ended JuneSeptember 30, 2016, filed August 1,on October 31, 2016, formatted in XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to Consolidated Financial Statements.
 

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.

+ Filed herewith.




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