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 September 30, 2016March 31, 2017
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, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer" andfiler," "smaller reporting company" and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer x
 
Accelerated filer o
 
Non-accelerated filer o
 (Do not check if a smaller reporting company)
 
Smaller reporting company o
Emerging growth company o
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. Yes o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o    No x
Number of shares of Citigroup Inc. common stock outstanding on September 30, 2016: 2,849,730,248March 31, 2017: 2,753,257,797

Available on the web at www.citigroup.com
 


CITIGROUP’S THIRDFIRST QUARTER 2016—2017—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
7
SEGMENT AND BUSINESS—INCOME (LOSS)
  AND REVENUES
9
SEGMENT BALANCE SHEET
11
CITICORP
12
Global Consumer Banking (GCB)
13
North America GCB
15
Latin America GCB
17
Asia GCB
19
Institutional Clients Group
21
Corporate/Other
25
CITI HOLDINGS
26
OFF-BALANCE SHEET
  ARRANGEMENTS
2826
CAPITAL RESOURCES
2927
Managing Global Risk Table of Contents
MANAGING GLOBAL RISK TABLE OF
  CONTENTS
4745
MANAGING GLOBAL RISK
4846
INCOME TAXES
8982
DISCLOSURE CONTROLS AND
  PROCEDURES
9083
DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT
9083
FORWARD-LOOKING STATEMENTS
9184
  
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
9486
CONSOLIDATED FINANCIAL STATEMENTS
9587
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS (UNAUDITED)
10395
UNREGISTERED SALES OF EQUITY SECURITIES, PURCHASES OF EQUITY SECURITIES AND DIVIDENDS
209188



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(2016 Annual Report on Form 10-K), and Citigroup’s Quarterly Reports on Form 10-Q for the quarters 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,U.S. Securities and Exchange Commission (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 on Form 8-K, information statements and other information regarding Citi at www.sec.gov.
Certain reclassifications, including a realignment of certain businesses, have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. For additional information on certain recent reclassifications, see Note 3 to the Consolidated Financial Statements in Citi’s 2015 Annual Report on Form 10-K.Statements.
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
citisegq12017.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
citigroupregionsa06.jpg
*
As previously announced, the remaining businesses and portfolios of assets in Citi Holdings are now reported as part of Corporate/Other for all periods presented andCiti Holdings is no longer a separately reported business segment. For additional information, see Note 3 to the Consolidated Financial Statements below.

(1)
Asia GCB includes the results of operations of 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

ThirdFirst Quarter of 2016—2017—Solid Performance Across the Franchise
As described further throughout this Executive Summary, Citi reported solid operating results in the thirdexecutive summary, Citi’s first quarter of 2016, reflecting underlying2017 results of operations mark a significant improvement compared to the prior-year period as many businesses benefitted from continued momentum acrossfrom the franchise, notablyend of last year. Citi increased revenues in both Global Consumer Banking (GCB) and Institutional Clients Group (ICG), while continuing to wind down the legacy assets in Corporate/Other and maintaining expense discipline. Citi also continued to make targeted investments to drive revenue growth and improve returns in several businesses, where Citi has been making investments.including in equities, Citi-branded cards and Mexico.
In GCB, the North America Global Consumer Banking (GCB), Citi’s ongoing investments in Citi-branded cards generated revenue growth, primarily reflecting the first full quarter of revenuescredit card business continued to benefit from the acquisition of the Costco portfolio, but also modest growth in average loans and purchase sales inwhile mortgage revenues were lower reflecting the remainderimpact of the portfolio.higher rate environment on origination activity, as well as the impact of the previously announced sale of a portion of Citi’s U.S. mortgage servicing rights, as part of Citi’s exit of its U.S. mortgage servicing operations. International GCB generated positive operating leverage driven by year-over-year revenue growth in Mexico and Asia (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)ICG, Citi continued to support its clients around the world, generating year-over-year showed broad-based momentum, with revenue growth in fixed income and equity markets, treasury and trade solutions, despite the continued low-interest rate environment, investment banking and fixed income markets, particularlythe private bank. These increases in rates and currencies and spread products.revenues were partially offset by lower revenues in
In Citicorp, loans increased 6% and deposits increased 5%. Excluding FX translation, Citicorp loans increased 7% and deposits increased 5%. (Citi’s resultsCorporate/Other,reflecting the continued wind down of operations excludinglegacy assets, partially offset by certain gains on asset sales, including the impact of FX translation are non-GAAP financial measures.) Citi Holdings’ impact on Citi’s results of operations and financial condition decreased further with Citi Holdings constituting less than 2% of Citigroup’s net income in the current quarter and 3% of Citigroup’s GAAP assets assales of the endconsumer finance business in Canada and the consumer business in Argentina.
Citi also continued to generate significant regulatory capital during the quarter through a combination of earnings and the third quarterutilization of 2016. While Citi’sapproximately $800 million in deferred tax assets (DTAs) were unchanged during the current quarter (for additional information, see “Income Taxes” below), year-to-date,. Citi has utilizedgenerated approximately $2.4$5.5 billion of its DTAs which contributed to a net increase of $3.2 billion ofin regulatory capital as fewer DTAs were deducted from regulatory capital.
Induring the third quarter, of 2016, Citi began implementingbefore returning approximately $2.2 billion to 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 dividendscommon stock repurchases and the repurchase of 56 million common shares.dividends. Outstanding common shares declined 2%1% from the prior-quarterprior quarter and 4%6% from the prior-year period. Despite the increased return of capital to its shareholders, each of Citigroup’s key regulatory capital metrics remained strong as of the end of the thirdfirst quarter of 20162017 (see “Capital” below).
During the remainderWhile economic sentiment has improved, there continue to be various economic and political uncertainties and changes that could impact Citi’s businesses, including as a result of, 2016, Citi expects that many of the uncertainties that have impacted the operating environment and macroeconomic conditions year-to-date will continue, including significant uncertaintiesamong others, potential policy changes arising from the vote in
favor of the United Kingdom’s withdrawal from the European UnionU.S. presidential administration and Congress as well as the outlook for future rate increases inU.K.’s initiation of the U.S.process to withdraw from the European Union. For a more detailed discussion of these risks and uncertainties, see each respective business’business’s results of operations and “Forward-Looking Statements” below, as well as each respective business’ results of operations and the
“Managing Global Risk” and “Risk Factors” sectionsections in Citi’s 20152016 Annual Report on Form 10-K.

ThirdFirst Quarter of 20162017 Summary Results

Citigroup
Citigroup reported net income of $3.8$4.1 billion, or $1.24$1.35 per share, compared to $4.3$3.5 billion, or $1.35$1.10 per share, in the prior-year period. ResultsThe 17% increase in net income from the prior-year period was primarily driven by higher revenues and lower credit costs, as expenses remained largely unchanged.
Citigroup revenues of $18.1 billion in the thirdfirst quarter of 2015 included $196 million ($127 million after-tax)2017 increased 3%, driven by a 16% increase in ICG, as well as a 1% increase in GCB, partially offset by a 40% decrease in Corporate/Other due primarily to the continued wind down of CVA/DVA.legacy assets.
Citigroup’s end-of-period loans increased 2% to $629 billion versus the prior-year period. Excluding the impact of CVA/DVAFX translation, Citigroup’s end-of-period loans also grew 2%, as 8% growth in GCB and 3% growth in ICG were partially offset by the prior-year period, Citigroup reported net incomecontinued wind down of $3.8 billionlegacy assets in the third quarter of 2016, or $1.24 per share, compared to $4.2 billion, or $1.31 per share, in the prior-year period.Corporate/Other. (Citi’s results of operations excluding the impact of CVA/DVAFX translation are non-GAAP financial measures.) The 8% decrease fromCitigroup’s end-of-period deposits increased 2% to $950 billion versus the prior-year period was primarily driven by lower revenues, partially offset by lower cost of credit and lower expenses.
Citi’s revenues were $17.8 billion in the third quarter of 2016, a decrease of 5% from the prior-year period driven by a 1% decline in Citicorp and a 48% decline in Citi Holdings.period. Excluding CVA/DVA in the third quarter of 2015, revenues were down 4% from the prior-year period, as a 49% decrease in Citi Holdings revenues was partially offset by a 1% increase in Citicorp revenues. Excluding CVA/DVA in the third quarter of 2015 and the impact of FX translation, (which increased the reported decline in revenues versus the prior-year period by approximately $223 million)Citigroup’s deposits were up 3%, Citigroup revenues decreased 3% from the prior-year period, driven by a 49% decrease4% increase in Citi Holdings, partiallyGCB deposits and a 3% increase in ICG deposits, slightly offset by a 2% increasedecline in Citicorp revenues versus the prior-year period.Corporate/Other deposits.

Expenses
CitigroupCitigroup’s operating expenses decreased 2%were largely unchanged versus the prior-year period, as the impact of higher performance-related compensation and higher business volumes were offset by lower expenses in Citi Holdingsrepositioning costs and a benefit from the impact of FX translation, as investments were partially offset by volume growth and ongoing investments in Citicorp (including those referenced above). FX translation increased the reported decline inlargely funded through efficiency savings. Year-over-year, GCB operating expenses versus the prior-year period by approximately $194 million.
Citicorpwere largely flat, ICG operating expenses increased 3% reflecting volume growth as well as the ongoing investments in the franchise, partially offset by efficiency savings1% and the benefit from the impact of FX translation.
Citi Holdings’Corporate/Other operating expenses were $826 million, down 40% from the prior-year period, primarily driven by the ongoing decline in Citi Holdings assets.declined 11%.

Cost of Credit Costs
Citi’s total provisions for credit losses and for benefits and claims of $1.7 billion decreased 5%19% from the prior-year



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, partially offset by a net loan loss reserve build, largely driven byrelease in North AmericaICG cards within Citicorp, compared to a net loan loss reserve releasebuild driven by energy-related exposures in the prior-year period.period and a decline in the provision for benefits and claims, as well as a modest decline in net credit losses.
Net credit losses of $1.5$1.7 billion declined 8%1% versus the prior-year period. Consumer net credit losses declined 8% to $1.5of $1.7 billion mostly reflecting continued improvementincreased 10%, driven by the Costco portfolio acquisition, organic volume growth and seasoning, as well as the impact of changes in the North America mortgage portfolio and ongoing divestiture activity within Citi Holdings, partially offset by higher net credit lossescollection processes in North Americacards, partially offset by the continued wind down of legacy assets in Citicorp due to volume growth.Corporate/Other. Corporate net credit losses decreased 20%$173


million to $40$37 million, and were largely offsetdriven by the release of previously established loan loss reserves (for additional information, see “Institutional Clients Group” and “Credit Risk—Corporate Credit” below).
The net build of allowance for loan losses and unfunded lending commitments was $176 millionimprovement in the third quarter of 2016, compared to a $16 million release in the prior-year period. Citicorp’s net reserve build was $298 million, compared to a net reserve build of $174 million in the prior-year period. The larger net reserve build in the third quarter of 2016 was primarily related to the North America cards franchise, driven by the impact of the Costco portfolio acquisition, volume growth and the estimated impact of newly proposed regulatory guidelines on third party debt collections (see “Global Consumer Banking—North America GCB” below), partially offset by a 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.
Citi Holdings’ net reserve release decreased $68 million from the prior-year period to $122 million, primarily reflecting the impact of asset sales.energy sector.
For additional information on Citi’s consumer (including commercial) and corporate credit costs and allowance for loan losses, see “Credit Risk” below.

Capital
Citigroup’s Tier 1 Capital and Common Equity Tier 1 Capital ratios, on a fully implemented basis, were 14.2%14.5% and 12.6%12.8% as of September 30, 2016,March 31, 2017, respectively, compared to 12.9%13.8% and 11.7%12.3% as of September 30, 2015March 31, 2016 (all based on the Basel III Advanced Approaches for determining risk-weighted assets). Citigroup’s Supplementary Leverage ratio as of September 30, 2016,March 31, 2017, on a fully implemented basis, was 7.4%7.3%, compared to 6.9%7.4% as of September 30, 2015.March 31, 2016. 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.

CiticorpGlobal Consumer Banking
CiticorpGCB net income decreased 12% from the prior-year period16% to $3.8 billion. CVA/DVA, recorded in ICG,was $221 million ($143 million after-tax) in third quarter of 2015 (for a summary of CVA/DVA$1.0 billion, as higher revenues were more than offset by business within ICG, see “Institutional Clients Group” below). Excluding CVA/DVA in
the third quarter of 2015, Citicorp’s net income decreased 9% from the prior-year period, primarily driven by the higher expenses and higher cost of credit, partiallycredit. Operating expenses were largely flat at $4.4 billion, as the addition of the Costco portfolio, volume growth and continued investments were offset by higher revenues.
Citicorp revenues decreased 1% from the prior-year period to $16.9 billion, driven byongoing efficiency savings, lower revenues in Corporate/Other, partially offset by a 1% increase in GCB revenues. Excluding CVA/DVA in the third quarter of 2015, Citicorp revenues increased 1% from the prior-year period, driven by a 1% increase in GCB revenuesrepositioning costs and a 2% increase in ICG revenues. As referenced above, excluding CVA/DVA in the prior-year period and the impact ofbenefit from FX translation, Citicorp’srevenues increased 2% versus the prior-year period, as growth in the GCB and ICG franchises was partially offset by lower revenues in Corporate/Other.translation.
GCB revenues of $8.2$7.8 billion increased 1% versus the prior-year period. Excluding the impact of FX translation, GCB revenues increased 3%, driven by an increaseincreases in North America GCB, partially offset by a decrease in internationalLatin America GCB and Asia GCB revenues. North America GCB revenues increased 7%2% to $5.2$4.9 billion, withas higher revenues in each of Citi-branded cards were partially offset by lower revenues in retail banking and Citi retail services and retail banking.services. Citi-branded cards revenues of $2.2$2.1 billion increased 15%were up 13% versus the prior-year period, reflecting the addition ofcontribution from the Costco portfolio as well asand modest revenueorganic growth, inpartially offset by the remainderongoing impact of the portfolio driven by higher volumes.promotional rate balances. Citi retail services revenues of $1.6 billion increased 1%decreased 5% versus the prior-year period, as higher average loan growth in the portfolio was largely offsetdriven by the impact of previously disclosed renewals and extension of several partnerships as well as the absence of revenues from portfolio exits.gains on sales of two cards portfolios sold in the first quarter of 2016. Retail banking revenues increased 2%decreased 3% from the prior-year period, to $1.4 billion, on highermainly driven by lower mortgage revenues. Excluding mortgage, retail banking revenues were up 5% from the prior-year period, driven by continued growth in average loans, deposits and checking deposits.assets under management.
North America GCB average deposits of $184$186 billion grew 1% year-over-year andwere up 3% versus the prior-year period, average retail banking loans of $55 billion grew 9%5%, and assets under management of $55 billion grew 12%. Average Citi retail services loans of $44 billion increased 1% versus the prior-year period while retail services purchase sales of $20 billion declined 1% versus the prior-year period. Average Citi-brandedbranded card loans of $79$83 billion increased 24%28%, while Citi-brandedbranded card purchase sales of $73 billion increased 57%58% versus the prior-year period, each including the impact ofboth driven by the Costco portfolio acquisition.acquisition as well as organic growth. Average retail services loans of $45 billion were up 3%, while retail services purchase sales of $17 billion were largely unchanged. For additional information on the results of operations of North America GCB for the thirdfirst quarter of 2016, including the impact of the Costco acquisition to North America GCB’s loans and purchase sales,2017, see “Global Consumer Banking—Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes the results of operations
in certain GCB activities in certain EMEA countries)) decreased 7%were largely unchanged at $2.9 billion versus the prior-year period to $3.0 billion driven by a decline in Latin America GCB (19%) partially offset by an increase in Asia GCB (4%).period. Excluding the impact of FX translation, international GCB revenues decreased 2%increased 3% versus the prior-year period. Latin America GCB revenues decreased 7%increased 4% versus the prior-year period,, reflecting 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 8% growth in retail banking, reflecting continued growth in average loans and deposits as well as improved deposit spreads, partially offset by a decline inlower cards revenues driven by the continued impact of higher payment rates.revenues.
Asia GCB revenues increased 3% versus the prior-year period, driven bygrowth improvement in cards and wealth management, and cards revenues, partially offset by product repositioning away from lower-return mortgage loans in thelower retail lending portfolio.revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for the thirdfirst quarter of 2016,2017, including the impact of FX translation, see “Global Consumer Banking” below. Excluding the impact of FX translation,
Year-over-year, international GCB average deposits of $119$118 billion increased 7%6%, average retail loans of $87$83 billion decreased 2%3%, investment salesassets under management of $14$92 billion increased 2%4%, average card loans of $23 billion increased 2%3% and card purchase sales of $23 billion increased 2%.5%, all excluding the impact of FX translation.

Institutional Clients Group
ICG net income of $3.0 billion increased 61%, driven by the higher revenues and lower cost of credit, partially offset by higher operating expenses. ICG operating expenses increased 1% to $4.9 billion, as higher performance-based compensation was partially offset by lower repositioning costs and a benefit from FX translation.
ICG revenues were $8.6$9.1 billion in the thirdfirst quarter of 2016, unchanged2017, up 16% from the prior-year period, as a 6% increase in Markets and securities services was offset by a 6% decrease in Banking revenues (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 third quarter of 2015 and the impact of mark-to-market gains/(losses) on loan hedges, ICG revenues increased 9% driven by an 11%18% increase in Markets and securities services revenues and a 7%13% increase in Bankingrevenues. revenues (including the impact of $115 million of mark-to-market losses on loan hedges related to accrual loans within corporate lending compared to losses of $66 million in the prior-year period).
Banking revenues of $4.3$4.5 billion (excluding CVA/DVA in the third quarter of 2015 and the impact of mark-to-market gains/(losses)losses on loan hedges)hedges related to accrual loans within corporate lending) increased 7%14% compared to the prior-year period, primarily driven by growthstrong performance in investment banking, treasury and trade solutions and debt underwriting revenues within investment banking.the private bank. Investment banking revenues of $1.1$1.2 billion increased 15%39% versus the prior-year period. Advisory revenues were largely unchanged at $239 million. Equity underwriting revenues decreased 16%increased 8% to $146$246 million reflecting a decline in wallet share resulting from continued share fragmentation.versus the prior-year period. Debt underwriting revenues increased 32%39% to $701$733 million largely reflecting strong industry-wideand equity underwriting activity.revenues nearly doubled to $235 million.
Private bank revenues increased 5% (4% excluding CVA/DVA in the third quarter of 2015)9% to $746$744 million fromversus the prior-year period, primarily driven by loan and deposit growth and improved spreads and higher managed investment revenues.spreads. Corporate lending revenues decreased 70%16% to $232$319 million. Excluding the mark-to-market impact of mark-to-market gains/(losses) on loan hedges, corporate lending revenues increased 4%decreased 3% to $434 million versus the prior-year period mostly reflecting higherdue to lower average loans.volumes. Treasury and trade solutions revenues of $2.0increased 9% to $2.1 billion increased 5% fromversus the prior-year period. Excluding the impact of FX translation, treasuryperiod, driven by strong fee growth, higher volumes and trade solutions revenues increased 8% reflecting continued growth in transaction volumes.improved spreads.


Markets and securities services revenues of $4.5increased 18% to $4.8 billion (excluding CVA/DVA in the third quarter of 2015) increased 11% fromversus the prior-year period. Fixed income markets
revenues of $3.5increased 19% to $3.6 billion increased 26% (35% excluding CVA/DVA in the third quarter of 2015) fromversus the prior-year period, driven by improvementreflecting strength in both rates and currencies andas well as spread products. Equity markets revenues of $663increased 10% to $769 million decreased 37% (34% excluding CVA/DVA in the third quarter of 2015) versus the prior-year period. The third quarter of 2015 included a previously disclosed positive valuation adjustment of approximately $140 million related to certain financing transactions. Excluding this adjustment,period, reflecting an improvement in equity markets revenues decreased 23% driven by lower market activity as well as the comparison to strong performance in Asia in the prior-year period.derivatives. Securities services revenues of $536decreased 3% to $543 million increased 4% versus the prior-year period. Excludingperiod, largely due to the impact of FX translation,prior-period divestitures. Excluding the divestitures, securities services revenues increased 6% as increased client activity,12%, driven by higher deposit volumesbalances and improved spreads more than offset the absence of revenues from divested businesses.growth in assets under custody. For additional information on the results of operations of ICG for the thirdfirst quarter of 2016,2017, see “Institutional Clients Group” below.

Corporate/Other
Corporate/Other net income was $92 million in the first quarter of 2017, compared to net income of $450 million in the prior-year period, reflecting lower revenues, partially offset by lower operating expenses and lower cost of credit. Expenses of $1.1 billion declined 11% from the prior-year period, primarily driven by the wind-down of legacy assets, partially offset by approximately $100 million of episodic expenses primarily related to the exit of Citi’s U.S. mortgage servicing operations.
Corporate/Other revenues were $28 million,$1.2 billion, down 87%40% from the prior-year period, mainly reflectingdriven by legacy asset run-off and divestiture activity, as well as lower revenues from treasury-related hedging activity. Revenues in the absencefirst quarter of 2017 included nearly $750 million of episodic gains on asset sales, partially offset by an approximate $300 million charge related to the exit of the equity contribution related to Citi’s stake in China Guangfa Bank, which was divested in the third quarter of 2016.U.S. mortgage servicing operations. For additional information on the results of operations of Corporate/Otherfor the thirdfirst quarter of 2016,2017, see “Corporate/Other” below.
CiticorpCorporate/Other end-of-period loans increased 6%assets decreased 23% to $599$96 billion from the prior-year period driven by a 7% increase in consumer loans and a 5% increase in corporate loans. Excludingas Citi continued to wind down the impact of FX translation, Citicorp loans grew 7%, with 7% growth in consumer loans and 6% growth in corporate loans.legacy assets.

Citi Holdings
Citi Holdings’ net income was $74 million in the third quarter of 2016, compared to a net loss of $1 million in the prior-year period. CVA/DVAwas negative $25 million (negative $16 million after-tax) in the third quarter of 2015. Excluding the impact of CVA/DVA in the prior-year period, Citi Holdings’ net income was $74 million, compared to $15 million in the prior-year period, primarily reflecting lower expenses and lower credit costs, partially offset by lower revenues.
Citi Holdings’ revenues were $877 million, down 48% from the prior-year period. Excluding CVA/DVA in the third quarter of 2015, Citi Holdings’ revenues decreased 49% from the prior-year period, mainly reflecting continued reductions in Citi Holdings assets. For additional information on the results of operations of Citi Holdings for the third quarter of 2016, see “Citi Holdings” below.
At the end of the current quarter, Citi Holdings’ assets were $61 billion, 48% below the prior-year period. Citi Holdings’ risk-weighted assets were $114 billion as of September 30, 2016, a decrease of 30% from the prior-year period, and represented 9% of Citi’s risk-weighted assets under Basel III (based on the Advanced Approaches for determining risk-weighted assets).




RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
Third Quarter Nine Months First Quarter 
In millions of dollars, except per-share amounts and ratios20162015% Change20162015% Change20172016% Change
Net interest revenue$11,479
$11,773
(2)%$33,942
$35,167
(3)%$10,857
$11,227
(3)%
Non-interest revenue6,281
6,919
(9)18,921
22,731
(17)7,263
6,328
15
Revenues, net of interest expense$17,760
$18,692
(5)%$52,863
$57,898
(9)%$18,120
$17,555
3 %
Operating expenses10,404
10,669
(2)31,296
32,481
(4)10,477
10,523
—
Provisions for credit losses and for benefits and claims1,736
1,836
(5)5,190
5,399
(4)1,662
2,045
(19)
Income from continuing operations before income taxes$5,620
$6,187
(9)%$16,377
$20,018
(18)%$5,981
$4,987
20 %
Income taxes1,733
1,881
(8)4,935
6,037
(18)1,863
1,479
26
Income from continuing operations$3,887
$4,306
(10)%$11,442
$13,981
(18)%$4,118
$3,508
17 %
Income (loss) from discontinued operations,
net of taxes(1)
(30)(10)NM
(55)(9)NM
(18)(2)NM
Net income before attribution of noncontrolling
interests
$3,857
$4,296
(10)%$11,387
$13,972
(19)%$4,100
$3,506
17 %
Net income attributable to noncontrolling interests17
5
NM
48
65
(26)10
5
100
Citigroup’s net income$3,840
$4,291
(11)%$11,339
$13,907
(18)%$4,090
$3,501
17 %
Less: 

   

Preferred dividends—Basic$225
$174
29 %$757
$504
50 %$301
$210
43 %
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS53
56
(5)145
182
(20)55
40
38
Income allocated to unrestricted common shareholders
for basic and diluted EPS
$3,562
$4,061
(12)%$10,437
$13,221
(21)%$3,734
$3,251
15 %
Earnings per share 

  
  

Basic 

  
  

Income from continuing operations$1.25
$1.36
(8)$3.60
$4.39
(18)$1.36
$1.11
23
Net income1.24
1.36
(9)3.58
4.38
(18)1.35
1.10
23
Diluted 

   

Income from continuing operations$1.25
$1.36
(8)%$3.60
$4.38
(18)%$1.36
$1.11
23 %
Net income1.24
1.35
(8)3.58
4.38
(18)1.35
1.10
23
Dividends declared per common share0.16
0.05
NM
0.26
0.11
NM
0.16
0.05
NM

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


SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
Citigroup Inc. and Consolidated Subsidiaries
Citigroup Inc. and Consolidated SubsidiariesCitigroup Inc. and Consolidated Subsidiaries 
Third Quarter Nine Months First Quarter 
In millions of dollars, except per-share amounts, ratios and
direct staff
20162015% Change20162015% Change20172016% Change
At September 30:    
At March 31:  
Total assets$1,818,117
$1,808,356
1 %  $1,821,635
$1,800,967
1 %
Total deposits940,252
904,243
4
  949,990
934,591
2
Long-term debt209,051
213,533
(2)  208,530
207,835
—
Citigroup common stockholders’ equity212,322
205,630
3
  208,879
209,769
—
Total Citigroup stockholders’ equity231,575
220,848
5
  228,132
227,522
—
Direct staff (in thousands)
220
239
(8)  215
225
(4)
Performance metrics 

   

Return on average assets0.83%0.94%

0.84%1.01% 0.91%0.79%

Return on average common stockholders’ equity(2)
6.8
8.0


6.7
8.8
 7.4
6.4


Return on average total stockholders’ equity(2)
6.6
7.7


6.6
8.6
 7.3
6.3


Efficiency ratio (Total operating expenses/Total revenues)59
57


59
56
 58
60


Basel III ratios—full implementation      
Common Equity Tier 1 Capital(3)
12.63%11.67%   12.83%12.34% 
Tier 1 Capital(3)
14.23
12.91
   14.49
13.81
 
Total Capital(3)
16.34
14.60
   16.54
15.71
 
Supplementary Leverage ratio(4)
7.40
6.85
   7.28
7.44
 
Citigroup common stockholders’ equity to assets11.68%11.37% 

  11.47%11.65% 
Total Citigroup stockholders’ equity to assets12.74
12.21
 

  12.52
12.63
 
Dividend payout ratio(5)
12.9
3.7
 7.3%2.5% 11.9
4.5
 
Total payout ratio(6)

59%44% 
Book value per common share$74.51
$69.03
8 %

  $75.86
$71.47
6 %
Tangible book value (TBV) per share(6)
$64.71
$60.07
8 %  
Tangible book value (TBV) per share(7)
$65.94
$62.58
5 %
Ratio of earnings to fixed charges and preferred stock dividends2.61x
2.92x
 2.60x
3.04x
 2.51x
2.54x
 
(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)Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders. See “Consolidated Statement of Changes in Stockholders’ Equity”, Note 9 to the Consolidated Financial Statements, and “Equity Security Repurchases” below for the component details.
(7)For information on TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Book Value Per Share”Returns on Equity” below.





SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
Third Quarter Nine Months First Quarter 
In millions of dollars20162015% Change20162015% Change20172016% Change
Income (loss) from continuing operations    
CITICORP    
Income from continuing operations  
Global Consumer Banking      
North America$811
$1,080
(25)%$2,513
$3,318
(24)%$627
$833
(25)%
Latin America167
306
(45)507
716
(29)130
146
(11)
Asia(1)
310
305
2
822
980
(16)246
215
14
Total$1,288
$1,691
(24)%$3,842
$5,014
(23)%$1,003
$1,194
(16)%
Institutional Clients Group

 



 



 

North America$1,119
$991
13 %$2,762
$3,097
(11)%$1,100
$546
NM
EMEA680
499
36
1,799
2,129
(16)855
374
NM
Latin America396
389
2
1,129
1,194
(5)475
330
44
Asia577
554
4
1,756
1,847
(5)581
619
(6)
Total$2,772
$2,433
14 %$7,446
$8,267
(10)%$3,011
$1,869
61 %
Corporate/Other(247)183
NM
(365)395
NM
104
445
(77)%
Total Citicorp$3,813
$4,307
(11)%$10,923
$13,676
(20)%
Citi Holdings$74
$(1)NM
$519
$305
70 %
Income from continuing operations$3,887
$4,306
(10)%$11,442
$13,981
(18)%$4,118
$3,508
17 %
Discontinued operations$(30)$(10)NM
$(55)$(9)NM
$(18)$(2)NM
Net income attributable to noncontrolling interests17
5
NM
48
65
(26)%10
5
100 %
Citigroup’s net income$3,840
$4,291
(11)%$11,339
$13,907
(18)%$4,090
$3,501
17 %

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


CITIGROUP REVENUES
Third Quarter Nine Months First Quarter 
In millions of dollars20162015% Change20162015% Change20172016% Change
CITICORP    
Global Consumer Banking      
North America$5,212
$4,893
7 %$14,842
$14,848
— %$4,944
$4,830
2 %
Latin America1,257
1,545
(19)3,746
4,409
(15)1,151
1,229
(6)
Asia(1)
1,758
1,696
4
5,142
5,363
(4)1,722
1,655
4
Total$8,227
$8,134
1 %$23,730
$24,620
(4)%$7,817
$7,714
1 %
Institutional Clients Group

 

 



 

North America$3,276
$3,440
(5)%$9,800
$10,354
(5)%$3,455
$2,980
16 %
EMEA2,554
2,393
7
7,376
7,858
(6)2,807
2,167
30
Latin America1,009
1,049
(4)3,017
3,067
(2)1,127
962
17
Asia1,789
1,777
1
5,317
5,403
(2)1,737
1,786
(3)
Total$8,628
$8,659
— %$25,510
$26,682
(4)%$9,126
$7,895
16 %
Corporate/Other28
218
(87)428
801
(47)1,177
1,946
(40)
Total Citicorp$16,883
$17,011
(1)%$49,668
$52,103
(5)%
Citi Holdings$877
$1,681
(48)%$3,195
$5,795
(45)%
Total Citigroup Net Revenues$17,760
$18,692
(5)%$52,863
$57,898
(9)%$18,120
$17,555
3 %
(1)
Asia GCB includes the results of operations of 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)
Citigroup
Parent company-
issued long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Assets        
Cash and deposits with banks$10,063
$69,676
$75,301
$155,040
$950
$—
$155,990
$9,371
$64,322
$106,352
$—
$180,045
Federal funds sold and securities borrowed or purchased under agreements to resell282
235,138
—
235,420
625
—
236,045
302
242,241
386
—
242,929
Trading account assets6,466
253,487
329
260,282
3,070
—
263,352
6,512
235,799
2,592
—
244,903
Investments9,444
114,457
225,947
349,848
5,092
—
354,940
11,172
112,252
222,409
—
345,833
Loans, net of unearned income and    
  
allowance for loan losses281,789
306,872
—
588,661
37,335
—
625,996
282,901
305,404
28,260
—
616,565
Other assets42,267
86,073
41,867
170,207
11,587
—
181,794
38,422
94,798
58,140
—
191,360
Liquidity assets(4)
61,200
236,419
(300,234)(2,615)2,615
—
—
63,128
259,291
(322,419)—
—
Total assets$411,511
$1,302,122
$43,210
$1,756,843
$61,274
$—
$1,818,117
$411,808
$1,314,107
$95,720
$—
$1,821,635
Liabilities and equity        
Total deposits$306,541
$617,209
$10,566
$934,316
$5,936
$—
$940,252
$311,383
$619,513
$19,094
$—
$949,990
Federal funds purchased and securities loaned or sold under agreements to repurchase3,481
149,627
—
153,108
16
—
153,124
3,597
144,624
9
—
148,230
Trading account liabilities11
130,891
354
131,256
393
—
131,649
24
143,464
582
—
144,070
Short-term borrowings45
19,434
10,047
29,526
1
—
29,527
578
19,299
6,250
—
26,127
Long-term debt(3)
1,296
33,980
20,602
55,878
4,131
149,042
209,051
1,225
32,739
32,940
141,626
208,530
Other liabilities19,234
82,910
14,951
117,095
4,729
—
121,824
17,811
77,000
20,724
—
115,535
Net inter-segment funding (lending)(3)
80,903
268,071
(14,425)334,549
46,068
(380,617)—
77,190
277,468
15,100
(369,758)—
Total liabilities$411,511
$1,302,122
$42,095
$1,755,728
$61,274
$(231,575)$1,585,427
$411,808
$1,314,107
$94,699
$(228,132)$1,592,482
Total equity(5)
—
—
1,115
1,115
—
231,575
232,690
—
—
1,021
228,132
229,153
Total liabilities and equity$411,511
$1,302,122
$43,210
$1,756,843
$61,274
$—
$1,818,117
$411,808
$1,314,107
$95,720
$—
$1,821,635

(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of September 30, 2016.March 31, 2017. The respective segment information depicts the assets and liabilities managed by each segment as of such date.
(2)
Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within 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
Corporate/Other 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 97 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, 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 September 30, 2016, Citicorp had approximately $1.8 trillion of assets and $934 billion of deposits, representing approximately 97% of Citi’s total assets and 99% of Citi’s total deposits.




























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 Third Quarter Nine Months 
In millions of dollars except as otherwise noted20162015% Change20162015% Change
Net interest revenue$10,997
$10,622
4 %$32,314
$31,557
2 %
Non-interest revenue5,886
6,389
(8)17,354
20,546
(16)
Total revenues, net of interest expense$16,883
$17,011
(1)%$49,668
$52,103
(5)%
Provisions for credit losses and for benefits and claims

 

  

Net credit losses$1,396
$1,391
— %$4,491
$4,465
1 %
Credit reserve build (release)343
90
NM
534
(160)NM
Provision for loan losses$1,739
$1,481
17 %$5,025
$4,305
17 %
Provision for benefits and claims25
28
(11)73
77
(5)
Provision for unfunded lending commitments(45)84
NM
3
2
50
Total provisions for credit losses and for benefits and claims$1,719
$1,593
8 %$5,101
$4,384
16 %
Total operating expenses$9,578
$9,295
3 %$28,784
$28,360
1 %
Income from continuing operations before taxes$5,586
$6,123
(9)%$15,783
$19,359
(18)%
Income taxes1,773
1,816
(2)4,860
5,683
(14)
Income from continuing operations$3,813
$4,307
(11)%$10,923
$13,676
(20)%
Income (loss) from discontinued operations, net of taxes(30)(10)NM
(55)(9)NM
Noncontrolling interests17
5
NM
42
64
(34)
Net income$3,766
$4,292
(12)%$10,826
$13,603
(20)%
Balance sheet data (in billions of dollars)


 

  

Total end-of-period (EOP) assets$1,757
$1,691
4 % 



Average assets$1,766
$1,698
4
$1,734
$1,710
1
Return on average assets0.85%1.00%

0.83%1.06%

Efficiency ratio57%55%

58%54%

Total EOP loans$599
$563
6
 



Total EOP deposits$934
$894
5
  

NM Not meaningful


GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB)consists of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, including commercial banking, and Citi-branded cards and Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). GCB is focused on its priority markets in the U.S., Mexico and Asia with 2,6792,601 branches in 19 countries and jurisdictions as of September 30, 2016.March 31, 2017. At September 30, 2016,March 31, 2017, GCB had approximately $412 billion of assets and $307$311 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.

Third Quarter Nine Months First Quarter 
In millions of dollars except as otherwise noted20162015% Change20162015% Change20172016% Change
Net interest revenue$6,770
$6,519
4 %$19,540
$19,437
1 %$6,522
$6,352
3 %
Non-interest revenue1,457
1,615
(10)4,190
5,183
(19)1,295
1,362
(5)
Total revenues, net of interest expense$8,227
$8,134
1 %$23,730
$24,620
(4)%$7,817
$7,714
1 %
Total operating expenses$4,440
$4,231
5 %$13,152
$12,874
2 %$4,415
$4,401
— %
Net credit losses$1,351
$1,354
— %$4,094
$4,347
(6)%$1,603
$1,371
17 %
Credit reserve build (release)436
(103)NM
545
(349)NM
177
85
NM
Provision (release) for unfunded lending commitments(3)1
NM
7
(3)NM
6
1
NM
Provision for benefits and claims25
28
(11)73
77
(5)29
28
4
Provisions for credit losses and for benefits and claims$1,809
$1,280
41 %$4,719
$4,072
16 %$1,815
$1,485
22 %
Income from continuing operations before taxes$1,978
$2,623
(25)%$5,859
$7,674
(24)%$1,587
$1,828
(13)%
Income taxes690
932
(26)2,017
2,660
(24)584
634
(8)
Income from continuing operations$1,288
$1,691
(24)%$3,842
$5,014
(23)%$1,003
$1,194
(16)%
Noncontrolling interests3
8
(63)6
9
(33)1
2
(50)
Net income$1,285
$1,683
(24)%$3,836
$5,005
(23)%$1,002
$1,192
(16)%
Balance Sheet data (in billions of dollars)


 

 



 

Total EOP assets$412
$384
7 %
Average assets$410
$375
9 %$392
$379
3 %$411
$377
9
Return on average assets1.25%1.78%

1.31%1.77%

0.99%1.27%

Efficiency ratio54%52%

55%52%

56%57%

Total EOP assets$412
$377
9
 

Average deposits$303
$295
3
$299
$297
1
$304
$294
3
Net credit losses as a percentage of average loans1.87%1.99%

1.97%2.14%

2.24%2.04%

Revenue by business

 

 



 

Retail banking$3,361
$3,514
(4)%$9,849
$10,585
(7)%$3,155
$3,187
(1)%
Cards(1)
4,866
4,620
5
13,881
14,035
(1)4,662
4,527
3
Total$8,227
$8,134
1 %$23,730
$24,620
(4)%$7,817
$7,714
1 %
Income from continuing operations by business

 

 



 

Retail banking$478
$574
(17)%$1,284
$1,702
(25)%$339
$298
14 %
Cards(1)
810
1,117
(27)2,558
3,312
(23)664
896
(26)
Total$1,288
$1,691
(24)%$3,842
$5,014
(23)%$1,003
$1,194
(16)%
Table continues on the next page.



Foreign currency (FX) translation impact 

   

Total revenue—as reported$8,227
$8,134
1 %$23,730
$24,620
(4)%$7,817
$7,714
1 %
Impact of FX translation(2)
—
(174)

—
(769)

—
(103)

Total revenues—ex-FX(3)
$8,227
$7,960
3 %$23,730
$23,851
(1)%$7,817
$7,611
3 %
Total operating expenses—as reported$4,440
$4,231
5 %$13,152
$12,874
2 %$4,415
$4,401
— %
Impact of FX translation(2)
—
(70)

—
(356)

—
(42)

Total operating expenses—ex-FX(3)
$4,440
$4,161
7 %$13,152
$12,518
5 %$4,415
$4,359
1 %
Total provisions for LLR & PBC—as reported$1,809
$1,280
41 %$4,719
$4,072
16 %$1,815
$1,485
22 %
Impact of FX translation(2)
—
(41)

—
(159)

—
(30)

Total provisions for LLR & PBC—ex-FX(3)
$1,809
$1,239
46 %$4,719
$3,913
21 %$1,815
$1,455
25 %
Net income—as reported$1,285
$1,683
(24)%$3,836
$5,005
(23)%$1,002
$1,192
(16)%
Impact of FX translation(2)
—
(49)

—
(182)

—
(25)

Net income—ex-FX(3)
$1,285
$1,634
(21)%$3,836
$4,823
(20)%$1,002
$1,167
(14)%
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the thirdfirst quarter of 20162017 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)Costco) within Citi-branded cards as well as its co-brand and private label relationships (including among others, Sears, The Home Depot, Macy’s and Best Buy) within Citi retail services.
As of September 30, 2016,March 31, 2017, North America GCB’s 727705 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 September 30, 2016,March 31, 2017, North America GCB had approximately 10.69.6 million retail banking customer accounts, $54.8$55.5 billion ofin retail banking loans and $185.6$188.4 billion ofin deposits. In addition, North America GCB had approximately 120.8120 million Citi-branded and Citi retail services credit card accounts with $125.2$126.4 billion in outstanding card loan balances.

Third Quarter% ChangeNine Months% ChangeFirst Quarter% Change
In millions of dollars, except as otherwise noted201620152016201520172016
Net interest revenue$4,748
$4,455
7 %$13,567
$13,103
4 %$4,617
$4,398
5 %
Non-interest revenue464
438
6
1,275
1,745
(27)327
432
(24)
Total revenues, net of interest expense$5,212
$4,893
7 %$14,842
$14,848
— %$4,944
$4,830
2 %
Total operating expenses$2,600
$2,319
12 %$7,538
$6,976
8 %$2,576
$2,500
3 %
Net credit losses$929
$878
6 %$2,814
$2,837
(1)%$1,190
$933
28 %
Credit reserve build (release)408
(61)NM
537
(268)NM
152
79
92
Provision for unfunded lending commitments—
—
NM
8
1
NM
7
—
NM
Provisions for benefits and claims7
11
(36)24
30
(20)6
9
(33)
Provisions for credit losses and for benefits and claims$1,344
$828
62 %$3,383
$2,600
30 %$1,355
$1,021
33 %
Income from continuing operations before taxes$1,268
$1,746
(27)%$3,921
$5,272
(26)%$1,013
$1,309
(23)%
Income taxes457
666
(31)1,408
1,954
(28)386
476
(19)
Income from continuing operations$811
$1,080
(25)%$2,513
$3,318
(24)%$627
$833
(25)%
Noncontrolling interests—
1
(100)(1)2
NM
—
—
—
Net income$811
$1,079
(25)%$2,514
$3,316
(24)%$627
$833
(25)%
Balance Sheet data (in billions of dollars)


 

  




 

Average assets$239
$209
14 %$223
$208
7 %$245
$211
16 %
Return on average assets1.35%2.05%

1.51%2.13%

1.04%1.59%

Efficiency ratio50%47%

51%47%

52%52%

Average deposits$183.9
$181.4
1
$182.2
$180.6
1
$185.5
$180.6
3
Net credit losses as a percentage of average loans2.08%2.21%

2.24%2.43%

2.63%2.32%

Revenue by business

 

  




 

Retail banking$1,374
$1,347
2 %$4,011
$4,140
(3)%$1,256
$1,290
(3)%
Citi-branded cards2,213
1,930
15
6,000
5,872
2
2,096
1,860
13
Citi retail services1,625
1,616
1
4,831
4,836
—
1,592
1,680
(5)
Total$5,212
$4,893
7 %$14,842
$14,848
— %$4,944
$4,830
2 %
Income from continuing operations by business

 

  




 

Retail banking$196
$161
22 %$472
$578
(18)%$83
$89
(7)%
Citi-branded cards336
522
(36)1,036
1,560
(34)248
353
(30)
Citi retail services279
397
(30)1,005
1,180
(15)296
391
(24)
Total$811
$1,080
(25)%$2,513
$3,318
(24)%$627
$833
(25)%


NM Not meaningful



3Q161Q17 vs. 3Q151Q16
Net income decreased by 25% due to significantly higher cost of credit and higher expenses, partially offset by higher revenues.
Revenues increased 7%2%, reflecting higher revenues in each of retail banking, Citi-branded cards, andpartially offset by lower revenues in Citi retail services.
retail services and retail banking.
Retail banking revenues increased 2%declined 3%, mainly due to lower mortgage revenues (decrease of approximately $80 million). The increasedecline in mortgage revenues was primarily driven by continued volume growth in consumerlower origination activity and commercialhigher cost of funds driven by higher interest rates, as well as the impact of the sale of a portion of Citi’s mortgage servicing rights (MSR) (see “Executive Summary” above). Excluding mortgage revenues, retail banking includingrevenues increased 5%, primarily reflecting continued growth in average loans (9%(5%), average deposits (3%) and average checking deposits (10%assets under management (12%), as well as an increase in. Citi expects higher interest rates and the impact of the MSR sale to continue to negatively impact mortgage gain on sale revenues due to higher margins, although North America GCB expects a seasonal decline in mortgage activity during the fourth quarterremainder of 2016. The increase in revenues was partially offset by lower spreads and lower mortgage servicing revenues.2017.
Cards revenues increased 8%4%. In Citi-branded cards, revenues increased 15%13%, primarilylargely reflecting the first full quarter of revenues from the acquisitionimpact of the Costco portfolio acquisition (completed June 17, 2016). Excluding Costco, revenues increased modestly (1%) as and modest organic growth, partially offset by the ongoing impact of investment-related acquisition costs abated and a portion of new loan balances matured to full rate.higher promotional rate balances. Average loans grew 24% (3%28% (4% excluding Costco) and purchase sales grew 57% (7%58% (4% excluding Costco).
Citi retail services revenues increased 1% as higher average loan growth was largely offsetdecreased 5%, primarily driven by the impact of the previously disclosed renewal and extension of several partnerships within the portfolio as well as the absence of revenues associated withgains on the sales of two portfolios sold in the first quarter of 2016. Average loansExcluding these gains, revenues increased 1%, whiledriven by volume growth, mostly offset by the continued impact of the previously disclosed renewal and extensions of several partnerships within the portfolio. Average loans were up 3% and purchase sales decreased 1%.were largely unchanged.
Expenses increased 12%, primarily due to the Costco portfolio acquisition, volume growth and continued marketing investments, partially offset by ongoing efficiency savings. North America GCB expects to continue to incur elevated expensesrevenue growth in the fourthsecond quarter of 2016 reflecting seasonally higher marketing expenses as well as ongoing investment spending, including within retail banking as the business invests in its digital and mobile banking capabilities, among other initiatives.
Provisions increased 62%, driven by a net loan loss reserve build ($408 million), compared2017 to a loan loss reserve release in the prior-year period ($61 million), and higher net credit losses (6%).
The net loan loss reserve build mostly reflected a reserve build in the cards portfolios and was driven,be largely in equal amounts, by the impact of the acquisition of the Costco portfolio, volume growth and seasoning of the portfolios, 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 commercial banking portfolio (for information on Citi’s energy and energy-related exposures within commercial banking within North AmericaGCB, see “Credit Risk—Commercial Credit” 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 higher expenses and a net loan loss reserve build, while revenues were largely unchanged.
Revenues were unchanged, reflecting lower revenues in retail banking, offset by higher revenues in Citi-branded cards. Retail banking revenues decreased 3%. Excluding the previously disclosed $110 million gain on sale of branches in Texas in the first quarter of 2015, revenues were 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 acquisition of the Costco portfolio, partially offset by higher acquisition and rewards costs related to the 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 and extensions.
Expenses increased 8%, primarily due to the continued investment spending as well as higher repositioning charges, volume-related expenses and regulatory and compliance costs, partially offset by ongoing cost reduction initiatives, including as a result of the retail business’ branch rationalization strategy.
Provisions increased 30%, largely due to a net loan loss reserve build ($537 million), compared to a net loan loss reserve release in the prior-year period ($268 million), partially offset by modestly lower net credit losses (1%). The net loan loss reserve build was driven by the impact of the Costco portfolio acquisition.
Expenses increased 3%, primarily driven by the addition of the Costco portfolio, volume growth and continued investments, partially offset by efficiency savings and lower repositioning costs.
Provisions increased 33% from the prior-year period, driven by higher net credit losses and a higher net loan loss reserve build.
Net credit losses increased 28%, primarily driven by higher losses in Citi-branded cards and Citi retail services. In Citi-branded cards, net credit losses increased 39% to $633 million, primarily due to the Costco portfolio acquisition, organic volume growth and seasoning and the impact of changes in collection processes. In Citi retail services, net credit losses increased 15% to $520 million, primarily due to the 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 exposureschanges in collection processes. The net loan loss reserve build in the first quarter of 2017 was $159 million, compared to a build of $79 million in the prior-year period, largely supporting volume growth, including the Costco portfolio acquisition.

For additional information on North America GCB’s retail banking, including commercial banking, portfolio within retail banking. The decline in net credit losses was driven by a 5% decrease inand its Citi-branded cards mostly offset by increases in retail banking (13%) and Citi retail services (2%).portfolios, see “Credit Risk—Consumer Credit” below.








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), one of Mexico’s second-largest bank.largest banks.
At September 30, 2016,March 31, 2017, Latin America GCB had 1,4941,499 retail branches in Mexico, with approximately 28.827.8 million retail banking customer accounts, $19.0$19.7 billion in retail banking loans and $27.4$27.6 billion in deposits. In addition, the business had approximately 5.85.7 million Citi-branded card accounts with $4.9$5.2 billion in outstanding loan balances.

Third Quarter% ChangeNine Months% ChangeFirst Quarter% Change
In millions of dollars, except as otherwise noted201620152016201520172016
Net interest revenue$886
$959
(8)%$2,620
$2,940
(11)%$800
$853
(6)%
Non-interest revenue371
586
(37)1,126
1,469
(23)351
376
(7)
Total revenues, net of interest expense$1,257
$1,545
(19)%$3,746
$4,409
(15)%$1,151
$1,229
(6)%
Total operating expenses$713
$795
(10)%$2,159
$2,438
(11)%$659
$718
(8)%
Net credit losses$254
$301
(16)%$792
$973
(19)%$253
$278
(9)%
Credit reserve build (release)32
19
68
47
30
57
12
17
(29)
Provision (release) for unfunded lending commitments—
1
(100)2
(2)NM
—
1
(100)
Provision for benefits and claims18
17
6
49
47
4
23
19
21
Provisions for credit losses and for benefits and claims (LLR & PBC)$304
$338
(10)%$890
$1,048
(15)%$288
$315
(9)%
Income from continuing operations before taxes$240
$412
(42)%$697
$923
(24)%$204
$196
4 %
Income taxes73
106
(31)190
207
(8)74
50
48
Income from continuing operations$167
$306
(45)%$507
$716
(29)%$130
$146
(11)%
Noncontrolling interests2
1
100
4
3
33
1
1
—
Net income$165
$305
(46)%$503
$713
(29)%$129
$145
(11)%
Balance Sheet data (in billions of dollars)


 

  




 

Average assets$50
$50
— %$50
$54
(7)%$43
$50
(14)%
Return on average assets1.31%2.42%

1.34%1.77%

1.22%1.17%

Efficiency ratio57%51%

58%55%

57%58%

Average deposits$27.2
$27.1
—
$27.5
$28.4
(3)$25.3
$26.1
(3)
Net credit losses as a percentage of average loans4.12%4.65%

4.30%4.85%

4.44%4.58%

Revenue by business

 

 



 

Retail banking$893
$1,100
(19)%$2,626
$3,047
(14)%$836
$856
(2)%
Citi-branded cards364
445
(18)1,120
1,362
(18)315
373
(16)
Total$1,257
$1,545
(19)%$3,746
$4,409
(15)%$1,151
$1,229
(6)%
Income from continuing operations by business

 

  




 

Retail banking$91
$228
(60)%$297
$497
(40)%$86
$90
(4)%
Citi-branded cards76
78
(3)210
219
(4)44
56
(21)
Total$167
$306
(45)%$507
$716
(29)%$130
$146
(11)%
FX translation impact

 

  


Total revenues—as reported$1,257
$1,545
(19)%$3,746
$4,409
(15)%
Impact of FX translation(1)
—
(193)

—
(646)

Total revenues—ex-FX(2)
$1,257
$1,352
(7)%$3,746
$3,763
— %
Total operating expenses—as reported$713
$795
(10)%$2,159
$2,438
(11)%
Impact of FX translation(1)
—
(79)

—
(260)

Total operating expenses—ex-FX(2)
$713
$716
— %$2,159
$2,178
(1)%
Provisions for LLR & PBC—as reported$304
$338
(10)%$890
$1,048
(15)%
Impact of FX translation(1)
—
(43)

—
(148)

Provisions for LLR & PBC—ex-FX(2)
$304
$295
3 %$890
$900
(1)%
Net income—as reported$165
$305
(46)%$503
$713
(29)%
Impact of FX translation(1)
—
(54)

—
(182)

Net income—ex-FX(2)
$165
$251
(34)%$503
$531
(5)%


FX translation impact

 

Total revenues—as reported$1,151
$1,229
(6)%
Impact of FX translation(1)
—
(122)

Total revenues—ex-FX(2)
$1,151
$1,107
4 %
Total operating expenses—as reported$659
$718
(8)%
Impact of FX translation(1)
—
(57)

Total operating expenses—ex-FX(2)
$659
$661
— %
Provisions for LLR & PBC—as reported$288
$315
(9)%
Impact of FX translation(1)
—
(31)

Provisions for LLR & PBC—ex-FX(2)
$288
$284
1 %
Net income—as reported$129
$145
(11)%
Impact of FX translation(1)
—
(27)

Net income—ex-FX(2)
$129
$118
9 %
(1)Reflects the impact of FX translation into U.S. dollars at the thirdfirst quarter of 20162017 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.

3Q161Q17 vs. 3Q151Q16
Net income decreased 34%increased 9%, primarily driven by lowerhigher revenues, andpartially offset by higher cost of credit.credit costs.
Revenues decreased 7%increased 4%, 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 5%, primarily due to higher revenues in
retail banking, partially offset by lower revenues in cards.
cards.
Retail banking revenues decreasedgrew by 8%. Excluding the gain on sale related to the merchant acquiring business, revenues would have increased 11%, driven by volumereflecting continued growth in volumes, including an increase in average loans (8%(6%), driven by higher personal and commercial loans, and higheran increase in average deposits (12%(8%), partially offset by a decline in loanas well as improved deposit spreads. Cards revenues decreased 6%, driven by the continued impact ofreflecting lower revolving loans as well as a higher payment rates and the absence of certain episodic fee revenues in the prior-year period,cost to fund non-revolving loans, partially offset by higher volumes (average loans up 3%5%) and increased purchase sales (9%(8%). ExcludingWhile revolving loan balance trends improved during the feequarter, Latin America GCB expects cards revenues to continue to remain under pressure in the prior-year period,near term.
Expenses were largely unchanged as ongoing investment spending was offset by efficiency savings and lower repositioning costs.
Provisions increased 1%, driven by a higher provision for
benefits and claims, partially offset by a lower net loan loss reserve build (decline of $4 million). Net credit losses were largely unchanged, as an increase in net credit losses in retail banking was offset by continued improvements in cards, revenues would have declined 3%, largely reflecting thea continued impact of the higher payment rates resulting from the business’ focus on higher credit quality customers.
Expenses were unchanged as ongoing efficiency 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 withinFor additional information on LatinAmerica GCB to enhance the branch network, digital capabilities and service offerings.
Provisions increased 3%, driven by a higher net loan loss reserve build, partially offset by lower net credit losses. The net loan loss reserve build increased $14 million, primarily due to volume growth within the personal loan and’s retail banking, including commercial banking, and its Citi-branded cards portfolios, partially offset by a release related to cards. Net credit losses decreased 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.see “Credit Risk—Consumer Credit” below.



2016 YTD vs. 2015 YTD
Net income decreased 5%, driven by a higher tax rate due to the 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 4%, primarily due to higher revenues in retail banking, partially offset by lower revenues in cards. Retail banking revenues increased 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 4%, driven by the continued higher payment rates.
Expenses decreased 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 ongoing investment spending.
Provisions decreased 1% as lower net credit losses were partially offset by a higher net loan loss reserve build. Net credit losses decreased 6%, largely reflecting lower net credit losses in the cards and personal loan portfolios due to the focus on higher credit quality customers. The net loan loss reserve build increased $24 million, primarily due to a net loan loss reserve build for the personal loan and the commercial banking portfolios, partially offset by a release related to cards 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. AsDuring the first quarter of September 30, 2016,2017, Citi’s most significant revenues in the region were from Singapore, Hong Kong, Korea, Australia, India, Australia, Taiwan, Indonesia, Thailand, Malaysiathe Philippines and the Philippines.Malaysia. Included within Asia GCB, traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily in Poland, Russia and the United Arab Emirates.
At September 30, 2016,March 31, 2017, on a combined basis, the businesses had 458397 retail branches, approximately 16.916.4 million retail banking customer accounts, $68.1$66.2 billion in retail banking loans and $93.6$95.4 billion in deposits. In addition, the businesses had approximately 16.416.7 million Citi-branded card accounts with $17.7$18.3 billion in outstanding loan balances.

Third Quarter% ChangeNine Months% ChangeFirst Quarter% Change
In millions of dollars, except as otherwise noted (1)
201620152016201520172016
Net interest revenue$1,136
$1,105
3 %$3,353
$3,394
(1)%$1,105
$1,101
— %
Non-interest revenue622
591
5
1,789
1,969
(9)617
554
11
Total revenues, net of interest expense$1,758
$1,696
4 %$5,142
$5,363
(4)%$1,722
$1,655
4 %
Total operating expenses$1,127
$1,117
1 %$3,455
$3,460
— %$1,180
$1,183
— %
Net credit losses$168
$175
(4)%$488
$537
(9)%$160
$160
— %
Credit reserve build (release)(4)(61)93
(39)(111)65
13
(11)NM
Provision (release) for unfunded lending commitments(3)—
NM
(3)(2)(50)(1)—
(100)
Provisions for credit losses$161
$114
41 %$446
$424
5 %$172
$149
15 %
Income from continuing operations before taxes$470
$465
1 %$1,241
$1,479
(16)%$370
$323
15 %
Income taxes160
160
—
419
499
(16)124
108
15
Income from continuing operations$310
$305
2 %$822
$980
(16)%$246
$215
14 %
Noncontrolling interests1
6
(83)3
4
(25)—
1
(100)
Net income$309
$299
3 %$819
$976
(16)%$246
$214
15 %
Balance Sheet data (in billions of dollars)






  








Average assets$121
$116
4 %$119
$117
2 %$123
$116
6 %
Return on average assets1.02%1.02%

0.92%1.12%

0.81%0.74%

Efficiency ratio64%66% 67%65%

69%71% 
Average deposits$91.6
$86.4
6
$89.4
$88.0
2
$92.7
$87.2
6
Net credit losses as a percentage of average loans0.78%0.80%

0.77%0.80%

0.78%0.76%

Revenue by business   

  
Retail banking$1,094
$1,067
3 %$3,212
$3,398
(5)%$1,063
$1,041
2 %
Citi-branded cards664
629
6
1,930
1,965
(2)659
614
7
Total$1,758
$1,696
4 %$5,142
$5,363
(4)%$1,722
$1,655
4 %
Income from continuing operations by business





 







Retail banking$191
$185
3 %$515
$627
(18)%$170
$119
43 %
Citi-branded cards119
120
(1)307
353
(13)76
96
(21)
Total$310
$305
2 %$822
$980
(16)%$246
$215
14 %


FX translation impact

 



Total revenues—as reported$1,758
$1,696
4 %$5,142
$5,363
(4)%$1,722
$1,655
4 %
Impact of FX translation(2)
—
19


—
(123)

—
19


Total revenues—ex-FX(3)
$1,758
$1,715
3 %$5,142
$5,240
(2)%$1,722
$1,674
3 %
Total operating expenses—as reported$1,127
$1,117
1 %$3,455
$3,460
— %$1,180
$1,183
— %
Impact of FX translation(2)
—
9


—
(96)

—
15


Total operating expenses—ex-FX(3)
$1,127
$1,126
— %$3,455
$3,364
3 %$1,180
$1,198
(2)%
Provisions for loan losses—as reported$161
$114
41 %$446
$424
5 %$172
$149
15 %
Impact of FX translation(2)
—
2


—
(11)

—
1


Provisions for loan losses—ex-FX(3)
$161
$116
39 %$446
$413
8 %$172
$150
15 %
Net income—as reported$309
$299
3 %$819
$976
(16)%$246
$214
15 %
Impact of FX translation(2)
—
5


—
—


—
2


Net income—ex-FX(3)
$309
$304
2 %$819
$976
(16)%$246
$216
14 %

(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(2)Reflects the impact of FX translation into U.S. dollars at the thirdfirst quarter of 20162017 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.

3Q161Q17 vs. 3Q151Q16
Net income increased 2%14%, reflecting higher revenues largelyand lower expenses, partially offset by higher cost of credit.
Revenues increased 3%, reflecting both higherdriven by improvement in cards and wealth management revenues, partially offset by lower retail banking and cardslending revenues.
Retail banking revenues increased 2%1%, mainly due to an 11% increase in wealth management revenues and higher insurance revenues, which were largely offset by the repositioning of the retail loan portfolio. Wealth management revenues increased due to improving investmentmodest improvement in investor sentiment, particularly in Taiwan, Hong Kongstronger equity markets and Indonesia, as well as an increase in assets under management. Retail bankingmanagement (5%). These increases were largely offset by a 5% decrease in lending revenues, excluding wealth management decreased 1%, primarily due toreflecting continued lower average loans (decrease of 4%5%), largely offset by growth in deposit volumes (5% increase in average deposits) and higher insurance revenues.. The lower average loans waswere due to the product repositioningoptimization of thethis portfolio away from lower returnlower-yielding mortgage loans as well as de-risking in the commercial portfolio.to focus on growing higher return personal loans.
Cards revenues increased 4%6%, driven by modest volume growth, continued improvement in yieldsdue to higher volumes, improved revolve rates and abating regulatory headwinds.higher yields. The volume growth was driven by a 2%3% increase in average loans stabilizing payment rates and a 1%4% increase in purchase sales.sales, both of which benefited from a portfolio acquisition in Australia.
Expenses were largely unchangeddecreased 2% as volume growth and ongoing investment spending and higher regulatory and compliance costs were more than offset by efficiency savings.lower repositioning expenses compared to the prior year.
Provisions increased 39%15%, primarily due to higher net loan loss reserve releasesbuilds related to the cards portfolio acquisition in the prior-year period,Australia, partially offset by lower net credit losses. Overall credit quality continued to remain stable in the region.
For additional information on AsiaGCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.


 
2016 YTD vs. 2015 YTD
Net income decreased 16% due to lower revenues, higher expenses and higher cost of 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 insurance revenues. Cards revenues increased 1%, primarily due to the same factors described above.
Expenses increased 3%, driven by higher repositioning costs and higher regulatory and compliance costs, partially offset by efficiency savings.
Provisions increased 8%, primarily due to a lower net loan loss reserve release, partially offset by lower net credit losses.















INSTITUTIONAL CLIENTS GROUP

Institutional Clients Group (ICG) includes Banking and Markets and securities services (for additional information on these businesses, see “Citigroup Segments” above). ICG provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.
ICG revenue is generated primarily from fees and spreads associated with these activities. ICG earns fee income for assisting clients 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. Revenue is also generated from transaction processing and assets under custody and administration. Revenue generated from these activities is primarily recorded in Administration and other fiduciary fees. In addition, as a market maker, ICG facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in Principal transactions(for additional information on Principal transactions revenue, see Note 6 to the Consolidated Financial Statements). Other primarily includes mark-to-market gains and losses on certain credit derivatives, gains and losses on available-for-sale (AFS) securities and other non-recurring gains and losses. Interest income earned on inventory and loansassets 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
The amount and assets under custodytypes of Markets revenues are impacted by a variety of interrelated factors, including market liquidity; changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices, and administration.credit spreads, as well as their implied volatilities; investor confidence; and other macroeconomic conditions. Assuming all other market conditions do not change, increases in client activity levels or bid/offer spreads generally result in increases in revenues. However, changes in market conditions can significantly impact client activity levels, bid/offer spreads, and the fair value of product inventory. For example, a decrease in market liquidity may increase bid/offer spreads, decrease client activity levels, and widen credit spreads on product inventory positions.
ICG’s management of the Markets businesses involves daily monitoring and evaluating of the above factors at the trading desk as well as the country level. ICG does not separately track the impact on total Markets revenues of the volume of transactions, bid/offer spreads, fair value changes of product inventory positions and economic hedges because, as noted above, these components are interrelated and are not deemed useful or necessary individually to manage the Markets businesses at an aggregatelevel.
In the Markets businesses, client revenues are those revenues directly attributable to client transactions at the time of inception, including commissions, interest, or fees earned. Client revenues do not include the results of client facilitation activities (for example, holding product inventory in anticipation of client demand) or the results of certain economic hedging activities.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in over 10097 countries and jurisdictions. At September 30, 2016,March 31, 2017, ICG had approximately $1.3 trillion of assets and $617$620 billion of deposits, while two of its businesses, securities services and issuer services, managed approximately $15.4$15.9 trillion of assets under custody compared to $14.9$14.8 trillion at the end of the prior-year period.
 Third Quarter% ChangeNine Months% Change
In millions of dollars, except as otherwise noted2016201520162015
Commissions and fees$928
$958
(3)%$2,886
$2,945
(2)%
Administration and other fiduciary fees610
594
3
1,845
1,870
(1)
Investment banking917
828
11
2,686
3,082
(13)
Principal transactions2,063
1,209
71
5,548
5,199
7
Other(1)
(126)903
NM
(88)1,353
NM
Total non-interest revenue$4,392
$4,492
(2)%$12,877
$14,449
(11)%
Net interest revenue (including dividends)4,236
4,167
2
12,633
12,233
3
Total revenues, net of interest expense$8,628
$8,659
— %$25,510
$26,682
(4)%
Total operating expenses$4,680
$4,715
(1)%$14,309
$14,209
1 %
Net credit losses$45
$37
22 %$397
$118
NM
Credit reserve build (release)(93)193
NM
(11)189
NM
Provision (release) for unfunded lending commitments(42)83
NM
(4)5
NM
Provisions for credit losses$(90)$313
NM
$382
$312
22 %
Income from continuing operations before taxes$4,038
$3,631
11 %$10,819
$12,161
(11)%
Income taxes1,266
1,198
6
3,373
3,894
(13)
Income from continuing operations$2,772
$2,433
14 %$7,446
$8,267
(10)%
Noncontrolling interests19
(6)NM
46
44
5
Net income$2,753
$2,439
13 %$7,400
$8,223
(10)%
Average assets (in billions of dollars)
$1,309
$1,264
4 %$1,293
$1,276
1 %
Return on average assets0.84%0.77%

0.76%0.86%

Efficiency ratio54%54%

56%53%

CVA/DVA-after-tax$—
$143
(100)%$—
$289
(100)%
Net income ex-CVA/DVA (2)
$2,753
$2,296
20 %$7,400
$7,934
(7)%
Revenues by region  

  

North America$3,276
$3,440
(5)%$9,800
$10,354
(5)%
EMEA2,554
2,393
7
7,376
7,858
(6)
Latin America1,009
1,049
(4)3,017
3,067
(2)
Asia1,789
1,777
1
5,317
5,403
(2)
Total$8,628
$8,659
— %$25,510
$26,682
(4)%

First Quarter% Change
In millions of dollars, except as otherwise noted20172016
Commissions and fees$985
$1,004
(2)%
Administration and other fiduciary fees644
597
8
Investment banking1,044
740
41
Principal transactions2,668
1,576
69
Other(1)
(5)(7)29
Total non-interest revenue$5,336
$3,910
36 %
Net interest revenue (including dividends)3,790
3,985
(5)
Total revenues, net of interest expense$9,126
$7,895
16 %
Total operating expenses$4,945
$4,872
1 %
Net credit losses$25
$211
(88)%
Credit reserve build (release)(176)108
NM
Provision (release) for unfunded lending commitments(54)71
NM
Provisions for credit losses$(205)$390
NM
Income from continuing operations before taxes$4,386
$2,633
67 %
Income taxes1,375
764
80
Income from continuing operations$3,011
$1,869
61 %
Noncontrolling interests15
10
50
Net income$2,996
$1,859
61 %
EOP assets (in billions of dollars)$1,314
$1,293
2 %
Average assets (in billions of dollars)
$1,318
$1,272
4 %
Return on average assets0.92%0.59%

Efficiency ratio54%62%

Revenues by region 

North America$3,455
$2,980
16 %
EMEA2,807
2,167
30
Latin America1,127
962
17
Asia1,737
1,786
(3)
Total$9,126
$7,895
16 %
Income from continuing operations by region 

  


 

North America$1,119
$991
13 %$2,762
$3,097
(11)%$1,100
$546
NM
EMEA680
499
36
1,799
2,129
(16)855
374
NM
Latin America396
389
2
1,129
1,194
(5)475
330
44
Asia577
554
4
1,756
1,847
(5)581
619
(6)
Total$2,772
$2,433
14 %$7,446
$8,267
(10)%$3,011
$1,869
61 %
Average loans by region (in billions of dollars)
 

  


 

North America$135
$126
7 %$132
$122
8 %$140
$133
5 %
EMEA68
63
8
66
62
6
65
63
3
Latin America43
40
8
43
40
8
37
39
(5)
Asia60
62
(3)60
62
(3)60
60
—
Total$306
$291
5 %$301
$286
5 %$302
$295
2 %
EOP deposits by business (in billions of dollars)
   

  
Treasury and trade solutions$415
$399
4 % 

$417
$417
— %
All other ICG businesses
202
196
3






203
192
6
Total$617
$595
4 %





$620
$609
2 %

(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 third quarter and nine months of 2015, consistent with current period presentation. For additional information, see Notes 1 and 20 to the Consolidated Financial Statements.
NM Not Meaningfulmeaningful

ICG Revenue Details—Excluding CVA/DVA and Gain/(Loss) on Loan Hedges(1)
Third Quarter% ChangeNine Months% ChangeFirst Quarter% Change
In millions of dollars201620152016201520172016
Investment banking revenue details
      
Advisory$239
$239
— %$704
$791
(11)%$246
$227
8 %
Equity underwriting146
173
(16)438
700
(37)235
118
99
Debt underwriting701
532
32
2,036
1,945
5
733
528
39
Total investment banking$1,086
$944
15 %$3,178
$3,436
(8)%$1,214
$873
39 %
Treasury and trade solutions2,039
1,933
5
6,038
5,778
4
2,075
1,903
9
Corporate lending—excluding gain (loss)
on loan hedges(2)
450
433
4
1,294
1,385
(7)
Corporate lending—excluding (loss) on loan hedges(1)
434
448
(3)
Private bank746
715
4
2,230
2,171
3
744
684
9
Total banking revenues (ex-CVA/DVA and gain (loss)
on loan hedges)(1)
$4,321
$4,025
7 %$12,740
$12,770
— %
Corporate lending—gain/(loss) on loan hedges(2)
$(218)$352
NM
$(487)$338
NM
Total banking revenues (ex-CVA/DVA and including
gain (loss) on loan hedges)(1)
$4,103
$4,377
(6)%$12,253
$13,108
(7)%
Total banking revenues (ex-(loss) on loan hedges)$4,467
$3,908
14 %
Corporate lending—(loss) on loan hedges(1)
$(115)$(66)(74)%
Total banking revenues (including (loss) on loan hedges)$4,352
$3,842
13 %
Fixed income markets$3,466
$2,566
35 %$10,019
$9,097
10 %$3,622
$3,051
19 %
Equity markets663
1,002
(34)2,157
2,518
(14)769
697
10
Securities services536
513
4
1,629
1,626
—
543
561
(3)
Other(3)(2)
(140)(20)NM
(548)(122)NM
(160)(256)38
Total Markets and securities services (ex-CVA/DVA)(1)
$4,525
$4,061
11 %$13,257
$13,119
1 %
Total ICG (ex-CVA/DVA)
$8,628
$8,438
2 %$25,510
$26,227
(3)%
CVA/DVA (excluded as applicable in lines above)—
221
NM
—
455
NM
Fixed income markets—
180
NM
—
392
NM
Equity markets—
44
NM
—
63
NM
Private bank—
(3)NM
—
—
NM
Total markets and securities services revenues$4,774
$4,053
18 %
Total revenues, net of interest expense$8,628
$8,659
— %$25,510
$26,682
(4)%$9,126
$7,895
16 %
Commissions and fees$140
$124
13 %
Principal transactions(3)
2,318
1,344
72
Other149
216
(31)
Total non-interest revenue$2,607
$1,684
55 %
Net interest revenue1,015
1,367
(26)
Total fixed income markets$3,622
$3,051
19 %
Rates and currencies$2,503
$2,236
12 %
Spread products / other fixed income1,119
815
37
Total fixed income markets$3,622
$3,051
19 %
Commissions and fees$316
$357
(11)%
Principal transactions(3)
166
51
NM
Other8
2
NM
Total non-interest revenue$490
$410
20 %
Net interest revenue279
287
(3)
Total equity markets$769
$697
10

(1)Excludes CVA/DVA in the third quarter and nine months of 2015, consistent with current period presentation. For additional information, see Notes 1 and 20 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)(2)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.
(3) Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.

NM Not meaningful



The discussion of the results of operations for ICG below excludes the impact of CVA/DVA for the third 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.

3Q161Q17 vs. 3Q151Q16
Net income increased 20%61%, primarily driven by higher revenues lower expenses and lower cost of credit.credit, partially offset by higher operating expenses.

Revenues increased 2%16%, reflecting higher revenues in both Banking (increase of 13%, increase of 14% excluding the loss on hedges on accrual loans), and Markets and securities services (increase of 11%18%), driven byprimarily due to fixed income markets offset by lowerand equity markets. Banking revenues in Banking (decrease of 6% including the gains/(losses) on hedges on accrual loans). Excluding the impact of the gains/(losses) on loan hedges, Banking revenues increased 7%,were driven by debt underwritingstrong performance in investment banking, and treasury and trade solutions.solutions and the private bank. Citi expects revenues in ICG will likely continue to reflect the overall market environment during the remainder of 2016,2017, including a normal seasonal decline in Markets and securities services revenues.revenues in the second quarter of 2017.

Within Banking:

Investment banking revenues increased 15%39%, largely reflecting increased industry-wide debt and equity underwriting activity and momentum in advisory during the current quarter. Advisory revenues were largely unchanged, despite a lower overall M&A market.Equity underwriting revenues decreased 16%, driven by North America, primarily reflecting a decrease in wallet share resulting from continued share fragmentation. Debt underwriting revenues increased 32%39%, driven by North Americathe increase in market activity and EMEA, primarilywallet share. Equity underwriting revenues increased 99% largely due to the higherrebound from the prior year period’s slow activity. Advisory revenues increased 8% reflecting increased wallet share, despite a modest decline in market M&A activity.
Treasury and trade solutions revenues increased 5%. Excluding9%, driven by strong fee growth, higher volumes and improved spreads. Client activity in both cash and trade drove revenue growth across all regions. End of period deposit balances were unchanged (1% increase excluding the impact of FX translation, revenues increased 8% due to continued growth in transaction volumes with newtranslation) and existing clients, continued growth in deposit balances, particularly in North America and EMEA, improved spreads, and overall growth in the trade business, driven by Latin America. End-of-period deposit balances increased 4%, while average trade loans decreased 1% (unchangedwere unchanged (1% increase excluding the impact of FX translation).
Corporate lending revenues decreased 70%16%. Excluding the impact of gains/(losses)losses on hedges on accrual loans, revenues increased 4%, mostly reflecting higherdecreased 3% driven by lower average loans, partially offset by higher hedging costs.volumes.
Private bankBank revenues increased 4%9%, reflecting revenue growth in all regions. The increase was mostly driven by North America, reflecting loan and deposit growth, improved banking spreads and higherincreased managed investmentinvestments revenues.


 

Within Markets and securities services:

Fixed income markets revenues increased 35%19%, withprimarily due to higher revenues in all regions.EMEA and North America. The increase was largely driven by higher principal transactions revenues (up 72%), slightly offset by lower net interest revenues (down 26%). The increase in fixed income marketsprincipal transactions revenues was driven by both higher rates and currencies revenues and higher spread products revenues. revenues, reflecting increased client revenues and recovery from a challenging trading environment in the prior year. Net interest revenues were lower largely due to a change in mix of trading positions in support of client activity.
Rates and currencies revenues increased 34%12% driven mainly by higher rates revenues, driven by strength in EMEA and North America, partially offset by a decrease in G10 FX revenues reflecting low volatility and lower client activity, particularly in Asia.  Spread products and other fixed income revenues increased 37% primarily due to recovery from the challenging trading environment in the prior year, particularly in securitized products, and continued momentum and higher client revenues in credit and municipal products.
Equity markets revenues increased by 10%, driven by overall strengthcontinued growth in client balances and an improvement in equity derivatives, particularly in EMEA and Asia. These drivers were partially offset by lower cash equities revenues, primarily in North America, driven by lower volumes and commissions, reflecting the ongoing shift to electronic trading by clients across the industry.
Securities services revenues decreased by 3%. Excluding the impact of prior period divestitures, revenues grew 12%, driven by higher deposit balances and higher interest revenue, primarily 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, and higher fee revenue from growth in spread products revenues was driven by higher credit marketsassets under custody and securitized markets revenues, particularly in North America, as the businesses continued to recover from the lower levels experienced in late 2015, as well as higher municipals revenues in North America.
Equity markets revenues decreased 34%. The prior-year period included a positive valuation adjustment ($140 million) related to certain financing transactions (see “Executive Summary” above). Excluding the adjustment, revenues decreased 23%, driven by lower client activity, a less favorable environment, particularly in derivatives, as well as a comparison to strong performance in Asia in the prior-year period.
Securities services revenues increased 4%. Excluding the impact of FX translation, revenues 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.volumes.

Expenses decreasedincreased 1% as higher incentive compensation was partially offset by lower repositioning costs and a benefit from FX translation, efficiency savings and lower legal and related costs were partially offset by higher compensation expense and higher repositioning charges.translation.
Provisionsdecreased $403by $595 million to a benefit of $90$205 million in the current quarter, reflecting a net loan loss reserve release of $135$230 million (compared to a net$179 million build of $276 million in the prior-year period)period largely related to energy and energy-related exposures) and lower net credit losses of $45$25 million ($37 million in the prior-year period), which were largely offset by previously established loan loss reserves. While, in total, the corporate credit portfolio experienced a net reserve release from ratings upgrades, reductions in exposures and improved valuations during the current quarter, the business remains cautious as to the energy sector and potential price volatility. For additional information on Citi’s corporate energy and energy-related exposures, see “Credit Risk—Corporate Credit” below.



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

Revenues decreased 3%, reflecting lower revenues in Banking (decrease of 7% 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 8%, largely reflecting the overall industry-wide slowdown in activity levels during the first half of 2016. Advisory revenues decreased 11%, particularly in North America, reflecting strong performance in the prior-year period as well as the lower market activity.Equity underwriting revenues decreased 37%, primarily due to the decline in market activity. Debt underwriting revenues increased 5%, primarily due to increased market activity and a higher wallet share.
Treasury and trade solutions revenues increased 4%. Excluding the impact of FX 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, improved spreads, particularly in Latin America and North America, and overall growth in trade revenues.
Corporate lending revenues decreased 53%. Excluding the impact of gains/(losses) on hedges on accrual loans, revenues decreased 7%, driven by a lease financing adjustment in the second quarter of 2016 and higher hedging costs, partially offset by continued growth in average loan balances.
Private bank revenues increased 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 increased 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 increased 20%, primarily driven by overall G10 products, due to strength in North America, EMEA and Asia. Spread products revenues declined modestly due to a decline in securitized markets revenues, particularly in North America and EMEA, largely offset by an increase in municipals revenues and credit markets revenues. The decline in spread products revenues was primarily due to lower activity levels and a less favorable environment in the early part of 2016.
Equity markets revenues decreased 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, partially offset by increased prime finance revenues.
Securities services revenues were largely unchanged as increased client activity and a modest gain on sale of a private equity fund services 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 compensation expense were largely offset by a benefit from FX translation, efficiency savings and lower legal and related costs.
Provisions increased 22%, primarily reflecting net credit losses of $397 million ($118 million in the prior-year period) and a net loan loss reserve release of $15 million (build of $194211 million in the prior-year period). This higherThe lower cost of credit included approximately $215 million of net credit losseswas driven by ratings upgrades and an approximately $118 million net loan loss reserve build related to energy and energy-related exposurescontinued stability in the year-to-date period, largely due to low oil prices as well as the impact of regulatory guidance in the first quarter of 2016.commodity prices.







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, certain North America and international legacy consumer loan portfolios, other legacy assets and discontinued operations.operations (for additional information on Corporate/Other, see “Citigroup Segments” above). At September 30, 2016,March 31, 2017, Corporate/Other had $43$96 billion in assets, a decrease of assets, or 2% of Citigroup’s total assets.23% year-over-year and 7% from December 31, 2016.

Third Quarter% ChangeNine Months% ChangeFirst Quarter% Change
In millions of dollars201620152016201520172016
Net interest revenue$(9)$(64)86 %$141
$(113)NM
$545
$890
(39)%
Non-interest revenue37
282
(87)%287
914
(69)%632
1,056
(40)%
Total revenues, net of interest expense$28
$218
(87)%$428
$801
(47)%$1,177
$1,946
(40)%
Total operating expenses$458
$349
31 %$1,323
$1,277
4 %$1,117
$1,250
(11)%
Net credit losses$81
$142
(43)%
Credit reserve build (release)(35)(31)(13)
Provision (release) for unfunded lending commitments5
(1)NM
Provision for benefits and claims1
60
(98)
Provisions for loan losses and for benefits and claims—
—
—
—
—
—
52
170
(69)%
Loss from continuing operations before taxes$(430)$(131)NM
$(895)$(476)(88)%
Income from continuing operations before taxes$8
$526
(98)%
Income taxes (benefits)(183)(314)42 %(530)(871)39 %(96)81
NM
Income (loss) from continuing operations$(247)$183
NM
$(365)$395
NM
Income from continuing operations$104
$445
(77)%
Income (loss) from discontinued operations, net of taxes(30)(10)NM
(55)(9)NM
(18)(2)NM
Net income (loss) before attribution of noncontrolling interests$(277)$173
NM
$(420)$386
NM
Net income before attribution of noncontrolling interests$86
$443
(81)%
Noncontrolling interests(5)3
NM
(10)11
NM
(6)(7)14 %
Net income (loss)$(272)$170
NM
$(410)$375
NM
Net income$92
$450
(80)%
NM Not meaningful

3Q161Q17 vs. 3Q151Q16
The net lossNet income was $272$92 million, compared to net income of $170$450 million in the prior-year period, due to lower revenues, and higher expenses and a higher effective tax rate due to the absence of certain tax benefits in the current quarter.
Revenues decreased 87%, primarily due to the absence of the equity contribution related to China Guangfa Bank (see “Executive Summary” above).
Expenses increased 31%, largely driven by higher expenses related to Citi’s sponsorship of the U.S. Olympic team and higher consulting costs related 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 $410 million, compared to net income of $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 state and local audits in the second quarter of 2015 and higher expenses.
Revenues decreased 47%, primarily due to the absence of gains on real estate sales, lower gains on debt buybacks and the absence of the equity contribution related to China Guangfa Bank, partially offset by higher investment income.
Expenses 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.






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 September 30, 2016, Citi Holdings assets were approximately $61 billion, a decrease of 48% year-over-year and 8% from June 30, 2016. The decline in assets of $5 billion from June 30, 2016 primarily consisted of divestitures and run-off. As of October 31, 2016, Citi had signed agreements to reduce Citi Holdings GAAP assets by an additional $10 billion, including Citi’s consumer banking businesses in Argentina and Brazil, subject to regulatory approvals and other closing conditions.
Also as of September 30, 2016, consumer assets in Citi Holdings were approximately $54 billion, or approximately 89% of Citi Holdings assets. Of the consumer assets, approximately $31 billion, or 57%, consisted of North America mortgages (residential first mortgages and home equity loans). As of September 30, 2016, Citi Holdings represented approximately 3% of Citi’s GAAP assets and 9% of its risk-weighted assets under Basel III (based on the Advanced Approaches for determining risk-weighted assets).

 Third Quarter% ChangeNine Months% Change
In millions of dollars, except as otherwise noted2016201520162015
Net interest revenue$482
$1,151
(58)%$1,628
$3,610
(55)%
Non-interest revenue395
530
(25)1,567
2,185
(28)
Total revenues, net of interest expense$877
$1,681
(48)%$3,195
$5,795
(45)%
Provisions for credit losses and for benefits and claims  

  

Net credit losses$129
$272
(53)%$374
$1,075
(65)%
Credit reserve release(122)(171)29
(377)(528)29
Provision for loan losses$7
$101
(93)%$(3)$547
NM
Provision for benefits and claims10
161
(94)99
490
(80)
Release for unfunded lending commitments—
(19)100
(7)(22)68
Total provisions for credit losses and for benefits and claims$17
$243
(93)%$89
$1,015
(91)%
Total operating expenses$826
$1,374
(40)%$2,512
$4,121
(39)%
Income from continuing operations before taxes$34
$64
(47)%$594
$659
(10)%
Income taxes (benefits)(40)65
NM
75
354
(79)%
Income from continuing operations$74
$(1)NM
$519
$305
70 %
Noncontrolling interests—
—
—
$6
$1
NM
Net income (loss)$74
$(1)NM
$513
$304
69 %
Total revenues, net of interest expense (excluding CVA/DVA)(1)






  

Total revenues—as reported$877
$1,681
(48)%$3,195
$5,795
(45)%
     CVA/DVA—
(25)NM
—
(20)NM
Total revenues-excluding CVA/DVA(1)
$877
$1,706
(49)%$3,195
$5,815
(45)%
Balance sheet data (in billions of dollars)
     

Average assets$64
$120
(47)%$71
$127
(44)%
Return on average assets0.46%— % 0.97%0.32%

Efficiency ratio94%82 % 79%71%

Total EOP assets$61
$117
(48)  

Total EOP loans39
60
(35)  

Total EOP deposits6
11
(44)  


(1)Excludes CVA/DVA in the third quarter and nine months of 2015, consistent with current period presentation. For additional information, see Notes 1 and 20 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 third 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.

3Q16 vs. 3Q15
Net income was $74 million, compared to net income of $15 million in the prior-year period, primarily due to lower expenses and lower cost of credit, partially offset by lower revenues.credit.
Revenues decreased 49%40%, driven by legacy asset run-off and divestiture activity, as well as lower revenue from treasury-related hedging activity. Revenues in the current quarter included approximately $750 million in gains on asset sales, which more than offset a roughly $300 million charge related to the exit of Citi’s U.S. mortgage servicing operations.
Expenses decreased 11%, primarily driven by the overall wind-down of legacy assets, partially offset by approximately $100 million in episodic expenses primarily related to the portfolio.exit of the U.S. mortgage servicing operations.
ExpensesExcluding the episodic items noted above, Corporate/Other declined 40%, primarily duegenerated an approximate $350 million loss from continuing operations before taxes. Citi expects that revenues and expenses in Corporate/Other should continue to decline with the ongoing decline inwind-down of legacy assets, and modestly lower legal and related and repositioning costs.Corporate/Other should generate underlying negative earnings before taxes per quarter of roughly the same amount going forward.
Provisions decreased 93%69%, primarily due to $17 million, driven by lower net credit losses and a lower provision for benefits and claims reflecting lower insurance-related assets, partially offset by a lower net loan loss reserve release.claims. Net credit losses declined 53%, primarily due43% to $81 million, reflecting the impact of ongoing divestiture activity andas well as continued improvementsimprovement in the legacy North America mortgages.mortgage portfolio. The net reserve release decreased 36% to $122provision for benefits and claims declined by $59 million primarily due to the impact of asset sales.

 
2016 YTD vs. 2015 YTD
Year-to-date, Citi Holdings has experienced similar trends to
those described above. Net income increased 62% to $513$1 million, primarily due toreflecting lower expenses and lower cost of credit, partially offset by lower revenues.
Revenues decreased 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 the same factors described above. Net credit losses declined 65%, primarily due to overall lower asset levels as well as continued improvements in North America mortgages. The net reserve release decreased 30% to $384 million, primarily due to the impact of asset sales.insurance-related business activity.

Payment Protection Insurance (PPI)
In March 2017, the U.K. Financial Conduct Authority (FCA) released a policy statement with the final rules and guidance related to PPI. During the current quarter, Citi increased its PPI reserves by approximately $55 million, driven by the ongoing level of claim volumes and the impact of the final rules and guidance. Citi’s PPI reserve as of March 31, 2017 was $246 million, compared to $228 million as of the end of 2016.
For background information on PPI, see “Citi Holdings” in Citi’s 20152016 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, 2221 and 2726 to the Consolidated Financial Statements in Citigroup’s 20152016 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 18 to the Consolidated Financial Statements.
Letters of credit, and lending and other commitmentsSee Note 22 to the Consolidated Financial Statements.
GuaranteesSee Note 22 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.
Further, Citi’s capital levels may also be affected by changes in accounting and regulatory standards as well as U.S. corporate tax laws, and the impact of future events on Citi’s business results, such as corporatechanges in interest and foreign exchange rates, as well as business and asset dispositions.
During the thirdfirst quarter of 2016,2017, Citi returned a total of approximately $3.0$2.2 billion of capital to common shareholders in the form of share repurchases (approximately 5630 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 20152016 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 CitiCitigroup has effective capital planning processes as well as sufficient regulatory capital to absorb losses during stressful economic and financial conditions, while also meeting obligations to creditors and counterparties and continuing to serve as a credit intermediary. This annual assessment includes two related programs: the 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—RegulatoryStrategic Risks” in Citigroup’s 20152016 Annual Report on Form 10-K.
In September 2016, the Federal Reserve Board proposed certain revisions to its capital planning and stress testing rules which, if adopted, would become effective with the 2017 CCAR 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 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 20152016 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%1% to 4.5% of total risk-weighted assets. Citi’s initial GSIB surcharge effective January 1, 2016 iswas 3.5%. However, Citi expects that itsongoing efforts in addressing quantitative measures of its systemic importance have resulted in a reduction of Citi’s 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 20152016 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 20152016 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 2017, inclusive of the 50% phase-in of both the 2.5% Capital Conservation Buffer and the 3% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), are 7.25%, 8.75% and 10.75%, respectively. Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2016, inclusive of the 25% phase-in of both the 2.5% Capital Conservation Buffer and the 3.5% GSIB surcharge (all of which is to be
composed of Common Equity Tier 1 Capital), arewere 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 setstables set 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 September 30, 2016March 31, 2017 and December 31, 2015.2016.


Citigroup Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
September 30, 2016 December 31, 2015March 31, 2017 December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$172,046
$172,046
 $173,862
$173,862
$161,665
$161,665
 $167,378
$167,378
Tier 1 Capital182,171
182,171
 176,420
176,420
177,104
177,104
 178,387
178,387
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
208,053
221,024
 198,746
211,115
201,500
214,080
 202,146
214,938
Total Risk-Weighted Assets1,204,384
1,143,625
 1,190,853
1,138,711
1,166,202
1,142,579
 1,166,764
1,126,314
Common Equity Tier 1 Capital ratio(2)
14.28%15.04% 14.60%15.27%13.86%14.15% 14.35%14.86%
Tier 1 Capital ratio(2)
15.13
15.93
 14.81
15.49
15.19
15.50
 15.29
15.84
Total Capital ratio(2)
17.27
19.33
 16.69
18.54
17.28
18.74
 17.33
19.08
In millions of dollars, except ratiosSeptember 30, 2016 December 31, 2015March 31, 2017 December 31, 2016
Quarterly Adjusted Average Total Assets(3)
 $1,777,662
  $1,732,933
 $1,776,048
  $1,768,415
Total Leverage Exposure(4)
 2,366,219
  2,326,072
 2,375,616
  2,351,883
Tier 1 Leverage ratio 10.25%  10.18% 9.97%  10.09%
Supplementary Leverage ratio 7.70
  7.58
 7.46
  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 September 30, 2016March 31, 2017 and December 31, 2015,2016, Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s capital ratios at September 30, 2016March 31, 2017 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of September 30, 2016.March 31, 2017.






Components of Citigroup Capital Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsSeptember 30,
2016		December 31, 2015March 31,
2017		December 31, 2016
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$212,506
$205,286
$209,063
$206,051
Add: Qualifying noncontrolling interests275
369
197
259
Regulatory Capital Adjustments and Deductions:  
Less: Net unrealized gains (losses) on securities available-for-sale (AFS), net of tax(2)(3)
649
(544)
Less: Net unrealized losses on securities available-for-sale (AFS), net of tax(2)(3)
(116)(320)
Less: Defined benefit plans liability adjustment, net of tax(3)
(2,238)(3,070)(1,035)(2,066)
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(4)
(232)(617)(562)(560)
Less: Cumulative unrealized net gain related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax(3)(5)
201
176
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax(3)(5)
(138)(37)
Less: Intangible assets:  
Goodwill, net of related deferred tax liabilities (DTLs)(6)
21,763
21,980
21,448
20,858
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related
DTLs(7)(3)
3,106
1,434
3,790
2,926
Less: Defined benefit pension plan net assets(3)
535
318
669
514
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general
business credit carry-forwards(8)(7)
13,502
9,464
16,862
12,802
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
and MSRs(9)(8)
3,449
2,652
6,677
4,815
Total Common Equity Tier 1 Capital$172,046
$173,862
$161,665
$167,378
Additional Tier 1 Capital  
Qualifying perpetual preferred stock(1)
$19,069
$16,571
$19,069
$19,069
Qualifying trust preferred securities(10)
1,369
1,707
Qualifying trust preferred securities(9)
1,372
1,371
Qualifying noncontrolling interests18
12
23
17
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)
134
265
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax(3)(5)
(35)(24)
Less: Defined benefit pension plan net assets(3)
356
476
167
343
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards(8)(7)
9,001
14,195
4,215
8,535
Less: Permitted ownership interests in covered funds(11)
759
567
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(12)
81
229
Less: Permitted ownership interests in covered funds(10)
618
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
60
61
Total Additional Tier 1 Capital$10,125
$2,558
$15,439
$11,009
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)$182,171
$176,420
$177,104
$178,387
Tier 2 Capital  
Qualifying subordinated debt(13)(14)
$25,007
$21,370
Qualifying trust preferred securities(10)
324
—
Qualifying subordinated debt$23,278
$22,818
Qualifying trust preferred securities(12)
319
317
Qualifying noncontrolling interests24
17
30
22
Excess of eligible credit reserves over expected credit losses(15)
605
1,163
Excess of eligible credit reserves over expected credit losses(13)
827
660
Regulatory Capital Adjustment and Deduction:  
Add: Unrealized gains on AFS equity exposures includable in Tier 2 Capital3
5
2
3
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(12)
81
229
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
60
61
Total Tier 2 Capital$25,882
$22,326
$24,396
$23,759
Total Capital (Tier 1 Capital + Tier 2 Capital)$208,053
$198,746
$201,500
$202,146



Footnotes are presented on the following page.


Citigroup Risk-Weighted Assets Under Current Regulatory Standards
(Basel (Basel III Advanced Approaches with Transition Arrangements)
March 31, 2017 December 31, 2016
In millions of dollarsSeptember 30,
2016		December 31, 2015Advanced Approaches
Standardized Approach
 Advanced Approaches
Standardized Approach
Credit Risk(16)
$796,200
$791,036
Credit Risk(14)
$766,382
$1,070,053
 $773,483
$1,061,786
Market Risk71,070
74,817
72,247
72,526
 64,006
64,528
Operational Risk337,114
325,000
327,573
—
 329,275
—
Total Risk-Weighted Assets$1,204,384
$1,190,853
$1,166,202
$1,142,579
 $1,166,764
$1,126,314

(1)Issuance costs of $184 million and $147 million related to preferred stock outstanding at September 30, 2016March 31, 2017 and December 31, 2015, respectively,2016, 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.generally accepted accounting principles (GAAP).
(2)In addition, includes the net amount of unamortized loss on HTMheld-to-maturity (HTM) securities. This amount relates to securities that were previously transferred from AFS to HTM, and non-credit relatednon-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”,Deductions,” as presented in Citigroup’s 20152016 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 AOCIAccumulated other comprehensive income (loss) (AOCI) that relate to the hedging of items not recognized at fair value on the balance sheet.
(5)The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected and own-credit valuation adjustments on derivatives are excluded from Common Equity Tier 1 Capital, 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 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 15 to the Consolidated Financial Statements.
(8)Of Citi’s approximately $45.4$45.9 billion of net DTAs at September 30, 2016,March 31, 2017, approximately $21.2$19.6 billion of such assets were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $24.2$26.3 billion of such assets were excluded in arrivingexcluded. Excluded from Citi’s regulatory capital at regulatory capital. Comprising the excluded net DTAsMarch 31, 2017 was an aggregate of approximately $26.0$27.7 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 $17.0approximately $23.5 billion were deducted from Common Equity Tier 1 Capital and $9.0approximately $4.2 billion were deducted from Additional Tier 1 Capital. Serving to reduce theCapital, reduced by approximately $26.0 billion of aggregate excluded net DTAs was approximately $1.8$1.4 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be deducted from both Common Equity Tier 1 Capital and Additional Tier 1 Capital under the transition arrangements of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted in full from Common Equity Tier 1 Capital under these rules, if in excess of 10%/15% limitations.
(9)(8)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At September 30, 2016March 31, 2017 and December 31, 2015, the2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $6.7 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at March 31, 2017. Changes to the U.S. corporate tax regime that impact the value of Citi’s DTAs arising from temporary differences, which exceed the then current amount deducted from Citi’s Common Equity Tier 1 Capital, would further reduce Citi’s regulatory capital to the extent of such excess after tax. For additional information regarding potential U.S. corporate tax reform, see “Risk Factors—Strategic Risks” in Citigroup’s 2016 Annual Report on Form 10-K.
(10)(9)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)(10)Effective July 2015, bankingBanking 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)(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.
(13)(12)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 hasEffective January 1, 2016, non-grandfathered trust preferred securities are not passedeligible for inclusion in Tier 1 Capital, but are eligible for inclusion in Tier 2 Capital during 2015subject to full phase-out by January 1, 2022. Non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital in an amount up to 25%50% and 60% during 2017 and 2016, respectively, 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),2014, in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules.
(15)(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.
(16)(14)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 September 30, 2016Nine Months Ended  
  September 30, 2016		Three months ended March 31, 2017
Common Equity Tier 1 Capital  
Balance, beginning of period$171,594
$173,862
$167,376
Net income3,840
11,339
4,090
Common and preferred stock dividends declared(689)(1,517)(746)
Net increase in treasury stock(2,530)(4,392)(1,277)
Net change in common stock and additional paid-in capital(1)
144
(376)
Net decrease in common stock and additional paid-in capital(429)
Net decrease in foreign currency translation adjustment net of hedges, net of tax(375)(273)1,318
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 decrease in unrealized losses on securities AFS, net of tax16
Net increase in defined benefit plans liability adjustment, net of tax(1,043)
Net change in adjustment related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
(57)(20)41
Net decrease in goodwill, net of related deferred tax liabilities (DTLs)91
217
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
263
(4,038)
Net increase in goodwill, net of related DTLs(590)
Net increase in identifiable intangible assets other than MSRs, net of related DTLs(864)
Net increase in defined benefit pension plan net assets(155)
Net increase in DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards
(4,034)
Net increase in excess over 10%/15% limitations for other DTAs, certain common
stock investments and MSRs
(133)(797)(1,886)
Other(2)(94)(152)
Net change in Common Equity Tier 1 Capital$452
$(1,816)
Net decrease in Common Equity Tier 1 Capital$(5,711)
Common Equity Tier 1 Capital Balance, end of period$172,046
$172,046
$161,665
Additional Tier 1 Capital  
Balance, beginning of period$9,688
$2,558
$10,992
Net increase in qualifying perpetual preferred stock(1)
—
2,498
Net change in qualifying trust preferred securities1
(338)
Net increase in qualifying trust preferred securities1
Net change in adjustment related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
96
131
11
Net decrease in defined benefit pension plan net assets30
120
176
Net decrease in DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards
176
5,194
4,337
Net change in permitted ownership interests in covered funds30
(192)
Net increase in permitted ownership interests in covered funds(85)
Other104
154
7
Net increase in Additional Tier 1 Capital$437
$7,567
$4,447
Tier 1 Capital Balance, end of period$182,171
$182,171
$177,104
Tier 2 Capital  
Balance, beginning of period$24,862
$22,326
$23,759
Net increase in qualifying subordinated debt1,325
3,637
460
Net change in qualifying trust preferred securities(4)324
Net decrease in excess of eligible credit reserves over expected credit losses(406)(558)
Net increase in qualifying trust preferred securities2
Net increase in excess of eligible credit reserves over expected credit losses167
Other105
153
8
Net increase in Tier 2 Capital$1,020
$3,556
$637
Tier 2 Capital Balance, end of period$25,882
$25,882
$24,396
Total Capital (Tier 1 Capital + Tier 2 Capital)$208,053
$208,053
$201,500

(1)During the nine months ended September 30, 2016, Citi issued approximately $2.5 billion of qualifying perpetual preferred stock with issuance costs of $37 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 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
In millions of dollarsThree months ended March 31, 2017
 Total Risk-Weighted Assets, beginning of period$1,166,764
Changes in Credit Risk-Weighted Assets 
Net decrease in retail exposures(1)
(4,312)
Net increase in wholesale exposures(2)
4,445
Net decrease in repo-style transactions(197)
Net decrease in securitization exposures(235)
Net increase in equity exposures465
Net decrease in over-the-counter (OTC) derivatives(3)
(4,199)
Net decrease in derivatives CVA(4)
(1,061)
Net decrease in other exposures(5)
(1,665)
Net decrease in supervisory 6% multiplier(6)
(342)
Net decrease in Credit Risk-Weighted Assets$(7,101)
Changes in Market Risk-Weighted Assets 
Net increase in risk levels(7)
$10,995
Net decrease due to model and methodology updates(8)
(2,754)
Net increase in Market Risk-Weighted Assets$8,241
Net decrease in Operational Risk-Weighted Assets(9)
$(1,702)
Total Risk-Weighted Assets, end of period$1,166,202

(1)Retail exposures decreased during the three and nine months ended September 30, 2016, in part,March 31, 2017 primarily due to residential mortgage loan sales and repayments, and divestitures of certain Citi Holdings portfolios. The decreaselegacy assets and reductions in retailqualifying revolving (cards) exposures during the nine months ended September 30, 2016 wasattributable to seasonal holiday spending repayments, partially offset by the acquisitionimpact of the Costco cards portfolio.FX translation.
(2)Wholesale exposures decreasedincreased during the three months ended September 30, 2016March 31, 2017 primarily due to decreasesincreases in commercial loans and loan commitments. Wholesale exposures decreased duringcommitments, as well as the nine months ended September 30, 2016 primarily due to decreases in loan commitments, partially offset by increases in securities AFS and commercial loans.impact of FX translation.
(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 decreased during the three months ended September 30, 2016March 31, 2017 primarily due to changes in fair value. OTC derivatives increased during the nine months ended September 30, 2016 primarily driven by increased trade volumevalue and model enhancements.improved portfolio credit quality.
(6)(4)Derivatives CVA increaseddecreased during the three months ended September 30, 2016March 31, 2017 primarily driven by volatility and rating changes. Derivatives CVA increased during the nine months ended September 30, 2016 primarily drivenmodel enhancements, partially offset by increased volatility, trade volumeexposure and model enhancements.volatility.
(7)(5)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures decreased during the three months ended March 31, 2017 primarily due to a reduction in assets subject to risk-weighting arising from the transitioning to higher regulatory capital deductions effective January 1, 2017, and from the previously-announced sale of a portion of Citi’s mortgage servicing rights, which were offset, in part, by an increase in exchange-traded exposures.
(8)(6)Supervisory 6% multiplier does not apply to derivatives CVA.
(9)(7)Risk levels increased during the three months ended September 30, 2016March 31, 2017 primarily due to increases in exposure levels subject to Stressed Value at Risk and comprehensive risk, as well as an increase in positions subject to standard specific risk charges as well as securitization charges, partially offset by a reduction in positions subject to de minimis charges.
(10)(8)Risk-weighted assets declined during the three and nine months ended September 30, 2016March 31, 2017 due to changes in model inputs regarding volatility, and the correlation between marketas well as methodology changes for standard specific risk factors.charges.
(11)(9)During the thirdfirst quarter of 2016,2017, operational risk-weighted assets increaseddecreased by $12.1$1.7 billion due to the implementation of certain enhancementsquarterly updates to Citi’s Advanced Measurement Approaches model.model parameters.
  



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 2016,2017, Citi’s primary subsidiary U.S. depository institution, Citibank, N.A. (Citibank), is subject to effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios, inclusive of the 50% phase-in of the 2.5% Capital Conservation Buffer, of 5.75%, 7.25% and 9.25%, respectively. Citibank’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total
Capital ratios during 2016, inclusive of the 25% phase-in of the 2.5% Capital Conservation Buffer, ofwere 5.125%, 6.625%
and 8.625%, respectively. Citibank’s effective andCitibank is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2015 were equivalent atof 4.5%, 6%, and 8%, respectively.
The following table setstables set 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 September 30, 2016March 31, 2017 and December 31, 2015.2016.

Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
September 30, 2016 December 31, 2015March 31, 2017 December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$129,444
$129,444
 $127,323
$127,323
$126,543
$126,543
 $126,220
$126,220
Tier 1 Capital129,493
129,493
 127,323
127,323
127,859
127,859
 126,465
126,465
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
140,425
152,005
 138,762
149,749
140,431
151,628
 138,821
150,291
Total Risk-Weighted Assets991,276
999,542
 898,769
999,014
984,660
1,016,037
 973,933
1,001,016
Common Equity Tier 1 Capital ratio(2)(3)
13.06%12.95% 14.17%12.74%12.85%12.45% 12.96%12.61%
Tier 1 Capital ratio(2)(3)
13.06
12.96
 14.17
12.74
12.99
12.58
 12.99
12.63
Total Capital ratio(2)(3)
14.17
15.21
 15.44
14.99
14.26
14.92
 14.25
15.01
In millions of dollars, except ratiosSeptember 30, 2016 December 31, 2015March 31, 2017 December 31, 2016
Quarterly Adjusted Average Total Assets(4)
 $1,345,604
  $1,298,560
 $1,350,921
  $1,333,161
Total Leverage Exposure(5)
 1,885,412
  1,838,941
 1,885,462
  1,859,394
Tier 1 Leverage ratio(3)
 9.62%  9.80% 9.46%  9.49%
Supplementary Leverage ratio 6.87
  6.92
 6.78
  6.80

(1)Under the Advanced Approaches framework eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
(2)As of September 30, 2016March 31, 2017 and December 31, 2015,2016, Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach framework. As of September 30, 2016March 31, 2017 and December 31, 2015,2016, 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.framework.
(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 20152016 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 September 30, 2016March 31, 2017 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of September 30, 2016March 31, 2017 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 September 30, 2016.March 31, 2017.
 
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 Approaches0.81.20.81.30.81.40.91.20.91.30.91.5
Standardized Approach0.91.30.91.40.91.70.91.20.91.40.91.6
Citibank            
Advanced Approaches1.01.31.01.31.01.41.01.31.01.31.01.4
Standardized Approach1.01.31.01.31.01.51.01.21.01.21.01.5

Impact of Changes on Citigroup and Citibank Leverage Ratios (Basel III Transition Arrangements)
 Tier 1 Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup0.60.60.40.3
Citibank0.70.70.50.4

Citigroup Broker-Dealer Subsidiaries
At September 30, 2016,March 31, 2017, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of approximately $8.5$10.5 billion, which exceeded the minimum requirement by approximately $6.8$8.6 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 $17.0$17.4 billion at September 30, 2016,March 31, 2017, which exceeded the PRA's minimum regulatory capital requirements.




 
In addition, certain of Citi’s other broker-dealer
subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other broker-dealer subsidiaries were in compliance with
their regulatory capital requirements at September 30, 2016.March 31, 2017.













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 aan expected 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 setstables set 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 September 30, 2016March 31, 2017 and December 31, 2015.2016.
At March 31, 2017, Citi’s constraining risk-based capital ratios were those derived under the Basel III Advanced Approaches framework.

Citigroup Capital Components and Ratios Under Basel III (Full Implementation)
September 30, 2016 December 31, 2015March 31, 2017 December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$155,132
$155,132
 $146,865
$146,865
$152,835
$152,835
 $149,516
$149,516
Tier 1 Capital174,760
174,760
 164,036
164,036
172,626
172,626
 169,390
169,390
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
200,654
213,833
 186,097
198,655
197,027
209,607
 193,160
205,975
Total Risk-Weighted Assets1,228,283
1,166,379
 1,216,277
1,162,884
1,191,503
1,166,447
 1,189,680
1,147,956
Common Equity Tier 1 Capital ratio(2)(3)
12.63%13.30% 12.07%12.63%12.83%13.10% 12.57%13.02%
Tier 1 Capital ratio(2)(3)
14.23
14.98
 13.49
14.11
14.49
14.80
 14.24
14.76
Total Capital ratio(2)(3)
16.34
18.33
 15.30
17.08
16.54
17.97
 16.24
17.94
In millions of dollars, except ratiosSeptember 30, 2016 December 31, 2015March 31, 2017 December 31, 2016
Quarterly Adjusted Average Total Assets(4)
 $1,771,963
  $1,724,710
 $1,772,780
  $1,761,923
Total Leverage Exposure(5)
 2,360,520
  2,317,849
 2,372,348
  2,345,391
Tier 1 Leverage ratio(3)
 9.86%  9.51% 9.74%  9.61%
Supplementary Leverage ratio(3)
 7.40
  7.08
 7.28
  7.22

(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 September 30, 2016March 31, 2017 and December 31, 2015,2016, 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 12.6%12.8% at September 30, 2016,March 31, 2017, compared to 12.5% at June 30, 2016 and 12.1%12.6% at December 31, 20152016 (all based on application of the Advanced Approaches for determining total risk-weighted assets). The quarter-over-quarter increasegrowth in the ratio was primarily due to quarterly net income of $3.8$4.1 billion and a decreasebeneficial net movements in credit risk-weighted assets,AOCI, offset in part by the return of approximately $3.0$2.2 billion of capital to common 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 $11.3 billion and the favorable effects of $3.2 billion attributable to DTA utilization, offset in part by the return of approximately $5.9 billion of capital to common shareholders and the noted increase in operational risk-weighted assets.shareholders.



Components of Citigroup Capital Under Basel III (Advanced Approaches with Full Implementation)
In millions of dollarsSeptember 30,
2016		December 31, 2015March 31,
2017		December 31, 2016
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$212,506
$205,286
$209,063
$206,051
Add: Qualifying noncontrolling interests140
145
133
129
Regulatory Capital Adjustments and Deductions:  
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(2)
(232)(617)(562)(560)
Less: Cumulative unrealized net gain related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax(3)
335
441
Less: Cumulative unrealized net loss related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax(3)
(173)(61)
Less: Intangible assets:  
Goodwill, net of related deferred tax liabilities (DTLs)(4)
21,763
21,980
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs(5)
5,177
3,586
Goodwill, net of related DTLs(4)
21,448
20,858
Identifiable intangible assets other than MSRs, net of related DTLs
4,738
4,876
Less: Defined benefit pension plan net assets891
794
836
857
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general
business credit carry-forwards(6)
22,503
23,659
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards(5)
21,077
21,337
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
and MSRs(7)(6)
7,077
8,723
8,997
9,357
Total Common Equity Tier 1 Capital$155,132
$146,865
$152,835
$149,516
Additional Tier 1 Capital  
Qualifying perpetual preferred stock(1)
$19,069
$16,571
$19,069
$19,069
Qualifying trust preferred securities(8)(7)
1,369
1,365
1,372
1,371
Qualifying noncontrolling interests30
31
28
28
Regulatory Capital Deductions:  
Less: Permitted ownership interests in covered funds(9)(8)
759
567
618
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(10)
81
229
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
60
61
Total Additional Tier 1 Capital$19,628
$17,171
$19,791
$19,874
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)$174,760
$164,036
$172,626
$169,390
Tier 2 Capital  
Qualifying subordinated debt(11)
$25,007
$20,744
Qualifying trust preferred securities(12)
324
342
Qualifying subordinated debt$23,278
$22,818
Qualifying trust preferred securities(10)
319
317
Qualifying noncontrolling interests39
41
37
36
Excess of eligible credit reserves over expected credit losses(13)
605
1,163
Excess of eligible credit reserves over expected credit losses(11)
827
660
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(10)
81
229
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
60
61
Total Tier 2 Capital$25,894
$22,061
$24,401
$23,770
Total Capital (Tier 1 Capital + Tier 2 Capital)(14)
$200,654
$186,097
Total Capital (Tier 1 Capital + Tier 2 Capital)(12)
$197,027
$193,160

(1)Issuance costs of $184 million and $147 million related to preferred stock outstanding at September 30, 2016March 31, 2017 and December 31, 2015, respectively,2016, 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.
Footnotes continue on the following page.


(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 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 15 to the Consolidated Financial Statements.
(6)Of Citi’s approximately $45.4$45.9 billion of net DTAs at September 30, 2016,March 31, 2017, approximately $17.6$17.2 billion of such assets were includable in regulatory capitalCommon Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while approximately $27.8$28.7 billion of such assets were excluded in arriving atexcluded. Excluded from Citi’s Common Equity Tier 1 Capital. Comprising the excluded net DTAsCapital at March 31, 2017 was an aggregatea total of approximately $29.6$30.1 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 thereduced by approximately $29.6 billion of aggregate excluded net DTAs was approximately $1.8$1.4 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be fully deducted from Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted from Common Equity Tier 1 Capital, if in excess of 10%/15% limitations.


(7)(6)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At September 30, 2016March 31, 2017 and December 31, 2015, the2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $9.0 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at March 31, 2017. Changes to the U.S. corporate tax regime that impact the value of Citi’s DTAs arising from temporary differences, which exceed the then current amount deducted from Citi’s Common Equity Tier 1 Capital, would further reduce Citi’s regulatory capital to the extent of such excess after tax. For additional information regarding potential U.S. corporate tax reform, see “Risk Factors—Strategic Risks” in Citigroup’s 2016 Annual Report on Form 10-K.
(8)(7)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(9)(8)Effective July 2015, bankingBanking 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)(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.
(11)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.
(12)(10)Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.
(13)(11)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)(12)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 September 30, 2016Nine Months Ended  
  September 30, 2016
Common Equity Tier 1 Capital  
Balance, beginning of period$154,534
$146,865
Net income3,840
11,339
Common and preferred stock dividends declared(689)(1,517)
Net increase in treasury stock(2,530)(4,392)
Net change in common stock and additional paid-in capital(1)
144
(376)
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
39
111
Net decrease in goodwill, net of related deferred tax liabilities (DTLs)91
217
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
439
1,156
Net change in excess over 10%/15% limitations for other DTAs, certain common stock
    investments and MSRs
(201)1,646
Other6
(5)
Net increase in Common Equity Tier 1 Capital$598
$8,267
Common Equity Tier 1 Capital Balance, end of period$155,132
$155,132
Additional Tier 1 Capital  
Balance, beginning of period$19,493
$17,171
Net increase in qualifying perpetual preferred stock(1)
—
2,498
Net increase in qualifying trust preferred securities1
4
Net change in permitted ownership interests in covered funds30
(192)
Other104
147
Net increase in Additional Tier 1 Capital$135
$2,457
Tier 1 Capital Balance, end of period$174,760
$174,760
Tier 2 Capital  
Balance, beginning of period$24,893
$22,061
Net increase in qualifying subordinated debt1,306
4,263
Net decrease in excess of eligible credit reserves over expected credit losses(406)(558)
Other101
128
Net increase in Tier 2 Capital$1,001
$3,833
Tier 2 Capital Balance, end of period$25,894
$25,894
Total Capital (Tier 1 Capital + Tier 2 Capital)$200,654
$200,654

(1)During the nine months ended September 30, 2016, Citi issued approximately $2.5 billion of qualifying perpetual preferred stock with issuance costs of $37 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.
In millions of dollarsThree months ended March 31, 2017
Common Equity Tier 1 Capital 
Balance, beginning of period$149,512
Net income4,090
Common and preferred stock dividends declared(746)
Net increase in treasury stock(1,277)
Net decrease in common stock and additional paid-in capital(429)
Net decrease in foreign currency translation adjustment net of hedges, net of tax1,318
Net decrease in unrealized losses on securities AFS, net of tax220
Net increase in defined benefit plans liability adjustment, net of tax(12)
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
52
Net increase in goodwill, net of related DTLs(590)
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs138
Net decrease in defined benefit pension plan net assets21
Net decrease in DTAs arising from net operating loss, foreign tax credit and general
    business credit carry-forwards
303
Net decrease in excess over 10%/15% limitations for other DTAs, certain common stock
    investments and MSRs
321
Other(86)
Net increase in Common Equity Tier 1 Capital$3,323
Common Equity Tier 1 Capital Balance, end of period$152,835
Additional Tier 1 Capital 
Balance, beginning of period$19,874
Net increase in qualifying trust preferred securities1
Net increase in permitted ownership interests in covered funds(85)
Other1
Net decrease in Additional Tier 1 Capital$(83)
Tier 1 Capital Balance, end of period$172,626
Tier 2 Capital 
Balance, beginning of period$23,770
Net increase in qualifying subordinated debt460
Net increase in excess of eligible credit reserves over expected credit losses167
Other4
Net increase in Tier 2 Capital$631
Tier 2 Capital Balance, end of period$24,401
Total Capital (Tier 1 Capital + Tier 2 Capital)$197,027










Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at September 30, 2016
 Advanced Approaches Standardized Approach
In millions of dollarsCiticorpCiti HoldingsTotal CiticorpCiti HoldingsTotal
Credit Risk$756,110
$63,989
$820,099
 $1,032,872
$61,845
$1,094,717
Market Risk69,838
1,232
71,070
 70,294
1,368
71,662
Operational Risk288,035
49,079
337,114
 —
—
—
Total Risk-Weighted Assets$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 ApproachMarch 31, 2017 December 31, 2016
In millions of dollarsCiticorpCiti HoldingsTotal CiticorpCiti HoldingsTotalAdvanced Approaches
Standardized Approach
 Advanced Approaches
Standardized Approach
Credit Risk$731,515
$84,945
$816,460
 $1,008,951
$78,748
$1,087,699
$791,683
$1,093,921
 $796,399
$1,083,428
Market Risk70,701
4,116
74,817
 71,015
4,170
75,185
72,247
72,526
 64,006
64,528
Operational Risk275,921
49,079
325,000
 —
—
—
327,573
—
 329,275
—
Total Risk-Weighted Assets$1,078,137
$138,140
$1,216,277
 $1,079,966
$82,918
$1,162,884
$1,191,503
$1,166,447
 $1,189,680
$1,147,956

Total risk-weighted assets under the Basel III Advanced Approaches increased slightly from year-end 20152016, substantially due to $12.1 billionan increase in additionalmarket risk-weighted assets, partially offset by a decrease in operational risk-weighted assets resulting from the implementation of certain enhancementsdue to Citi’s Advanced Measurement Approachesquarterly updates to model during the third quarter of 2016.
Moreover, whileparameters, as well as a decline in credit risk-weighted assets. The decrease in credit risk-weighted assets under both the Basel III Advanced Approaches was primarily due to decreases in residential mortgage and qualifying revolving (cards) exposures, decreases in OTC derivative exposures and derivatives CVA, as well as the previously-announced sale of a portion of Citi’s mortgage servicing rights and sales of certain legacy assets, partially offset by the impact of FX translation and higher corporate loan exposures.
Total risk-weighted assets under the Basel III Standardized Approach grew duringincreased due to substantially higher credit and market risk-weighted assets. The increase in credit risk-weighted assets under the first nine monthsBasel III Standardized Approach resulted from the impact of 2016, although to a varying extent, theseFX translation, increases werein commercial loans and commitments, and increases in repo-style transactions, partially offset by a relatively comparable declinereduction in qualifying revolving (cards) and residential mortgage exposures as well as the previously-announced sale of a portion of Citi’s mortgage servicing rights and sales of certain legacy assets.
The increase in market risk-weighted assets. Credit risk-weighted assets increased on a net basis under both approaches over this period was primarily due to several factors, including higher derivative exposuresincreases in exposure levels subject to Stressed Value at Risk and the acquisition of the Costco cards portfolio, partially offset by divestitures of certain consumer businesses in Citi Holdings and dispositions of other non-strategic assets. Further contributing significantly to the increase in Basel III Advanced Approaches risk-weighted assets during the first nine months of 2016 wascomprehensive risk, as well as an increase in derivatives CVA.

positions subject to securitization charges.



Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches with Full Implementation)
In millions of dollarsThree Months Ended 
 September 30, 2016		Nine Months Ended  
  September 30, 2016		Three months ended 
 March 31, 2017
Total Risk-Weighted Assets, beginning of period$1,232,856
$1,216,277
$1,189,680
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(1)
(5,468)(14,660)(4,312)
Net decrease in wholesale exposures(2)
(4,246)(522)
Net increase in wholesale exposures(2)
4,445
Net decrease in repo-style transactions(3)
(3,995)(3,360)(197)
Net increase in securitization exposures694
405
Net decrease in equity exposures(4)
(6,424)(5,875)
Net change in over-the-counter (OTC) derivatives(5)
(2,145)7,541
Net increase in derivatives CVA(6)
4,278
17,052
Net decrease in securitization exposures(235)
Net increase in equity exposures542
Net decrease in over-the-counter (OTC) derivatives(3)
(4,199)
Net decrease in derivatives CVA(4)
(1,061)
Net increase in other exposures(7)(5)
493
3,817
508
Net decrease in supervisory 6% multiplier(8)(6)
(1,266)(759)(207)
Net change in Credit Risk-Weighted Assets$(18,079)$3,639
Net decrease in Credit Risk-Weighted Assets$(4,716)
Changes in Market Risk-Weighted Assets  
Net increase in risk levels(9)(7)
$2,850
$413
$10,995
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
Net decrease due to model and methodology updates(8)
(2,754)
Net increase in Market Risk-Weighted Assets$8,241
Net decrease in Operational Risk-Weighted Assets(9)
$(1,702)
Total Risk-Weighted Assets, end of period$1,228,283
$1,228,283
$1,191,503

(1)Retail exposures decreased during the three and nine months ended September 30, 2016, in part,March 31, 2017 primarily due to residential mortgage loan sales and repayments, and divestitures of certain Citi Holdings portfolios. The decreaselegacy assets and reductions in retailqualifying revolving (cards) exposures during the nine months ended September 30, 2016 wasattributable to seasonal holiday spending repayments, partially offset by the acquisitionimpact of the Costco cards portfolio.FX translation.
(2)Wholesale exposures decreasedincreased during the three months ended September 30, 2016March 31, 2017 primarily due to decreasesincreases in commercial loans and loan commitments. Wholesale exposures decreased duringcommitments, as well as the nine months ended September 30, 2016 primarily due to decreases in loan commitments, partially offset by increases in securities AFS and commercial loans.impact of FX translation.
(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 decreased during the three months ended September 30, 2016March 31, 2017 primarily due to changes in fair value. OTC derivatives increased during the nine months ended September 30, 2016 primarily driven by increased trade volumevalue and model enhancements.improved portfolio credit quality.
(6)(4)Derivatives CVA increaseddecreased during the three months ended September 30, 2016March 31, 2017 primarily driven by volatility and rating changes. Derivatives CVA increased during the nine months ended September 30, 2016 primarily drivenmodel enhancements, partially offset by increased volatility, trade volumeexposure and model enhancements.volatility.
(7)(5)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.
(8)(6)Supervisory 6% multiplier does not apply to derivatives CVA.
(9)(7)Risk levels increased during the three months ended September 30, 2016March 31, 2017 primarily due to increases in exposure levels subject to Stressed Value at Risk and comprehensive risk, as well as an increase in positions subject to standard specific risk charges as well as securitization charges, partially offset by a reduction in positions subject to de minimis charges.
(10)(8)Risk-weighted assets declined during the three and nine months ended September 30, 2016March 31, 2017 due to changes in model inputs regarding volatility, and the correlation between marketas well as methodology changes for standard specific risk factors.charges.
(11)(9)During the thirdfirst quarter of 2016,2017, operational risk-weighted assets increaseddecreased by $12.1$1.7 billion due to the implementation of certain enhancementsquarterly updates to Citi’s Advanced Measurement Approaches model.model parameters.



















Supplementary Leverage Ratio
Citigroup’s Supplementary Leverage ratio was 7.4%7.3% for the thirdfirst quarter of 2016,2017, compared to 7.5% for the second quarter of 2016 and 7.1%7.2% for the fourth quarter of 2015. While Tier 1 Capital increased on a net basis quarter-over-quarter, nonetheless the decrease2016. The growth 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 $11.3$4.1 billion, and $2.5 billion of noncumulative perpetual preferred stock issuances,which was partially offset in part by the return of capital to common shareholders and an overall increase in Total Leverage Exposure.Exposure primarily due to growth in average on-balance sheet assets as well as an increase in the potential future exposure on derivative contracts.
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 September 30, 2016March 31, 2017 and December 31, 2015.2016.




Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)
In millions of dollars, except ratiosSeptember 30, 2016December 31, 2015March 31, 2017December 31, 2016
Tier 1 Capital$174,760
$164,036
$172,626
$169,390
Total Leverage Exposure (TLE)  
On-balance sheet assets(1)
$1,830,215
$1,784,248
$1,830,554
$1,819,802
Certain off-balance sheet exposures:(2)
  
Potential future exposure (PFE) on derivative contracts213,263
206,128
Potential future exposure on derivative contracts220,573
211,009
Effective notional of sold credit derivatives, net(3)
68,440
76,923
65,584
64,366
Counterparty credit risk for repo-style transactions(4)
21,372
25,939
25,205
22,002
Unconditionally cancellable commitments67,161
58,699
67,101
66,663
Other off-balance sheet exposures218,320
225,450
221,105
219,428
Total of certain off-balance sheet exposures$588,556
$593,139
$599,568
$583,468
Less: Tier 1 Capital deductions58,251
59,538
57,774
57,879
Total Leverage Exposure$2,360,520
$2,317,849
$2,372,348
$2,345,391
Supplementary Leverage ratio7.40%7.08%7.28%7.22%

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

Citibank’s Supplementary Leverage ratio, assuming full implementation under the U.S. Basel III rules, was 6.7% for the thirdfirst quarter of 2016,2017, compared to 6.8% for the second quarter of 2016 and 6.7%6.6% for the fourth quarter of 2015.2016. The growth in the ratio decreased quarter-over-quarter as quarterly net income of $3.1 billion was more than offset by an overall increase in Total Leverage Exposure, as well as cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup. The ratio remained unchanged from the fourth quarter of 2015, as the Tier 1 Capital benefits associated with net income and beneficial net movements in AOCI were offsetprincipally driven by an increase in Total Leverage Exposure andTier 1 Capital attributable largely to quarterly net income, partially offset by 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 Second Quarter of 2016 Form 10-Q.

Policy 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 event 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 October 2016, the Basel Committee on Banking Supervision (Basel Committee) issued various proposed and final rules during the first quarter of 2017, which are designed to provide further clarification, modification or enhancement to certain elements of the Basel III capital framework.
Identification and Management of Step-in Risk
In March 2017, the Basel Committee issued a second consultative document which proposes guidelines regarding the identification and management of so-called “step-in risk,” which is defined as “the risk that a discussion paper relatedbank decides to provide financial support to an unconsolidated entity that is facing stress, in the absence of, or in excess of, any contractual obligations to provide such support.” This consultative document establishes a proposed framework that would be used by banks for conducting a self-assessment of step-in risk, which would also be reported to each bank’s respective national supervisors. The self-assessment of step-in risk would consider the risk characteristics of certain unconsolidated entities, as well as the banks’ relationship to such entities. The proposed framework, however, would not require any additional regulatory capital or liquidity charges beyond the current Basel III rules.

Pillar 3 Disclosure Requirements - Consolidated and
Enhanced Framework
In March 2017, the Basel Committee issued a final rule
which adopts further revisions arising from the second phase of its review of the “Pillar 3” disclosure requirements, and which builds on the initial revisions from phase one of the review which were finalized in January 2015.
The final rule consolidates all existing Basel Committee disclosure requirements into the Pillar 3 framework, with these constituting the disclosure requirements regarding the composition of capital, leverage ratio, Liquidity Coverage Ratio, Net Stable Funding Ratio,
indicators for measuring the global systemic importance of banks, Countercyclical Capital Buffer, interest rate risk in the banking book, and remuneration. Moreover, the final rule introduces enhancements to the Pillar 3 framework, in part, by incorporating a “dashboard” of a banking organization’s key regulatory capital and liquidity metrics. Lastly, the final rule sets forth revisions and additions to the Pillar 3 framework resulting from ongoing reforms to the regulatory treatmentcapital framework, including incorporating disclosure requirements arising from the Financial Stability Board’s total loss-absorbing capacity (TLAC) regime applicable to global systemically important banks (GSIBs), and revised disclosure requirements for market risk attributable to the revised market risk framework.
The final rule does not include disclosure requirements arising from the Basel Committee’s ongoing finalization of accounting for expected credit losses under the Basel III regulatory capitalreforms, such as those with respect to certain potential revisions to credit and operational risk disclosures, which will be included within the scope of the third phase of the review of the Pillar 3 framework. Both
Citi is currently subject to the Advanced Approaches disclosure requirements under the U.S. Basel III rules. The U.S. banking agencies may revise the nature and extent of these disclosure requirements in the future, as a result of the Basel Committee’s revised Pillar 3 disclosure requirements.

Regulatory Treatment of Accounting Provisions for Expected Credit Losses - Interim Approach and Transitional Arrangements
In March 2017, the Basel Committee issued a final rule which retains, for an interim period, the current Basel III treatment, under both the Standardized Approach and Internal Ratings-Based Approaches, applicable to accounting provisions for credit losses. Such measure is in recognition of the promulgation by both the International Accounting Standards Board and more recently the U.S. Financial Accounting Standards Board issuedof new accounting pronouncements related to(IFRS 9, “Financial Instruments,” and
ASU 2016-13, “Financial Instruments - Credit Losses,”
respectively) regarding the impairment of financial assets that requireand adoption of provisioning standards which incorporate forward-looking assessments in the useestimation of expected credit loss models rather thanlosses, which represents a substantial departure from the recognition of credit losses under the current incurred loss models.model. Measuring the impairment usingof loans and other financial assets under expected credit loss models may result in earlier recognition of, and higher accounting provisions for, credit losses, and consequently increasedmay increase volatility in regulatory capital.
In the consultative document, The current Basel III treatment is being retained so as to afford the Basel Committee proposesadditional time in which to retain, for an interim period, the currentthoroughly consider and develop a permanent regulatory capital treatment ofwith respect to accounting provisions for credit losses. The discussion paper considers various policy options for the long-term regulatory treatment of accounting provisions forexpected credit losses.
Moreover, the final rule provides for optional transitional arrangements, which may be availed by jurisdictions, that would permit banking organizations to more evenly absorb the potentially significant adverse impact on regulatory capital arising from the recognition of higher expected credit loss provisions. The final rule also establishes standards with which these transitional arrangements must comply.  
The U.S. banking agencies may revise the regulatory treatment of accounting provisions for credit losses under the U.S. Basel III rules in the future based on any revisions adoptedin conjunction with the adoption by U.S. banking organizations of the Basel Committee.current expected credit loss model as set forth under ASU 2016-13.
Total Loss-Absorbing Capacity (TLAC) Holdings
Revised Assessment Framework for Global Systemically Important Banks
In October 2016,March 2017, the Basel Committee issued a final ruleconsultative document which amendsproposes revisions to the framework for assessing the global systemic importance of banks. The current framework employed by the Basel III definitionCommittee as to the identification of regulatory capitalGSIBs and the assessment of a surcharge, is based primarily on quantitative measurement indicators underlying five equally weighted broad categories of systemic importance: (i) size, (ii) interconnectedness, (iii) cross-jurisdictional activity, (iv) substitutability/financial institution infrastructure, and (v) complexity. With the exception of size, each of the other


categories are comprised of multiple indicators, and amounting to 12 indicators in total.
The proposal, which reflects the results of the Basel Committee’s planned initial review, sets forth several modifications to its GSIB framework, the most significant of which for Citi would be the removal of the existing cap on the substitutability/financial institution infrastructure category. Among the other changes proposed by the Basel Committee and estimated to be of lesser impact to Citi, would be the introduction within the substitutability/financial institution infrastructure category of a trading volume indicator, accompanied by an equivalent reduction in the current weighting of the existing underwriting indicator. Moreover, the Basel Committee’s proposed requirement to expand the scope of consolidation to include exposures of insurance subsidiaries within the size, interconnectedness, and complexity categories would raise the global aggregate of these respective measures of systemic importance to which all GSIBs are subject, and as a Tier 2 Capital deduction for investments by an internationally active bank (both GSIBs and non-GSIBs) in TLAC andresult it is estimated that Citi would benefit on a relative basis vis-a-vis certain other debt instruments issued by GSIBs, given that do not otherwise qualify asits insurance subsidiaries are presently consolidated under U.S. generally accepted accounting principles and for regulatory capital (i.e., TLAC holdings). Underpurposes. Aside from these proposed modifications, the final rule,Basel Committee is also separately seeking feedback on the potential for a 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 Capitalnew indicator regarding short-term wholesale funding.
In contrast, a U.S. bank holding company that is being used to meet the TLAC requirement cannot also be used to meet the regulatory capital buffers, including thedesignated a 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 regulatory capital which would require a Tier 2 Capital deduction for investments in certain unsecured debt of GSIBs. In this regard,under the Federal Reserve Board’s proposed TLAC rule, is largely similarrequired, on an annual basis, to calculate a surcharge using two methods, and is subject to the higher of the resulting two surcharges. The first method (“method 1”) is based on the same five broad categories of systemic importance resident under the Basel Committee’s final ruleframework to identify a GSIB and derive a surcharge. Under the second method (“method 2”), the substitutability category is replaced with a quantitative measure intended to assess the extent of a GSIB’s reliance on short-term wholesale funding.
Accordingly, if the Federal Reserve Board were to adopt the Basel Committee’s proposed revisions with respect to the U.S. GSIB framework, Citi’s method 1 GSIB surcharge would increase from its 2017 level of 2% to an estimated 2.5%, while its estimated method 2 GSIB surcharge would remain unchanged at its 2017 level of 3%. Further, while it is currently estimated that under these circumstances method 2 would remain Citi’s binding constraint for GSIB surcharge purposes, nonetheless an increase in Citi’s method 1 GSIB surcharge could impact the extent to which Citi satisfies certain TLAC holdings.minimum requirements in the future.










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








In millions of dollars or shares, except per share amountsSeptember 30,
2016		December 31, 2015March 31,
2017		December 31,
2016
Total Citigroup stockholders’ equity$231,575
$221,857
$228,132
$225,120
Less: Preferred stock19,253
16,718
19,253
19,253
Common equity$212,322
$205,139
Common stockholders’ equity$208,879
$205,867
Less:  
Goodwill22,539
22,349
22,265
21,659
Intangible assets (other than MSRs)(1)
5,358
3,721
Goodwill and intangible assets (other than MSRs) related to assets held-for-sale30
68
Identifiable intangible assets (other than MSRs)5,013
5,114
Goodwill and identifiable intangible assets (other than MSRs) related to assets held-for-sale48
72
Tangible common equity (TCE)$184,395
$179,001
$181,553
$179,022
 
Common shares outstanding (CSO)2,849.7
2,953.3
2,753.3
2,772.4
Book value per share (common equity/CSO)$75.86
$74.26
Tangible book value per share (TCE/CSO)$64.71
$60.61
65.94
64.57
Book value per share (Common equity/CSO)$74.51
$69.46
In millions of dollarsThree months ended March 31, 2017Three months ended March 31, 2016
Net income available to common shareholders$3,789
$3,291
Average common stockholders’ equity$207,040
$207,084
Average TCE$180,288
$181,336
Less: Average net DTAs excluded from Common Equity Tier 1 Capital(1)
28,951
29,988
Average TCE, excluding average net DTAs excluded from Common Equity Tier 1 Capital$151,337
$151,348
Return on average common stockholders’ equity7.4%6.4%
Return on average TCE (ROTCE)(2)
8.5
7.3
Return on average TCE, excluding average net DTAs excluded from Common Equity Tier 1 Capital10.2
8.7

(1)Identifiable intangible assets (other than MSRs) increased by approximately $2.2 billionRepresents average net DTAs excluded in arriving at Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules. The average is based upon quarter-end amounts over the most recent two quarters through March 31, 2017 and March 31, 2016, respectively.
(2)ROTCE represents annualized net income available to common shareholders as a resultpercentage 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 15 to the Consolidated Financial Statements.average TCE.



Managing Global Risk Table of Contents

MANAGING GLOBAL RISK 
4846

CREDIT RISK(1)
 
4947

Consumer Credit 
4947

GCB Commercial Banking Exposure to the Energy and Energy-Related Sector
52

Corporate Credit 
5554

Additional Consumer and Corporate Credit Details 
5857

 Loans Outstanding 
5857

       Details of Credit Loss Experience 
5958

       Allowance for Loan Losses 6159
       Non-Accrual Loans and Assets and Renegotiated Loans 
6260

LIQUIDITY RISK 
6764

High-Quality Liquid Assets (HQLA) 
6764

Loans 6865
Deposits 6865
Long-Term Debt 6966
Secured Funding Transactions and Short-Term Borrowings 7168
Liquidity Coverage Ratio (LCR) 7268
Credit Ratings 7369
MARKET RISK(1)
 
7571

Market Risk of Non-Trading Portfolios 
7571

Market Risk of Trading Portfolios 
8578

COUNTRY RISK 
8780


(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 20152016 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 20152016 Annual Report on Form 10-K.

CONSUMER CREDIT
Citi provides traditional retail banking, including commercial banking, and credit card products in 19 countries through North America GCB, Latin America GCB and Asia GCB. The retail banking products include consumer mortgages, home equity, personal, commercial loans and lines of credit, and similar related products with a focus on lending to prime customers. Citi uses its risk appetite framework to define its
lending parameters. In addition, Citi uses proprietary scoring models for new customer approvals. As stated in “Global Consumer Banking” above, GCB’s overall strategy is to leverage Citi’s global footprint and seek to be the preeminent bank for the affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies. GCB’s commercial banking business focuses on small to mid-sized businesses.

Consumer Credit Portfolio
The following tables show Citi’s quarterly end-of-period consumer loans:(1)
In billions of dollars1Q’162Q’163Q’164Q’161Q’17
Retail banking:     
Mortgages$82.2
$81.6
$81.4
$79.4
$81.2
Commercial banking32.2
32.6
33.2
32.0
33.9
Personal and other27.6
27.2
27.0
24.9
26.3
Total retail banking$142.0
$141.4
$141.6
$136.3
$141.4
Cards:     
Citi-branded cards(2)
$87.8
$100.1
$103.9
$108.3
$105.7
Citi retail services42.5
43.3
43.9
47.3
44.2
Total cards$130.3
$143.4
$147.8
$155.6
$149.9
Total GCB
$272.3
$284.8
$289.4
$291.9
$291.3
GCB regional distribution:
     
North America59%62%62%64%62%
Latin America9
8
8
8
9
Asia(3)
32
30
30
28
29
Total GCB
100%100%100%100%100%
Corporate / Other$45.3
$41.3
$39.0
$33.2
$29.3
Total consumer loans$317.6
$326.1
$328.4
$325.1
$320.6

(1)End-of-period loans include interest and fees on credit cards.
(2)In the second quarter of 2016, Citi completed the acquisition of the $10.6 billion Costco U.S. co-branded credit card portfolio.
(3)
Asia includes loans and leases in certain EMEA countries for all periods presented.

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




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

Global Consumer Banking
legenda01.jpg
a1q17gcb.jpg

North America
legenda01.jpg
a1q17na.jpg

Latin America
legenda01.jpg
a1q17latama01.jpg

Asia(1)
legenda01.jpg
a1q17asia.jpg

(1)
Asia includes GCB activities in certain EMEA countries for all periods presented.
North America GCB provides mortgages, home equity loans, personal loans and commercial banking products through Citi’s retail banking network, and card products through Citi-branded cards and Citi retail services businesses. The retail bank is concentrated in six major metropolitan cities in the United States (for additional information on the U.S. retail bank, see “North America GCB” above).
As of March 31, 2017, approximately 69% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which drove the overall credit performance of North America GCB (for additional information on North America GCB’s cards portfolios, including delinquencies and net credit losses, see “Credit Card Trends” below).
Latin America GCB operates in Mexico through Citibanamex, one of Mexico’s largest banks, and provides credit cards, consumer mortgages, personal loans and commercial banking products. Latin America GCB serves a more mass market segment in Mexico and focuses on developing multi-product relationships with customers.
As set forth in the chart above, 90+ days past due delinquencies and net credit loss rates improved in Latin America GCB year-over-year as of the first quarter of 2017, while the delinquency rate decreased and the net credit loss rate increased quarter-over-quarter. The improvement in delinquencies was primarily driven by higher payment rates. The sequential increase in the net credit loss rate was driven by seasonality and lower loan growth.
Asia GCB operates in 17 countries in Asia and EMEA and provides credit cards, consumer mortgages, personal loans and commercial banking products.
As shown in the chart above, 90+ days past due delinquency and net credit loss rates were largely stable in Asia GCB year-over-year and quarter-over-quarter as of the first quarter of 2017. This stability reflects the strong credit profiles in Asia GCB’s target customer segments. In addition, regulatory changes in many markets in Asia over the past few years have resulted in stable or improved portfolio credit quality, despite weaker macroeconomic conditions in several countries.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.



Credit Card Trends

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

Total Cards
legenda01.jpg
a1q17totalcards.jpg

North America Citi-Branded Cards
legenda02.jpg
a1q17nacards.jpg

North America Citi Retail Services
legenda04.jpg
a1q17naretail.jpg
Latin America Citi-Branded Cards
legenda03.jpg
a1q17latamcards.jpg
Asia Citi-Branded Cards(1)
legenda05.jpg
a1q17asiacardsa01.jpg

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



North America GCB’s Citi-branded cards portfolio issues proprietary and co-branded cards. As shown in the chart above, 90+ days past due delinquency rates in Citi-branded cards increased year-over-year as of the first quarter of 2017 due to seasoning and the impact of changes in collection processes, and modestly decreased quarter-over-quarter, due to the flow-through of delinquencies to credit losses related to the Costco conversion. Net credit loss rates increased year-over-year due to seasoning and the impact of changes in collection processes and quarter-over quarter due to the flow-through of delinquencies to credit losses related to the Costco conversion, seasonality and the impact to changes in collection processes.
Citi retail services partners directly with more than 20 retailers and dealers to offer private-label and co-branded consumer and commercial cards. Citi retail services’ target market is focused on select industry segments such as specialty retail, consumer electronics and fuel. Citi retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
Citi retail services’ delinquency and net credit loss rates increased year-over-year and quarter-over-quarter as of the first quarter of 2017, primarily due to seasoning as well as the impact of changes in collection processes. The net credit loss rate also increased quarter-over-quarter due to seasonality.
Latin America GCB issues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency rates have continued to improve or remained stable year-over-year and quarter-over-quarter as of the first quarter of 2017. Net credit loss rates decreased year-over-year, primarily driven by the higher payment rates, while net credit loss rates increased quarter-over-quarter due to seasonality.
Asia GCB issues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency and net credit loss rates have remained broadly stable, driven by mature and well-diversified cards portfolios. 
For additional information on cost of credit, delinquency and other information for Citi’s cards portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.

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

Citi-Branded
  
FICO distributionMarch 31, 2017December 31, 2016
  > 72061%64%
   660 - 72027
26
   620 - 6607
6
  < 6205
4
Total100%100%

Citi Retail Services
  
FICO distributionMarch 31, 2017December 31, 2016
   > 72040%42%
   660 - 72035
35
   620 - 66014
13
  < 62011
10
Total100%100%

The percentage of loans outstanding with borrowers with
FICO scores greater than 720 declined sequentially due to seasonality reflecting high quality transactors with higher holiday spending as of year-end 2016. Otherwise the portfolios continued to demonstrate strong underlying credit quality.
For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.




North America Consumer Mortgage Lending

Overview
Citi’s North America consumer mortgage portfolio consists of both residential first mortgages and home equity loans. At September 30, 2016, Citi’s North America consumer mortgage portfolio was $74.7 billion (compared to $76.9 billion at June 30, 2016), of which the residential first mortgage portfolio was $54.7 billion (compared to $55.8 billion at June 30, 2016), and the home equity loan portfolio was $20.0 billion (compared to $21.1 billion at 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 detailtable shows the outstanding quarterly outstandingend-of-period 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 July 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 were driven by, and will continue to be driven by, continued asset sales or transfers to held-for-sale as well as overall trends in HPI and interest rates.home equity loan portfolios:




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 dollarsSeptember 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
CA$19.5
39%—%—%758
$19.6
38%0.2%—%756
NY/NJ/CT(4)
13.2
26
0.6
1
753
13.2
26
0.7
1
753
IL(4)
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/MD

2.1
4
1.1
1
722
2.2
4
1.0
3
722
TX1.7
3
0.8
—
716
1.8
3
0.9
—
716
Other9.5
19
1.2
1
715
10.0
20
1.2
2
714
Total$50.6
100%0.6%1%743
$51.3
100%0.6%1%742
In billions of dollars1Q’162Q’163Q’164Q’161Q’17
GCB:
     
Residential firsts$39.2
$40.1
$40.1
$40.2
$40.3
Home equity3.7
3.8
3.9
4.0
4.0
Total GCB
$42.9
$43.9
$44.0
$44.2
$44.3
Corporate/Other:
     
Residential firsts$17.6
$15.8
$14.8
$13.4
$12.3
Home equity18.3
17.3
16.1
15.0
13.4
Total Corporate/Other
$35.9
$33.1
$30.9
$28.4
$25.7
Total Citigroup— North America
$78.8
$77.0
$74.9
$72.6
$70.0

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 loansFor additional information on delinquency and net credit loss trends 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 September 30, 2016, Citi’s foreclosure inventory was approximately $0.1 billion, or 0.2%, of the total residential firstconsumer mortgage portfolio, unchanged from 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.see “Additional Consumer Credit Details” below.

North America Consumer Mortgage—Home Equity LoansLoans—Revolving HELOCs
Citi’sAs set forth in the table above, Citi had $17.4 billion of home equity loan portfolio consistsloans as of bothMarch 31, 2017, of which $4.2 billion are fixed-rate home equity loans and loans$13.2 billion are extended under home equity lines of credit.credit (Revolving HELOCs). Fixed-rate home equity loans are fully amortizing. Home equity lines of creditRevolving HELOCs allow for amounts to be drawn for a period of time with the payment of interest only and then, at the end of the draw period, thethen then-outstanding amount is converted to an amortizing loan, or “reset” (the interest-only payment feature during the revolving period is standard for this product across the industry). After conversion,Upon reset, these borrowers will be required to pay both interest, usually at a variable rate, and principal that amortizes typically over 20 years, rather than the home equity loans typically have a 20-year amortization period. As of September 30, 2016, Citi’s home equity loan portfolio of $20.0 billion consisted of $5.5 billion of fixed-rate home equity loans and $14.5 billion of loans extended under home equity lines of credit (Revolving HELOCs).standard 30-year amortization.


Revolving HELOCs
Citi’s $14.5 billion ofOf the Revolving HELOCs as of September 30, 2016 consisted of $5.6at March 31, 2017, $6.4 billion of loans that had commenced amortizationreset (compared to $5.2$6.2 billion at June 30,December 31, 2016) and $8.9$6.8 billion of loanswere still within their revolving period that had not commenced amortization, or “reset”reset (compared to $10.0$7.8 billion at June 30,December 31, 2016). The following chart indicates the FICO and combined loan-to-value (CLTV) characteristics of Citi’s Revolving HELOCs portfolio and the year in which they reset:
North America Home Equity Lines of Credit Amortization – Citigroup
Total ENR by Reset Year
In billions of dollars as of September 30, 2016March 31, 2017
naheloca3q16.jpg
naheloc1q18.jpgNote: Totals may not sum due to rounding.

Approximately 39%49% of Citi’s total Revolving HELOCs portfolio had commenced amortizationreset as of September 30, 2016March 31, 2017 (compared to 34%44% as of June 30,December 31, 2016). Of the remaining Revolving HELOCs portfolio, approximately 50%33% 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,$354, or 155%146%. 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 amortizationreset during the remainder of 2016–2017, approximately $0.3 billion,$95 million, or 5%3%, of the loans have a CLTV greater than 100% as of September 30, 2016March 31, 2017. Borrowers’ high loan-to-value positions, as well as the cost and availability of refinancing options, could limit borrowers’ ability to refinance their Revolving HELOCs as these loans begin to reset.
Approximately 6.5%6.4% of the Revolving HELOCs that have begun amortizationreset as of September 30, 2016March 31, 2017 were 30+ days past due, compared to 3.7%3.9% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 6.5%6.7% and 3.5%3.9%, respectively, as of June 30,December 31, 2016. As newly amortizing loans continue to season, the delinquency rate of the amortizing Revolving HELOC portfolio andCiti’s total home equity loan portfolio is expected tocould increase. Delinquencies on newly amortizing loans have tended to peak between four and six months after reset. ResetsIn addition, 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 monitormonitors 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.

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 13 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 dollarsSeptember 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
CA$5.4
29%2.1%4%732
$5.7
29%1.9%4%731
NY/NJ/CT(4)
5.4
29
2.8
6
727
5.6
28
2.7
9
726
FL(4)
1.2
7
2.5
14
716
1.4
7
2.1
16
715
VA/MD1.1
6
2.1
17
715
1.2
6
2.1
24
714
IL(4)
0.9
4
1.7
19
724
0.9
4
1.7
30
722
IN/OH/MI(4)
0.5
2
1.6
13
704
0.5
3
1.7
25
704
Other4.2
23
2.0
7
713
4.5
23
1.9
10
712
Total$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 GCB retail banking, had total credit exposure to the energy and energy-related sector of approximately $2.0 billion as of September 30, 2016, with approximately $1.4 billion of direct outstanding funded loans, or 4%, of the total outstanding commercial banking loans. This was unchanged from June 30, 2016. In addition, as of September 30, 2016, approximately 89% of commercial banking’s total credit exposure to the energy and energy-related sector was in the U.S., relatively unchanged from June 30, 2016. Approximately 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. During the third quarter of 2016, Citi released additional energy and energy-related loan loss reserves by approximately $32 million, and incurred net credit losses of approximately $19 million on this commercial banking portfolio. As of September 30, 2016, Citi held loan loss reserves against its funded energy and energy-related commercial banking loans equal to approximately 8.7% of these loans (compared to approximately 9.8% as of 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		September 30,
2016		September 30,
2016		June 30,
2016		September 30,
2015		September 30,
2016		June 30,
2016		September 30,
2015		March 31,
2017		March 31,
2017		December 31,
2016		March 31,
2016		March 31,
2017		December 31,
2016		March 31,
2016
Citicorp(3)(4)
    
Global Consumer Banking(3)(4)
    
Total$289.7
$2,169
$1,965
$1,981
$2,552
$2,318
$2,427
$291.3
$2,241
$2,293
$2,022
$2,516
$2,540
$2,360
Ratio 0.75%0.69%0.74%0.88%0.82%0.90% 0.77%0.79%0.75%0.87%0.87%0.87%
Retail banking          
Total$141.9
$579
$515
$529
$722
$735
$764
$141.4
$488
$474
$498
$777
$726
$793
Ratio 0.41%0.37%0.38%0.51%0.52%0.55% 0.35%0.35%0.35%0.55%0.54%0.56%
North America54.8
256
180
138
198
192
198
55.5
182
181
152
189
214
198
Ratio 0.47%0.33%0.28%0.37%0.36%0.40% 0.33%0.33%0.29%0.35%0.39%0.38%
Latin America19.0
160
157
212
196
197
239
19.7
141
136
172
246
185
256
Ratio 0.84%0.81%1.07%1.03%1.01%1.21% 0.72%0.76%0.87%1.25%1.03%1.29%
Asia(5)
68.1
163
178
179
328
346
327
66.2
165
157
174
342
327
339
Ratio 0.24%0.26%0.26%0.48%0.51%0.48% 0.25%0.25%0.25%0.52%0.52%0.49%
Cards          
Total$147.8
$1,590
$1,450
$1,452
$1,830
$1,583
$1,663
$149.9
$1,753
$1,819
$1,524
$1,739
$1,814
$1,567
Ratio 1.08%1.01%1.11%1.24%1.10%1.28% 1.17%1.17%1.17%1.16%1.17%1.20%
North America—Citi-branded81.3
607
510
491
710
550
504
82.2
698
748
530
632
688
492
Ratio 0.75%0.66%0.76%0.87%0.71%0.78% 0.85%0.87%0.82%0.77%0.80%0.76%
North America—Citi retail services43.9
664
619
621
750
669
758
44.2
735
761
665
730
777
688
Ratio 1.51%1.43%1.44%1.71%1.55%1.76% 1.66%1.61%1.56%1.65%1.64%1.62%
Latin America4.9
131
145
169
131
137
181
5.2
137
130
149
145
125
152
Ratio 2.67%2.90%3.13%2.67%2.74%3.35% 2.63%2.71%2.81%2.79%2.60%2.87%
Asia(5)
17.7
188
176
171
239
227
220
18.3
183
180
180
232
224
235
Ratio 1.06%1.00%1.01%1.35%1.29%1.29% 1.00%1.03%1.02%1.27%1.28%1.34%
Citi Holdings(6)(7)
     
Corporate/Other—Consumer(6)(7)
     
Total$38.9
$857
$878
$1,528
$849
$858
$1,423
$29.3
$684
$834
$896
$615
$735
$929
Ratio 2.29%2.23%2.69%2.27%2.18%2.51% 2.45%2.62%2.08%2.20%2.31%2.16%
International5.5
164
170
174
135
138
193
2.1
77
94
145
60
49
161
Ratio 2.98%3.09%2.00%2.45%2.51%2.22% 3.67%3.92%2.27%2.86%2.04%2.52%
North America33.4
693
708
1,354
714
720
1,230
27.2
607
740
751
555
686
768
Ratio 2.17%2.09%2.81%2.24%2.12%2.56% 2.35%2.52%2.05%2.15%2.33%2.09%
Other (8)
0.1
    
Total Citigroup$328.7
$3,026
$2,843
$3,509
$3,401
$3,176
$3,850
320.6
$2,925
$3,127
$2,918
$3,131
$3,275
$3,289
Ratio 0.93%0.88%1.08%1.04%0.98%1.18% 0.92%0.97%0.93%0.98%1.01%1.05%
(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 past due and 30–89 days past due and related ratios forCiticorp GCB 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$313 million ($0.7 billion), $408$327 million ($0.90.7 billion) and $498$456 million ($0.91.1 billion) at September 30, 2016, June 30,March 31, 2017, December 31, 2016, and September 30, 2015,March 31, 2016, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $58$84 million, $91$70 million and $79$86 million at September 30, 2016, June 30,March 31, 2017, December 31, 2016, and September 30, 2015,March 31, 2016, respectively.
(5)
Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(6)
The 90+ days past due and 30–89 days past due and related ratios for Citi Holdings Corporate/Other—North America consumer exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due (and EOP loans) were $0.8 billion ($1.4 billion), $0.9 billion ($1.4 billion) and $1.3 billion ($1.9 billion) at March 31, 2017, December 31, 2016, and March 31, 2016, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.1 billion, $0.2 billion and $0.2 billion at March 31, 2017, December 31, 2016, and March 31, 2016, respectively.


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 $0.1 billion, $0.2 billion and $0.3 billion at September 30, 2016, June 30, 2016, and September 30, 2015, respectively.
(7)
The September 30, 2016, June 30,March 31, 2017, December 31, 2016, and September 30, 2015March 31, 2016 loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $9$7 million, $9$7 million and $12$9 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 billions3Q162Q163Q151Q174Q161Q16
Citicorp  
Global Consumer Banking  
Total$287.8
$1,351
$1,373
$1,354
$289.6
$1,603
$1,516
$1,371
Ratio 1.87%2.02%1.99% 2.24%2.10%2.04%
Retail banking  
Total$142.3
$259
$242
$247
$138.8
$236
$286
$221
Ratio 0.72%0.69%0.70% 0.69%0.82%0.64%
North America55.0
54
44
34
55.4
37
83
25
Ratio 0.39%0.33%0.27% 0.27%0.60%0.19%
Latin America19.4
132
137
138
18.3
137
138
134
Ratio 2.71%2.83%2.72% 3.04%2.97%2.81%
Asia(4)
67.9
73
61
75
65.1
62
65
62
Ratio 0.43%0.36%0.43% 0.39%0.40%0.37%
Cards  
Total$145.5
$1,092
$1,131
$1,107
$150.8
$1,367
$1,230
$1,150
Ratio 2.99%3.45%3.39% 3.68%3.28%3.52%
North America—Citi-branded79.2
448
467
443
82.6
633
539
455
Ratio 2.25%2.82%2.75% 3.11%2.61%2.83%
North America—Retail services43.6
427
442
401
45.3
520
483
453
Ratio 3.90%4.16%3.69% 4.66%4.28%4.14%
Latin America5.1
122
123
163
4.8
116
110
144
Ratio 9.52%9.70%11.55% 9.80%8.75%11.14%
Asia(4)
17.6
95
99
100
18.1
98
98
98
Ratio 2.15%2.29%2.32% 2.20%2.25%2.27%
Citi Holdings(3)
 
Corporate/Other—Consumer(3)
 
Total$40.8
$134
$101
$259
$31.7
$69
$60
$143
Ratio 1.31%0.94%1.67% 0.88%0.69%1.25%
International5.4
82
77
93
2.1
26
32
78
Ratio 6.04%5.08%4.19% 5.02%5.30%4.68%
North America35.4
52
24
166
29.6
43
28
65
Ratio 0.58%0.26%1.25% 0.59%0.35%0.66%
Total Citigroup$328.6
$1,485
$1,474
$1,613
$321.3
$1,672
$1,576
$1,514
Ratio 1.80%1.87%1.93% 2.11%1.95%1.92%
(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 agreementagreements in October 2016 to sell OneMain Financial (OneMain), OneMain wasits Brazil and Argentina consumer banking businesses, these businesses were classified as held-for-sale (HFS) beginning March 31, 2015.. The Argentina consumer banking business sale closed at the end of the first quarter 2017. As a result of HFS accounting treatment, approximately $116$42 million and $41 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during the thirdfourth quarter of 2015.2016 and first quarter of 2017, respectively. Accordingly, these NCLs are not included in this table. Loans HFS are excluded from this table as they are recorded in Other assets.
(4)
Asia includes NCLs and average loans in certain EMEA 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 September 30, 2016At June 30, 2016At December 31, 2015At March 31, 2017At December 31, 2016
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year		Greater
than 1 year
but within
5 years		Greater
than
5 years		Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
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)
$109
$102
$24
$235
$111
$99
$24
$234
$98
$97
$25
$220
$129
$82
$20
$231
$109
$94
$22
$225
Unfunded lending commitments (off-balance sheet)(2)
102
209
27
338
101
209
32
342
99
231
26
356
113
221
23
357
103
218
23
344
Total exposure$211
$311
$51
$573
$212
$308
$56
$576
$197
$328
$51
$576
$242
$303
$43
$588
$212
$312
$45
$569

(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:
September 30,
2016		June 30,
2016		December 31,
2015		March 31,
2017		December 31,
2016
North America54%54%56%53%55%
EMEA26
26
25
26
26
Asia12
12
12
13
12
Latin America8
8
7
8
7
Total100%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
September 30,
2016		June 30,
2016		December 31,
2015		March 31,
2017		December 31,
2016
AAA/AA/A49%49%48%48%48%
BBB34
34
35
34
34
BB/B15
15
15
16
16
CCC or below2
2
2
2
2
Unrated—
—
—
Total100%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
September 30,
2016		June 30,
2016		December 31,
2015		March 31,
2017		December 31,
2016
Transportation and industrial21%21%20%21%22%
Consumer retail and health16
17
16
16
16
Power, chemicals, commodities and metals and mining11
11
11
Technology, media and telecom11
11
12
12
12
Energy (1)
8
9
9
Power, chemicals, metals and mining11
11
Energy and commodities(1)
8
9
Real estate7
6
6
7
7
Banks/broker-dealers6
7
7
Banks/broker-dealers/finance companies6
6
Hedge funds5
5
Insurance and special purpose entities5
5
Public sector5
5
5
5
5
Insurance and special purpose entities5
5
5
Hedge funds5
5
5
Other industries5
3
4
4
2
Total100%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 September 30, 2016,March 31, 2017, Citi’s total exposure to these energy-related entities remained largely consistent with the prior quarter, at approximately $7$6 billion, of which approximately $4 billion consisted of direct outstanding funded loans.

Exposure to the Energy and Energy-Related Sector
As of September 30, 2016, Citi’s total corporate credit exposure to the energy and energy-related sector (see footnote 1 to the table above) was $55.0 billion, with $20.6 billion consisting of direct outstanding funded loans, or 3%, of Citi’s total outstanding loans. This compared to $56.9 billion of total exposure and $22.1 billion of funded loans as of June 30, 2016. In addition, as of September 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 June 30, 2016). Also as of September 30, 2016, approximately 74% of Citi’s total energy and energy-related exposures were rated investment grade (compared to approximately 73% at June 30, 2016).
During the third quarter of 2016, Citi released approximately $35 million of energy and energy-related loan loss reserves and recognized a $1 million recovery in the energy and energy-related loan portfolio. As of September 30, 2016, Citi held loan loss reserves against its funded energy and energy-related loans equal to approximately 4.0% of these loans (up slightly from 3.9% at June 30, 2016), with a funded reserve ratio of approximately
 
10.6% on the non-investment grade portion of the portfolio (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 September 30, 2016,March 31, 2017, Citi’s total corporate credit exposure to banks, broker-dealers and finance companies was approximately $36$37 billion, of which $25$26.2 billion represented direct outstanding funded loans, or 4% of Citi’s total outstanding loans. Also as of September 30, 2016,March 31, 2017, approximately 80%76% 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 September 30, 2016,March 31, 2017, Citi’s total corporate credit exposure to banks was approximately $22$24.6 billion, with approximately $17$19.7 billion consisting of direct outstanding funded loans, or 3% of Citi’s total outstanding loans. Of the approximately $22approximate $24.6 billion as of September 30, 2016,March 31, 2017, approximately 31%28% related to Asia, 31%29% related to EMEA, 16%21% related to North America and 22%23% related to Latin America. Approximately two-thirdsMore than 72% of Citi’s total corporate credit exposure to banks had a tenor of less than 12 months as of September 30, 2016.March 31, 2017.
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 September 30, 2016,March 31, 2017, Citi had net derivative credit exposure to banks, broker-dealers and finance companies of approximately $9$8.8 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 September 30, 2016,March 31, 2017, Citi had net credit exposure to banks, broker-dealers and finance companies in the form of securities financing transactions of $5$5.2 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 September 30, 2016, June 30, 2016March 31, 2017 and December 31, 2015, $37.8 billion, $37.62016, $27.6 billion and $34.5$29.5 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.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
 September 30,
2016		June 30,
2016		December 31,
2015
AAA/AA/A20%20%21%
BBB53
51
48
BB/B24
25
27
CCC or below3
4
4
Total100%100%100%
 March 31,
2017		December 31,
2016
AAA/AA/A16%16%
BBB49
49
BB/B31
31
CCC or below4
4
Total100%100%

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

Industry of Hedged Exposure
September 30,
2016		June 30,
2016		December 31,
2015		March 31,
2017		December 31,
2016
Transportation and industrial28%26%28%28%29%
Energy and commodities19
20
Consumer retail and health16
16
17
13
10
Energy16
15
13
Technology, media and telecom14
15
16
13
13
Power, chemicals, commodities and metals and mining

12
12
12
Public Sector4
5
4
Power, chemicals, metals and mining

12
12
Public sector6
5
Banks/broker-dealers4
4
Insurance and special purpose entities3
5
5
3
3
Banks/broker-dealers3
5
4
Other industries4
1
1
2
4
Total100%100%100%100%100%





ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding
3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars20162016201520172016
Consumer loans

In U.S. offices

Mortgage and real estate(1)
$75,057
$77,242
$79,128
$80,281
$89,155
$71,170
$72,957
$75,057
$77,242
$79,128
Installment, revolving credit, and other3,465
3,486
3,504
3,480
4,999
3,252
3,395
3,465
3,486
3,504
Cards124,637
120,113
106,892
112,800
107,244
125,799
132,654
124,637
120,113
106,892
Commercial and industrial6,989
7,041
6,793
6,407
6,437
7,434
7,159
6,989
7,041
6,793

$210,148
$207,882
$196,317
$202,968
$207,835
Total$207,655
$216,165
$210,148
$207,882
$196,317
In offices outside the U.S.  
Mortgage and real estate(1)
$45,751
$46,049
$47,831
$47,062
$47,295
$43,822
$42,803
$45,751
$46,049
$47,831
Installment, revolving credit, and other28,217
27,830
28,778
29,480
29,702
26,014
24,887
28,217
27,830
28,778
Cards25,833
25,844
26,312
27,342
26,865
24,497
23,783
25,833
25,844
26,312
Commercial and industrial17,828
17,857
17,697
17,741
17,841
17,728
16,568
17,498
17,520
17,352
Lease financing113
140
139
362
368
83
81
113
140
139

$117,742
$117,720
$120,757
$121,987
$122,071
Total$112,144
$108,122
$117,412
$117,383
$120,412
Total consumer loans$327,890
$325,602
$317,074
$324,955
$329,906
$319,799
$324,287
$327,560
$325,265
$316,729
Unearned income(2)
812
817
826
830
(687)757
776
812
817
826
Consumer loans, net of unearned income$328,702
$326,419
$317,900
$325,785
$329,219
$320,556
$325,063
$328,372
$326,082
$317,555
Corporate loans

In U.S. offices

Commercial and industrial$50,156
$50,286
$44,104
$41,147
$40,435
$49,845
$49,586
$50,156
$50,286
$44,104
Loans to financial institutions35,801
32,001
36,865
36,396
38,034
35,734
35,517
35,801
32,001
36,865
Mortgage and real estate(1)
41,078
40,175
38,697
37,565
37,019
40,052
38,691
41,078
40,175
38,697
Installment, revolving credit, and other32,571
32,491
33,273
33,374
32,129
32,212
34,501
32,571
32,491
33,273
Lease financing1,532
1,546
1,597
1,780
1,718
1,511
1,518
1,532
1,546
1,597

$161,138
$156,499
$154,536
$150,262
$149,335
Total$159,354
$159,813
$161,138
$156,499
$154,536
In offices outside the U.S.

Commercial and industrial$84,162
$87,125
$85,491
$82,358
$85,628
$87,258
$81,882
$84,492
$87,432
$85,836
Loans to financial institutions27,305
27,856
28,652
28,704
28,090
33,763
26,886
27,305
27,856
28,652
Mortgage and real estate(1)
5,595
5,455
5,769
5,106
6,602
5,527
5,363
5,595
5,455
5,769
Installment, revolving credit, and other25,462
24,825
21,583
20,853
19,352
16,576
19,965
25,462
24,855
21,583
Lease financing243
255
280
303
329
253
251
243
255
280
Governments and official institutions6,506
5,757
5,303
4,911
4,503
5,970
5,850
6,506
5,757
5,303

$149,273
$151,273
$147,078
$142,235
$144,504
Total$149,347
$140,197
$149,603
$151,610
$147,423
Total corporate loans$310,411
$307,772
$301,614
$292,497
$293,839
$308,701
$300,010
$310,741
$308,109
$301,959
Unearned income(3)
(678)(676)(690)(665)(614)(662)(704)(678)(676)(690)
Corporate loans, net of unearned income$309,733
$307,096
$300,924
$291,832
$293,225
$308,039
$299,306
$310,063
$307,433
$301,269
Total loans—net of unearned income$638,435
$633,515
$618,824
$617,617
$622,444
$628,595
$624,369
$638,435
$633,515
$618,824
Allowance for loan losses—on drawn exposures(12,439)(12,304)(12,712)(12,626)(13,626)(12,030)(12,060)(12,439)(12,304)(12,712)
Total loans—net of unearned income
and allowance for credit losses		$625,996
$621,211
$606,112
$604,991
$608,818
$616,565
$612,309
$625,996
$621,211
$606,112
Allowance for loan losses as a percentage of total loans—
net of unearned income(4)
1.97%1.96%2.07%2.06%2.21%1.93%1.94%1.97%1.96%2.07%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(4)
2.94%2.89%3.09%3.02%3.35%2.96%2.88%2.95%2.89%3.09%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(4)
0.91%0.95%0.98%0.97%0.90%0.83%0.91%0.90%0.95%0.98%
(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
3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars20162016201520172016
Allowance for loan losses at beginning of period$12,304
$12,712
$12,626
$13,626
$14,075
$12,060
$12,439
$12,304
$12,712
$12,626
Provision for loan losses  
Consumer$1,817
$1,275
$1,570
$1,684
$1,338
$1,816
$1,659
$1,815
$1,276
$1,571
Corporate(71)115
316
572
244
(141)68
(69)114
315
$1,746
$1,390
$1,886
$2,256
$1,582
Total$1,675
$1,727
$1,746
$1,390
$1,886
Gross credit losses  
Consumer  
In U.S. offices$1,183
$1,212
$1,230
$1,267
$1,244
$1,444
$1,343
$1,181
$1,213
$1,231
In offices outside the U.S. 702
678
689
794
746
597
605
702
678
689
Corporate  
In U.S. offices27
63
190
75
30
48
32
29
62
189
In offices outside the U.S. 36
95
34
44
48
55
103
36
95
34
$1,948
$2,048
$2,143
$2,180
$2,068
Total$2,144
$2,083
$1,948
$2,048
$2,143
Credit recoveries(1)
  
Consumer  
In U.S. offices$227
$262
$256
$229
$222
$242
$235
$227
$262
$256
In offices outside the U.S. 173
154
150
164
155
127
137
173
154
150
Corporate  
In U.S. offices16
3
4
9
11
2
2
16
3
4
In offices outside the U.S. 7
13
9
16
17
64
13
7
13
9
$423
$432
$419
$418
$405
Total$435
$387
$423
$432
$419
Net credit losses  
In U.S. offices$967
$1,010
$1,160
$1,104
$1,041
$1,248
$1,138
$967
$1,010
$1,160
In offices outside the U.S. 558
606
564
658
622
461
558
558
606
564
Total$1,525
$1,616
$1,724
$1,762
$1,663
$1,709
$1,696
$1,525
$1,616
$1,724
Other—net(8)(7)
$(86)$(182)$(76)$(1,494)$(368)$4
$(410)$(86)$(182)$(76)
Allowance for loan losses at end of period$12,439
$12,304
$12,712
$12,626
$13,626
$12,030
$12,060
$12,439
$12,304
$12,712
Allowance for loan losses as a percentage of total loans(9)(8)
1.97%1.96%2.07%2.06%2.21%1.93%1.94%1.97%1.96%2.07%
Allowance for unfunded lending commitments(7)(10)
$1,388
$1,432
$1,473
$1,402
$1,036
Allowance for unfunded lending commitments(9)
$1,377
$1,418
$1,388
$1,432
$1,473
Total allowance for loan losses and unfunded lending commitments$13,827
$13,736
$14,185
$14,028
$14,662
$13,407
$13,478
$13,827
$13,736
$14,185
Net consumer credit losses$1,485
$1,474
$1,513
$1,668
$1,613
$1,672
$1,576
$1,483
$1,475
$1,514
As a percentage of average consumer loans1.80%1.87%1.90%2.00%1.93%2.11%1.95%1.80%1.87%1.90%
Net corporate credit losses$40
$142
$211
$94
$50
$37
$120
$42
$141
$210
As a percentage of average corporate loans0.05%0.19%0.29%0.13%0.07%0.05%0.16%0.05%0.19%0.29%
Allowance for loan losses at end of period(11)
 
Citicorp$10,735
$10,433
$10,544
$10,331
$10,213
Citi Holdings1,704
1,871
2,168
2,295
3,413
Total Citigroup$12,439
$12,304
$12,712
$12,626
$13,626
Allowance by type 
Allowance by type at end of period(10)
 
Consumer$9,673
$9,432
$9,807
$9,835
$11,030
$9,495
$9,358
$9,673
$9,432
$9,807
Corporate2,766
2,872
2,905
2,791
2,596
2,535
2,702
2,766
2,872
2,905
Total Citigroup$12,439
$12,304
$12,712
$12,626
$13,626
Total$12,030
$12,060
$12,439
$12,304
$12,712
(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 first quarter of 2017 includes a reduction of approximately $161 million related to the sale or transfer to held-for-sale (HFS) of various loan portfolios, including a reduction of $37 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the first quarter includes an increase of approximately $164 million related to FX translation.
(4)The fourth quarter of 2016 includes a reduction of approximately $267 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $3 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the fourth quarter includes a reduction of approximately $141 million related to FX translation.
(5)The third quarter of 2016 includes a reduction of approximately $58 million related to the sale or transferstransfer to held-for-sale (HFS)HFS of various loan portfolios, including a reduction of $50 million related to the transferstransfer of a real estate loan portfolio to HFS. Additionally, the third quarter includes a reduction of approximately $46 million related to FX translation.


(4)(6)The second quarter of 2016 includes a reduction of approximately $101 million related to the sale or transferstransfer to HFS of various loan portfolios, including a reduction of $24 million related to the transferstransfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes a reduction of approximately $75 million related to FX translation.
(5)(7)The first quarter of 2016 includes a reduction of approximately $148 million related to the sale or transferstransfer to HFS of various loan portfolios, including a reduction of $29 million related to the transferstransfer of a real estate loan portfolio to HFS. Additionally, the first quarter includes an increase of approximately $63 million related to FX translation.
(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.
(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.
(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.
(9)March 31, 2017, December 31, 2016, September 30, 2016, June 30, 2016 and March 31, 2016 December 31, 2015, and September 30, 2015 exclude $4.0 billion, $3.5 billion, $4.0 billion, $4.1 billion $4.8 billion, $5.0 billion and $5.5$4.8 billion, respectively, of loans which are carried at fair value.
(10)(9)
Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(11)(10)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 20152016 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:
September 30, 2016March 31, 2017
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$5.0
$125.3
4.0%$5.3
$126.4
4.2%
North America mortgages(3)
1.2
74.7
1.6
1.0
69.9
1.4
North America other
0.5
13.5
3.7
0.4
12.8
3.1
International cards1.4
25.1
5.6
1.3
24.0
5.4
International other(4)
1.6
90.1
1.8
1.5
87.5
1.7
Total consumer$9.7
$328.7
3.0%$9.5
$320.6
3.0%
Total corporate2.7
309.7
0.9
2.5
308.0
0.8
Total Citigroup$12.4
$638.4
2.0%$12.0
$628.6
1.9%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $5.0$5.3 billion of loan loss reserves represented approximately 1714 months of coincident net credit loss coverage.
(3)
Of the $1.2$1.0 billion, approximately $1.1$0.9 billion was allocated to North America mortgages in Citi Holdings.Corporate/Other. Of the $1.2$1.0 billion, approximately $0.5$0.4 billion and $0.7$0.6 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $74.7$69.9 billion in loans, approximately $69.2$65.2 billion and $5.3$4.5 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 1413 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.

December 31, 2015December 31, 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)
$4.5
$113.4
4.0%$5.2
$133.3
3.9%
North America mortgages(3)
1.7
79.6
2.1
1.1
72.6
1.5
North America other
0.5
13.0
3.8
0.5
13.6
3.7
International cards1.6
26.7
6.0
1.2
23.1
5.2
International other(4)
1.5
93.1
1.6
1.4
82.8
1.7
Total consumer$9.8
$325.8
3.0%$9.4
$325.4
2.9%
Total corporate2.8
291.8
1.0
2.7
299.0
0.9
Total Citigroup$12.6
$617.6
2.1%$12.1
$624.4
1.9%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $4.5$5.2 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.
(3)
Of the $1.7$1.1 billion, approximately $1.6$1.0 billion was allocated to North America mortgages in Citi Holdings.Corporate/Other. Of the $1.7$1.1 billion, approximately $0.6$0.4 billion and $1.1$0.7 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $79.6$72.6 billion in loans, approximately $72.3$67.7 billion and $7.1$4.8 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 1413 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)banking) non-accrual status is based on the determination that payment of interest or principal is doubtful.
A corporate loan may be classified as non-accrual and still be performing under the terms of the loan structure. Payments received on corporate non-accrual loans are generally applied to loan principal and not reflected as interest income. Approximately 67%65% and 64% of Citi’s corporate non-accrual loans were performing at September 30,March 31, 2017 and December 31, 2016, compared to 66% at June 30, 2016.respectively.
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 decreased during the third quarter of 2016 by 2% or approximately $45 million, driven primarily by energy and energy-related exposures in North America last quarter (for additional information on these exposures, see “Corporate Credit” above).


Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,
In millions of dollars20162016201520172016
Citicorp$3,977
$4,101
$3,718
$2,991
$2,921
Citi Holdings1,990
2,064
2,210
2,263
3,486
Total non-accrual loans$5,967
$6,165
$5,928
$5,254
$6,407
Corporate non-accrual loans(1)(2)

Corporate non-accrual loans(1)
 
North America$1,057
$1,280
$1,331
$818
$833
$993
$984
$1,057
$1,280
$1,331
EMEA857
762
469
347
386
828
904
857
762
469
Latin America380
267
410
303
230
342
379
380
267
410
Asia121
151
117
128
129
176
154
121
151
117
Total corporate non-accrual loans$2,415
$2,460
$2,327
$1,596
$1,578
$2,339
$2,421
$2,415
$2,460
$2,327
Citicorp$2,365
$2,410
$2,275
$1,543
$1,525
Citi Holdings50
50
52
53
53
Total corporate non-accrual loans$2,415
$2,460
$2,327
$1,596
$1,578
Consumer non-accrual loans(1)(3)
 
Consumer non-accrual loans(1)
 
North America$2,429
$2,520
$2,519
$2,515
$3,622
$1,926
$2,160
$2,429
$2,520
$2,519
Latin America841
884
817
874
935
737
711
841
884
817
Asia(4)
282
301
265
269
272
Asia(2)
292
287
282
301
265
Total consumer non-accrual loans$3,552
$3,705
$3,601
$3,658
$4,829
$2,955
$3,158
$3,552
$3,705
$3,601
Citicorp$1,612
$1,691
$1,443
$1,448
$1,396
Citi Holdings1,940
2,014
2,158
2,210
3,433
Total consumer non-accrual loans $3,552
$3,705
$3,601
$3,658
$4,829
Total non-accrual loans$5,294
$5,579
$5,967
$6,165
$5,928
(1)Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $194 million at September 30,March 31, 2017, $187 million at December 31, 2016, $194 million at March 31, 2016, $212 million at June 30, 2016 and $236 million at March 31, 2016, $250 million at December 31, 2015 and $320 million at September 30, 2015.2016.
(2) Asia GCB includes balances in certain EMEA countries for all periods presented.


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

 Three months endedThree months ended
 March 31, 2017March 31, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,421
$3,158
$5,579
$1,596
$3,658
$5,254
Additions(1)
253
824
1,077
1,047
914
1,961
Sales and transfers to held-for-sale(36)(135)(171)(8)(162)(170)
Returned to performing(37)(164)(201)(15)(141)(156)
Paydowns/settlements(183)(280)(463)(98)(245)(343)
Charge-offs(54)(524)(578)(140)(439)(579)
Other(25)76
51
(55)16
(39)
Ending balance$2,339
$2,955
$5,294
$2,327
$3,601
$5,928

(2)(1)
The increases in corporate non-accrual loans in the 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) Asia GCB includes balances in certain EMEA countries for all periods presented.



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

 Three months endedThree months ended
 September 30, 2016September 30, 2015
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,460
$3,705
$6,165
$1,223
$5,261
$6,484
Additions469
1,131
1,600
626
1,094
1,720
Sales and transfers to held-for-sale(4)(102)(106)(39)(275)(314)
Returned to performing(58)(149)(207)(39)(258)(297)
Paydowns/settlements(433)(562)(995)(95)(323)(418)
Charge-offs(24)(455)(479)(34)(573)(607)
Other5
(16)(11)(64)(97)(161)
Ending balance$2,415
$3,552
$5,967
$1,578
$4,829
$6,407

 Nine months endedNine months ended
 September 30, 2016September 30, 2015
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$1,596
$3,658
$5,254
$1,202
$5,905
$7,107
Additions2,346
3,371
5,717
1,114
4,027
5,141
Sales and transfers to held-for-sale(13)(473)(486)(215)(1,030)(1,245)
Returned to performing(141)(434)(575)(60)(865)(925)
Paydowns/settlements(1,022)(1,203)(2,225)(337)(939)(1,276)
Charge-offs(277)(1,353)(1,630)(92)(2,059)(2,151)
Other(74)(14)(88)(34)(210)(244)
Ending balance$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:
 Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,
In millions of dollars20162016201520152015
OREO     
Citicorp$57
$54
$74
$70
$83
Citi Holdings104
121
131
139
144
Total OREO$161
$175
$205
$209
$227
North America$132
$151
$159
$166
$177
EMEA1
—
1
1
1
Latin America18
19
35
38
44
Asia10
5
10
4
5
Total OREO$161
$175
$205
$209
$227
Non-accrual assets—Total Citigroup 





Corporate non-accrual loans$2,415
$2,460
$2,327
$1,596
$1,578
Consumer non-accrual loans3,552
3,705
3,601
3,658
4,829
Non-accrual loans (NAL)$5,967
$6,165
$5,928
$5,254
$6,407
OREO$161
$175
$205
$209
$227
Non-accrual assets (NAA)$6,128
$6,340
$6,133
$5,463
$6,634
NAL as a percentage of total loans0.94%0.97%0.96%0.85%1.03%
NAA as a percentage of total assets0.34
0.35
0.34
0.32
0.37
Allowance for loan losses as a percentage of NAL(1)
208
200
214
240
213

Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,
Non-accrual assets—Total Citicorp201620162015
In millions of dollars20172016
OREO 
North America$136
$161
$132
$151
$159
EMEA1
—
1
—
1
Latin America31
18
18
19
35
Asia5
7
10
5
10
Total OREO$173
$186
$161
$175
$205
Non-accrual assets
Corporate non-accrual loans$2,339
$2,421
$2,415
$2,460
$2,327
Consumer non-accrual loans2,955
3,158
3,552
3,705
3,601
Non-accrual loans (NAL)$3,977
$4,101
$3,718
$2,991
$2,921
$5,294
$5,579
$5,967
$6,165
$5,928
OREO57
54
74
70
83
$173
$186
$161
$175
$205
Non-accrual assets (NAA)$4,034
$4,155
$3,792
$3,061
$3,004
$5,467
$5,765
$6,128
$6,340
$6,133
NAL as a percentage of total loans0.84%0.89%0.93%0.97%0.96%
NAA as a percentage of total assets0.23%0.24%0.22%0.19%0.18%0.30
0.32
0.34
0.35
0.34
Allowance for loan losses as a percentage of NAL(1)
270
254
284
345
350
227
216
208
200
214
Non-accrual assets—Total Citi Holdings
Non-accrual loans (NAL)(2)
$1,990
$2,064
$2,210
$2,263
$3,486
OREO104
121
131
139
144
Non-accrual assets (NAA)$2,094
$2,185
$2,341
$2,402
$3,630
NAA as a percentage of total assets3.43%3.31%3.21%2.97%3.10%
Allowance for loan losses as a percentage of NAL(1)
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 dollarsSep. 30, 2016Dec. 31, 2015Mar. 31, 2017Dec. 31, 2016
Corporate renegotiated loans(1)
    
In U.S. offices    
Commercial and industrial(2)
$81
$25
$136
$89
Mortgage and real estate(3)
78
104
Mortgage and real estate80
84
Loans to financial institutions10
5
9
9
Other255
273
177
228
$424
$407
$402
$410
In offices outside the U.S.    
Commercial and industrial(2)
$313
$111
$254
$319
Mortgage and real estate(3)
2
33
Other36
45
Mortgage and real estate4
3
Loans to financial institutions15
—
$351
$189
$273
$322
Total corporate renegotiated loans$775
$596
$675
$732
Consumer renegotiated loans(6)(5)
    
In U.S. offices    
Mortgage and real estate(7)(6)
$5,206
$7,058
$4,541
$4,695
Cards1,292
1,396
1,327
1,313
Installment and other88
79
138
117
$6,586
$8,533
$6,006
$6,125
In offices outside the U.S.    
Mortgage and real estate$496
$517
$357
$447
Cards539
555
496
435
Installment and other470
471
379
443
$1,505
$1,543
$1,232
$1,325
Total consumer renegotiated loans$8,091
$10,076
$7,238
$7,450
(1)Includes $476$466 million and $258$445 million of non-accrual loans included in the non-accrual assetsloans table above at September 30, 2016March 31, 2017 and December 31, 2015,2016, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at September 30, 2016,March 31, 2017, Citi also modified $252$185 million of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) all withinin offices inoutside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession (a required element of a TDR for accounting purposes).concession.
(3)In addition to modifications reflected as TDRs at September 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 $1,691$1,438 million and $1,852$1,502 million of non-accrual loans included in the non-accrual assetsloans table above at September 30, 2016March 31, 2017 and December 31, 2015,2016, respectively. The remaining loans are accruing interest.
(5)(4)Includes $78$47 million and $96$58 million of commercial real estate loans at September 30, 2016March 31, 2017 and December 31, 2015,2016, respectively.
(5)Includes $126 million and $105 million of other commercial loans at March 31, 2017 and December 31, 2016, respectively.
(6)Includes $78 million and $85 million of other commercial loans at September 30, 2016 and December 31, 2015, respectively.
(7)Reduction in the ninethree months ended September 30, 2016March 31, 2017 includes $1,366$89 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 20152016 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 dollarsSept. 30, 2016Jun. 30, 2016Sept. 30, 2015Sept. 30, 2016Jun. 30, 2016Sept. 30, 2015Sept. 30, 2016Jun. 30, 2016Sept. 30, 2015Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016
Available cash$71.1
$61.3
$68.9
$19.2
$23.2
$21.5
$90.2
$84.5
$90.4
$83.8
$68.3
$74.2
$24.5
$19.8
$24.5
$108.3
$88.1
$98.7
U.S. sovereign122.3
115.0
119.6
21.8
19.6
22.4
144.1
134.6
142.0
113.8
123.0
117.7
22.7
22.5
22.6
136.5
145.5
140.3
U.S. agency/agency MBS62.6
69.2
60.1
0.2
0.3
1.0
62.8
69.5
61.1
59.2
61.7
68.9
0.8
0.6
0.5
60.0
62.3
69.4
Foreign government debt(2)
89.2
86.7
87.6
15.5
16.8
15.5
104.7
103.5
103.1
84.5
87.9
86.8
17.2
15.6
19.6
101.7
103.5
106.4
Other investment grade1.0
1.2
0.8
1.5
1.5
1.5
2.5
2.7
2.3
0.3
0.3
1.1
1.5
1.2
1.6
1.8
1.5
2.7
Total HQLA (EOP)$346.2
$333.4
$337.0
$58.2
$61.4
$61.9
$404.3
$394.8
$398.9
$341.6
$341.2
$348.7
$66.7
$59.7
$68.8
$408.3
$400.9
$417.5
Total HQLA (AVG)$344.0
$342.5
$—
$59.8
$68.5
$—
$403.8
$411.0
$—
$353.5
$345.7
$335.1
$59.3
$58.0
$65.0
$412.8
$403.7
$400.1

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 thustherefore exclude any securities that are encumbered, as well as theand incorporate any haircuts that would be required for securities financingsecured funding transactions. As previously disclosed (see “Liquidity Risk” in the First Quarter of 2016 Form 10-Q), theThe Federal Reserve Board has proposedadopted final rules requiring disclosure of HQLA, the Liquidity Coverage Ratio and related components on an average basis each quarter, as compared to end-of-period.end-of-period starting on April 1, 2017 (for additional information, see “Liquidity Coverage Ratio (LCR)” below). Citi has presented in this form 10-Q 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 3Q’16 and 2Q’16; 3Q’15 andLCR; 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 Citibanamex and Citibank (Switzerland) AG. Citibanamex and Citibank (Switzerland) AG account for approximately $7$6 billion of the “Non-Bank and Other” HQLA balance as of September 30, 2016.March 31, 2017.
(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, Taiwan, Korea, Singapore, India, Brazil and Mexico.

As set forth in the table above, sequentially, Citi’s total HQLA increased both on an end-of-period basis but declined onand an average basis. The end-of-period increase wasbasis, due 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 tocash driven by higher average loan and non-HQLA trading asset growth.deposits.
Citi’s HQLA as set forth above does not include Citi’s additional available borrowing capacity from the FHLBsFederal Home Loan Banks (FHLBs) of which Citi is a member, which was approximately $24$28 billion as of September 30,March 31, 2017 (compared to $21 billion as of December 31, 2016 (compared toand $37 billion as of June 30, 2016 and $36 billion as of September 30, 2015)March 31, 2016) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.
In general, Citi’s liquidity is fungible 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 September 30, 2016,March 31, 2017, the capacity available for lending to these entities under Section 23A was approximately $15 billion, unchanged from June 30,$15 billion as of December 31, 2016 and compared to $17

$14 billion as of September 30, 2015,March 31, 2016, subject to certain eligible non-cash collateral requirements.




Loans
The table below sets forth the end-of-periodaverage loans, by business and/or segment, and the total averageend-of-period loans for each of the periods indicated:
In billions of dollarsSept. 30, 2016Jun. 30, 2016Sept. 30, 2015Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016
Global Consumer Banking  
North America$180.0
$175.6
$158.9
$183.3
$182.0
$161.6
Latin America23.9
24.5
25.2
23.1
23.5
24.4
Asia(1)
85.8
85.1
85.6
83.2
81.9
84.9
Total$289.7
$285.2
$269.7
$289.6
$287.4
$270.9
Institutional Clients Group  
Corporate lending120.8
123.9
120.4
118.1
118.9
121.6
Treasury and trade solutions (TTS)72.3
73.6
73.5
70.5
71.5
70.4
Private bank, markets and securities services and other116.5
109.4
99.1
113.2
113.9
103.0
Total$309.6
$306.9
$293.0
$301.8
$304.3
$295.0
Total Citicorp599.3
592.1
562.7
Total Citi Holdings39.1
41.4
59.7
Total Corporate/Other
31.8
34.6
46.3
Total Citigroup loans (AVG)$623.2
$626.3
$612.2
Total Citigroup loans (EOP)$638.4
$633.5
$622.4
$628.6
$624.4
$618.8
Total Citigroup loans (AVG)$634.9
$620.6
$623.2

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

As set forth onin the table above, end-of-period loans increased 3%2% year-over-year and 1% quarter-over-quarter,quarter-over-quarter. On an average basis, loans increased 2% year-over-year and remained largely unchanged sequentially, both on a reported basis and excluding the impact of FX translation, as growth in Citicorp offset continued reductions in Citi Holdings.translation.
Excluding the impact of FX translation, Citicorp loans increased 7% year-over-year.average GCB loans grew 7% year-over-year, driven by 13% growth in North America. Within North America, Citi-branded cards increased 25%28% year-over-year, primarily due to the acquisition of the Costco portfolio, towards the end of the second quarter of 2016.as well as modest organic growth. International GCB loans declined 1%, as continued6% growth in Mexico was more than offset by a 4%3% decline in Asia, reflecting the product repositioningCiti’s continued optimization ofthe retail its portfolio in this region away from lower return mortgage loans.to generate higher returns.
Average ICG loans increased 6% year-over-year. Within ICG, corporate loans increased 1%3% year-over-year, primarily driven by the private bank. Corporate lending decreased 2%, primarily driven by a lower level of episodic funding of transaction-related commitments torequired by ICG’s target market clients partially offset by loan sale activity. On an average basis,in the corporate lending portfolio increased 4%.first quarter of 2017, compared to the prior-year period. The majority of ICG’s target market clients are investment grade, with a generally strong liquidity position. In the quarter, these target clients accessed the capital markets to fund ongoing, longer-term financing requirements in the continued attractive rate environment. Treasury and trade solutions loans declined 2%increased 1% as the business continued to support its clients while distributing trade loan originations to optimize theits balance sheet in a continued low rate environment.and returns. Private bank and markets and securities services loans grew 19% year-over-year. Private bank growth was10% year-over-year, driven primarily by the private bank.
Average Corporate/Other loans decreased 32% year-over-year, driven by real estate and investment-related lending to target clients as Citi sought to deepen client relationships at attractive return levels. Markets growth included lending to target clients$10 billion of reductions in advance of capital markets issuance.average North
 
Citi Holdings loans decreased 35% year-over-year driven by $17 billion of reductions in North America mortgages, including transfers to held-for-sale (see Note 13 to the Consolidated Financial Statements).

Deposits
The table below sets forth the end-of-periodaverage deposits, by business and/or segment, and the total averageend-of-period deposits for each of the periods indicated:
In billions of dollarsSept. 30, 2016Jun. 30, 2016Sept. 30, 2015Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016
Global Consumer Banking  
North America$185.6
$183.3
$180.0
$185.5
$186.0
$180.6
Latin America27.4
28.2
26.2
25.3
25.2
26.1
Asia(1)
93.6
90.5
87.0
92.7
89.9
87.2
Total$306.6
$302.0
$293.2
$303.5
$301.1
$293.9
Institutional Clients Group  
Treasury and trade solutions (TTS)415.0
405.0
398.5
416.2
415.4
402.1
Banking ex-TTS118.9
116.4
117.5
120.8
122.4
113.5
Markets and securities services83.3
85.4
79.1
80.1
81.7
77.4
Total$617.2
$606.8
$595.1
$617.1
$619.5
$593.0
Corporate/Other10.6
22.7
5.3
20.3
14.5
24.8
Total Citicorp$934.4
$931.5
$893.6
Total Citi Holdings5.9
6.4
10.6
Total Citigroup deposits (AVG)$940.9
$935.1
$911.7
Total Citigroup deposits (EOP)$940.3
$937.9
$904.2
$950.0
$929.4
$934.6
Total Citigroup deposits (AVG)$944.2
$935.6
$903.1
(1)
Includes deposits in certain EMEA countries for all periods presented.

End-of-period deposits increased 4%2% year-over-year and remained relatively unchanged quarter-over-quarter, both on a reportedquarter-over-quarter. On an average basis, deposits increased 3% year-over-year and excluding the impact of FX translation.1% sequentially.
Excluding the impact of FX translation, Citicorpaverage deposits grew 5% year-over-year. Within Citicorp, GCB deposits increased 5% year-over-year, driven by broad-based growth4% from the prior-year period as Citi experienced strong customer engagement across all regions. ICG deposits increased 4% year-over-year, driven primarily by treasurymajor businesses and trade solutions, as the business continued to support client activity.regions.




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 7.06.9 years as of September 30, 2016, unchanged sequentially and an increaseMarch 31, 2017, a slight decline from 6.8 years inboth the prior-year period. The increase year-over-year was due primarily to the issuance of longer-dated debt securities during the third 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)”period and “Risk Factors—Liquidity Risks” in Citi’s 2015 Annual Report on Form 10-K).sequentially.
Citi’s long-term debt outstanding at the parent includes senior and subordinated debt and a portion of 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 and non-bank 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 end-of-period total long-term debt outstanding for each of the periods indicated:
In billions of dollarsSept. 30, 2016Jun. 30, 2016Sept. 30, 2015Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016
Parent and other(1)












Benchmark debt:  
Senior debt$97.1
$96.1
$99.5
$100.2
$99.9
$94.0
Subordinated debt28.8
28.8
26.8
26.3
26.8
29.4
Trust preferred1.7
1.7
1.7
1.7
1.7
1.7
Customer-related debt:

Structured debt23.6
22.5
23.1
24.3
22.8
23.6
Non-structured debt3.5
3.3
3.6
2.9
3.0
3.3
Local country and other(2)
2.7
2.3
2.1
2.0
2.5
4.1
Total parent and other$157.4
$154.8
$156.8
$157.4
$156.7
$156.1
Bank











FHLB borrowings$21.6
$19.6
$17.3
$20.3
$21.6
$17.1
Securitizations(3)
24.4
27.3
32.0
24.0
23.5
28.7
CBNA Benchmark Debt2.5
—
—
Local country and other(2)
5.8
5.8
7.4
4.3
4.4
5.9
Total bank$51.7
$52.6
$56.7
$51.1
$49.5
$51.7
Total long-term debt$209.1
$207.4
$213.5
$208.5
$206.2
$207.8
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, 2016March 31, 2017, “parent and other” included $8.3$15.8 billion of long-term debt issued by Citi’s broker-dealer subsidiaries.
(2)Local country debt includes debt issued by Citi’s affiliates in support of their local operations.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Year-over-year, Citi’s total long-term debt outstanding decreased primarily due toincreased modestly, as an increase in senior debt at the parent more than offset continued reductions in securitizations at the bank entities. Sequentially, Citi’s total long-term debt outstanding increased, primarily driven by the issuance of benchmark debt at the bank, as parent and other debt remained largely unchanged.
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.costs (and assist it in meeting regulatory changes and requirements). During the thirdfirst quarter of 2016,2017, Citi repurchased an aggregate of approximately $1.6$0.9 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:
3Q162Q163Q151Q174Q161Q16
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent and other























Benchmark debt:          
Senior debt$3.3
$4.5
$5.1
$6.6
$2.8
$3.4
$5.3
$5.2
$2.2
$9.7
$4.3
$5.2
Subordinated debt1.3
1.5
1.7
1.0
0.7
2.0
1.2
0.7
0.2
—
—
1.5
Trust preferred—
—
—
—
—
—
—
—
—
—
—
—
Customer-related debt:

   

   
Structured debt2.2
3.0
3.4
2.0
1.5
1.6
6.6
6.2
1.8
1.6
2.0
3.6
Non-structured debt0.1
0.2
0.1
0.1
0.8
0.1
0.2
—
0.3
—
0.2
—
Local country and other0.1
0.4
1.9
—
0.1
0.5
0.6
0.2
0.1
—
0.1
1.9
Total parent and other$6.9
$9.6
$12.2
$9.7
$5.9
$7.6
$13.9
$12.3
$4.6
$11.3
$6.6
$12.2
Bank























FHLB borrowings$2.8
$5.8
$1.0
$2.5
$0.5
$1.0
$1.8
$0.5
$5.1
$5.1
$1.7
$1.0
Securitizations3.0
—
1.3
—
0.7
0.8
2.0
2.5
4.1
3.3
2.3
—
CBNA Benchmark Debt—
2.5
—
—
—
—
Local country and other0.9
0.9
1.1
1.0
0.6
0.2
1.2
0.8
1.2
0.6
0.7
0.7
Total bank$6.7
$6.7
$3.4
$3.5
$1.8
$2.0
$5.0
$6.3
$10.4
$9.0
$4.7
$1.7
Total$13.6
$16.3
$15.6
$13.2
$7.7
$9.6
$18.9
$18.6
$15.0
$20.3
$11.3
$13.9

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2016,during the first quarter of 2017, as well as its aggregate expected annual long-term debt maturities as of September 30, 2016:March 31, 2017:
Maturities
2016 YTD
   Maturities
In billions of dollars201620172018201920202021ThereafterTotal1Q17201720182019202020212022ThereafterTotal
Parent and other



































Benchmark debt:   
   
Senior debt$12.7
$1.8
$14.3
$18.4
$14.6
$6.6
$11.2
$30.3
$97.1
$5.3
$8.8
$18.2
$14.1
$8.9
$14.0
$2.5
$33.7
$100.2
Subordinated debt3.0
—
1.2
1.0
1.3
—
—
25.3
28.8
1.2
—
0.9
1.3
—
—
1.1
22.9
26.3
Trust preferred—
—
—
—
—
—
—
1.7
1.7
—
—
—
—
—
—
—
1.7
1.7
Customer-related debt:   
   
Structured debt7.7
1.2
3.5
2.7
2.1
2.3
1.9
9.9
23.6
6.6
—
4.6
2.7
2.0
2.3
1.2
11.4
24.3
Non-structured debt0.4
0.2
0.5
0.6
0.2
0.2
0.1
1.6
3.5
0.2
0.4
0.6
0.1
0.3
0.1
—
1.4
2.9
Local country and other2.0
—
0.3
0.2
0.1
0.1
—
1.9
2.7
0.6
—
0.7
0.2
0.1
0.6
0.3
0.3
2.0
Total parent and other$25.8
$3.2
$19.9
$22.9
$18.3
$9.2
$13.2
$70.7
$157.4
$13.9
$9.2
$25.0
$18.4
$11.3
$17.0
$5.1
$71.4
$157.4
Bank



































FHLB borrowings$5.5
$4.1
$8.8
$8.8
$—
$—
$—
$—
$21.6
$1.8
$6.0
$13.8
$0.6
$—
$—
$—
$—
$20.3
Securitizations6.6
5.1
5.3
8.4
1.9
0.1
2.5
1.0
24.4
2.0
3.3
9.4
6.5
0.1
3.8
0.1
0.9
24.0
CBNA Benchmark Debt—
—
—
2.5
—
—
—
—
2.5
Local country and other2.7
1.1
1.9
1.0
0.4
1.0
0.2
0.2
5.8
1.2
0.4
1.8
0.6
0.8
0.1
0.1
0.3
4.3
Total bank$14.7
$10.3
$16.0
$18.2
$2.4
$1.2
$2.6
$1.2
$51.7
$5.0
$9.7
$25.0
$10.2
$0.9
$3.9
$0.2
$1.2
$51.1
Total long-term debt$40.6
$13.5
$35.8
$41.1
$20.7
$10.3
$15.8
$71.8
$209.1
$18.9
$18.9
$50.0
$28.6
$12.2
$20.9
$5.3
$72.6
$208.5




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. Seeparticipants (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings.borrowings).
Outside of secured funding transactions, Citi’s short-term borrowings increased both year-over-year (a 25% increase) and, but declined sequentially (a 60% increase)15% decline). The increase year-over-year was driven by an increase in FHLB borrowing, as Citi purposefully replaced corporate CDscontinued to optimize liquidity across its 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 $153$148 billion as of September 30, 2016March 31, 2017 declined 9%6% from the prior-year period and 3%increased 5% sequentially.Excluding the impact of FX translation, secured funding decreased 7%3% from the prior-year period and increased 3% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $158$149 billion for the quarter ended September 30, 2016.March 31, 2017.
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 September 30, 2016.March 31, 2017.
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 20152016 Annual Report on Form 10-K and First Quarter 2016 Form 10-Q)10-K). 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 dollarsSept. 30, 2016
Jun. 30, 2016

Sept. 30, 2015Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016
HQLA$403.8
$411.0
$398.9
$412.8
$403.7
$400.1
Net outflows335.3
339.8
355.6
334.4
332.5
333.3
LCR120%121%112%123%121%120%
HQLA in excess of net outflows$68.5
$71.2
$43.3
$78.4
$71.3
$66.8

Note: Amounts for 3Q’16 and 2Q’16The amounts set forth in the table above are presented on an average basis; amounts for 3Q’15 are presented end-of-period. Accordingly, data in 3Q’16 and 2Q’16 is not directly comparable to data in 3Q’15.basis.

As set forth in the table above, sequentially, Citi’s LCR decreased slightly, reflectingincreased both the decreaseyear-over-year and sequentially driven by an increase in average HQLA (as described above) andwhich more than offset a slight declinemodest increase in average net outflows due primarily to a reduction in average unsecured long-term debt maturing within 30 days.outflows.

















Credit Ratings
The table below sets forth the ratings for Citigroup and Citibank as of September 30, 2016.March 31, 2017. While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Inc. (CGMI) were A/A-1“A2/P-1” at Moody’s, “A+/A-1” at Standard & Poor’s and A+“A+/F1F1” at Fitch as of September 30, 2016.March 31, 2017. 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 September 30, 2016.March 31, 2017.
 



 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+A-1Watch PositiveStable

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 derivative 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 20152016 Annual Report on Form 10-K.

 

Citigroup Inc. and Citibank—Potential Derivative Triggers
As of September 30, 2016,March 31, 2017, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.5$0.6 billion, compared to $1.2$0.4 billion as of 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 JuneDecember 31, 2016. Other funding sources, such as securities financing transactionssecured funding and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of September 30, 2016,March 31, 2017, 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 $1.3$0.8 billion, compared to $2.1$1.2 billion as of June 30,December 31, 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 increased aggregate cash obligations and collateral requirements of approximately $1.8$1.4 billion, compared to $3.3$1.6 billion as of June 30,December 31, 2016 (see also Note 19 to the Consolidated Financial Statements). As set forth under “High-Quality Liquid Assets” above, the liquidity resources of Citibank were approximately $344$353 billion and the liquidity resources of Citi’s non-bank and other entities were approximately $60$59 billion, for a total of approximately $404$413 billion as of September 30, 2016.March 31, 2017. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending, and



adjusting the size of select trading books and collateralized borrowings 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 September 30, 2016,March 31, 2017, Citibank had liquidity commitments of approximately $10.1 billion to consolidated asset-backed commercial paper conduits, compared to $10.0 billion as of June 30,December 31, 2016 (as referenced in Note 18 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank and Citibanamex entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.



MARKET RISK

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 on market risk and market risk management at Citi, see “Market Risk” and “Risk Factors” in Citi’s 20152016 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 20152016 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)Sept. 30, 2016Jun. 30, 2016Sept. 30, 2015Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016
Estimated annualized impact to net interest revenue      
U.S. dollar(1)
$1,405
$1,394
$1,533
$1,644
$1,586
$1,362
All other currencies574
590
616
581
550
587
Total$1,979
$1,984
$2,149
$2,225
$2,136
$1,949
As a percentage of average interest-earning assets0.12%0.12%0.13%0.14%0.13%0.13%
Estimated initial impact to AOCI (after-tax)(2)
$(4,868)$(4,628)$(4,450)$(3,830)$(4,671)$(4,950)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(53)(52)(50)(43)(53)(57)
(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 $(238)$(180) million for a 100 basis point instantaneous increase in interest rates as of September 30, 2016.March 31, 2017.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
(3)The estimated initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi’s DTA position and is based on only the estimated initial AOCI impact above.
The slight sequential decreaseincrease in the estimated impact to net interest revenue primarily reflected changes in balance sheet composition, including changesincreases in Citi Treasury’s interest rate derivative positioning, which was largely offset by the increase and seasoningcertain of Citi’s deposit balances, primarily in treasury and trade solutions.balances. The sequential increasedecrease in the estimated impact to AOCI primarily reflected the changes to the positioning of Citi Treasury’s investment securities and related interest rate derivatives portfolio, as referenced above.portfolio.
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 September 30, 2016,March 31, 2017, Citi expects that the negative $4.9
$3.8 billion impact to AOCI in such a scenario could potentially be offset over approximately 3018 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$1,405
$1,325
$124
$(167)$1,644
$1,533
$96
$(114)
All other currencies574
561
34
(34)581
536
33
(33)
Total$1,979
$1,886
$158
$(201)$2,225
$2,069
$129
$(147)
Estimated initial impact to AOCI (after-tax)(1)
$(4,868)$(3,035)$(1,930)$1,495
$(3,830)$(2,430)$(1,550)$1,261
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2)
(53)(33)(22)16
(43)(27)(18)14
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,In recent years, 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 20152016 Annual Reporting on Form 10-K).

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of September 30, 2016,March 31, 2017, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.6$1.4 billion, or 0.9% of TCE,0.8%, 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.Australian dollar.
 
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 17 to the Consolidated Financial Statements.













For the quarter endedFor the quarter ended
In millions of dollars (unless otherwise noted)Sept. 30, 2016Jun. 30, 2016Sept. 30, 2015Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016
Change in FX spot rate(1)
(0.2)%(0.9)%(6.0)%4.5%(5.2)%2.1%
Change in TCE due to FX translation, net of hedges$(412)$(441)$(2,010)$654
$(1,668)$396
As a percentage of TCE(0.2)%(0.2)%(1.1)%0.4%(0.9)%0.2%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
to changes in FX translation, net of hedges (bps)
(2)2
(5)(2)—
(1)

(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.jpgabs1q17.jpg
3rd Qtr. 2nd Qtr. 3rd Qtr. Change1st Qtr. 4th Qtr. 1st Qtr. Change
In millions of dollars, except as otherwise noted2016 2016 2015 3Q16 vs. 3Q152017 2016 2016 1Q17 vs. 1Q16
Interest revenue(1)
$14,767
 $14,473
 $14,832
 — % $14,546
 $14,551
 $14,286
 2 % 
Interest expense3,174
 3,120
 2,941
 8
 
Interest expense(2)
3,566
 3,277
 2,940
 21
 
Net interest revenue(2)
$11,593
 $11,353
 $11,891
 (3)% $10,980
 $11,274
 $11,346
 (3)% 
Interest revenue—average rate3.65% 3.65% 3.67% (2)bps3.63% 3.60% 3.68% (5)bps
Interest expense—average rate1.03
 1.04
 0.93
 10
bps1.16
 1.06
 0.99
 17
bps
Net interest margin2.86
 2.86
 2.94
 (8)bps2.74
 2.79
 2.92
 (18)bps
Interest-rate benchmarks                
Two-year U.S. Treasury note—average rate0.73% 0.77% 0.69% 4
bps1.24% 1.01% 0.84% 40
bps
10-year U.S. Treasury note—average rate1.56
 1.75
 2.22
 (66)bps2.45
 2.14
 1.91
 54
bps
10-year vs. two-year spread83
bps98
bps153
bps 
 121
bps113
bps107
bps 
 
Note: All interest expense amounts include FDIC deposit insurance 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.assessments.
(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$123 million, $117$112 million, and $118$119 million for the three months ended September 30, 2016, June 30,March 31, 2017, December 31, 2016 and September 30, 2015,March 31, 2016, respectively.
(2)
Excludes expensesInterest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value.
value, is reported together with any changes in fair value as part of Principal Transactions in the Consolidated Statements of Income and is therefore not reflected in Interest expense in the table above.


Citi’s net interest revenue declined 3% to $10.9 billion ($11.0 billion on a taxable equivalent basis) versus the prior-year period, due to lower trading-related net interest revenue ($949 million, down approximately 28% or $375 million), and lower net interest revenue associated with legacy assets in Corporate/Other ($402 million, down approximately 35% or $218 million), as well as the impact of FX translation (negative $58 million), partially offset by higher net interest revenue in the remaining accrual businesses (core accrual net interest revenue). Core accrual net interest revenue increased 3% to $9.5 billion versus the prior-year period, driven by the addition of the Costco portfolio, other volume growth and the impact of the December 2016 interest rate increase, partially


offset by the impact of one less accrual day in 2017, an increase in the FDIC assessment and higher long-term debt.
Citi’s net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest earninginterest-earning assets. Citi’s NIM was 2.86%2.74% on a taxable equivalent basis in the thirdfirst quarter of 2016,2017, a decrease of 18 bps from the prior-year period. Citi’s core accrual NIM declined 9 bps as the benefit from the impacthigher core accrual net interest revenue was more than offset by balance sheet growth, particularly in cash balances. (Citi’s core accrual net interest revenue and core accrual NIM are non-GAAP financial measures. Citi believes these measures provide a more meaningful depiction for investors of the Costco portfolio acquisition and other loan growth was offset by lower trading NIM, higher than anticipated cash balances during the quarter and the impactunderlying fundamentals of higher FDIC deposit insurance assessments (see the Note to the table above).its business results.)





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
3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except rates20162016201520162016201520162016201520172016201620172016201620172016
Assets                
Deposits with banks(5)(4)
$131,571
$135,245
$139,349
$247
$237
$187
0.75%0.70%0.53%$154,765
$143,119
$117,765
$295
$268
$219
0.77%0.74%0.75%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)(5)
     




     




In U.S. offices$146,581
$148,511
$150,455
$387
$362
$313
1.05%0.98%0.83%$144,003
$145,799
$150,044
$368
$360
$374
1.04%0.98%1.00%
In offices outside the U.S.(5)
88,415
84,018
83,376
249
302
343
1.12%1.45%1.63%
In offices outside the U.S.(4)
103,032
89,565
78,571
293
236
273
1.15%1.05%1.40%
Total$234,996
$232,529
$233,831
$636
$664
$656
1.08%1.15%1.11%$247,035
$235,364
$228,615
$661
$596
$647
1.09%1.01%1.14%
Trading account assets(8)(7)
    




    




In U.S. offices$109,039
$108,602
$114,360
$912
$970
$1,024
3.33%3.59%3.55%$101,836
$100,473
$104,982
$884
$956
$953
3.52%3.79%3.65%
In offices outside the U.S.(5)
100,825
101,075
95,827
559
603
507
2.21%2.40%2.10%
In offices outside the U.S.(4)
94,015
94,309
90,623
423
415
518
1.82%1.75%2.30%
Total$209,864
$209,677
$210,187
$1,471
$1,573
$1,531
2.79%3.02%2.89%$195,851
$194,782
$195,605
$1,307
$1,371
$1,471
2.71%2.80%3.02%
Investments    




    




In U.S. offices    




    




Taxable$228,337
$225,279
$211,722
$990
$991
$941
1.72%1.77%1.76%$221,450
$220,461
$228,980
$1,034
$999
$1,000
1.89%1.80%1.76%
Exempt from U.S. income tax19,102
19,010
19,745
162
170
101
3.37%3.60%2.03%18,680
18,802
19,400
196
192
169
4.26%4.06%3.50%
In offices outside the U.S.(5)
107,350
107,235
103,656
794
837
760
2.94%3.14%2.91%
In offices outside the U.S.(4)
107,225
106,289
103,763
789
772
754
2.98%2.89%2.92%
Total$354,789
$351,524
$335,123
$1,946
$1,998
$1,802
2.18%2.29%2.13%$347,355
$345,552
$352,143
$2,019
$1,963
$1,923
2.36%2.26%2.20%
Loans (net of unearned income)(9)
     




     




In U.S. offices$368,372
$353,422
$354,572
$6,272
$5,793
$6,472
6.77%6.59%7.24%$367,397
$371,928
$350,107
$6,273
$6,302
$5,873
6.92%6.74%6.75%
In offices outside the U.S.(5)
267,399
267,226
268,633
3,974
3,972
3,523
5.91%5.98%5.20%
In offices outside the U.S.(4)
255,941
254,100
262,133
3,697
3,731
3,901
5.86%5.84%5.99%
Total$635,771
$620,648
$623,205
$10,246
$9,765
$9,995
6.41%6.33%6.36%$623,338
$626,028
$612,240
$9,970
$10,033
$9,774
6.49%6.38%6.42%
Other interest-earning assets(10)
$44,010
$45,639
$60,459
$221
$236
$661
2.00%2.08%4.34%
Other interest-earning assets(9)
$56,733
$62,602
$56,260
$294
$320
$252
2.10%2.03%1.80%
Total interest-earning assets$1,611,001
$1,595,262
$1,602,154
$14,767
$14,473
$14,832
3.65%3.65%3.67%$1,625,077
$1,607,447
$1,562,628
$14,546
$14,551
$14,286
3.63%3.60%3.68%
Non-interest-earning assets(7)(6)
$219,213
$212,050
$216,136
      $205,477
$212,355
$214,943
      
Total assets$1,830,214
$1,807,312
$1,818,290
   $1,830,554
$1,819,802
$1,777,571
   
(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$123 million, $117$112 million, and $118$119 million for the three months ended September 30, 2016, June 30,March 31, 2017, December 31, 2016 and September 30, 2015,March 31, 2016, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)(5)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(7)(6)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(8)(7)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)(8)Includes cash-basis loans.
(10)(9)Includes brokerage receivables.


Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)(4) 
Taxable Equivalent Basis
Average volumeInterest expense% Average rateAverage volumeInterest expense% Average rate
3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except rates20162016201520162016201520162016201520172016201620172016201620172016
Liabilities                
Deposits              
In U.S. offices(5)(4)
$296,999
$286,653
$271,141
$470
$371
$311
0.63%0.52%0.46%$302,294
$293,969
$277,648
$507
$473
$316
0.68%0.64%0.46%
In offices outside the U.S.(6)
434,232
435,242
425,741
973
935
904
0.89%0.86%0.84%
In offices outside the U.S.(5)
428,743
424,902
424,055
908
874
888
0.86%0.82%0.84%
Total$731,231
$721,895
$696,882
$1,443
$1,306
$1,215
0.79%0.73%0.69%$731,037
$718,871
$701,703
$1,415
$1,347
$1,204
0.78%0.75%0.69%
Federal funds purchased and securities loaned or sold under agreements to repurchase(7)(6)
     





     





In U.S. offices$99,924
$103,517
$111,629
$267
$260
$177
1.06%1.01%0.63%$94,461
$94,922
$103,523
$282
$237
$260
1.21%0.99%1.01%
In offices outside the U.S.(6)
58,060
57,685
62,616
192
267
202
1.32%1.86%1.28%
In offices outside the U.S.(5)
54,425
55,215
59,392
211
187
242
1.57%1.35%1.64%
Total$157,984
$161,202
$174,245
$459
$527
$379
1.16%1.31%0.86%$148,886
$150,137
$162,915
$493
$424
$502
1.34%1.12%1.24%
Trading account liabilities(9)(8)
     





     





In U.S. offices$33,600
$27,420
$24,673
$65
$64
$29
0.77%0.94%0.47%$32,215
$33,266
$23,636
$84
$61
$52
1.06%0.73%0.88%
In offices outside the U.S.(6)
42,637
45,960
45,797
37
32
28
0.35%0.28%0.24%
In offices outside the U.S.(5)
59,667
48,404
41,676
63
63
36
0.43%0.52%0.35%
Total$76,237
$73,380
$70,470
$102
$96
$57
0.53%0.53%0.32%$91,882
$81,670
$65,312
$147
$124
$88
0.65%0.60%0.54%
Short-term borrowings(10)
     





Short-term borrowings(9)
     





In U.S. offices$61,019
$54,825
$65,368
$51
$43
$100
0.33%0.32%0.61%$71,607
$71,381
$56,834
$85
$79
$29
0.48%0.44%0.21%
In offices outside the U.S.(6)
20,285
10,253
66,653
39
66
59
0.76%2.59%0.35%
In offices outside the U.S.(5)
24,006
23,554
22,642
114
98
71
1.93%1.66%1.26%
Total$81,304
$65,078
$132,021
$90
$109
$159
0.44%0.67%0.48%$95,613
$94,935
$79,476
$199
$177
$100
0.84%0.74%0.51%
Long-term debt(11)
    





Long-term debt(10)
    





In U.S. offices$175,427
$175,506
$179,575
$1,028
$1,009
$1,080
2.33%2.31%2.39%$178,656
$178,006
$172,429
$1,255
$1,148
$995
2.85%2.57%2.32%
In offices outside the U.S.(6)
6,506
6,714
8,061
52
73
51
3.18%4.37%2.51%
In offices outside the U.S.(5)
5,313
5,631
6,854
57
57
51
4.35%4.03%2.99%
Total$181,933
$182,220
$187,636
$1,080
$1,082
$1,131
2.36%2.39%2.39%$183,969
$183,637
$179,283
$1,312
$1,205
$1,046
2.89%2.61%2.35%
Total interest-bearing liabilities$1,228,689
$1,203,775
$1,261,254
$3,174
$3,120
$2,941
1.03%1.04%0.93%$1,251,387
$1,229,250
$1,188,689
$3,566
$3,277
$2,940
1.16%1.06%0.99%
Demand deposits in U.S. offices$40,466
$38,979
$27,781
   $37,748
$41,699
$31,336
   
Other non-interest-bearing liabilities(8)(7)
328,405
335,243
308,167
   314,106
319,567
332,065
   
Total liabilities$1,597,560
$1,577,997
$1,597,202
   $1,603,241
$1,590,516
$1,552,090
   
Citigroup stockholders’ equity(12)
$231,574
$228,149
$219,839
   
Citigroup stockholders’ equity(11)
$226,312
$228,218
$224,320
   
Noncontrolling interest1,080
1,166
1,249
   1,001
1,068
1,161
   
Total equity(12)
$232,654
$229,315
$221,088
   
Total equity(11)
$227,313
$229,286
$225,481
   
Total liabilities and stockholders’ equity$1,830,214
$1,807,312
$1,818,290
   $1,830,554
$1,819,802
$1,777,571
   
Net interest revenue as a percentage of average interest-earning assets(13)
      
Net interest revenue as a percentage of average interest-earning assets(12)
      
In U.S. offices$871,431
$854,825
$940,283
$7,092
$6,816
$7,252
3.24%3.21%3.06%$959,115
$960,324
$940,526
$6,837
$7,105
$6,953
2.89%2.94%2.97%
In offices outside the U.S.(6)
739,570
740,437
661,871
4,501
4,537
4,639
2.42
2.46
2.78
665,962
647,123
622,102
4,143
4,169
4,393
2.52
2.56
2.84
Total$1,611,001
$1,595,262
$1,602,154
$11,593
$11,353
$11,891
2.86%2.86%2.94%$1,625,077
$1,607,447
$1,562,628
$10,980
$11,274
$11,346
2.74%2.79%2.92%
(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$123 million, $117$112 million, and $118$119 million for the three months ended September 30, 2016, June 30,March 31, 2017, December 31, 2016 and September 30, 2015,March 31, 2016, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts, and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
(6)(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(7)(6)
Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of ASC 210-20-45.
(8)(7)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.


(9)(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.
(10)(9)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 rate
 Nine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine Months
In millions of dollars, except rates201620152016201520162015
Assets      
Deposits with banks(5)
$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$148,379
$150,370
$1,123
$903
1.01%0.80%
In offices outside the U.S.(5)
83,668
86,645
824
1,059
1.32%1.63%
Total$232,047
$237,015
$1,947
$1,962
1.12%1.11%
Trading account assets(7)(8)
      
In U.S. offices$107,541
$116,735
$2,835
$2,927
3.52%3.35%
In offices outside the U.S.(5)
100,339
105,942
1,680
1,694
2.24%2.14%
Total$207,880
$222,677
$4,515
$4,621
2.90%2.77%
Investments      
In U.S. offices      
Taxable$227,532
$213,107
$2,981
$2,854
1.75%1.79%
Exempt from U.S. income tax19,171
20,101
501
283
3.49%1.88%
In offices outside the U.S.(5)
106,116
101,623
2,385
2,289
3.00%3.01%
Total$352,819
$334,831
$5,867
$5,426
2.22%2.17%
Loans (net of unearned income)(9)
      
In U.S. offices$357,300
$353,434
$17,938
$19,132
6.71%7.24%
In offices outside the U.S.(5)
265,586
274,931
11,847
11,439
5.96%5.56%
Total$622,886
$628,365
$29,785
$30,571
6.39%6.50%
Other interest-earning assets(10)
$45,805
$56,205
$709
$1,432
2.07%3.41%
Total interest-earning assets$1,589,631
$1,616,814
$43,526
$44,550
3.66%3.68%
Non-interest-earning assets(7)
$215,402
$220,217
 
 
 
 
Total assets$1,805,033
$1,837,031
 
 
 
 
(1)
Net interestrevenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $350 million and $363 million for the nine months ended September 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 rate
 Nine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine Months
In millions of dollars, except rates201620152016201520162015
Liabilities      
Deposits      
In U.S. offices(5)
$287,100
$274,111
$1,157
$997
0.54%0.49%
In offices outside the U.S.(6)
431,176
424,641
2,796
2,831
0.87%0.89%
Total$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$102,321
$110,238
$787
$523
1.03%0.63%
In offices outside the U.S.(6)
58,379
67,979
701
675
1.60%1.33%
Total$160,700
$178,217
$1,488
$1,198
1.24%0.90%
Trading account liabilities(8)(9)
      
In U.S. offices$28,219
$26,240
$181
$79
0.86%0.40%
In offices outside the U.S.(6)
43,424
45,976
105
79
0.32%0.23%
Total$71,643
$72,216
$286
$158
0.53%0.29%
Short-term borrowings(10)
      
In U.S. offices$57,559
$67,708
$123
$194
0.29%0.38%
In offices outside the U.S.(6)
17,727
57,438
177
242
1.33%0.56%
Total$75,286
$125,146
$300
$436
0.53%0.47%
Long-term debt(11)
      
In U.S. offices$174,454
$183,882
$3,031
$3,247
2.32%2.36%
In offices outside the U.S.(6)
6,691
7,487
176
153
3.51%2.73%
Total$181,145
$191,369
$3,207
$3,400
2.36%2.38%
Total interest-bearing liabilities$1,207,050
$1,265,700
$9,234
$9,020
1.02%0.95%
Demand deposits in U.S. offices$36,927
$25,490
 
 
 
 
Other non-interest-bearing liabilities(8)
331,906
327,998
 
 
 
 
Total liabilities$1,575,883
$1,619,188
 
 
 
 
Citigroup stockholders’ equity(12)
$228,014
$216,498
 
 
 
 
Noncontrolling interest1,136
1,345
 
 
 
 
Total equity(12)
$229,150
$217,843
 
 
 
 
Total liabilities and stockholders’ equity$1,805,033
$1,837,031
 
 
 
 
Net interest revenue as a percentage of average interest-earning assets      
In U.S. offices$859,924
$922,720
$20,894
$21,342
3.25%3.09%
In offices outside the U.S.(6)
729,707
694,094
13,398
14,188
2.45%2.73%
Total$1,589,631
$1,616,814
$34,292
$35,530
2.88%2.94%
(1)
Net interestrevenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $350 million and $363 million for the nine months ended September 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'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) 
3rd Qtr. 2016 vs. 2nd Qtr. 20163rd Qtr. 2016 vs. 3rd Qtr. 20151st Qtr. 2017 vs. 4th Qtr. 20161st Qtr. 2017 vs. 1st Qtr. 2016
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)
$(7)$17
$10
$(11)$71
$60
$22
$5
$27
$70
$6
$76
Federal funds sold and securities borrowed or
purchased under agreements to resell
      
In U.S. offices$(5)$30
$25
$(8)$82
$74
$(4)$12
$8
$(15)$9
$(6)
In offices outside the U.S.(4)
15
(68)(53)20
(114)(94)37
20
57
75
(55)20
Total$10
$(38)$(28)$12
$(32)$(20)$33
$32
$65
$60
$(46)$14
Trading account assets(5)
      
In U.S. offices$4
$(62)$(58)$(46)$(66)$(112)$13
$(85)$(72)$(28)$(41)$(69)
In offices outside the U.S.(4)
(1)(43)(44)27
25
52
(1)9
8
19
(114)(95)
Total$3
$(105)$(102)$(19)$(41)$(60)$12
$(76)$(64)$(9)$(155)$(164)
Investments(1)
      
In U.S. offices$15
$(24)$(9)$74
$36
$110
$4
$35
$39
$(40)$101
$61
In offices outside the U.S.(4)
1
(44)(43)27
7
34
7
10
17
25
10
35
Total$16
$(68)$(52)$101
$43
$144
$11
$45
$56
$(15)$111
$96
Loans (net of unearned income)(6)
      
In U.S. offices$250
$229
$479
$246
$(446)$(200)$(77)$48
$(29)$294
$106
$400
In offices outside the U.S.(4)
3
(1)2
(16)467
451
27
(61)(34)(91)(113)(204)
Total$253
$228
$481
$230
$21
$251
$(50)$(13)$(63)$203
$(7)$196
Other interest-earning assets(7)
$(8)$(7)$(15)$(147)$(293)$(440)$(30)$4
$(26)$2
$40
$42
Total interest revenue$267
$27
$294
$166
$(231)$(65)$(2)$(3)$(5)$311
$(51)$260
(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) 
3rd Qtr. 2016 vs. 2nd Qtr. 20163rd Qtr. 2016 vs. 3rd Qtr. 20151st Qtr. 2017 vs. 4th Qtr. 20161st Qtr. 2017 vs. 1st Qtr. 2016
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$14
$85
$99
$32
$127
$159
$14
$20
$34
$30
$161
$191
In offices outside the U.S.(4)
(2)40
38
18
51
69
8
26
34
10
10
20
Total$12
$125
$137
$50
$178
$228
$22
$46
$68
$40
$171
$211
Federal funds purchased and securities loaned or sold under agreements to repurchase        
In U.S. offices$(9)$16
$7
$(20)$110
$90
$(1)$46
$45
$(24)$46
$22
In offices outside the U.S.(4)
2
(77)(75)(15)5
(10)(3)27
24
(20)(11)(31)
Total$(7)$(61)$(68)$(35)$115
$80
$(4)$73
$69
$(44)$35
$(9)
Trading account liabilities(5)
      
In U.S. offices$13
$(12)$1
$13
$23
$36
$(2)$25
$23
$21
$11
$32
In offices outside the U.S.(4)
(2)7
5
(2)11
9
13
(13)—
18
9
27
Total$11
$(5)$6
$11
$34
$45
$11
$12
$23
$39
$20
$59
Short-term borrowings(6)
      
In U.S. offices$5
$3
$8
$(6)$(43)$(49)$—
$6
$6
$9
$47
$56
In offices outside the U.S.(4)
38
(65)(27)(59)39
(20)2
14
16
5
38
43
Total$43
$(62)$(19)$(65)$(4)$(69)$2
$20
$22
$14
$85
$99
Long-term debt      
In U.S. offices$—
$19
$19
$(25)$(27)$(52)$4
$103
$107
$37
$223
$260
In offices outside the U.S.(4)
(2)(19)(21)(11)12
1
(3)3
—
(13)19
6
Total$(2)$—
$(2)$(36)$(15)$(51)$1
$106
$107
$24
$242
$266
Total interest expense$55
$(1)$54
$(75)$308
$233
$32
$257
$289
$73
$553
$626
Net interest revenue$212
$28
$240
$241
$(539)$(298)$(34)$(260)$(294)$238
$(604)$(366)
(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)
 Nine Months 2016 vs. Nine Months 2015
 
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change(2)
Deposits at interest with banks(4)
$(39)$204
$165
Federal funds sold and securities borrowed or purchased under agreements to resell   
In U.S. offices$(12)$232
$220
In offices outside the U.S.(4)
(35)(200)(235)
Total$(47)$32
$(15)
Trading account assets(5)
   
In U.S. offices$(238)$146
$(92)
In offices outside the U.S.(4)
(92)78
(14)
Total$(330)$224
$(106)
Investments(1)
  
In U.S. offices$186
$159
$345
In offices outside the U.S.(4)
101
(5)96
Total$287
$154
$441
Loans (net of unearned income)(6)
   
In U.S. offices$207
$(1,401)$(1,194)
In offices outside the U.S.(4)
(398)806
408
Total$(191)$(595)$(786)
Other interest-earning assets$(232)$(491)$(723)
Total interest revenue$(552)$(472)$(1,024)
Deposits (7)
   
In U.S. offices$49
$111
$160
In offices outside the U.S.(4)
43
(78)(35)
Total$92
$33
$125
Federal funds purchased and securities loaned or sold under agreements to repurchase   
In U.S. offices$(40)$304
$264
In offices outside the U.S.(4)
(103)129
26
Total$(143)$433
$290
Trading account liabilities(5)
   
In U.S. offices$6
$96
$102
In offices outside the U.S.(4)
(5)31
26
Total$1
$127
$128
Short-term borrowings   
In U.S. offices$(26)$(45)$(71)
In offices outside the U.S.(4)
(244)179
(65)
Total$(270)$134
$(136)
Long-term debt   
In U.S. offices$(164)$(52)$(216)
In offices outside the U.S.(4)
(18)41
23
Total$(182)$(11)$(193)
Total interest expense$(502)$716
$214
Net interest revenue$(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 $838 million and $849 million for the nine months ended September 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 20152016 Annual Report on Form 10-K.

Value at Risk
As of September 30, 2016,March 31, 2017, Citi estimates that the conservative features of its VAR calibration contribute an approximate 22% add-on (compared to 16%25% at June 30,December 31, 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's average trading VAR as of September 30, 2016 was materially unchanged fromMarch 31, 2017 increased sequentially, mainly due to changes in interest rate exposures across the prior quarter. While average foreign exchange risk was higherportfolio, including increased mark-to-market hedging activity against non-trading positions in the third quarter of 2016markets and securities services business within ICG. Additionally, average credit spread risk declined 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.exposure changes. Average trading and credit portfolio VAR as of September 30, 2016 decreased slightly,March 31, 2017 increased less than Trading VAR, mainly fromdue to lower spread volatilities affecting the credithedges to the lending portfolio.

Trading VAR as of March 31, 2017 increased from December 31, 2016 mainly due to interest rate risk changes as well as reduced diversification benefit across the portfolio, partially offset by lower foreign exchange risk.




Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
 Third Quarter Second Quarter Third Quarter First Quarter Fourth Quarter First Quarter
In millions of dollarsSeptember 30, 20162016 AverageJune 30, 20162016 AverageSeptember 30, 20152015 AverageMarch 31, 20172017 AverageDec. 31, 20162016 AverageMarch 31, 20162016 Average
Interest rate$30
$34
$32
$32
$59
$40
$52
$48
$37
$33
$37
$41
Credit spread73
62
61
60
64
$67
54
56
63
64
62
$64
Covariance adjustment(1)
(28)(31)(30)(26)(28)(22)(17)(17)(17)(28)(29)(27)
Fully diversified interest rate and credit spread$75
$65
$63
$66
$95
$85
$89
$87
$83
$69
$70
$78
Foreign exchange16
26
26
20
43
36
16
24
32
23
25
29
Equity9
12
11
15
18
17
17
15
13
14
9
15
Commodity22
23
23
20
17
17
23
23
27
27
17
14
Covariance adjustment(1)
(53)(62)(59)(56)(62)(61)(53)(63)(70)(62)(62)(56)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$69
$64
$64
$65
$111
$94
$92
$86
$85
$71
$59
$80
Specific risk-only component(3)
$7
$6
$9
$9
$6
$5
$—
$2
$3
$5
$7
$7
Total trading VAR—general market risk factors only (excluding credit portfolios)(2)
$62
$58
$55
$56
$105
$89
$92
$84
$82
$66
$52
$73
Incremental impact of the credit portfolio(4)
$21
$21
$22
$23
$29
$22
$15
$14
$20
$18
$29
$28
Total trading and credit portfolio VAR$90
$85
$86
$88
$140
$116
$107
$100
$105
$89
$88
$108

(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:
Third QuarterSecond QuarterThird QuarterFirst QuarterFourth QuarterFirst Quarter
20162016201520172016
In millions of dollarsLowHighLowHighLowHighLowHighLowHighLowHigh
Interest rate$27
$47
$26
$40
$30
$59
$29
$70
$25
$45
$29
$64
Credit spread55
73
56
64
61
73
51
63
57
72
56
69
Fully diversified interest rate and credit spread$59
$75
$60
$74
$72
$99
$59
$109
$61
$83
$66
$97
Foreign exchange15
46
14
29
22
54
16
35
15
32
24
40
Equity6
22
10
26
11
35
6
25
7
25
9
24
Commodity19
31
16
25
12
22
18
30
21
33
10
18
Total trading$53
$72
$55
$76
$78
$111
$61
$107
$58
$85
$59
$106
Total trading and credit portfolio72
97
79
98
95
140
75
123
78
105
85
131
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 dollarsSept. 30, 2016Mar. 31, 2017
Total—all market risk factors, including general and specific risk$67
$91
Average—during quarter$63
$81
High—during quarter76
95
Low—during quarter51
64

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-holdBuy-
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 September 30, 2016,March 31, 2017, there was onewere two back-testing exceptionexceptions observed for Citi’s Regulatory VAR for the prior 12 months. TradingAs previously disclosed, trading losses on June 3, 2016 marginally 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. Separately, trading losses on November 14, 2016 exceeded the VAR estimate at the Citigroup level, driven by the widening of municipal bond yields following the election results in the United States.









COUNTRY RISK

For additional information on country risk at Citi, see “Country Risk” and “Risk Factors” in Citi’s 20152016 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 September 30, 2016.March 31, 2017. 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 25% of corporate
loans presented in the table below are to U.K. domiciled
entities (23%(28% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 84%81% of the total U.K. funded loans and 88%90% of
the total U.K. unfunded commitments were investment grade
as of September 30, 2016.March 31, 2017. Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.
For a discussion of uncertainties arising as a result of the vote in the U.K. to withdraw from the results of the U.K. referendum to leave the European Union,EU, see “Country Risk”“Risk Factors—Strategic Risks” in Citi’s Second Quarter ofCitigroup’s 2016 Form 10-Q.Annual Report on form 10-K.


 
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
3Q16
Total
as of
2Q16
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
1Q17
Total
as of
4Q16
Total
as of
1Q16
United Kingdom$33.0
$—
$3.0
$56.2
$13.0
$(2.9)$10.8
$(0.9)$112.2
$108.4
$110.4
$31.4
$—
$3.4
$56.3
$11.5
$(2.1)$8.4
$(0.3)$108.6
$107.5
$103.5
Mexico7.6
23.9
0.4
5.3
0.8
(0.7)15.1
3.7
56.1
57.0
60.4
8.8
24.9
0.4
6.0
1.8
(0.8)14.0
4.0
59.1
52.4
61.1
Hong Kong13.7
10.3
0.7
8.1
1.3
(0.7)5.8
1.1
40.3
35.9
34.5
Singapore12.2
12.0
0.1
5.6
1.1
(0.3)8.5
0.6
39.8
36.4
37.2
India10.6
6.4
0.7
7.5
3.0
(1.3)7.9
1.4
36.2
30.9
32.8
Korea2.7
20.1
0.4
4.2
1.8
(0.8)8.9
1.8
39.1
37.2
39.3
2.5
19.5
0.4
3.6
1.5
(1.0)7.6
1.9
36.0
34.0
38.5
Singapore12.2
13.0
—
5.2
0.7
(0.3)6.1
1.2
38.1
37.3
36.7
Hong Kong12.0
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
13.7
0.2
0.2
3.4
4.5
(2.8)3.5
4.3
27.0
26.8
27.8
India9.7
6.5
0.7
5.0
0.5
(1.4)7.8
1.8
30.6
31.0
33.0
Ireland8.2
—
0.7
15.7
0.3
—
—
0.4
25.3
24.8
24.5
Australia4.6
10.2
0.1
5.1
1.4
(1.0)4.5
(0.5)24.4
22.6
24.5
3.9
10.8
0.1
6.0
1.0
(1.0)4.1
(1.0)23.9
22.4
25.9
Ireland7.5
—
0.6
15.2
0.3
—
—
0.6
24.2
24.1
22.0
Taiwan4.5
8.4
0.1
1.1
0.7
(0.2)1.8
2.1
18.5
16.6
15.5
Japan2.6
—
0.2
9.4
2.8
(1.7)3.8
1.2
18.3
18.3
11.1
Germany0.2
—
—
4.0
4.3
(3.6)11.0
2.8
18.7
17.3
18.8
0.1
—
—
3.9
5.1
(2.9)9.4
2.4
18.0
16.0
21.9
Japan2.6
—
0.3
6.9
3.5
(1.3)3.6
2.0
17.6
15.6
9.1
China5.8
4.3
0.2
1.6
1.3
(1.1)4.3
1.0
17.4
17.2
22.9
Canada2.2
0.6
2.3
6.5
2.2
(0.9)3.9
0.2
17.0
18.1
16.5
1.8
0.6
0.5
6.1
2.0
(0.7)4.6
0.1
15.0
17.0
17.4
China6.6
4.4
0.2
1.5
0.7
(0.8)2.8
0.8
16.2
22.4
23.0
Taiwan3.8
8.2
0.1
1.0
0.3
(0.3)1.2
1.6
15.9
15.4
14.8
Poland3.0
1.7
—
3.3
0.1
(0.3)4.0
0.3
12.1
12.2
13.1
3.1
1.6
—
3.1
0.5
(0.3)4.1
0.1
12.2
11.8
14.8
Malaysia1.8
4.7
0.2
1.8
0.2
(0.2)0.6
1.4
10.5
11.3
9.2
1.3
4.3
0.3
1.5
0.2
(0.1)0.8
0.8
9.1
9.3
10.8
Netherlands—
—
—
—
1.7
(0.9)5.6
0.3
6.7
7.1
7.1
—
—
—
—
4.1
(0.6)4.1
(0.8)6.8
5.1
6.8
Italy0.3
—
—
2.6
7.8
(6.1)0.2
1.9
6.7
4.6
6.6
Thailand0.8
1.9
—
1.1
0.1
—
1.6
0.8
6.3
6.5
5.4
0.8
2.0
—
1.3
0.1
—
1.7
0.3
6.2
5.8
6.2
Russia2.3
1.0
—
1.2
0.5
(0.2)0.9
0.3
6.0
5.3
5.1
United Arab
Emirates
3.2
1.4
0.1
1.6
0.5
(0.4)—
(0.2)6.2
6.4
6.4
3.1
1.4
0.1
1.5
0.4
(0.4)—
(0.2)5.9
6.0
6.4
Colombia2.6
1.7
—
1.1
0.1
(0.1)0.5
(0.1)5.8
5.6
5.9
Luxembourg—
—
0.1
—
0.8
(0.2)5.2
0.1
6.0
5.7
4.9
—
—
—
—
0.6
(0.3)5.2
0.2
5.7
5.4
6.2
Colombia2.4
1.8
—
1.0
0.2
(0.1)0.3
—
5.6
5.1
5.7
Indonesia1.8
1.1
0.1
1.1
0.1
(0.1)1.0
0.5
5.6
5.2
4.4
1.7
1.1
0.1
1.2
0.2
(0.2)1.2
0.2
5.5
5.2
5.2
Russia2.3
0.9
—
0.9
0.1
(0.4)0.5
0.3
4.6
4.8
5.0
Chile1.8
—
2.0
0.1
0.2
—
—
—
4.1
4.0
3.8
Turkey3.1
—
0.5
0.5
0.2
(0.1)0.2
(0.1)4.3
4.6
4.0
2.9
—
0.4
0.4
0.3
(0.2)0.3
(0.1)4.0
3.9
4.8

(1)
ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of September 30, 2016,March 31, 2017, private bank loans in the table above totaled $17.4$20.8 billion, concentrated in the U.K.Singapore ($4.67.5 billion), SingaporeHong Kong ($6.6 billion) and Hong Kongthe U.K. ($5.15.5 billion).                     
(2)
GCB loans include funded loans in Brazil and Colombia related to businesses that were transferred to Citi HoldingsCorporate/Other as of January 1, 2016.    
(3)
Other funded includes other direct exposure such as accounts receivable, loans held-for-sale, other loans in Citi HoldingsCorporate/Other and investments accounted for under the equity method.                                        
(4)Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.            


(5)Net mark-to-market (MTM) on derivatives and securities lending / borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.                                        
(6)Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost.                                        
(7)
Trading account assets are shown on a net basis and include derivative exposure where the underlying reference entity is located in that country.    
 

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” in each of Citi’s 2015 Annual Report on Form 10-K, First Quarter of 2016 Form 10-Q and Second Quarter of 2016 Form 10-Q.
As of September 30, 2016, Citi’s net investment in its Venezuelan operations was approximately $55 million (compared to $54 million as of 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. If any such event were to occur, Citi estimates its net exposure to Venezuela could be approximately $70 million as of September 30, 2016, although the actual amount could fluctuate slightly depending upon the facts and circumstances of such event.








INCOME TAXES

Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—OperationalStrategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Note 9 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.
At September 30, 2016,March 31, 2017, Citigroup had recorded net DTAs of approximately $45.4$45.9 billion, unchangeda decrease of $0.8 billion from June 30, 2016, asDecember 31, 2016. The DTA reduction for the continuedquarter was driven by the generation of U.S. taxable earnings in the current quarter was offset by lossesand movements in AOCI.
The following table summarizes Citi’s net DTAs balance as of the periods presented. Of Citi’s net DTAs as of September 30, 2016,March 31, 2017, 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 $17.6$17.2 billion of the net DTA was not deducted in calculating regulatory capital pursuant to full Basel III implementation standards as of September 30, 2016.March 31, 2017.
Jurisdiction/ComponentDTAs balanceDTAs balance
In billions of dollarsSept 30, 2016December 31, 2015Mar. 31, 2017December 31,
2016
Total U.S.$43.2
$45.2
$43.8
$44.6
Total foreign2.2
2.6
2.1
2.1
Total$45.4
$47.8
$45.9
$46.7


Effective Tax Rate
Citi’s effective tax rate for the thirdfirst quarter of 20162017 was 30.8%31.1%, slightlyas compared with 29.7% in the first quarter of 2016. The higher than the 30.2% effective tax rate predominantly reflects the higher level of pre-tax income in the third quarter of 2015 (excluding CVA/DVA).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 September 30, 2016March 31, 2017 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. Citi did not have any reportable activities to disclose in
During the first quarter of 2016 but disclosed reportable activities pursuant to Section 2192017, a branch of Citibank, N.A., located in the second quarter of 2016 in the Second Quarter of 2016 Form 10-Q.
In addition to Citi’s prior disclosures, CitiIndia, processed threea funds transferstransfer 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.New Delhi, India. The value of this funds transfer was EUR 130INR 27,552.00 (approximately $142)USD 411.00).  All three of these funds transfers wereThis payment was for transactions ordinarily incident tovisa services which are permissible under the travel
exemption in the Iranian Transactions and Sanctions Regulations.  
 

which are exempt under Office of Foreign Assets Control regulations.  The total value for all of these funds transfers was EUR 623 (approximately $681) and resulted in nominal revenue for 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 Actrules and regulations of 1995.the SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.
Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, and similar expressions or future or conditional verbs such as will, should, would and could.
Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation: (i) the precautionary statements included within each individual business’ discussion and analysis of its results of operations above and in Citi’s 20152016 Annual Report on Form 10-K, First Quarter of 2016 Form 10-Q and Second Quarter of 2016 Form 10-Q;10-K; (ii) the factors listed and described under “Risk Factors” in Citi’s 20152016 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:

changes to the calculation of risk-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 the potential impact any such changes could have on Citi’s regulatory capital 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 or 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 ongoing regulatory capital 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 2017 resolution plan guidance in Citi’s 2017 resolution plan submission;
the potential impact on Citi’s ability to return capital to shareholders due to any changes to the stress testing and CCAR requirements or process, such as the introduction of a firm-specific “stress capital buffer” or incorporation of Citi’s then-effective GSIB surcharge into its post-stress test minimum capital requirements or the introduction of additional macroprudential considerations such as funding and liquidity shocks in the stress testing process;
the ongoing regulatory changesuncertainties and uncertaintieschanges faced by financial institutions, including Citi, in the U.S. and globally, including, among others, uncertainties and potential changes arising from the U.S. presidential administration and Congress, potential changes to various aspects of the regulatory changes relatingcapital framework and the terms of and other uncertainties resulting from the U.K.’s initiation of the process to debt collection practices within Citi’s North America cards businesses,withdraw from the European Union, and the potential impact these changesuncertainties and uncertaintieschanges could have on Citi’s businesses, results of operations, financial condition, strategy or organizational structure and compliance risks and costs;
the numerous uncertainties arising as a result of the initiation of the process in the U.K. to withdraw from the European Union, including the 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 impact on the value of Citi’s DTAs and on Citi’s net income or regulatory capital 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. corporate tax system, including changes resulting in a write down of timing difference DTAs;
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, which can be impacted by changes in interest rates and foreign exchange rates;
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 and stamp and other transactional taxes, differs from those of the relevant governmental authorities;
Citi’s delinquency rates, loan loss reserves, netability to achieve the expected returns on its ongoing investments in its businesses, including as a result of factors that Citi cannot control;
the potential negative impact to Citi’s co-branding and private label credit losses and overallcard relationships as well as Citi’s results of operations or financial condition, including as Citi’s revolving home equity linesa result of loss of revenues, impairment of purchased credit continuecard relationships and contract related intangibles or other losses, due to, “reset” (Revolving HELOCs), particularly if interest rates increase;among other things, operational difficulties of a particular retailer or merchant or early termination of a particular relationship, or external factors, including bankruptcies, liquidations, consolidations and other similar events;
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 those relating to potential outcomes of elections in the outcomeEU, potential fiscal or monetary actions or the pursuit of protectionist trade and other policies by 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, foreign exchange controls, sociopolitical instability (including from hyper-inflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets and foreign exchange controls as well as the increased compliance and regulatory risks and costs;
the uncertainties regarding the consequences of noncompliance and the potential impact on Citi’s estimates of its eligible debt arising from the Federal Reserve Board’s final total loss-absorbing capacity (TLAC) rules;


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;or negative investor perceptions of Citi’s creditworthiness;
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 resultsCiti from a disruption of operations or financial condition due to,its operational systems, including as a result of, among other things, operational difficultieshuman error, fraud or malice, accidental technological failure, electrical or telecommunication outages or failure of a particular retailer or merchant or early termination of a particular relationship;computer servers;



the potential impact to Citi from an increasing risk of continually evolving cybersecurity or other technological and similar risks including fraud,(including theft of funds or theft, loss, misuse or disclosure of confidential client, customer, corporate or network information or assets,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 negativepotential impact of the DTAs on Citi’s regulatory capital, including as a result of movementsincorrect assumptions or estimates in Citi’s AOCI;financial statements or the impact of ongoing changes to financial accounting and reporting standards or interpretations, such as the FASB’s new accounting standard on credit losses, on how Citi records and reports its financial condition and results of operations;
the potential impact to Citi if itsof ongoing implementation and interpretation or applicationof regulatory changes and requirements in the U.S. and globally, including on Citi’s compliance risks and costs;
the potential outcomes of the extensive tax lawslegal and regulatory proceedings, investigations and other inquiries to which itCiti is or may be subject such as withholding tax obligations or business valuations, differs from thoseat any given time, particularly given the increased focus on conduct risk and the severity of the relevant governmental authorities;
the impact on the value of Citi’s DTAsremedies sought 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 madepotential collateral consequences to the U.S. tax system;Citi arising from such outcomes;
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 refinement, 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 “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 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.reason.

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 Nine Months Ended September 30,March 31, 2017 and 2016 and 2015
9587
Consolidated Statement of Comprehensive Income(Unaudited)—For the Three and Nine Months Ended September 30,March 31, 2017 and 2016 and 2015
9688
Consolidated Balance Sheet—September 30, 2016March 31, 2017 (Unaudited) and December 31, 20152016
9789
Consolidated Statement of Changes in Stockholders’ Equity(Unaudited)—For the NineThree Months Ended September 30,March 31, 2017 and 2016 and 2015
9991
Consolidated Statement of Cash Flows (Unaudited)—
For the NineThree Months Ended September 30,March 31, 2017 and 2016 and 2015
10193

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) 
Note 1—Basis of Presentation and Accounting Changes
10395
Note 2—Discontinued Operations and Significant Disposals
10598
Note 3—Business Segments
10699
Note 4—Interest Revenue and Expense
107100
Note 5—Commissions and Fees
108101
Note 6—Principal Transactions
108101
Note 7—Incentive Plans
109102
Note 8—Retirement Benefits
109102
Note 9—Earnings per Share
114106
Note 10—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
115107
Note 11—Brokerage Receivables and Brokerage Payables
118110
Note 12—Investments
118110
 


  
Note 13—Loans
128119
Note 14—Allowance for Credit Losses
141130
Note 15—Goodwill and Intangible Assets
143132
Note 16—Debt
145134
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss)
146135
Note 18—Securitizations and Variable Interest Entities
151138
Note 19—Derivatives Activities
160146
Note 20—Fair Value Measurement
170156
Note 21—Fair Value Elections
190171
Note 22—Guarantees and Commitments
194175
Note 23—Contingencies
198179
Note 24—Condensed Consolidating Financial Statements
200181





CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) Citigroup Inc. and Subsidiaries
Three Months Ended September 30,Nine Months Ended September 30,Three months ended March 31,
In millions of dollars, except per share amounts201620152016201520172016
Revenues   
 
 
Interest revenue$14,653
$14,714
$43,176
$44,187
$14,423
$14,167
Interest expense3,174
2,941
9,234
9,020
3,566
2,940
Net interest revenue$11,479
$11,773
$33,942
$35,167
$10,857
$11,227
Commissions and fees$2,644
$2,732
$7,832
$9,096
$2,759
$2,463
Principal transactions2,238
1,327
5,894
5,471
3,022
1,840
Administration and other fiduciary fees862
870
2,551
2,827
893
811
Realized gains on sales of investments, net287
151
673
641
192
186
Other-than-temporary impairment losses on investments   
 
 
Gross impairment losses(32)(80)(615)(195)(12)(465)
Less: Impairments recognized in AOCI—
—
—
—
—
—
Net impairment losses recognized in earnings$(32)$(80)$(615)$(195)$(12)$(465)
Insurance premiums$184
$464
$665
$1,443
$169
$264
Other revenue98
1,455
1,921
3,448
240
1,229
Total non-interest revenues$6,281
$6,919
$18,921
$22,731
$7,263
$6,328
Total revenues, net of interest expense$17,760
$18,692
$52,863
$57,898
$18,120
$17,555
Provisions for credit losses and for benefits and claims   
 
 
Provision for loan losses$1,746
$1,582
$5,022
$4,852
$1,675
$1,886
Policyholder benefits and claims35
189
172
567
30
88
Provision (release) for unfunded lending commitments(45)65
(4)(20)(43)71
Total provisions for credit losses and for benefits and claims$1,736
$1,836
$5,190
$5,399
$1,662
$2,045
Operating expenses   
 
 
Compensation and benefits$5,203
$5,321
$15,988
$16,324
$5,534
$5,556
Premises and equipment624
722
1,917
2,168
620
651
Technology/communication1,694
1,628
5,000
4,884
1,659
1,649
Advertising and marketing403
391
1,226
1,176
373
390
Other operating2,480
2,607
7,165
7,929
2,291
2,277
Total operating expenses$10,404
$10,669
$31,296
$32,481
$10,477
$10,523
Income from continuing operations before income taxes$5,620
$6,187
$16,377
$20,018
$5,981
$4,987
Provision for income taxes1,733
1,881
4,935
6,037
1,863
1,479
Income from continuing operations$3,887
$4,306
$11,442
$13,981
$4,118
$3,508
Discontinued operations   
 
 
Loss from discontinued operations$(37)$(15)$(76)$(14)$(28)$(3)
Benefit for income taxes(7)(5)(21)(5)(10)(1)
Loss from discontinued operations, net of taxes$(30)$(10)$(55)$(9)$(18)$(2)
Net income before attribution of noncontrolling interests$3,857
$4,296
$11,387
$13,972
$4,100
$3,506
Noncontrolling interests17
5
48
65
10
5
Citigroup’s net income$3,840
$4,291
$11,339
$13,907
$4,090
$3,501
Basic earnings per share(1)
   
 
 
Income from continuing operations$1.25
$1.36
$3.60
$4.39
$1.36
$1.11
Loss from discontinued operations, net of taxes(0.01)—
(0.02)—
(0.01)—
Net income$1.24
$1.36
$3.58
$4.38
$1.35
$1.10
Weighted average common shares outstanding2,879.9
2,993.3
2,912.9
3,015.8
2,765.3
2,943.0


Diluted earnings per share(1)
   
 
 
Income from continuing operations$1.25
$1.36
$3.60
$4.38
$1.36
$1.11
Loss from discontinued operations, net of taxes(0.01)—
(0.02)—
(0.01)—
Net income$1.24
$1.35
$3.58
$4.38
$1.35
$1.10
Adjusted weighted average common shares outstanding2,880.1
2,996.9
2,913.0
3,020.4
2,765.5
2,943.1
(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 September 30,Nine Months Ended September 30,Three months ended March 31,
In millions of dollars201620152016201520172016
Net income before attribution of noncontrolling interests$3,857
$4,296
$11,387
$13,972
Add: Citigroup’s other comprehensive income (loss)

  




Citigroup's net income$4,090
$3,501
Add: Citigroup's other comprehensive income   
Net change in unrealized gains and losses on investment securities, net of taxes$(432)$511
$2,529
$167
$220
$2,034
Net change in debt valuation adjustment (DVA), net of taxes (1)
(200)—
5
—
(60)193
Net change in cash flow hedges, net of taxes(83)189
385
367
(2)317
Benefit plans liability adjustment, net of taxes12
(360)(480)128
(12)(465)
Net change in foreign currency translation adjustment, net of taxes and hedges(375)(2,493)(273)(4,703)1,318
654
Citigroup’s total other comprehensive income (loss)$(1,078)$(2,153)$2,166
$(4,041)
Total comprehensive income before attribution of noncontrolling interests$2,779
$2,143
$13,553
$9,931
Less: Net income attributable to noncontrolling interests17
5
48
65
Citigroup’s comprehensive income$2,762
$2,138
$13,505
$9,866
Citigroup’s total other comprehensive income$1,464
$2,733
Citigroup’s total comprehensive income$5,554
$6,234
Add: Other comprehensive income attributable to noncontrolling interests$31
$27
Add: Net income attributable to noncontrolling interests10
5
Total comprehensive income$5,595
$6,266
(1)See Note 1 to the Consolidated Financial Statements for additional details.Statements.

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



CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries
(UNAUDITED)  
September 30, March 31, 
2016December 31,2017December 31,
In millions of dollars(Unaudited)2015(Unaudited)2016
Assets 
 
 
 
Cash and due from banks (including segregated cash and other deposits)$23,419
$20,900
$22,272
$23,043
Deposits with banks132,571
112,197
157,773
137,451
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
Federal funds sold and securities borrowed or purchased under agreements to resell (including $137,360 and $133,204 as of March 31, 2017 and December 31, 2016, respectively, at fair value)242,929
236,813
Brokerage receivables36,112
27,683
36,888
28,887
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
Trading account assets (including $82,157 and $80,986 pledged to creditors at March 31, 2017 and December 31, 2016, respectively)244,903
243,925
Investments:  
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
Available for sale (including $8,115 and $8,239 pledged to creditors as of March 31, 2017 and December 31, 2016, respectively)290,282
299,424
Held to maturity (including $898 and $843 pledged to creditors as of March 31, 2017 and December 31, 2016, respectively)47,942
45,667
Non-marketable equity securities (including $1,529 and $1,774 at fair value as of March 31, 2017 and December 31, 2016, respectively)7,609
8,213
Total investments$354,940
$342,955
$345,833
$353,304
Loans: 
 
 
 
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
Consumer (including $28 and $29 as of March 31, 2017 and December 31, 2016, respectively, at fair value)320,556
325,063
Corporate (including $4,007 and $3,457 as of March 31, 2017 and December 31, 2016, respectively, at fair value)308,039
299,306
Loans, net of unearned income$638,435
$617,617
$628,595
$624,369
Allowance for loan losses(12,439)(12,626)(12,030)(12,060)
Total loans, net$625,996
$604,991
$616,565
$612,309
Goodwill22,539
22,349
22,265
21,659
Intangible assets (other than MSRs)5,358
3,721
5,013
5,114
Mortgage servicing rights (MSRs)1,270
1,781
567
1,564
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
Other assets (including $17,281 and $15,729 as of March 31, 2017 and December 31, 2016, respectively, at fair value)126,627
128,008
Total assets$1,818,117
$1,731,210
$1,821,635
$1,792,077

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.
September 30, March 31, 
2016December 31,2017December 31,
In millions of dollars(Unaudited)2015(Unaudited)2016
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
 
 
Cash and due from banks$262
$153
$65
$142
Trading account assets585
583
1,031
602
Investments5,057
5,263
3,397
3,636
Loans, net of unearned income 
 
 
 
Consumer52,837
58,772
49,815
53,401
Corporate20,849
22,008
19,556
20,121
Loans, net of unearned income$73,686
$80,780
$69,371
$73,522
Allowance for loan losses(1,800)(2,135)(1,860)(1,769)
Total loans, net$71,886
$78,645
$67,511
$71,753
Other assets166
150
165
158
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$77,956
$84,794
$72,169
$76,291
Statement continues on the next page.


CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
September 30, March 31, 
2016December 31,2017December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2015(Unaudited)2016
Liabilities 
 
 
 
Non-interest-bearing deposits in U.S. offices$141,899
$139,249
$129,436
$136,698
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
Interest-bearing deposits in U.S. offices (including $351 and $434 as of March 31, 2017 and December 31, 2016, respectively, at fair value)310,572
300,972
Non-interest-bearing deposits in offices outside the U.S.75,956
71,577
79,063
77,616
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
Interest-bearing deposits in offices outside the U.S. (including $956 and $778 as of March 31, 2017 and December 31, 2016, respectively, at fair value)430,919
414,120
Total deposits$940,252
$907,887
$949,990
$929,406
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
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $40,939 and $33,663 as of March 31, 2017 and December 31, 2016, respectively, at fair value)148,230
141,821
Brokerage payables61,921
53,722
59,655
57,152
Trading account liabilities131,649
117,512
144,070
139,045
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
Short-term borrowings (including $3,473 and $2,700 as of March 31, 2017 and December 31, 2016, respectively, at fair value)26,127
30,701
Long-term debt (including $27,526 and $26,254 as of March 31, 2017 and December 31, 2016, respectively, at fair value)208,530
206,178
Other liabilities (including $12,681 and $10,796 as of March 31, 2017 and December 31, 2016, respectively, at fair value)55,880
61,631
Total liabilities$1,585,427
$1,508,118
$1,592,482
$1,565,934
Stockholders’ equity 
 
 
 
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
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of March 31, 2017 and as of December 31, 2016, at aggregate liquidation value
$19,253
$19,253
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,523,273 and 3,099,482,042 as of March 31, 2017 and December 31, 2016
31
31
Additional paid-in capital107,875
108,288
107,613
108,042
Retained earnings143,678
133,841
149,731
146,477
Treasury stock, at cost: September 30, 2016—249,751,794 shares and December 31, 2015—146,203,311 shares
(12,069)(7,677)
Treasury stock, at cost: March 31, 2017—346,265,476 shares and December 31, 2016—327,090,192 shares
(17,579)(16,302)
Accumulated other comprehensive income (loss)(27,193)(29,344)(30,917)(32,381)
Total Citigroup stockholders’ equity$231,575
$221,857
$228,132
$225,120
Noncontrolling interest1,115
1,235
1,021
1,023
Total equity$232,690
$223,092
$229,153
$226,143
Total liabilities and equity$1,818,117
$1,731,210
$1,821,635
$1,792,077

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.
September 30, March 31, 
2016December 31,2017December 31,
In millions of dollars(Unaudited)2015(Unaudited)2016
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup
 
 
 
 
Short-term borrowings$11,205
$11,965
$10,636
$10,697
Long-term debt24,780
31,273
24,062
23,919
Other liabilities1,433
2,099
739
1,275
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup
$37,418
$45,337
$35,437
$35,891
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)  
Nine Months Ended September 30,Three Months Ended March 31,
In millions of dollars, except shares in thousands2016201520172016
Preferred stock at aggregate liquidation value 
 
 
 
Balance, beginning of period$16,718
$10,468
$19,253
$16,718
Issuance of new preferred stock2,535
4,750
—
1,035
Balance, end of period$19,253
$15,218
$19,253
$17,753
Common stock and additional paid-in capital 
 
 
 
Balance, beginning of period$108,319
$108,010
$108,073
$108,319
Employee benefit plans(371)325
(426)(660)
Preferred stock issuance expense(37)(19)—
(31)
Other(5)(24)(3)(7)
Balance, end of period$107,906
$108,292
$107,644
$107,621
Retained earnings 
 
 
 
Balance, beginning of period$133,841
$118,201
$146,477
$133,841
Adjustment to opening balance, net of taxes(2)(1)
15
(349)—
15
Adjusted balance, beginning of period$133,856
$117,852
$146,477
$133,856
Citigroup’s net income11,339
13,907
4,090
3,501
Common dividends(3)(2)
(760)(334)(445)(149)
Preferred dividends(757)(504)(301)(210)
Tax benefit—
—


—
Other(3)
(90)—
Balance, end of period$143,678
$130,921
$149,731
$136,998
Treasury stock, at cost 
 
 
 
Balance, beginning of period$(7,677)$(2,929)$(16,302)$(7,677)
Employee benefit plans(4)
775
405
507
765
Treasury stock acquired(5)
(5,167)(3,802)(1,784)(1,312)
Balance, end of period$(12,069)$(6,326)$(17,579)$(8,224)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
Balance, beginning of period$(29,344)$(23,216)$(32,381)$(29,344)
Adjustment to opening balance, net of taxes(1)
(15)—
—
(15)
Adjusted balance, beginning of period$(29,359)$(23,216)$(32,381)$(29,359)
Net change in Citigroup’s Accumulated other comprehensive income (loss)
2,166
(4,041)
Citigroup’s total other comprehensive income (loss)1,464
2,733
Balance, end of period$(27,193)$(27,257)$(30,917)$(26,626)
Total Citigroup common stockholders’ equity$212,322
$205,630
$208,879
$209,769
Total Citigroup stockholders’ equity$231,575
$220,848
$228,132
$227,522
Noncontrolling interests 
 
 
 
Balance, beginning of period$1,235
$1,511
$1,023
$1,235
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary(11)—
Transactions between Citigroup and the noncontrolling-interest shareholders(69)(144)(1)(27)
Net income attributable to noncontrolling-interest shareholders48
65
10
5
Dividends paid to noncontrolling-interest shareholders(42)(78)
Other comprehensive income (loss) attributable to
noncontrolling-interest shareholders
(13)(67)31
27
Other(33)2
(42)(1)
Net change in noncontrolling interests$(120)$(222)$(2)$4
Balance, end of period$1,115
$1,289
$1,021
$1,239
Total equity$232,690
$222,137
$229,153
$228,761

(1)See Note 1 to the 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,Common dividends declared were $0.16 per share in the first quarter of 2015 on a retrospective basis. This adjustment to opening Retained earnings represents2017 and $0.05 per share in the first quarter of 2016.
(3)Includes the impact of ASU 2016-09, Compensation-Stock Compensation (Topic 718): Improvements 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.Employee Share-Based Payment Accounting. 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 $0.05per 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 and third quarters of 2015.
Statements.
(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 nine months ended September 30, 2016 and 2015, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.


(5) For the three months ended March 31, 2017 and 2016, 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)  
Nine Months Ended September 30,Three months ended March 31,
In millions of dollars2016201520172016
Cash flows from operating activities of continuing operations 
 
 
 
Net income before attribution of noncontrolling interests$11,387
$13,972
$4,100
$3,506
Net income attributable to noncontrolling interests48
65
10
5
Citigroup’s net income$11,339
$13,907
$4,090
$3,501
Loss from discontinued operations, net of taxes(55)(9)(18)(2)
Income from continuing operations—excluding noncontrolling interests$11,394
$13,916
$4,108
$3,503
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
 
Gains on significant disposals(1)
(422)—
Net gains on significant disposals(1)
(19)(422)
Depreciation and amortization2,714
2,632
896
908
Provision for loan losses5,022
4,852
1,675
1,886
Realized gains from sales of investments(673)(641)(192)(186)
Net impairment losses on investments, goodwill and intangible assets616
231
40
465
Change in trading account assets(13,396)29,840
(1,073)(23,791)
Change in trading account liabilities14,137
(13,055)5,025
18,634
Change in brokerage receivables net of brokerage payables(230)(2,079)(5,498)(3,043)
Change in loans held-for-sale (HFS)3,958
(814)1,949
3,896
Change in other assets(2,009)1,037
(811)(3,327)
Change in other liabilities1,398
1,999
(5,685)(179)
Other, net5,825
3,446
(3,421)1,118
Total adjustments$16,940
$27,448
$(7,114)$(4,041)
Net cash provided by operating activities of continuing operations$28,334
$41,364
Net cash provided by (used in) operating activities of continuing operations$(3,006)$(538)
Cash flows from investing activities of continuing operations 
 
 
 
Change in deposits with banks$(20,374)$(10,250)$(20,322)$(23,852)
Change in federal funds sold and securities borrowed or purchased under agreements to resell(16,370)10,875
(6,116)(5,418)
Change in loans(42,163)(7,158)(7,953)(5,057)
Proceeds from sales and securitizations of loans12,676
8,127
3,191
1,247
Purchases of investments(155,804)(195,421)(41,584)(59,715)
Proceeds from sales of investments(2)
99,172
113,953
29,456
39,268
Proceeds from maturities of investments52,607
64,850
24,006
16,544
Proceeds from significant disposals(1)
265
—
2,732
265
Capital expenditures on premises and equipment and capitalized software(2,092)(2,472)(786)(702)
Proceeds from sales of premises and equipment, subsidiaries and affiliates,
and repossessed assets
467
471
133
230
Net cash used in investing activities of continuing operations$(71,616)$(17,025)$(17,243)$(37,190)
Cash flows from financing activities of continuing operations 
 
 
 
Dividends paid$(1,517)$(838)$(744)$(359)
Issuance of preferred stock2,498
4,731
—
1,004
Treasury stock acquired(5,167)(3,800)(1,858)(1,312)
Stock tendered for payment of withholding taxes(313)(425)(397)(308)
Change in federal funds purchased and securities loaned or sold under agreements to repurchase6,628
(4,834)6,409
10,712
Issuance of long-term debt43,464
35,678
18,603
13,904
Payments and redemptions of long-term debt(40,461)(33,637)(18,885)(11,281)
Change in deposits32,365
4,911
20,584
26,704
Change in short-term borrowings8,448
(35,756)(4,574)(186)


Net cash provided by (used in) financing activities of continuing operations$45,945
$(33,970)
CONSOLIDATED STATEMENT OF CASH FLOWSCitigroup Inc. and Subsidiaries 
(UNAUDITED) (CONTINUED)Three months ended March 31,
In millions of dollars20172016
Net cash provided by financing activities of continuing operations$19,138
$38,878
Effect of exchange rate changes on cash and cash equivalents$(144)$(751)$340
$190
Change in cash and due from banks$2,519
$(10,382)$(771)$1,340
Cash and due from banks at beginning of period20,900
32,108
23,043
20,900
Cash and due from banks at end of period$23,419
$21,726
$22,272
$22,240
Supplemental disclosure of cash flow information for continuing operations 
 
 
 
Cash paid during the period for income taxes$2,855
$4,043
$913
$688
Cash paid during the period for interest9,760
8,441
3,250
2,694
Non-cash investing activities 
 
 
 
Decrease in net loans associated with significant disposals reclassified to HFS—
(9,063)
Decrease in investments associated with significant disposals reclassified to HFS—
(1,402)
Decrease in goodwill associated with significant disposals reclassified to HFS—
(216)—
(30)
Decrease in deposits with banks with significant disposals reclassified to HFS—
(404)
Transfers to loans HFS from loans7,900
17,900
2,800
3,200
Transfers to OREO and other repossessed assets138
225
30
56
Non-cash financing activities 
Decrease in long-term debt associated with significant disposals reclassified to HFS$—
$(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 September 30, 2016March 31, 2017 and for the three- and nine- monththree-month periods ended September 30,March 31, 2017 and 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(2016 Annual Report on Form 10-K), and Citigroup’s Quarterly Reports on Form 10-Q for the quarters 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 uses 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

Accounting for Stock-Based Compensation
In March 2016, the FASB issued ASU 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting in order to simplify certain complex aspects of the accounting for income taxes and forfeitures related to employee stock-based compensation. The guidance became effective for Citi beginning on January 1, 2017. Under the new standard, excess tax benefits and deficiencies related to employee stock-based compensation are recognized directly within Income tax expense or benefit in Citi’s Consolidated Statement of Income, rather than within Additional paid-in capital. The impact of this change was not material in the first quarter of 2017. The impact of this change is similarly not expected to be material for the remainder of 2017 as the majority of employees’ deferred stock-based compensation awards are granted within the first quarter of each year, and therefore vest within the first quarter of each year, commensurate with vesting in equal annual installments. For additional information on these receivables and
payables, see Note 7 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.
Additionally, as permitted under the new guidance, Citi made an accounting policy election to account for forfeitures of awards as they occur, which represents a change from the previous requirement to estimate forfeitures when recognizing compensation expense. This change resulted in a cumulative effect adjustment to retained earnings that was not material at January 1, 2017.

Recognition and Measurement of Financial Assets and Financial Liabilities
In January 2016, the Financial 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 OCIAccumulated other comprehensive income (loss) (AOCI) the portion of the total change in the fair value of a liability
resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. It will also requirerequires equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the investee) to be measured at fair value with changes in fair value recognized in net income, thus eliminating eligibility for the current available-for-sale category. However, Federal Reserve Bank and Federal Home Loan Bank stock as well as certain exchange seats will continue to be presented at cost.
Citi early-adoptedearly adopted only the provisions of this ASU related to presentation of the change in fair value of liabilities for which the fair value option was elected, related to changes in Citigroup’s own credit spreads in OCIAOCI effective January 1, 2016. Accordingly, beginning inas of the first quarter 2016, these amounts of are reflected as a component of Accumulated other comprehensive income (AOCI),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 taxafter-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 17, Note 20 and Note 21 to the Consolidated Financial Statements. The Company is evaluating the effecteffects that the other provisions of ASU 2016-01,which are effective on January 1, 2018, will have on its Consolidated Financial Statements and related disclosures.



FUTURE APPLICATION OF ACCOUNTING STANDARDS

Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes - Intra-Entity Transfers of Assets Other Than Inventory, which will require an entity to recognize the income tax consequences of an intra-entity transfer of an asset, other than inventory, when the transfer occurs. The ASU is effective on January 1, 2018 with early adoption permitted.  The Company is evaluating the effect that ASU 2016-16 will have on its Consolidated Financial Statements.

Accounting for Financial Instruments-CreditInstruments—Credit Losses
In June 2016, the FASB issued ASU No. 2016-13, Financial Instruments-CreditInstruments—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 impact of the ASU will depend upon the state of the economy and the nature of Citi’s portfolios at the date of adoption. The ASU will be effective for Citi as of January 1, 2020. Early application is permitted for annual periods beginning January 1, 2019.

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 ASUCompany will adopt the guidance as of January 1, 2018 with a cumulative-effect adjustment to opening retained earnings. While the guidance will replace most existing revenue recognition guidance in GAAP, when it becomes effective on January 1, 2018. Thethe ASU is not applicable to financial instruments and, therefore, iswill not expected to impact a majority of the Company’s revenue, including net interest income. The Company plans to adopt
While in scope of the new revenue recognition guidance, in the first quarter of 2018. The Company does not expect a material change in the timing or measurement of revenues related to deposit fees. Citi’s credit cardholder fees and mortgage servicing fees have been concluded to be out of scope of the standard and therefore will not be impacted by the issuance of this guidance. The Company expects the presentation of expenses associated with underwriting activity to change from the current reporting where underwriting revenue recognitionis recorded net of the related expenses to a gross presentation where the expenses are recorded in Other operating expenses. This change to a gross presentation will result in an equivalent increase in underwriting revenue recorded in Commissions and is evaluatingfees and
associated underwriting expenses recorded in Other operating expenses; however, this change in presentation will not have an impact on Income from continuing operations. The Company continues to evaluate the effect that ASU 2014-09the guidance will have on other revenue streams within its scope, including the presentation of its Consolidated Financial Statements and relatedcertain contract expenses, as well as changes in disclosures and its adoption method.required by the new guidance.

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 whetherdoes not plan to early adopt andthe ASU. The Company is evaluating the effect that ASU 2016-02the standard will have on its Consolidated Financial Statements, regulatory capital and related disclosures.disclosures and the impact is not expected to be material.

Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory, which will require an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. The ASU is effective on January 1, 2018 with early adoption permitted. The Company continues to evaluate the impact of this standard, which is expected to increase DTAs, with an associated decrease in prepaid taxes of approximately $500 million. 

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



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

Premiums on Purchased Callable Debt Securities
In late March 2017, the FASB issued ASU No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20). The ASU changes the period of amortization of premiums on certain callable debt securities from the full contractual life of the security to the earliest call date of the security.  The ASU will not change the accretion of discounts. 
The ASU is effective for Citi as of January 1, 2019 through a cumulative effect adjustment to retained earnings, with early adoption permitted.  This accounting change will primarily affect Citi’s portfolios of available-for-sale and held-to-maturity state and municipal debt securities. The Company is evaluating the effect that the standard will have on its Consolidated Financial Statements, but based on a preliminary analysis, it is expected to result in a cumulative effect adjustment reducing retained earnings (primarily through a reclassification from AOCI) to reflect the shorter amortization period to the earliest call date for the premiums on callable debt securities. Under the new guidance, interest revenue recorded on callable bonds subject to a premium will decrease before the call date because premiums will be amortized over a shorter time period.

Other Potential Amendments to Current Accounting Standards
The FASB has issued a proposed ASU that will provide targeted improvements to the accounting guidance for hedging activities.  The exposure draft contains many proposals for improving how the economic results of risk management are reflected in financial reporting. Specifically, among other improvements, the ASU is expected to expand the list of benchmark interest rates and also increase the ability for entities to construct hedges of interest rate risk that hedge only certain cash flows of a hedged item.  If issued in its current form, the ASU is also expected to modify existing guidance related to the timing and income statement line recognition of ineffectiveness and components excluded from hedge relationships and add incremental disclosures regarding hedging activities. 





2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

Discontinued Operations
The following sales are reported as Discontinued operations 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. Residual costs and resolution of certain contingencies from the disposal resulted in income from Discontinued operations, net of taxes, of $0 million and $0 million for the three months ended September 30, 2016 and 2015, respectively, and $0 million and $6 million for the nine months ended September 30, 2016 and 2015, respectively.

Sale of Egg Banking plc Credit Card Business
Citi sold the Egg Banking plc credit card business in 2011. Residual costs from the disposal resulted in losses from Discontinued operations, net of taxes, of $24$18 million and $10$2 million for the three months ended September 30,March 31, 2017 and 2016, and 2015, respectively, and $46 million and $16 million for the nine months ended September 30, 2016 and 2015, respectively.

Combined Results for Discontinued Operations
The following is summarizedsummarizes financial information for previousall Discontinued operations for which Citi continues to have minimal residual costs associated with the sales:
 Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,
In millions of dollars2016201520162015
Total revenues, net of interest expense(1)
$—
$—
$—
$—
Income (loss) from discontinued operations$(37)$(15)$(76)$(14)
Provision (benefit) for income taxes(7)(5)(21)(5)
Income (loss), from discontinued operations, net of taxes$(30)$(10)$(55)$(9)

(1) Total revenues include gain or loss on sale, if applicable.
 Three months ended 
 March 31,
In millions of dollars20172016
Total revenues, net of interest expense$—
$—
Income (loss) from discontinued operations$(28)$(3)
Provision (benefit) for income taxes(10)(1)
Income (loss) from discontinued operations, net of taxes$(18)$(2)

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


Significant Disposals
The following sales completed during 20162017 and 20152016 were identified as significant disposals. The major classes of assets and liabilities derecognized from the Consolidated Balance Sheet at closing and the income related to each business until the disposal date are presented below.

Novation of the 80% Primerica Coinsurance Agreement
During the first quarter ofEffective January 1, 2016, Citi completed a novation (an arrangement that extinguishes Citi’s rights and obligations under a contract) of the Primerica 80% Coinsurance Agreementcoinsurance agreement, which was part of Corporate/Other, to a third-party re-insurer, resultingre-insurer. The novation resulted in revenuerevenues of $422$404 million recorded in Other revenue ($274263 million after tax)after-tax) during the first quarter of 2016. Furthermore, the novation resulted in derecognition of $1.5 billion of available for-saleavailable-for-sale securities and cash, $0.95 billion of deferred acquisition costs and $2.7 billion of insurance liabilities.
Income

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

Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,
In millions of dollars2016201520162015
Income before taxes$—
$33
$—
$103
immaterial for the three months ended March 31, 2017 and 2016.

Sale of OneMain FinancialCitiFinancial Canada Consumer Finance Business
During the fourth quarter of 2015,On March 31, 2017, Citi sold OneMain Financial (OneMain)CitiFinancial Canada (CitiFinancial), which was reported in Citi Holdings,part of Corporate/Other, including 1,100220 retail branches 5,500 employees, and approximately 1.3 million customer accounts. OneMain had1,400 employees. As part of the sale, Citi derecognized total assets of approximately $10.2$1.9 billion of assets,, including $7.8$1.7 billion of consumer loans (net of allowance), and $1.4total liabilities of approximately $1.5 billion related to intercompany borrowings, which were settled at closing of available-for-sale securities. OneMain also had $8.4the transaction. Separately, during the first quarter of 2017, CitiFinancial settled $0.4 billion of liabilities, including $6.2 billion of long-term debt and $1.1 billion of short-term borrowings.issued through loan securitizations. The transaction generated a pretax gain on sale of $2.6 billion,$350 million recorded in Other revenue ($1.6 billion($178 million 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, excluding the pretax gain on sale, was as follows:

Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,		Three months ended 
 March 31,
In millions of dollars201620152016201520172016
Income before taxes$—
$216
$—
$570
$30
$21











3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the Global Consumer Banking (GCB), and Institutional Clients Group (ICG), business segments. In addition, Corporate/Other includes activities not assigned to a specific business segment, as well as certain North America and international loan portfolios, discontinued operations and other legacy assets.
The prior-period balances reflect reclassifications to conform the presentation for all periods to the current period’s presentation. Effective January 1, 2017, financial data was reclassified to reflect:

the reporting of the remaining businesses and portfolios of assets of Citi Holdings as part of Corporate/Other which, prior to the first quarter of 2017, was a separately reported business segments.segment;
the re-attribution of certain treasury-related costs between Corporate/Other, GCB and ICG;
the re-attribution of regional revenues within ICG;and
certain other immaterial reclassifications.

Citi’s consolidated results remain unchanged for all periods presented as a result of the changes and reclassifications discussed above.
For additional information regarding Citigroup’s business segments, including certain reclassifications effective January 1, 2016, see Note 3 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.
The following tables presenttable presents certain 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
 Three Months Ended September 30,  
In millions of dollars, except identifiable assets in billions201620152016201520162015September 30, 2016December 31, 2015
Global Consumer Banking$8,227
$8,134
$690
$932
$1,288
$1,691
$412
$381
Institutional Clients Group8,628
8,659
1,266
1,198
2,772
2,433
1,302
1,217
Corporate/Other28
218
(183)(314)(247)183
43
52
Total Citicorp$16,883
$17,011
$1,773
$1,816
$3,813
$4,307
$1,757
$1,650
Citi Holdings877
1,681
(40)65
74
(1)61
81
Total$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)
Three months ended March 31, 
Nine Months Ended September 30,
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
In millions of dollars201620152016201520162015
In millions of dollars, except identifiable assets in billions201720162017201620172016March 31,
2017		December 31, 2016
Global Consumer Banking$23,730
$24,620
$2,017
$2,660
$3,842
$5,014
$7,817
$7,714
$584
$634
$1,003
$1,194
$412
$412
Institutional Clients Group25,510
26,682
3,373
3,894
7,446
8,267
9,126
7,895
1,375
764
3,011
1,869
1,314
1,277
Corporate/Other428
801
(530)(871)(365)395
1,177
1,946
(96)81
104
445
96
103
Total Citicorp$49,668
$52,103
$4,860
$5,683
$10,923
$13,676
Citi Holdings3,195
5,795
75
354
519
305
Total$52,863
$57,898
$4,935
$6,037
$11,442
$13,981
$18,120
$17,555
$1,863
$1,479
$4,118
$3,508
$1,822
$1,792
(1)
Includes Citicorp (excluding Corporate/Other) total revenues, net of interest expense (excluding Corporate/Other), in North America of $8.5$8.3 billion and $8.3$7.8 billion; in EMEA of $2.6$2.8 billion and $2.4$2.2 billion; in Latin America of $2.3 billion and $2.6$2.2 billion; and in Asia of $3.5 billion and $3.5$3.4 billion for the three months ended September 30,March 31, 2017 and 2016, and 2015, respectively. RegionalThese regional numbers exclude Citi Holdings and Corporate/Other, which largely operateoperates within the U.S. Includes Citicorp (excluding Corporate/Other) total revenues, net of interest expense, in North America of $24.5 billion and $25.1 billion; in EMEA of $7.4 billion and $7.9 billion; in Latin America of $6.8 billion and $7.5 billion; and in Asia of $10.5 billion and $10.8 billion for the nine months ended September 30, 2016 and 2015, respectively.
(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $1.8 billion and $1.3$1.5 billion; in the ICG results of $(90)$(205) million and $313$390 million; and in Citi Holdingsthe Corporate/Other results of $0.0 billion$52 million and $0.2 billion$170 million for the three months ended September 30,March 31, 2017 and 2016, and 2015, respectively. Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $4.7 billion and $4.1 billion; in the ICG results of $382 million and $312 million; and in Citi Holdings results of $0.1 billion and $1.0 billion for the nine months ended September 30, 2016 and 2015, respectively.


4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
Three Months Ended 
 September 30,		Nine Months Ended September 30,Three months ended 
 March 31,
In millions of dollars201620152016201520172016
Interest revenue    
Loan interest, including fees$10,229
$9,985
$29,739
$30,544
$9,947
$9,760
Deposits with banks247
187
703
538
295
219
Federal funds sold and securities borrowed or purchased under agreements to resell636
656
1,947
1,962
661
647
Investments, including dividends1,887
1,727
5,679
5,194
1,960
1,855
Trading account assets(1)
1,433
1,498
4,399
4,517
1,266
1,434
Other interest(2)
221
661
709
1,432
294
252
Total interest revenue$14,653
$14,714
$43,176
$44,187
$14,423
$14,167
Interest expense    
Deposits(3)(2)
$1,443
$1,215
$3,953
$3,828
$1,415
$1,204
Federal funds purchased and securities loaned or sold under agreements to repurchase459
379
1,488
1,198
493
502
Trading account liabilities(1)
102
57
286
158
147
88
Short-term borrowings90
159
300
436
199
100
Long-term debt1,080
1,131
3,207
3,400
1,312
1,046
Total interest expense$3,174
$2,941
$9,234
$9,020
$3,566
$2,940
Net interest revenue$11,479
$11,773
$33,942
$35,167
$10,857
$11,227
Provision for loan losses1,746
1,582
5,022
4,852
1,675
1,886
Net interest revenue after provision for loan losses$9,733
$10,191
$28,920
$30,315
$9,182
$9,341
(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 $336$305 million and $264$235 million for the three months ended September 30,March 31, 2017 and 2016, and 2015, respectively, and $838 million and $849 million for the nine months ended September 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
 
certain components of Commissions and fees revenue, see Note 5 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.
The following table presents Commissions and fees revenue:

Three Months Ended September 30,Nine Months Ended September 30,Three months ended March 31,
In millions of dollars201620152016201520172016
Investment banking$726
$692
$2,053
$2,590
$862
$574
Trading-related519
566
1,664
1,816
572
601
Trade and securities services384
428
1,176
1,311
390
406
Credit cards and bank cards372
415
987
1,413
311
271
Corporate finance(1)
164
113
528
384
169
123
Other consumer(2)
173
160
497
522
164
158
Checking-related140
128
360
374
120
116
Loan servicing71
103
235
317
86
96
Other95
127
332
369
85
118
Total commissions and fees$2,644
$2,732
$7,832
$9,096
$2,759
$2,463
(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. For additional information regarding Principal transactions revenue, see Note 6 to the Consolidated Financial Statements
in Citi’s 20152016 Annual Report on Form 10-K.
The following table presents Principal transactions revenue:






 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2016201520162015
Global Consumer Banking$163
$144
$473
$444
Institutional Clients Group2,063
1,209
5,548
5,199
Corporate/Other(37)(26)(183)(265)
Subtotal Citicorp$2,189
$1,327
$5,838
$5,378
Citi Holdings49
—
56
93
Total Citigroup$2,238
$1,327
$5,894
$5,471
Interest rate risks(1)
$1,282
$907
$3,229
$3,497
Foreign exchange risks(2)
466
432
1,481
1,236
Equity risks(3)
81
(183)76
(254)
Commodity and other risks(4)
171
180
436
614
Credit products and risks(5)
238
(9)672
378
Total$2,238
$1,327
$5,894
$5,471
 Three months ended March 31,
In millions of dollars20172016
Global Consumer Banking(1)
$149
$143
Institutional Clients Group2,668
1,576
Corporate/Other (1)
205
121
Total Citigroup$3,022
$1,840
Interest rate risks(2)
$1,766
$807
Foreign exchange risks(3)
588
613
Equity risks(4)
188
50
Commodity and other risks(5)
90
144
Credit products and risks(6)
390
226
Total$3,022
$1,840
(1)Primarily relates to foreign exchange risks.
(2)Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
(2)(3)Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(3)(4)Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(4)(5)Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(5)(6)Includes revenues from structured credit products.


7. INCENTIVE PLANS
 
For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 20152016 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 20152016 Annual Report on Form 10-K.

Net (Benefit) Expense
The following tables summarizetable summarizes the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans for Significant Plans and All Other Plans:
Three Months Ended September 30,Three months ended March 31,
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
2016201520172016
20172016
20172016
20172016
Qualified plans 
 
  
 
  
 
  
 
 
 
  
 
  
 
  
 
Benefits earned during the period$1
$1
 $39
$42
 $—
$—
 $1
$3
$1
$1
 $36
$38
 $—
$—
 $2
$3
Interest cost on benefit obligation126
143
 70
77
 6
8
 24
25
132
141
 71
73
 6
8
 24
24
Expected return on plan assets(224)(223) (71)(81) (2)—
 (22)(25)(216)(218) (70)(72) (1)(2) (21)(21)
Amortization of unrecognized 
 
  
 
  
 
  
 
 
   
 
  
 
  
 
Prior service benefit—
—
 —
—
 —
—
 (1)(3)—
—
 (1)—
 —
—
 (2)(3)
Net actuarial loss43
31
 19
17
 —
—
 8
10
Curtailment loss(1)
10
2
 —
—
 —
—
 —
—
Settlement (gain)(1)
—
—
 (2)—
 —
—
 —
—
Net actuarial loss (gain)41
36
 16
19
 (1)—
 8
8
Curtailment gains(1)
—
—
 —
(3) —
—
 —
—
Settlement loss(1)
—
—
 —
1
 —
—
 —
—
Net qualified plans (benefit) expense$(44)$(46)
$55
$55
 $4
$8
 $10
$10
$(42)$(40)
$52
$56
 $4
$6
 $11
$11
Nonqualified plans expense12
11
 —
—
 —
—
 —
—
10
10
 —
—
 —
—
 —
—
Total net (benefit) expense$(32)$(35) $55
$55
 $4
$8
 $10
$10
$(32)$(30) $52
$56
 $4
$6
 $11
$11

 Nine 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$2
$3
 $116
$129
 $—
$—
 $7
$10
Interest cost on benefit obligation399
411
 216
237
 19
24
 72
82
Expected return on plan assets(660)(668) (217)(248) (7)—
 (65)(81)
Amortization of unrecognized



  
 
   
  
 
Prior service benefit—
(2) (1)—
 —
—
 (7)(9)
Net actuarial loss (gain)118
106
 58
56
 (1)—
 24
33
Curtailment loss (gain) (1)
10
12
 (3)—
 —
—
 —
—
Settlement loss(1)
—
—
 2
—
 —
—
 —
—
Net qualified plans (benefit) expense$(131)$(138) $171
$174
 $11
$24
 $31
$35
Nonqualified plans expense31
33
 —
—
 —
—
 —
—
Total net (benefit) expense$(100)$(105) $171
$174
 $11
$24
 $31
$35

(1) Losses and gains(Gains) losses 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

(1) Losses due to curtailment relate to repositioning activities.

 Three months ended March 31, 2017
 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 
  
  
  
Projected benefit obligation at beginning of year$14,000
 $6,522
 $686
 $1,141
Plans measured annually(28) (1,784) —
 (303)
Projected benefit obligation at beginning of year—Significant Plans$13,972
 $4,738
 $686
 $838
Benefits earned during the period1
 21
 —
 2
Interest cost on benefit obligation139
 60
 6
 20
Plan amendments—
 5
 —
 —
Actuarial loss72
 134
 3
 39
Benefits paid, net of participants’ contributions(187) (75) (16) (11)
Foreign exchange impact and other—
 657
 —
 84
Projected benefit obligation at period end—Significant Plans$13,997
 $5,540

$679
 $972

Nine months ended September 30, 2016Three months ended March 31, 2017
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
$12,363
 $6,149
 $129
 $1,015
Plans measured annually—
 (1,175) —
 (8)—
 (1,167) —
 (11)
Plan assets at fair value at beginning of year—Significant Plans$12,137
 $4,929
 $166
 $1,125
$12,363
 $4,982
 $129
 $1,004
First quarter activity(72) 233
 $—
 39
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 assets235
 370
 8
 61
333
 179
 4
 36
Company contributions, net of reimbursements513
 12
 (7) —
13
 13
 12
 —
Plan participants’ contributions—
 1
 —
 —
—
 1
 —
 —
Benefits paid, net of government subsidy(191) (76) (8) (12)(187) (76) (16) (11)
Foreign exchange impact and other(125) (157) —
 (53)—
 786
 —
 99
Plan assets at fair value at period end—Significant Plans$12,687
 $5,413
 $138
 $1,104
$12,522
 $5,885
 $129
 $1,128
              
Funded status of the Significant plans       
Funded status of the Significant Plans       
Qualified plans(1)
$(1,387) $150
 $(591) $140
$(778) $345
 $(550) $156
Nonqualified plans(743) —
 —
 —
(697) —
 —
 —
Funded status of the plans at period end—Significant Plans$(2,130) $150
 $(591) $140
$(1,475) $345
 $(550) $156
              
Net amount recognized 
  
  
  
 
  
  
  
Benefit asset$—
 $728
 $—
 $140
$—
 $801
 $—
 $156
Benefit liability(2,130) (578) (591) —
(1,475) (456) (550) —
Net amount recognized on the balance sheet—Significant Plans$(2,130) $150
 $(591) $140
$(1,475) $345
 $(550) $156
              
Amounts recognized in AOCI
Amounts recognized in AOCI
  
  
  
Amounts recognized in AOCI
  
  
  
Prior service benefit—
 38
 —
 93
$—
 $32
 $—
 $92
Net actuarial gain (loss)(7,341) (991) 70
 (383)(6,795) (921) 104
 (372)
Net amount recognized in equity (pretax)—Significant Plans$(7,341) $(953) $70
 $(290)$(6,795) $(889) $104
 $(280)
              
Accumulated benefit obligation at period end—Significant Plans$14,810
 $4,935
 $729
 $964
$13,991
 $5,272
 $679
 $972
(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, 20162017 and no minimum required funding is expected for 2016.2017.



The following table shows the change in AOCI related to the Company’s Significant Planspension, postretirement and All Other Plans:post employment plans:
In millions of dollarsThree Months Ended September 30, 2016 Nine Months Ended September 30, 2016Three months ended March 31, 2017 Year ended December 31, 2016
Beginning of period balance, net of tax(1)(2)
$(5,608) $(5,116)$(5,164) $(5,116)
Actuarial assumptions changes and plan experience(415) (1,962)(248) (854)
Net asset gain due to difference between actual and expected returns367
 1,038
253
 400
Net amortization64
 179
56
 232
Prior service cost—
 33
Prior service (cost) credit(5) 28
Curtailment/settlement gain(3)
(2) (2)—
 17
Foreign exchange impact and other(3) (33)(58) 99
Change in deferred taxes, net1
 267
(10) 30
Change, net of tax$12
 $(480)$(12) $(48)
End of period balance, net of tax(1)(2)
$(5,596) $(5,596)$(5,176) $(5,164)
(1)
See Note 17 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.


Plan Assumptions
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 
Sept. 30, 2016Jun. 30, 2016Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016
U.S. plans  
Qualified pension3.65%3.95%4.10%3.55%4.40%
Nonqualified pension3.553.904.003.454.35
Postretirement3.403.753.903.304.20
Non-U.S. plans  
Pension0.20 - 11.850.35 to 12.300.60-11.000.20-11.550.75-13.20
Weighted average4.805.145.084.425.37
Postretirement8.208.459.658.258.60

The discount rates utilized at period-end in determining the pension and postretirement benefit obligations for the Significant Plans are as follows:
Plan obligations assumed discount rates at period endedSept. 30, 2016Jun. 30, 2016
Mar. 31,
2016
Mar. 31, 2017Dec. 31, 2016
U.S. plans   
Qualified pension3.55%3.65%3.95%4.05%4.10%
Nonqualified pension3.453.553.903.954.00
Postretirement3.303.403.753.853.90
Non-U.S. plans  
Pension0.20-11.550.20-11.850.35 to 12.300.55-10.450.60-11.00
Weighted average4.424.805.144.835.08
Postretirement8.258.208.459.259.65
    
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 September 30, 2016
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension  
   U.S. plans$9
$(13)
   Non-U.S. plans(6)6
Postretirement  
   U.S. plans$—
$(1)
   Non-U.S. plans(2)2





 Three months ended March 31, 2017
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension  
   U.S. plans$7
$(11)
   Non-U.S. plans(5)7
Postretirement  
   U.S. plans$—
$—
   Non-U.S. plans(2)2









Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first ninethree 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 2016.2017.
The following table summarizes the Company’s actual contributions for the ninethree months ended September 30,March 31, 2017 and 2016, and 2015, as well as estimated expected Company contributions for the remainder of 20162017 and the actual contributions made in the second, third and fourth quarterquarters of 2015:2016.



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 2016201520172016 20172016 20172016 20172016
Company contributions(2) for the nine months ended September 30
$541
$33
 $48
$85
 $4
$217
 $4
$7
Company contributions(2) for the three months ended March 31
$13
$15
 $34
$32
 $12
$6
 $2
$2
Company contributions made or expected to be made during the remainder of the year12
19
 29
49
 —
18
 3
2
43
541
 105
94
 —
—
 6
7

(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 following table summarizes the Company’s contributions for the defined contribution plans:
.
Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,		Three months ended 
 March 31,
In millions of dollars201620152016201520172016
U.S. plans$88
$94
$281
$295
$98
$96
Non-U.S. plans67
67
207
212
69
68

PostemploymentPost Employment Plans
The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. postemploymentpost employment plans:

Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,		Three months ended 
 March 31,
In millions of dollars201620152016201520172016
Service related expense

 
Service-related expense

 
Interest cost on benefit obligation

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












9.     EARNINGS PER SHARE
The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations:
Three Months Ended 
 September 30,		Nine Months Ended September 30,Three months ended 
 March 31,
In millions, except per-share amounts201620152016201520172016
Income from continuing operations before attribution of noncontrolling interests$3,887
$4,306
$11,442
$13,981
$4,118
$3,508
Less: Noncontrolling interests from continuing operations17
5
48
65
10
5
Net income from continuing operations (for EPS purposes)$3,870
$4,301
$11,394
$13,916
$4,108
$3,503
Income (loss) from discontinued operations, net of taxes(30)(10)(55)(9)(18)(2)
Citigroup's net income$3,840
$4,291
$11,339
$13,907
$4,090
$3,501
Less: Preferred dividends(1)
225
174
757
504
301
210
Net income available to common shareholders$3,615
$4,117
$10,582
$13,403
$3,789
$3,291
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS53
56
145
182
55
40
Net income allocated to common shareholders for basic EPS$3,562
$4,061
$10,437
$13,221
$3,734
$3,251
Net income allocated to common shareholders for diluted EPS$3,562
$4,061
$10,437
$13,221
3,734
3,251
Weighted-average common shares outstanding applicable to basic EPS2,879.9
2,993.3
2,912.9
3,015.8
2,765.3
2,943.0
Effect of dilutive securities(2)
   
  
Options(3)
0.1
3.4
0.1
4.4
0.2
0.1
Other employee plans0.1
0.2
0.1
0.2
Adjusted weighted-average common shares outstanding applicable to diluted EPS(4)
2,880.1
2,996.9
2,913.0
3,020.4
2,765.5
2,943.1
Basic earnings per share(5)
   
   
Income from continuing operations$1.25
$1.36
$3.60
$4.39
$1.36
$1.11
Discontinued operations(0.01)—
(0.02)—
(0.01)—
Net income$1.24
$1.36
$3.58
$4.38
$1.35
$1.10
Diluted earnings per share(5)
      
Income from continuing operations$1.25
$1.36
$3.60
$4.38
$1.36
$1.11
Discontinued operations(0.01)—
(0.02)—
(0.01)—
Net income$1.24
$1.35
$3.58
$4.38
$1.35
$1.10
(1)During the thirdfirst quarter of 2016,2017, Citi distributed $225$301 million in dividends on its outstanding preferred stock. As of September 30, 2016,March 31, 2017, Citi estimates it will distribute preferred dividends of approximately $320$912 million during the remainder of 2016,2017, in each case assuming such dividends are declared by the Citi Board of Directors.
(2)Warrants issued to the U.S. Treasury as part of the Troubled Asset Relief Program (TARP) and the loss-sharing agreement (all of which were subsequently sold to the public in January 2011), with exercise prices of $178.50 and $106.10$105.71 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 nine months ended September 30,March 31, 2017 and 2016 and 2015 because they were anti-dilutive.
(3)
During the thirdfirst quarters of 20162017 and 2015,2016, weighted-average options to purchase 3.60.9 millionand0.9 6.2 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$201.01 and $201.01$69.88 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 20152016 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 dollarsSeptember 30,
2016		December 31, 2015March 31,
2017		December 31, 2016
Federal funds sold$41
$25
$—
$—
Securities purchased under agreements to resell135,967
119,777
134,924
131,473
Deposits paid for securities borrowed100,037
99,873
108,005
105,340
Total(1)$236,045
$219,675
$242,929
$236,813

Federal funds purchased and securities loaned or sold under agreements to repurchase, at their respective carrying values, consisted of the following:
In millions of dollarsSeptember 30,
2016		December 31, 2015March 31,
2017		December 31, 2016
Federal funds purchased$372
$189
$133
$178
Securities sold under agreements to repurchase135,907
131,650
133,129
125,685
Deposits received for securities loaned16,845
14,657
14,968
15,958
Total(1)$153,124
$146,496
$148,230
$141,821
(1)
The above tables do not include securities-for-securities lending transactions of $11.8 billion and $9.3 billion at March 31, 2017 and December 31, 2016, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.

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.
A substantial portion of the resale and repurchase agreements is recorded at fair value, as described in Notes 20 and 21 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.
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 21 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 following tables present the gross and net resale and repurchase agreements and securities borrowing and lending
agreements and the related offsetting amount permitted under ASC-210-20-45. The tables also include amounts related to financial instruments that are not permitted to be offset under ASC-210-20-45, but would be eligible for offsetting to the extent that an event of default 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 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)
Securities purchased under agreements to resell$194,788
$58,821
$135,967
$105,941
$30,026
Deposits paid for securities borrowed100,037
—
100,037
15,835
84,202
Total$294,825
$58,821
$236,004
$121,776
$114,228

As of March 31, 2017
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
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 sold under agreements to repurchase$194,728
$58,821
$135,907
$65,748
$70,159
Deposits received for securities loaned16,845
—
16,845
2,871
13,974
Securities purchased under agreements to resell$185,844
$50,920
$134,924
$102,227
$32,697
Deposits paid for securities borrowed108,005
—
108,005
20,622
87,383
Total$211,573
$58,821
$152,752
$68,619
$84,133
$293,849
$50,920
$242,929
$122,849
$120,080



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)
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 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
Securities sold under agreements to repurchase$184,049
$50,920
$133,129
$66,956
$66,173
Deposits received for securities loaned14,968
—
14,968
3,447
11,521
Total$276,040
$56,390
$219,650
$108,658
$110,992
$199,017
$50,920
$148,097
$70,403
$77,694

As of December 31, 2016
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
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 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
Securities purchased under agreements to resell$176,284
$44,811
$131,473
$102,874
$28,599
Deposits paid for securities borrowed105,340
—
105,340
16,200
89,140
Total$202,697
$56,390
$146,307
$63,867
$82,440
$281,624
$44,811
$236,813
$119,074
$117,739
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities sold under agreements to repurchase$170,496
$44,811
$125,685
$63,517
$62,168
Deposits received for securities loaned15,958
—
15,958
3,529
12,429
Total$186,454
$44,811
$141,643
$67,046
$74,597
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)The total of this column for each period excludes Federal funds sold/purchased. See tables above.
(3)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(4)Remaining exposures continue to be secured by financial collateral, but 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 September 30, 2016As of March 31, 2017
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$98,771
$53,335
$19,329
$23,293
$194,728
$82,260
$55,581
$20,438
$25,770
$184,049
Deposits received for securities loaned10,805
2,964
1,114
1,962
16,845
9,997
1,274
2,062
1,635
14,968
Total$109,576
$56,299
$20,443
$25,255
$211,573
$92,257
$56,855
$22,500
$27,405
$199,017


As of December 31, 2015As of December 31, 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$89,732
$54,336
$21,541
$22,431
$188,040
$79,740
$50,399
$19,396
$20,961
$170,496
Deposits received for securities loaned9,096
1,823
2,324
1,414
14,657
10,813
2,169
2,044
932
15,958
Total$98,828
$56,159
$23,865
$23,845
$202,697
$90,553
$52,568
$21,440
$21,893
$186,454


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

As of September 30, 2016As of March 31, 2017
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotalRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency$73,237
$349
$73,586
State and municipal381
—
381
Foreign government63,382
958
64,340
U.S. Treasury and federal agency securities$67,821
$78
$67,899
State and municipal securities794
—
794
Foreign government securities65,167
1,145
66,312
Corporate bonds18,638
725
19,363
19,098
698
19,796
Equity securities10,707
14,171
24,878
10,756
12,593
23,349
Mortgage-backed securities19,459
—
19,459
10,428
—
10,428
Asset-backed securities4,998
—
4,998
6,016
—
6,016
Other3,926
642
4,568
3,969
454
4,423
Total$194,728
$16,845
$211,573
$184,049
$14,968
$199,017

As of December 31, 2015As of December 31, 2016
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotalRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency$67,005
$—
$67,005
State and municipal403
—
403
Foreign government66,633
789
67,422
U.S. Treasury and federal agency securities$66,263
$—
$66,263
State and municipal securities334
—
334
Foreign government securities52,988
1,390
54,378
Corporate bonds15,355
1,085
16,440
17,164
630
17,794
Equity securities10,297
12,484
22,781
12,206
13,913
26,119
Mortgage-backed securities19,913
—
19,913
11,421
—
11,421
Asset-backed securities4,572
—
4,572
5,428
—
5,428
Other3,862
299
4,161
4,692
25
4,717
Total$188,040
$14,657
$202,697
$170,496
$15,958
$186,454



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.
For additional information on these receivables and payables, see Note 12 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollarsSeptember 30,
2016		December 31, 2015March 31,
2017		December 31, 2016
Receivables from customers$11,004
$10,435
$12,452
$10,374
Receivables from brokers, dealers, and clearing organizations25,108
17,248
24,436
18,513
Total brokerage receivables(1)
$36,112
$27,683
$36,888
$28,887
Payables to customers$42,619
$35,653
$37,769
$37,237
Payables to brokers, dealers, and clearing organizations19,302
18,069
21,886
19,915
Total brokerage payables(1)
$61,921
$53,722
$59,655
$57,152

(1)BrokerageIncludes brokerage receivables and payables recorded by Citi broker-dealer entities that 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.   INVESTMENTS

For additional information regarding Citi’s investmentsinvestment portfolios, including evaluating investments for other-than-temporary impairment, see Note 1413 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.

Overview
The following table presents Citi’s investments by category:
 September 30,
2016		December 31,
2015
In millions of dollars
Securities available-for-sale (AFS)$308,117
$299,136
Debt securities held-to-maturity (HTM)(1)
38,588
36,215
Non-marketable equity securities carried at fair value(2)
1,977
2,088
Non-marketable equity securities carried at cost(3)
6,258
5,516
Total investments$354,940
$342,955
 In millions of dollarsMarch 31,
2017		December 31,
2016
 
 Securities available-for-sale (AFS)$290,282
$299,424
 
Debt securities held-to-maturity (HTM)(1)
47,942
45,667
 
Non-marketable equity securities carried at fair value(2)
1,529
1,774
 
Non-marketable equity securities carried at cost(3)
6,080
6,439
 Total investments$345,833
$353,304
(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 September 30,Nine Months Ended September 30,Three months ended March 31,
In millions of dollars201620152016201520172016
Taxable interest$1,741
$1,596
$5,219
$4,773
$1,760
$1,677
Interest exempt from U.S. federal income tax111
44
345
116
146
143
Dividend income35
87
115
305
54
35
Total interest and dividend income$1,887
$1,727
$5,679
$5,194
$1,960
$1,855



The following table presents realized gains and losses on the salesales of investments, which excludes losses from other-than-temporary impairment (OTTI):
Three Months Ended September 30,Nine Months Ended September 30,Three months ended March 31,
In millions of dollars201620152016201520172016
Gross realized investment gains$483
$213
$1,105
$926
$288
$379
Gross realized investment losses(196)(62)(432)(285)(96)(193)
Net realized gains on sale of investments$287
$151
$673
$641
$192
$186

 



Securities Available-for-Sale
The amortized cost and fair value of AFS securities were as follows:
September 30, 2016December 31, 2015March 31, 2017December 31, 2016
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   
Securities AFS   
Mortgage-backed securities(1)
      
U.S. government-sponsored agency guaranteed$42,465
$808
$71
$43,202
$39,584
$367
$237
$39,714
$35,951
$241
$489
$35,703
$38,663
$248
$506
$38,405
Prime5
—
—
5
2
—
—
2
2
—
—
2
2
—
—
2
Alt-A45
5
—
50
50
5
—
55
38
9
—
47
43
7
—
50
Non-U.S. residential4,437
19
10
4,446
5,909
31
11
5,929
3,416
31
22
3,425
3,852
13
7
3,858
Commercial351
4
1
354
573
2
4
571
360
1
1
360
357
2
1
358
Total mortgage-backed securities$47,303
$836
$82
$48,057
$46,118
$405
$252
$46,271
$39,767
$282
$512
$39,537
$42,917
$270
$514
$42,673
U.S. Treasury and federal agency securities      
U.S. Treasury$108,857
$1,979
$33
$110,803
$113,096
$254
$515
$112,835
$107,543
$637
$396
$107,784
$113,606
$629
$452
$113,783
Agency obligations10,801
108
6
10,903
10,095
22
37
10,080
9,910
23
70
9,863
9,952
21
85
9,888
Total U.S. Treasury and federal agency securities$119,658
$2,087
$39
$121,706
$123,191
$276
$552
$122,915
$117,453
$660
$466
$117,647
$123,558
$650
$537
$123,671
State and municipal$11,703
$201
$713
$11,191
$12,099
$132
$772
$11,459
$10,228
$81
$684
$9,625
$10,797
$80
$757
$10,120
Foreign government97,633
708
201
98,140
88,751
402
479
88,674
99,974
623
467
100,130
98,112
590
554
98,148
Corporate18,982
230
132
19,080
19,492
129
291
19,330
15,897
91
109
15,879
17,195
105
176
17,124
Asset-backed securities(1)
7,452
6
32
7,426
9,261
5
92
9,174
6,522
9
8
6,523
6,810
6
22
6,794
Other debt securities1,192
—
—
1,192
688
—
—
688
550
—
—
550
503
—
—
503
Total debt securities AFS$303,923
$4,068
$1,199
$306,792
$299,600
$1,349
$2,438
$298,511
$290,391
$1,746
$2,246
$289,891
$299,892
$1,701
$2,560
$299,033
Marketable equity securities AFS$1,309
$18
$2
$1,325
$602
$26
$3
$625
$368
$28
$5
$391
$377
$20
$6
$391
Total securities AFS$305,232
$4,086
$1,201
$308,117
$300,202
$1,375
$2,441
$299,136
$290,759
$1,774
$2,251
$290,282
$300,269
$1,721
$2,566
$299,424
(1)The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.






 







The following shows the fair value of AFS securities that have been in an unrealized loss 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
September 30, 2016   
March 31, 2017   
Securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$2,325
$10
$1,925
$61
$4,250
$71
$21,496
$423
$2,043
$66
$23,539
$489
Non-U.S. residential45
—
1,899
10
1,944
10
423
1
803
21
1,226
22
Commercial38
—
44
1
82
1
91
1
49
—
140
1
Total mortgage-backed securities$2,408
$10
$3,868
$72
$6,276
$82
$22,010
$425
$2,895
$87
$24,905
$512
U.S. Treasury and federal agency securities      
U.S. Treasury$7,895
$33
$175
$—
$8,070
$33
$38,221
$393
$955
$3
$39,176
$396
Agency obligations1,450
3
131
3
1,581
6
6,099
70
145
—
6,244
70
Total U.S. Treasury and federal agency securities$9,345
$36
$306
$3
$9,651
$39
$44,320
$463
$1,100
$3
$45,420
$466
State and municipal$302
$14
$3,632
$699
$3,934
$713
$1,039
$47
$2,883
$637
$3,922
$684
Foreign government23,678
116
8,230
85
31,908
201
33,770
173
11,624
294
45,394
467
Corporate2,625
84
1,831
48
4,456
132
6,278
93
881
16
7,159
109
Asset-backed securities522
—
4,917
32
5,439
32
221
—
1,369
8
1,590
8
Other debt securities25
—
—
—
25
—
70
—
—
—
70
—
Marketable equity securities AFS12
2
13
—
25
2
13
1
66
4
79
5
Total securities AFS$38,917
$262
$22,797
$939
$61,714
$1,201
$107,721
$1,202
$20,818
$1,049
$128,539
$2,251
December 31, 2015 
 
 
 
 
 
December 31, 2016 
 
 
 
 
 
Securities AFS 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed$17,816
$141
$2,618
$96
$20,434
$237
$23,534
$436
$2,236
$70
$25,770
$506
Prime—
—
1
—
1
—
1
—
—
—
1
—
Non-U.S. residential2,217
7
825
4
3,042
11
486
—
1,276
7
1,762
7
Commercial291
3
55
1
346
4
75
1
58
—
133
1
Total mortgage-backed securities$20,324
$151
$3,499
$101
$23,823
$252
$24,096
$437
$3,570
$77
$27,666
$514
U.S. Treasury and federal agency securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury$59,384
$505
$1,204
$10
$60,588
$515
$44,342
$445
$1,335
$7
$45,677
$452
Agency obligations6,716
30
196
7
6,912
37
6,552
83
250
2
6,802
85
Total U.S. Treasury and federal agency securities$66,100
$535
$1,400
$17
$67,500
$552
$50,894
$528
$1,585
$9
$52,479
$537
State and municipal$635
$26
$4,450
$746
$5,085
$772
$1,616
$55
$3,116
$702
$4,732
$757
Foreign government34,053
371
4,021
108
38,074
479
38,226
243
8,973
311
47,199
554
Corporate7,024
190
1,919
101
8,943
291
7,011
129
1,877
47
8,888
176
Asset-backed securities5,311
58
2,247
34
7,558
92
411
—
3,213
22
3,624
22
Other debt securities27
—
—
—
27
—
5
—
—
—
5
—
Marketable equity securities AFS132
3
1
—
133
3
19
2
24
4
43
6
Total securities AFS$133,606
$1,334
$17,537
$1,107
$151,143
$2,441
$122,278
$1,394
$22,358
$1,172
$144,636
$2,566


The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
September 30, 2016December 31, 2015March 31, 2017December 31, 2016
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$176
$176
$114
$114
$127
$127
$132
$132
After 1 but within 5 years843
850
1,408
1,411
633
635
736
738
After 5 but within 10 years2,246
2,300
1,750
1,751
1,888
1,877
2,279
2,265
After 10 years(2)
44,038
44,731
42,846
42,995
37,119
36,898
39,770
39,538
Total$47,303
$48,057
$46,118
$46,271
$39,767
$39,537
$42,917
$42,673
U.S. Treasury and federal agency securities      
Due within 1 year$3,020
$3,022
$3,016
$3,014
$4,182
$4,161
$4,945
$4,945
After 1 but within 5 years104,323
105,934
107,034
106,878
101,314
101,367
101,369
101,323
After 5 but within 10 years12,217
12,655
12,786
12,684
11,920
12,082
17,153
17,314
After 10 years(2)
98
95
355
339
37
37
91
89
Total$119,658
$121,706
$123,191
$122,915
$117,453
$117,647
$123,558
$123,671
State and municipal      
Due within 1 year$2,157
$2,155
$3,289
$3,287
$2,057
$2,057
$2,093
$2,092
After 1 but within 5 years2,685
2,693
1,781
1,781
2,675
2,674
2,668
2,662
After 5 but within 10 years459
469
502
516
319
316
335
334
After 10 years(2)
6,402
5,874
6,527
5,875
5,177
4,578
5,701
5,032
Total$11,703
$11,191
$12,099
$11,459
$10,228
$9,625
$10,797
$10,120
Foreign government      
Due within 1 year$28,878
$28,898
$25,898
$25,905
$31,111
$31,140
$32,540
$32,547
After 1 but within 5 years53,253
53,089
43,514
43,464
53,827
53,747
51,008
50,881
After 5 but within 10 years12,952
13,479
17,013
16,968
12,402
12,478
12,388
12,440
After 10 years(2)
2,550
2,674
2,326
2,337
2,634
2,765
2,176
2,280
Total$97,633
$98,140
$88,751
$88,674
$99,974
$100,130
$98,112
$98,148
All other(3)
      
Due within 1 year$3,065
$3,068
$2,354
$2,355
$3,443
$3,243
$2,629
$2,628
After 1 but within 5 years13,637
13,758
14,035
14,054
10,306
10,526
12,339
12,334
After 5 but within 10 years7,833
7,818
9,789
9,593
6,250
6,242
6,566
6,528
After 10 years(2)
3,091
3,054
3,263
3,190
2,970
2,941
2,974
2,931
Total$27,626
$27,698
$29,441
$29,192
$22,969
$22,952
$24,508
$24,421
Total debt securities AFS$303,923
$306,792
$299,600
$298,511
$290,391
$289,891
$299,892
$299,033
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate, asset-backed and other debt securities.



Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as follows:
In millions of dollars
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
September 30, 2016    
March 31, 2017March 31, 2017    
Debt securities held-to-maturity          
Mortgage-backed securities(3)
          
U.S. government agency guaranteed$16,888
$125
$17,013
$414
$(3)$17,424
$23,998
$27
$24,025
$46
$(204)$23,867
Prime41
(8)33
3
—
36
7
—
7
10
—
17
Alt-A343
(28)315
85
(1)399
303
(25)278
78
—
356
Subprime—
—
—
—
—
—
Non-U.S. residential2,058
(53)2,005
45
(6)2,044
1,828
(46)1,782
60
—
1,842
Commercial26
—
26
—
—
26
Total mortgage-backed securities$19,330
$36
$19,366
$547
$(10)$19,903
$26,162
$(44)$26,118
$194
$(204)$26,108
State and municipal$8,304
$(380)$7,924
$402
$(77)$8,249
$9,530
$(468)$9,062
$163
$(224)$9,001
Foreign government2,120
—
2,120
—
(9)2,111
1,202
—
1,202
—
(21)1,181
Asset-backed securities(3)
9,184
(6)9,178
25
(10)9,193
11,565
(5)11,560
63
(6)11,617
Total debt securities held-to-maturity$38,938
$(350)$38,588
$974
$(106)$39,456
$48,459
$(517)$47,942
$420
$(455)$47,907
December 31, 2015  
 
 
 
 
December 31, 2016  
 
 
 
 
Debt securities held-to-maturity 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities(3)
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government agency guaranteed$17,648
$138
$17,786
$71
$(100)$17,757
$22,462
$33
$22,495
$47
$(186)$22,356
Prime121
(78)43
3
(1)45
31
(7)24
10
(1)33
Alt-A433
(1)432
259
(162)529
314
(27)287
69
(1)355
Subprime2
—
2
13
—
15
Non-U.S. residential1,330
(60)1,270
37
—
1,307
1,871
(47)1,824
49
—
1,873
Commercial14
—
14
—
—
14
Total mortgage-backed securities$19,534
$(1)$19,533
$383
$(263)$19,653
$24,692
$(48)$24,644
$175
$(188)$24,631
State and municipal$8,581
$(438)$8,143
$245
$(87)$8,301
$9,025
$(442)$8,583
$129
$(238)$8,474
Foreign government4,068
—
4,068
28
(3)4,093
1,339
—
1,339
—
(26)1,313
Asset-backed securities(3)
4,485
(14)4,471
34
(41)4,464
11,107
(6)11,101
41
(5)11,137
Total debt securities held-to-maturity(4)$36,668
$(453)$36,215
$690
$(394)$36,511
$46,163
$(496)$45,667
$345
$(457)$45,555
(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 18 to the Consolidated Financial Statements.
(4)During the fourth quarter of 2016, securities with a total fair value of approximately $5.8 billion were transferred from AFS to HTM, composed of $5 billion of U.S. government agency mortgage-backed securities and $830 million of municipal securities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call, in part, in order to reduce the impact of price volatility on AOCI and certain capital measures under Basel III. While these securities were transferred to HTM at fair value as of the transfer date, no subsequent changes in value may be recorded, other than in connection with the recognition of any subsequent other-than-temporary impairment and the amortization of differences between the carrying values at the transfer date and the par values of each security as an adjustment of yield over the remaining contractual life of each security. Any net unrealized holding losses within AOCI related to the respective securities at the date of transfer, inclusive of any cumulative fair value hedge adjustments, will be amortized 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 table below shows the fair value of debt securities HTM that have been in an unrecognized loss 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
September 30, 2016     
March 31, 2017     
Debt securities held-to-maturity          
Mortgage-backed securities$695
$3
$553
$7
$1,248
$10
$3
$—
$18,784
$204
$18,787
$204
State and municipal365
4
1,435
73
1,800
77
2,005
52
1,199
172
3,204
224
Foreign government1,853
9
—
—
1,853
9
1,181
21
—
—
1,181
21
Asset-backed securities10
1
2,213
9
2,223
10
—
—
1,348
6
1,348
6
Total debt securities held-to-maturity$2,923
$17
$4,201
$89
$7,124
$106
$3,189
$73
$21,331
$382
$24,520
$455
December 31, 2015     
December 31, 2016     
Debt securities held-to-maturity          
Mortgage-backed securities$935
$1
$10,301
$262
$11,236
$263
$17
$—
$17,176
$188
$17,193
$188
State and municipal881
20
1,826
67
2,707
87
2,200
58
1,210
180
3,410
238
Foreign government180
3
—
—
180
3
1,313
26
—
—
1,313
26
Asset-backed securities132
13
3,232
28
3,364
41
2
—
2,503
5
2,505
5
Total debt securities held-to-maturity$2,128
$37
$15,359
$357
$17,487
$394
$3,532
$84
$20,889
$373
$24,421
$457
Note: Excluded from the gross unrecognized losses presented in the above table are $(350)$(517) million and $(453)$(496) million of net unrealized losses recorded in AOCI as of September 30, 2016March 31, 2017 and December 31, 2015,2016, respectively, primarily related to the difference between the amortized cost and carrying value of HTM securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at September 30, 2016March 31, 2017 and December 31, 2015.2016.


The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
September 30, 2016December 31, 2015March 31, 2017December 31, 2016
In millions of dollarsCarrying valueFair valueCarrying valueFair valueCarrying valueFair valueCarrying valueFair value
Mortgage-backed securities      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years766
788
172
172
755
758
760
766
After 5 but within 10 years57
59
660
663
53
54
54
55
After 10 years(1)
18,543
19,056
18,701
18,818
25,310
25,296
23,830
23,810
Total$19,366
$19,903
$19,533
$19,653
$26,118
$26,108
$24,644
$24,631
State and municipal      
Due within 1 year$535
$534
$309
$305
$358
$358
$406
$406
After 1 but within 5 years139
140
336
335
147
148
112
110
After 5 but within 10 years234
247
262
270
344
349
363
367
After 10 years(1)
7,016
7,328
7,236
7,391
8,213
8,146
7,702
7,591
Total$7,924
$8,249
$8,143
$8,301
$9,062
$9,001
$8,583
$8,474
Foreign government      
Due within 1 year$1,571
$1,572
$—
$—
$637
$637
$824
$818
After 1 but within 5 years549
539
4,068
4,093
565
544
515
495
After 5 but within 10 years—
—
—
—
—
—
—
—
After 10 years(1)
—
—
—
—
—
—
—
—
Total$2,120
$2,111
$4,068
$4,093
$1,202
$1,181
$1,339
$1,313
All other(2)
      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years—
—
—
—
—
—
—
—
After 5 but within 10 years508
508
—
—
500
501
513
514
After 10 years(1)
8,670
8,685
4,471
4,464
11,060
11,116
10,588
10,623
Total$9,178
$9,193
$4,471
$4,464
$11,560
$11,617
$11,101
$11,137
Total debt securities held-to-maturity$38,588
$39,456
$36,215
$36,511
$47,942
$47,907
$45,667
$45,555
(1)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(2)Includes corporate and asset-backed securities.

 



Recognition and Measurement of OTTI
The following tables present total OTTI recognized in earnings:
OTTI on Investments and Other AssetsThree Months Ended 
 September 30, 2016		Nine Months Ended  
  September 30, 2016
OTTI on Investments and Other assetsThree months ended 
 March 31, 2017
In millions of dollars
AFS(1)
HTM
Other
Assets
Total
AFS(1)(2)
HTM
Other
Assets(3)
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$—
$—
$—
$—
$3
$1
$—
$4
$—
$—
$—
$—
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
—
—
—
—
—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
$3
$1
$—
$4
$—
$—
$—
$—
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses20
12
—
32
243
36
332
611
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 exercise11
1
—
12
Total impairment losses recognized in earnings$20
$12
$—
$32
$246
$37
$332
$615
$11
$1
$—
$12
(1)Includes OTTI on non-marketable equity securities.




OTTI on Investments and Other assetsThree months ended 
 March 31, 2016
In millions of dollars
AFS(1)(2)
HTM
Other
assets(3)
Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:    
Total OTTI losses recognized during the period$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
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 losses195
7
262
464
Total impairment losses recognized in earnings$196
$7
$262
$465

(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 ninethree months ended September 30,March 31, 2016.


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

OTTI on Investments and Other AssetsThree 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
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 losses64
14
1
79
152
36
6
194
Total impairment losses recognized in earnings$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 dollarsJun. 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 balanceDec. 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		March 31, 2017 balance
AFS debt securities      
Mortgage-backed securities$294
$—
$—
$—
$294
$—
$—
$—
$—
$—
State and municipal—
—
—
—
—
4
—
—
—
4
Foreign government securities170
—
—
(5)165
—
—
—
—
—
Corporate110
—
—
(1)109
5
—
—
(1)4
All other debt securities144
—
—
(20)124
22
—
—
—
22
Total OTTI credit losses recognized for AFS debt securities$718
$—
$—
$(26)$692
$31
$—
$—
$(1)$30
HTM debt securities        
Mortgage-backed securities(1)
$532
$—
$—
$(2)$530
$101
$—
$—
$(4)$97
State and municipal1
—
—
—
1
3
—
—
—
3
All other debt securities131
—
—
—
131
Total OTTI credit losses recognized for HTM debt securities$664
$—
$—
$(2)$662
$104
$—
$—
$(4)$100
(1)Primarily consists of Alt-A securities.



 Cumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsJun. 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
State and municipal—
—
—
—
—
Foreign government securities170
—
—
—
170
Corporate112
1
—
—
113
All other debt securities149
—
—
—
149
Total OTTI credit losses recognized for AFS debt securities$726
$1
$—
$—
$727
HTM debt securities     
Mortgage-backed securities(1)
$650
$—
$—
$(30)$620
All other debt securities133
—
—
(1)132
Total OTTI credit losses recognized for HTM debt securities$783
$—
$—
$(31)$752
(1)Primarily consists of Alt-A securities.

The following are nine-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 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		September 30, 2016 balance
AFS debt securities     
Mortgage-backed securities$294
$1
$—
$(1)$294
State and municipal8
—
—
(8)—
Foreign government securities170
—
—
(5)165
Corporate112
1
2
(6)109
All other debt securities148
—
—
(24)124
Total OTTI credit losses recognized for AFS debt securities$732
$2
$2
$(44)$692
HTM debt securities     
Mortgage-backed securities(1)
$556
$—
$—
$(26)$530
State and municipal—
1
—
—
1
All other debt securities132
—
—
(1)131
Total OTTI credit losses recognized for HTM debt securities$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		September 30, 2015 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		Mar. 31, 2016 balance
AFS debt securities      
Mortgage-backed securities$295
$—
$—
$—
$295
$—
$—
$—
$—
$—
State and municipal—
—
—
—
—
12
—
—
(8)4
Foreign government securities171
—
—
(1)170
5
—
—
—
5
Corporate118
1
—
(6)113
9
1
—
(3)7
All other debt securities149
—
—
—
149
47
—
—
(4)43
Total OTTI credit losses recognized for AFS debt securities$733
$1
$—
$(7)$727
$73
$1
$—
$(15)$59
HTM debt securities       
Mortgage-backed securities(1)
$670
$—
$—
$(50)$620
$132
$—
$—
$—
$132
All other debt securities133
—
—
(1)132
State and municipal4
—
—
—
4
Total OTTI credit losses recognized for HTM debt securities$803
$—
$—
$(51)$752
$136
$—
$—
$—
$136
(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), or its equivalent, including hedge funds, private equity funds, funds of funds and real estate funds.funds, as provided by third-party asset managers. Investments in such funds are generally classified as nonmarketablenon-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV of the Company’s ownership interest in the funds. These investments include co-investments in funds that are managed by the Company and investments in funds that are
managed by third parties. Some of these investments are in “covered funds” for purposes of the Volcker
Rule, which prohibits certain proprietary investment activities and limits the ownership of, and relationships with, covered funds. The deadlineOn April 21, 2017, Citi’s request for compliance withextension of the permitted holding period under the Volcker Rule is July 2017, by which date Citi is required to sell thosefor certain of its investments in coveredilliquid funds prohibited by the rule. Subject to market demand,was approved, allowing the Company may receive value that is lower thanto hold such investments until the reported NAV for these investments.earlier of 5 years from the July 21, 2017 expiration date of the general conformance period, or the date such investments mature or are otherwise conformed with the Volcker Rule.



Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
In millions of dollarsSeptember 30,
2016		December 31, 2015September 30,
2016		December 31, 2015 March 31,
2017		December 31, 2016March 31,
2017		December 31, 2016 
Hedge funds$3
$3
$—
$—
Generally quarterly10–95 days$3
$4
$—
$—
Generally quarterly10–95 days
Private equity funds(1)(2)
675
762
129
173
—359
348
82
82
—
Real estate funds (2)(3)
69
130
22
21
—54
56
21
20
—
Total(4)
$747
$895
$151
$194
—$416
$408
$103
$102
—
(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)The fair value of investments above is based on NAVs provided by third-party asset managers.


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 1514 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.

Consumer Loans
Consumer loans represent loans and leases managed primarily by GCBin Citicorp and in Citi Holdings. Corporate/Other. The following table provides Citi’s consumer loans by loan type:

In millions of dollarsSeptember 30, 2016December 31, 2015March 31, 2017December 31, 2016
In U.S. offices  
Mortgage and real estate(1)
$75,057
$80,281
$71,170
$72,957
Installment, revolving credit, and other3,465
3,480
3,252
3,395
Cards(2)
124,637
112,800
Cards125,799
132,654
Commercial and industrial6,989
6,407
7,434
7,159
$210,148
$202,968
$207,655
$216,165
In offices outside the U.S.    
Mortgage and real estate(1)
$45,751
$47,062
$43,822
$42,803
Installment, revolving credit, and other28,217
29,480
26,014
24,887
Cards25,833
27,342
24,497
23,783
Commercial and industrial17,828
17,741
17,728
16,568
Lease financing113
362
83
81
$117,742
$121,987
$112,144
$108,122
Total consumer loans$327,890
$324,955
$319,799
$324,287
Net unearned income$812
830
$757
$776
Consumer loans, net of unearned income$328,702
$325,785
$320,556
$325,063

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

During the three and nine months ended September 30, 2016 and 2015, theThe Company sold and/or reclassified to held-for-sale $1.3$2.3 billion and $6.0$2.7 billion and $1.5 billion and $16.3 billion respectively, of consumer loans.loans during the three months ended March 31, 2017 and 2016, respectively.

 











Consumer Loan Delinquency and Non-Accrual Details at September 30, 2016March 31, 2017
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(5)$52,266
$564
$336
$1,499
$54,665
$1,225
$1,267
$50,423
$447
$299
$1,368
$52,537
$763
$1,117
Home equity loans(5)(7)
19,324
261
434
—
20,019
728
—
16,694
233
404
—
17,331
848
—
Credit cards122,592
1,460
1,271
—
125,323
—
1,271
123,638
1,362
1,433
—
126,433
—
1,433
Installment and other4,647
64
38
—
4,749
69
—
3,537
46
18
—
3,601
24
1
Commercial banking loans8,627
23
141
—
8,791
407
12
9,128
18
68
—
9,214
291
12
Total$207,456
$2,372
$2,220
$1,499
$213,547
$2,429
$2,550
$203,420
$2,106
$2,222
$1,368
$209,116
$1,926
$2,563
In offices outside North America      
Residential first mortgages(5)$38,433
$244
$158
$—
$38,835
$392
$—
$36,624
$245
$156
$—
$37,025
$400
$—
Credit cards24,270
438
391
—
25,099
258
260
23,272
394
331
—
23,997
272
242
Installment and other25,632
334
140
—
26,106
314
—
24,088
295
123
—
24,506
149
—
Commercial banking loans24,981
13
117
—
25,111
158
—
25,726
91
93
—
25,910
208
—
Total$113,316
$1,029
$806
$—
$115,151
$1,122
$260
$109,710
$1,025
$703
$—
$111,438
$1,029
$242
Total GCB and Citi Holdings consumer
$320,772
$3,401
$3,026
$1,499
$328,698
$3,551
$2,810
Total GCB and Corporate/Other consumer
$313,130
$3,131
$2,925
$1,368
$320,554
$2,955
$2,805
Other(6)(8)
4
—
—
—
4
1
—
2
—
—
—
2
—
—
Total Citigroup$320,776
$3,401
$3,026
$1,499
$328,702
$3,552
$2,810
$313,132
$3,131
$2,925
$1,368
$320,556
$2,955
$2,805
(1)Loans less than 30 days past due are presented as current.
(2)Includes $31$28 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored entities.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.2 billion and 90 days or more past due of $1.2 billion.
(5)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(6)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(7)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(8)
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Corporate/Other consumer credit metrics.


Consumer Loan Delinquency and Non-Accrual Details at December 31, 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
In North America offices       
Residential first mortgages(5)
$50,766
$522
$371
$1,474
$53,133
$848
$1,227
Home equity loans(6)(7)
18,767
249
438
—
19,454
914
—
Credit cards130,327
1,465
1,509
—
133,301
—
1,509
Installment and other4,486
106
38
—
4,630
70
2
Commercial banking loans8,876
23
74
—
8,973
328
14
Total$213,222
$2,365
$2,430
$1,474
$219,491
$2,160
$2,752
In offices outside North America       
Residential first mortgages(5)
$35,862
$206
$135
$—
$36,203
$360
$—
Credit cards22,363
368
324
—
23,055
258
239
Installment and other22,683
264
126
—
23,073
163
—
Commercial banking loans23,054
72
112
—
23,238
217
—
Total$103,962
$910
$697
$—
$105,569
$998
$239
Total GCB and Corporate/Other consumer
$317,184
$3,275
$3,127
$1,474
$325,060
$3,158
$2,991
Other(8)
3
—
—
—
3
—
—
Total Citigroup$317,187
$3,275
$3,127
$1,474
$325,063
$3,158
$2,991
(1)Loans less than 30 days past due are presented as current.
(2)Includes $29 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored entities.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.2 billion and 90 days or more past due of $1.3 billion.
(5)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(6)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(7)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(6)(8)
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Citi HoldingsCorporate/Other 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)
The following tables provide details on the FICO scores for Citi’s U.S. consumer loan portfolio (commercial banking loans are excluded from the table 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)
March 31, 2017
In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$2,643
$2,323
$43,848
Home equity loans1,650
1,330
13,935
Credit cards8,631
11,270
103,156
Installment and other281
274
2,479
Total$13,205
$15,197
$163,418

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)
December 31, 2015December 31, 2016

In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$3,483
$3,036
$45,047
$2,744
$2,422
$44,279
Home equity loans2,067
1,782
17,837
1,750
1,418
14,743
Credit cards7,341
10,072
93,194
8,310
11,320
110,522
Installment and other337
270
2,662
284
271
2,601
Total$13,228
$15,160
$158,740
$13,088
$15,431
$172,145
(1)Excludes loans guaranteed by U.S. government entities, loans subject to LTSCslong-term standby commitments (LTSC) 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
The following tables provide details on the LTV ratios (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)
September 30, 2016March 31, 2017
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$47,092
$3,299
$315
$45,335
$3,358
$312
Home equity loans13,358
3,974
1,425
12,344
3,305
1,183
Total$60,450
$7,273
$1,740
$57,679
$6,663
$1,495
LTV distribution in U.S. portfolio(1)(2)
December 31, 2015December 31, 2016
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$46,559
$4,478
$626
$45,849
$3,467
$324
Home equity loans13,904
5,147
2,527
12,869
3,653
1,305
Total$60,463
$9,625
$3,153
$58,718
$7,120
$1,629
(1)Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where LTV was not available. Such amounts are not material.




Impaired Consumer Loans

The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
 Three months ended September 30,Nine months ended September 30, Three months ended March 31,
Balance at September 30, 20162016201520162015Balance at March 31, 201720172016
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)
Mortgage and real estate      
Residential first mortgages$4,314
$4,752
$578
$5,195
$31
$107
$135
$359
$3,632
$3,995
$402
$4,116
$36
$61
Home equity loans1,311
1,830
200
1,351
8
16
26
50
1,219
1,720
281
1,289
8
9
Credit cards1,830
1,865
580
1,882
42
47
122
135
1,824
1,858
588
1,813
38
41
Installment and other 
 

 
Individual installment and other480
516
236
478
8
8
22
47
391
411
176
449
8
7
Commercial banking loans589
918
113
498
7
4
11
10
507
710
122
549
6
2
Total$8,524
$9,881
$1,707
$9,404
$96
$182
$316
$601
$7,573
$8,694
$1,569
$8,216
$96
$120
(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)$1,068680 million of residential first mortgages, $416$388 million of home equity loans and $98$82 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, 2015Balance, December 31, 2016
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
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
$3,786
$4,157
$540
$4,632
Home equity loans1,399
1,972
406
1,778
1,298
1,824
189
1,326
Credit cards1,950
1,986
604
2,079
1,747
1,781
566
1,831
Installment and other  
Individual installment and other464
519
197
449
455
481
215
475
Commercial banking loans341
572
100
361
513
744
98
538
Total$10,192
$11,659
$2,046
$13,599
$7,799
$8,987
$1,608
$8,802
(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)$1,151740 million of residential first mortgages, $459$406 million of home equity loans and $86$97 million of commercial market loans do not have a specific allowance.
(3)
Included in the Allowance for loan losses.
(4)Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.






Consumer Troubled Debt Restructurings

 At and for the three months ended March 31, 2017
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
North America      
Residential first mortgages966
$130
$3
$—
$1
1%
Home equity loans679
56
3
—
—
1
Credit cards59,337
231
—
—
—
17
Installment and other revolving221
2
—
—
—
5
Commercial markets(6)
26
5
—
—
—
—
Total(8)
61,229
$424
$6
$—
$1
 
International      
Residential first mortgages613
27
—
—
—
—%
Credit cards25,237
85
—
—
2
14
Installment and other revolving11,307
60
—
—
4
7
Commercial markets(6)
32
13
—
—
—
2
Total(8)
37,189
$185
$—
$—
$6
 
 At 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
North America      
Residential first mortgages1,165
$165
$1
$—
$1
1%
Home equity loans1,117
61
—
—
—
2
Credit cards51,260
199
—
—
—
18
Installment and other revolving1,421
12
—
—
—
14
Commercial markets(6)
30
36
—
—
—
—
Total(8)
54,993
$473
$1
$—
$1
 
International      
Residential first mortgages973
24
—
—
—
—%
Credit cards28,530
94
—
—
2
12
Installment and other revolving12,283
69
—
—
2
8
Commercial markets(6)
44
39
—
—
—
—
Total(8)
41,830
$226
$—
$—
$4
 
At and for the three months ended September 30, 2015At and for the three months ended March 31, 2016
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
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 mortgages2,282
$305
$2
$1
$7
1%1,468
$212
$2
$—
$1
1%
Home equity loans1,021
36
—
—
—
2
858
30
—
—
—
3
Credit cards44,972
186
—
—
—
16
49,109
188
—
—
—
17
Installment and other revolving1,035
9
—
—
—
13
1,385
12
—
—
—
14
Commercial markets(6)
89
10
—
—
—
—
23
5
—
—
—
—
Total(8)
49,399
$546
$2
$1
$7
 
52,843
$447
$2
$—
$1
 
International      
Residential first mortgages1,322
30
—
—
—
—%419
15
—
—
—
—%
Credit cards32,774
87
—
—
2
13
52,207
123
—
—
2
13
Installment and other revolving19,283
76
—
—
1
5
21,644
82
—
—
2
7
Commercial markets(6)
37
11
—
—
—
—
28
20
—
—
—
—
Total(8)
53,416
$204
$—
$—
$3
 
74,298
$240
$—
$—
$4
 

(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $17$15 million of residential first mortgages and $5$6 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended September 30, 2016.March 31, 2017. These amounts include $11$9 million of residential first mortgages and $5$6 million of home equity loans that were newly classified as TDRs in the three months ended September 30, 2016,March 31, 2017, based on previously received OCC guidance.
(3)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(4)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(6) Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.
(7) Post-modification balances in North America include $54$20 million of residential first mortgages and $17$5 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended September 30, 2015.March 31, 2016. These amounts include $34$14 million of residential first mortgages and $14$5 million of home equity loans that were newly classified as TDRs in the three months ended September 30, 2015,March 31, 2016, based on previously received OCC guidance.
(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.


 At 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
North America      
Residential first mortgages3,979
$582
$4
$—
$3
1%
Home equity loans2,789
121
1
—
—
2
Credit cards143,161
552
—
—
—
17
Installment and other revolving4,187
35
—
—
—
14
Commercial banking(6)
94
47
—
—
—
—
Total(8)
154,210
$1,337
$5
$—
$3
 
International      
Residential first mortgages2,005
$62
$—
$—
$—
—%
Credit cards109,365
307
—
—
7
12
Installment and other revolving45,125
208
—
—
6
7
Commercial banking(6)
117
90
—
—
—
—
Total(8)
156,612
$667
$—
$—
$13
 
 At 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
North America      
Residential first mortgages8,084
$1,078
$7
$3
$23
1%
Home equity loans3,571
126
1
—
3
2
Credit cards140,130
582
—
—
—
16
Installment and other revolving3,111
27
—
—
—
13
Commercial banking(6)
245
39
—
—
—
—
Total(8)
155,141
$1,852
$8
$3
$26
 
International      
Residential first mortgages2,963
$80
$—
$—
$—
—%
Credit cards110,792
288
—
—
5
13
Installment and other revolving48,397
207
—
—
5
5
Commercial banking(6)
163
61
—
—
—
1
Total(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 $58 million of residential first mortgages and $14 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the nine months ended September 30, 2016. These amounts include $38 million of residential first mortgages and $14 million of home equity loans that were newly classified as TDRs in the nine months ended September 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 $181 million of residential first mortgages and $46 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the nine months ended September 30, 2015. These amounts include $107 million of residential first mortgages and $39 million of home equity loans that were newly classified as TDRs in the nine months ended September 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
September 30,		Nine Months Ended
September 30,		Three months ended March 31,
In millions of dollars201620152016201520172016
North America    
Residential first mortgages$49
$101
$188
$329
$51
$87
Home equity loans6
9
20
30
9
9
Credit cards43
47
139
139
52
49
Installment and other revolving3
2
7
6
—
2
Commercial banking12
1
14
5
2
1
Total$113
$160
$368
$509
$114
$148
International    
Residential first mortgages$3
$5
$9
$17
$2
$3
Credit cards41
34
115
106
42
37
Installment and other revolving24
20
70
66
23
22
Commercial banking21
7
36
16
—
3
Total$89
$66
$230
$205
$67
$65




Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents Citi’sinformation by corporate loans
by loan type:
In millions of dollarsSeptember 30,
2016		December 31,
2015		March 31,
2017		December 31,
2016
In U.S. offices  
Commercial and industrial$50,156
$41,147
$49,845
$49,586
Financial institutions35,801
36,396
35,734
35,517
Mortgage and real estate(1)
41,078
37,565
40,052
38,691
Installment, revolving credit and other32,571
33,374
32,212
34,501
Lease financing1,532
1,780
1,511
1,518
$161,138
$150,262
$159,354
$159,813
In offices outside the U.S.   
Commercial and industrial$84,162
$82,358
$87,258
$81,882
Financial institutions27,305
28,704
33,763
26,886
Mortgage and real estate(1)
5,595
5,106
5,527
5,363
Installment, revolving credit and other25,462
20,853
16,576
19,965
Lease financing243
303
253
251
Governments and official institutions6,506
4,911
5,970
5,850
$149,273
$142,235
$149,347
$140,197
Total corporate loans$310,411
$292,497
$308,701
$300,010
Net unearned income(678)(665)(662)(704)
Corporate loans, net of unearned income$309,733
$291,832
$308,039
$299,306
(1)Loans secured primarily by real estate.
 

The Company sold and/or reclassified to held-for-sale $1.3 billion and $2.6$0.5 billion of corporate loans during both the three and nine months ended September 30, 2016, respectivelyMarch 31, 2017 and $0.5 billion and $1.6 billion during the three and nine months ended September 30, 2015, respectively.2016. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and nine months ended September 30, 2016March 31, 2017 or 2015.2016.





Corporate Loan Delinquency and Non-Accrual Details at September 30, 2016March 31, 2017
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$208
$4
$212
$1,940
$129,531
$131,683
$170
$—
$170
$1,692
$132,583
$134,445
Financial institutions—
—
—
189
62,283
62,472
215
18
233
301
67,478
68,012
Mortgage and real estate351
—
351
169
46,051
46,571
211
—
211
181
45,172
45,564
Leases131
48
179
58
1,537
1,774
98
8
106
67
1,591
1,764
Other269
1
270
59
62,965
63,294
427
3
430
98
53,719
54,247
Loans at fair value









3,939










4,007
Purchased distressed loans









—










—
Total$959
$53
$1,012
$2,415
$302,367
$309,733
$1,121
$29
$1,150
$2,339
$300,543
$308,039
Corporate Loan Delinquency and Non-Accrual Details at December 31, 20152016
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$87
$4
$91
$1,071
$118,465
$119,627
$143
$52
$195
$1,909
$127,012
$129,116
Financial institutions16
—
16
173
64,128
64,317
119
2
121
185
61,254
61,560
Mortgage and real estate137
7
144
232
42,095
42,471
148
137
285
139
43,607
44,031
Leases—
—
—
76
2,006
2,082
27
8
35
56
1,678
1,769
Other29
—
29
44
58,286
58,359
349
12
361
132
58,880
59,373
Loans at fair value









4,971










3,457
Purchased distressed loans









5










—
Total$269
$11
$280
$1,596
$284,980
$291,832
$786
$211
$997
$2,421
$292,431
$299,306
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Non-accrual loans generally include those loans that are ≥ 90 days past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful.
(3)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.







Corporate Loans Credit Quality Indicators
Recorded investment in loans(1)
Recorded investment in loans(1)
In millions of dollarsSeptember 30,
2016		December 31,
2015		March 31,
2017		December 31,
2016
Investment grade(2)
  
Commercial and industrial$88,871
$85,828
$90,753
$85,369
Financial institutions50,485
53,522
55,422
49,915
Mortgage and real estate21,477
18,869
19,901
18,718
Leases1,283
1,725
1,169
1,303
Other55,215
51,449
47,307
51,930
Total investment grade$217,331
$211,393
$214,552
$207,235
Non-investment grade(2)
  
Accrual  
Commercial and industrial$40,871
$32,726
$41,999
$41,838
Financial institutions11,799
10,622
12,288
11,459
Mortgage and real estate2,145
2,800
1,865
1,821
Leases434
282
528
410
Other8,019
6,867
6,843
7,312
Non-accrual  
Commercial and industrial1,940
1,071
1,692
1,909
Financial institutions189
173
301
185
Mortgage and real estate169
232
181
139
Leases58
76
67
56
Other59
44
98
132
Total non-investment grade$65,683
$54,893
$65,862
$65,261
Private bank loans managed on a delinquency basis(2)
$22,780
$20,575
$23,618
$23,353
Loans at fair value3,939
4,971
4,007
3,457
Corporate loans, net of unearned income$309,733
$291,832
$308,039
$299,306
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Held-for-investment loans are accounted for on an amortized cost basis.
 














Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loansloan type and interest income recognized on non-accrual corporate loans:
September 30, 2016
Three Months
Ended
September 30, 2016
Nine Months
Ended
September 30, 2016
March 31, 2017 
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)
Non-accrual corporate loans       
Commercial and industrial$1,940
$2,216
$427
$1,709
$5
$22
$1,692
$2,040
$332
$1,876
$2
Financial institutions189
196
8
180
—
3
301
324
37
217
—
Mortgage and real estate169
288
18
197
3
6
181
309
9
168
—
Lease financing58
58
1
49
—
—
67
67
4
60
—
Other59
142
27
65
2
5
98
205
—
88
—
Total non-accrual corporate loans$2,415
$2,900
$481
$2,200
$10
$36
$2,339
$2,945
$382
$2,409
$2
December 31, 2015December 31, 2016
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
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
$1,909
$2,259
$362
$1,919
Financial institutions173
196
10
194
185
192
16
183
Mortgage and real estate232
336
21
240
139
250
10
174
Lease financing76
76
54
62
56
56
4
44
Other44
114
32
39
132
197
—
87
Total non-accrual corporate loans$1,596
$1,946
$363
$1,394
$2,421
$2,954
$392
$2,407
September 30, 2016December 31, 2015March 31, 2017December 31, 2016
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$1,616
$427
$571
$246
$1,103
$332
$1,343
$362
Financial institutions37
8
18
10
87
37
45
16
Mortgage and real estate50
18
60
21
35
9
41
10
Lease financing58
1
75
54
53
4
55
4
Other53
27
40
32
1
—
1
—
Total non-accrual corporate loans with specific allowance$1,814
$481
$764
$363
$1,279
$382
$1,485
$392
Non-accrual corporate loans without specific allowance      
Commercial and industrial$324
 
$500
 
$589
 
$566
 
Financial institutions152
 
155
 
214
 
140
 
Mortgage and real estate119
 
172
 
146
 
98
 
Lease financing—
 
1
 
14
 
1
 
Other6
 
4
 
97
 
131
 
Total non-accrual corporate loans without specific allowance$601
N/A
$832
N/A
$1,060
N/A
$936
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 periodsthree months ended September 30, 2015March 31, 2016 was $2 million and $7 million, respectively.$13 million.




Corporate Troubled Debt Restructurings

At and for the three months ended March 31, 2017:
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$55
$—
$—
$55
Financial institutions15
—
—
15
Mortgage and real estate1
—
—
1
Total$71
$—
$—
$71
At and for the three months ended September 30,March 31, 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$112
$103
$2
$7
Financial institutions10
10
—
—
Mortgage and real estate2
1
—
1
Other—
—
—
—
Total$124
$114
$2
$8

At and for the three 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$13
$12
$—
$1
Mortgage and real estate35
1
—
34
Total$48
$13
$—
$35
At and for the nine months ended September 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$316
$176
$34
$106
Financial institutions10
10
—
—
Mortgage and real estate7
1
—
6
Other142
—
142
—
Total$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
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
$98
$—
$—
$98
Mortgage and real estate47
3
—
44
4
—
—
4
Total$126
$48
$—
$78
$102
$—
$—
$102
(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 commercialcorporate 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 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		TDR balances at March 31, 2017
TDR loans in payment default during the three months ended
March 31, 2017
TDR balances at
March 31, 2016
TDR loans in payment default during the three months ended
March 31, 2016
Commercial and industrial$394
$—
$7
$126
$—
$—
$390
$9
$219
$—
Loans to financial institutions10
—
—
1
—
1
24
3
2
—
Mortgage and real estate80
—
—
144
—
—
84
—
139
—
Other291
—
—
316
—
—
177
—
303
—
Total(1)
$775
$—
$7
$587
$—
$1
$675
$12
$663
$—

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





14. ALLOWANCE FOR CREDIT LOSSES
 
Three Months Ended September 30,Nine Months Ended 
 September 30,		Three months ended March 31,
In millions of dollars201620152016201520172016
Allowance for loan losses at beginning of period$12,304
$14,075
$12,626
$15,994
$12,060
$12,626
Gross credit losses(1,948)(2,068)(6,139)(6,861)(2,144)(2,143)
Gross recoveries(1)
423
405
1,274
1,321
435
419
Net credit losses (NCLs)(2)
$(1,525)$(1,663)$(4,865)$(5,540)$(1,709)$(1,724)
NCLs$1,525
$1,663
$4,865
$5,540
$1,709
$1,724
Net reserve builds (releases)258
43
210
(247)(20)42
Net specific reserve releases(37)(124)(53)(441)
Net specific reserve builds (releases)(14)120
Total provision for loan losses$1,746
$1,582
$5,022
$4,852
$1,675
$1,886
Other, net (see table below)(86)(368)(344)(1,680)4
(76)
Allowance for loan losses at end of period$12,439
$13,626
$12,439
$13,626
$12,030
$12,712
Allowance for credit losses on unfunded lending commitments at beginning of period$1,432
$973
$1,402
$1,063
$1,418
$1,402
Provision (release) for unfunded lending commitments(45)65
(4)(20)(43)71
Other, net1
(2)(10)(7)2
—
Allowance for credit losses on unfunded lending commitments at end of period(3)(2)
$1,388
$1,036
$1,388
$1,036
$1,377
$1,473
Total allowance for loans, leases, and unfunded lending commitments$13,827
$14,662
$13,827
$14,662
$13,407
$14,185
 
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, 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 and third quarters of 2015, respectively.
(3)
Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.

Other, net detailsThree months ended March 31,
In millions of dollars20172016
Sales or transfers of various consumer loan portfolios to held-for-sale  
Transfer of real estate loan portfolios$(37)$(29)
Transfer of other loan portfolios(124)(119)
Sales or transfers of various consumer loan portfolios to held-for-sale$(161)$(148)
FX translation, consumer164
63
Other1
9
Other, net$4
$(76)


Allowance for Credit Losses and Investment in Loans
Three Months EndedThree Months Ended
September 30, 2016September 30, 2015March 31, 2017March 31, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,872
$9,432
$12,304
$2,406
$11,669
$14,075
$2,702
$9,358
$12,060
$2,791
$9,835
$12,626
Charge-offs(63)(1,885)(1,948)(78)(1,990)(2,068)(103)(2,041)(2,144)(223)(1,920)(2,143)
Recoveries23
400
423
28
377
405
66
369
435
13
406
419
Replenishment of net charge-offs40
1,485
1,525
50
1,613
1,663
37
1,672
1,709
210
1,514
1,724
Net reserve builds (releases)(110)368
258
116
(73)43
(166)146
(20)4
38
42
Net specific reserve builds (releases)(1)(36)(37)78
(202)(124)(12)(2)(14)101
19
120
Other5
(91)(86)(4)(364)(368)11
(7)4
9
(85)(76)
Ending balance$2,766
$9,673
$12,439
$2,596
$11,030
$13,626
$2,535
$9,495
$12,030
$2,905
$9,807
$12,712




 Nine Months Ended
 September 30, 2016September 30, 2015
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,791
$9,835
$12,626
$2,447
$13,547
$15,994
Charge-offs(445)(5,694)(6,139)(230)(6,631)(6,861)
Recoveries52
1,222
1,274
80
1,241
1,321
Replenishment of net charge-offs393
4,472
4,865
150
5,390
5,540
Net reserve builds (releases)(122)332
210
196
(443)(247)
Net specific reserve builds (releases)89
(142)(53)(38)(403)(441)
Other8
(352)(344)(9)(1,671)(1,680)
Ending balance$2,766
$9,673
$12,439
$2,596
$11,030
$13,626

Three Months Ended
September 30, 2016December 31, 2015March 31, 2017December 31, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
    
 
 
   
Determined in accordance with ASC 450$2,285
$7,960
$10,245
$2,408
$7,776
$10,184
$2,153
$7,921
$10,074
$2,310
$7,744
$10,054
Determined in accordance with ASC 310-10-35481
1,707
2,188
380
2,046
2,426
382
1,569
1,951
392
1,608
2,000
Determined in accordance with ASC 310-30—
6
6
3
13
16
—
5
5
—
6
6
Total allowance for loan losses$2,766
$9,673
$12,439
$2,791
$9,835
$12,626
$2,535
$9,495
$12,030
$2,702
$9,358
$12,060
Loans, net of unearned income     

     

Loans collectively evaluated for impairment in accordance with ASC 450$303,179
$319,953
$623,132
$285,053
$315,314
$600,367
$301,561
$312,761
$614,322
$293,218
$317,048
$610,266
Loans individually evaluated for impairment in accordance with ASC 310-10-352,615
8,524
11,139
1,803
10,192
11,995
2,471
7,573
10,044
2,631
7,799
10,430
Loans acquired with deteriorated credit quality in accordance with ASC 310-30—
194
194
5
245
250
—
194
194
—
187
187
Loans held at fair value3,939
31
3,970
4,971
34
5,005
4,007
28
4,035
3,457
29
3,486
Total loans, net of unearned income$309,733
$328,702
$638,435
$291,832
$325,785
$617,617
$308,039
$320,556
$628,595
$299,306
$325,063
$624,369







15.   GOODWILL AND INTANGIBLE ASSETS
For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 1716 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.

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

$43
Balance at September 30, 2016

$22,539
In millions of dollars 
Balance, December 31, 2016$21,659
Foreign exchange translation and other634
Impairment of goodwill(28)
Balance at March 31, 2017$22,265

For additional information on transfersEffective January 1, 2017, the mortgage servicing business in North America GCB was reorganized and is now reported as part of Corporate/Other. Goodwill was allocated to the transferred business based on its relative fair value to the legacy North America GCB balances between reporting units, see Note 16unit. An interim test was performed under both the legacy and new reporting structures, which resulted in Citi’s First Quarterfull impairment of the $28 million of allocated goodwill upon transfer to Citi Holdings-REL. The impairment was recorded as an operating expense in the first quarter of 2017.
Further, the interim test performed in the fourth quarter of 2016 Form 10-Q. indicated that the fair value of the Citi Holdings—Consumer Latin America reporting unit only marginally exceeded its carrying value. An updated interim test was performed during the first quarter of 2017, with a minimal change in results. While there was no indication of impairment, the $16 million of goodwill present in Citi Holdings—Consumer Latin America may be particularly sensitive to further deterioration in economic conditions. The fair value as a percentage of allocated book value as of March 31, 2017 was 103%.
There were no other triggering events identified during the second and third quartersfirst quarter of 2016.
The Company performed its annual goodwill impairment test as of July 1, 2016.2017. The fair values of the Company’sall other reporting units with goodwill balances exceeded their carrying values and did not indicate a risk of impairment.impairment based on the most recent valuations.
The following table shows reporting units with goodwill balances as of September 30, 2016March 31, 2017 and the fair value as a percentage of allocated book value as of the annuallatest impairment test:

In millions of dollars    
Reporting unit(2)(1)
Goodwill
Fair value as a % of allocated book value

Goodwill
Fair value as a % of allocated book value

North America Global Consumer Banking$6,763
148%$6,732
148%
Asia Global Consumer Banking (3)
5,092
157
4,910
157
Latin America Global Consumer Banking (4)
1,142
180
1,151
180
ICG—Banking
2,791
194
2,902
194
ICG—Markets and Securities Services
6,671
115
6,554
115
Citi Holdings—Consumer Latin America(2)
80
127
16
103
Total as of September 30, 2016$22,539


Total as of March 31, 2017$22,265



(1)
Other Citi Holdings—Other and reporting units, including Citi Holdings—ICG Holdings—REL, areexcluded from the table as there is no goodwill allocated to them.
(2)
All Citi Holdings—Consumer EMEA, reporting units are presented in the is excluded from the table as the entire reporting unit, together with allocated goodwill, is classified as held-for-sale as of September 30, 2016.Corporate/Othe
(3)Asia Global Consumer Banking includes the consumer businesses in UK, Russia, Poland, UAE and Bahrainr segment 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 2016.2017.










Intangible Assets
The components of intangible assets were as follows:
September 30, 2016December 31, 2015March 31, 2017December 31, 2016
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
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
$5,703
$4,049
$1,654
$8,215
$6,549
$1,666
Credit card contract related intangibles(1)5,255
2,249
3,006
3,922
2,021
1,901
5,044
2,159
2,885
5,149
2,177
2,972
Core deposit intangibles854
811
43
1,050
969
81
776
750
26
801
771
30
Other customer relationships536
298
238
471
252
219
480
275
205
474
272
202
Present value of future profits33
28
5
37
31
6
34
29
5
31
27
4
Indefinite-lived intangible assets228
—
228
284
—
284
227
—
227
210
—
210
Other515
477
38
737
593
144
170
159
11
504
474
30
Intangible assets (excluding MSRs)$15,817
$10,459
$5,358
$14,107
$10,386
$3,721
$12,434
$7,421
$5,013
$15,384
$10,270
$5,114
Mortgage servicing rights (MSRs)(2)1,270
—
1,270
1,781
—
1,781
567
—
567
1,564
—
1,564
Total intangible assets$17,087
$10,459
$6,628
$15,888
$10,386
$5,502
$13,001
$7,421
$5,580
$16,948
$10,270
$6,678

 


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)
AmortizationImpairmentsFX translation and otherSeptember 30,
2016		December 31,
2016
Acquisitions/
divestitures
AmortizationFX translation and otherMarch 31,
2017
Purchased credit card relationships$1,086
$848
$(149)$—
$15
$1,800
$1,666
$20
$(33)$1
$1,654
Credit card contract related intangibles(1)1,901
1,314
(227)—
18
3,006
2,972
9
(98)2
2,885
Core deposit intangibles81
(13)(22)—
(3)43
30
—
(6)2
26
Other customer relationships219
—
(19)—
38
238
202
—
(6)9
205
Present value of future profits6
—
—
—
(1)5
4
—
—
1
5
Indefinite-lived intangible assets284
(18)—
(1)(37)228
210
—
—
17
227
Other144
(106)(7)—
7
38
30
(14)(4)(1)11
Intangible assets (excluding MSRs)$3,721
$2,025
$(424)$(1)$37
$5,358
$5,114
$15
$(147)$31
$5,013
Mortgage servicing rights (MSRs)(2)
1,781
 1,270
1,564
 567
Total intangible assets$5,502
 $6,628
$6,678
 $5,580
(1)ReflectsPrimarily reflects contract-related intangibles associated with the recognition during the second quarter of 2016 of additional purchased credit card relationshipsAmerican Airlines, Sears, The Home Depot, Costco 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-brandedAT&T credit card program agreement with American Airlines.agreements, which represented 96% and 97% of the aggregate net carrying amount at March 31, 2017 and December 31, 2016, respectively.
(2)For additional information on Citi’s MSRs, including the roll-forwardrollforward for the ninethree months ended September 30, 2016,March 31, 2017, see Note 18 to the Consolidated Financial Statements.




16.   DEBT
For additional information regarding Citi’s short-term borrowings and long-term debt, see Note 1817 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.

Short-Term Borrowings
In millions of dollarsSeptember 30,
2016		December 31,
2015		March 31,
2017		December 31,
2016
BalanceBalanceBalanceBalance
Commercial paper$10,109
$9,995
$10,088
$9,989
Other borrowings(1)
19,418
11,084
16,039
20,712
Total$29,527
$21,079
$26,127
$30,701

(1)Includes borrowings from Federal Home Loan Banks and other market participants. At September 30,March 31, 2017 and December 31, 2016, collateralized short-term advances from the Federal Home Loan Banks were $10.0 billion. At December 31, 2015, no amounts were outstanding.$6.3 billion and $12.0 billion, respectively.

 

Long-Term Debt
In millions of dollarsSeptember 30,
2016		December 31, 2015March 31,
2017		December 31, 2016
Citigroup Inc.(1)
$149,042
$142,157
$141,626
$147,333
Bank(2)
51,688
55,131
51,085
49,454
Broker-dealer(3)
8,321
3,987
15,819
9,391
Total$209,051
$201,275
$208,530
$206,178

(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At September 30, 2016March 31, 2017 and December 31, 2015,2016, collateralized long-term advances from the Federal Home Loan Banks were $21.6$20.3 billion and $17.8$21.6 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 September 30, 2016March 31, 2017 and December 31, 2015.2016.



The following table presentssummarizes Citi’s outstanding trust preferred securities at September 30, 2016:March 31, 2017:
    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
130
6.829
50
130
June 28, 2067June 28, 2017June 200799,901
125
6.829
50
125
June 28, 2067June 28, 2017
Total obligated  
$2,570
  $2,576
   
$2,565
  $2,571
 

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.


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 September 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)
Balance, December 31, 2016$(799)$(352)$(560)$(5,164)$(25,506)$(32,381)
Other comprehensive income before reclassifications334
(55)24
(49)1,465
1,719
Increase (decrease) due to amounts reclassified from AOCI(114)(5)(26)37
(147)(255)
Change, net of taxes 
$220
$(60)$(2)$(12)$1,318
$1,464
Balance at March 31, 2017$(579)$(412)$(562)$(5,176)$(24,188)$(30,917)
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Accumulated
other
comprehensive income (loss)
Balance, June 30, 2016$2,054
$190
$(149)$(5,608)$(22,602)$(26,115)
Other comprehensive income before reclassifications(270)(197)(136)(28)(375)(1,006)
Increase (decrease) due to amounts reclassified from AOCI(162)(3)53
40
—
(72)
Change, net of taxes$(432)$(200)$(83)$12
$(375)$(1,078)
Balance at September 30, 2016$1,622
$(10)$(232)$(5,596)$(22,977)$(27,193)
Nine Months Ended September 30, 2016:
Balance, December 31, 2015$(907)$—
$(617)$(5,116)$(22,704)$(29,344)
Adjustment to opening balance, net of taxes(1)
—
(15)—
—
—
(15)
Adjusted balance, beginning of period$(907)$(15)$(617)$(5,116)$(22,704)$(29,359)
Other comprehensive income before reclassifications2,781
11
270
(594)(273)2,195
Increase (decrease) due to amounts reclassified from AOCI(252)(6)115
114
—
(29)
Change, net of taxes 
$2,529
$5
$385
$(480)$(273)$2,166
Balance at September 30, 2016$1,622
$(10)$(232)$(5,596)$(22,977)$(27,193)
Three Months Ended September 30, 2015
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Accumulated
other
comprehensive income (loss)
Balance, June 30, 2015$(287)$(731)$(4,671)$(19,415)$(25,104)
Other comprehensive income before reclassifications556
149
(400)(2,493)(2,188)
Increase (decrease) due to amounts reclassified from AOCI(45)40
40
—
35
Change, net of taxes 
$511
$189
$(360)$(2,493)$(2,153)
Balance, September 30, 2015$224
$(542)$(5,031)$(21,908)$(27,257)
Nine Months Ended September 30, 2015:
Balance, December 31, 2014$57
$(909)$(5,159)$(17,205)$(23,216)
Other comprehensive income before reclassifications453
203
7
(4,703)(4,040)
Increase (decrease) due to amounts reclassified from
  AOCI
(286)164
121
—
(1)
Change, net of taxes$167
$367
$128
$(4,703)$(4,041)
Balance, September 30, 2015$224
$(542)$(5,031)$(21,908)$(27,257)


In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit
plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2015$(907)$—
$(617)$(5,116)$(22,704)$(29,344)
Adjustment to opening balance, net of taxes (1)
—
(15)—
—
—
(15)
Adjusted balance, beginning of period(907)(15)(617)(5,116)(22,704)(29,359)
Other comprehensive income before reclassifications2,026
192
291
(500)654
2,663
Increase (decrease) due to amounts reclassified from AOCI8
1
26
35
—
70
Change, net of taxes$2,034
$193
$317
$(465)$654
$2,733
Balance, March 31, 2016$1,127
$178
$(300)$(5,581)$(22,050)$(26,626)
(1)Beginning in the first quarter of 2016, changes in DVA are reflected as a component of AOCI, pursuant to the early 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 significantSignificant 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, and Japanese Yen and Australian Dollar against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended September 30, 2016.March 31, 2017. Primarily reflects the movements in (by order of impact) the Mexican peso, Japanese Yen, Brazilian Realeuro, and Korean Won against the U.S. dollar, and changes in related tax effects and hedges for nine months ended September 30, 2016. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real Korean won and British pound against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended September 30, 2015. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Korean won and Australian dollar against the U.S. dollar, and changes in related tax effects and hedges for the nine months ended September 30, 2015.March 31, 2016.



The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three Months Ended September 30, 2016
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2016$(42,035)$9,654
$(32,381)
Change in net unrealized gains (losses) on investment securities346
(126)220
Debt valuation adjustment (DVA)(95)35
(60)
Cash flow hedges1
(3)(2)
Benefit plans(2)(10)(12)
Foreign currency translation adjustment1,468
(150)1,318
Change$1,718
$(254)$1,464
Balance, March 31, 2017$(40,317)$9,400
$(30,917)


In millions of dollarsPretaxTax effectAfter-taxPretaxTax effectAfter-tax
Balance, June 30, 2016$(33,714)$7,599
$(26,115)
Balance, December 31, 2015$(38,440)$9,096
$(29,344)
Adjustment to opening balance (1)
(26)11
(15)
Adjusted balance, beginning of period(38,466)9,107
(29,359)
Change in net unrealized gains (losses) on investment securities(686)254
(432)3,224
(1,190)2,034
Debt valuation adjustment (DVA)(319)119
(200)307
(114)193
Cash flow hedges(131)48
(83)481
(164)317
Benefit plans11
1
12
(727)262
(465)
Foreign currency translation adjustment(313)(62)(375)513
141
654
Change$(1,438)$360
$(1,078)$3,798
$(1,065)$2,733
Balance, September 30, 2016$(35,152)$7,959
$(27,193)
Balance, March 31, 2016$(34,668)$8,042
$(26,626)
Nine Months Ended September 30, 2016
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2015$(38,440)$9,096
$(29,344)
Adjustment to opening balance (1)
(26)11
(15)
Adjusted balance, beginning of period$(38,466)$9,107
$(29,359)
Change in net unrealized gains (losses) on investment securities4,020
(1,491)2,529
Debt valuation adjustment (DVA)8
(3)5
Cash flow hedges607
(222)385
Benefit plans(747)267
(480)
Foreign currency translation adjustment(574)301
(273)
Change$3,314
$(1,148)$2,166
Balance, September 30, 2016$(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 September 30, 2015
In millions of dollarsPretaxTax effectAfter-tax
Balance, June 30, 2015$(33,148)$8,044
$(25,104)
Change in net unrealized gains (losses) on investment securities821
(310)511
Cash flow hedges322
(133)189
Benefit plans(545)185
(360)
Foreign currency translation adjustment(2,792)299
(2,493)
Change$(2,194)$41
$(2,153)
Balance, June 30, 2015$(35,342)$8,085
$(27,257)

Nine Months Ended September 30, 2015
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2014$(31,060)$7,844
$(23,216)
Change in net unrealized gains (losses) on investment securities353
(186)167
Cash flow hedges596
(229)367
Benefit plans144
(16)128
Foreign currency translation adjustment(5,375)672
(4,703)
Change$(4,282)$241
$(4,041)
Balance, September 30, 2015$(35,342)$8,085
$(27,257)


The Company recognized pretax gain (loss) related to amounts in AOCI reclassifiedin to the Consolidated Statement of Income as follows:
 Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20162016
Realized (gains) losses on sales of investments$(287)$(673)
OTTI gross impairment losses32
283
Subtotal, pretax$(255)$(390)
Tax effect93
138
Net realized (gains) losses on investment securities, after-tax(1)
$(162)$(252)
Realized DVA (gains) losses on fair value option liabilities$(5)$(10)
Subtotal, pretax$(5)$(10)
Tax effect2
4
Net realized debt valuation adjustment, after-tax$(3)$(6)
Interest rate contracts$39
$96
Foreign exchange contracts46
89
Subtotal, pretax$85
$185
Tax effect(32)(70)
Amortization of cash flow hedges, after-tax(2)
$53
$115
Amortization of unrecognized  
Prior service cost (benefit)$(10)$(31)
Net actuarial loss73
208
Curtailment/settlement impact(3)
8
9
Subtotal, pretax$71
$186
Tax effect(31)(72)
Amortization of benefit plans, after-tax(3)
$40
$114
Foreign currency translation adjustment$—
$—
Total amounts reclassified out of AOCI, pretax$(104)$(29)
Total tax effect32
—
Total amounts reclassified out of AOCI, after-tax$(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 12 to the Consolidated Financial Statements for additional details.
(2)See Note 19 to the Consolidated Financial Statements for additional details.
(3)See Note 8 to the Consolidated Financial Statements for additional details.






















The Company recognized pretax gain (loss) related to amounts in AOCI reclassifiedin 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 September 30,Nine Months Ended September 30,Three months ended March 31,
In millions of dollars2015201520172016
Realized (gains) losses on sales of investments$(151)$(641)$(192)$(186)
OTTI gross impairment losses80
195
12
203
Subtotal, pretax$(71)$(446)$(180)$17
Tax effect26
160
66
(9)
Net realized (gains) losses on investment securities, after-tax(1)
$(45)$(286)$(114)$8
Realized DVA (gains) losses on fair value option liabilities$(8)$1
Subtotal, pretax$(8)$1
Tax effect3
—
Net realized debt valuation adjustment, after-tax$(5)$1
Interest rate contracts$28
$148
$(44)$16
Foreign exchange contracts35
112
3
26
Subtotal, pretax$63
$260
$(41)$42
Tax effect(23)(96)15
(16)
Amortization of cash flow hedges, after-tax(2)
$40
$164
$(26)$26
Amortization of unrecognized    
Prior service cost (benefit)$(11)$(32)$(10)$(10)
Net actuarial loss64
211
67
66
Curtailment/settlement impact(3)
2
12
—
(2)
Subtotal, pretax$55
$191
$57
$54
Tax effect(15)(70)(20)(19)
Amortization of benefit plans, after-tax(3)
$40
$121
$37
$35
Foreign currency translation adjustment$—
$—
$(232)$—
Tax effect85
—
Foreign currency translation adjustment$(147)$—
Total amounts reclassified out of AOCI, pretax$47
$5
$(404)$114
Total tax effect(12)(6)149
(44)
Total amounts reclassified out of AOCI, after-tax$35
$(1)$(255)$70
(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 12 to the Consolidated Financial Statements for additional details.
(2)See Note 19 to the Consolidated Financial Statements for additional details.
(3)See Note 8 to the Consolidated Financial Statements for additional details.



18. SECURITIZATIONS AND VARIABLE INTEREST ENTITIES
 
For additional information regarding Citi’s use of special purpose entities (SPEs) and variable interest entities (VIEs), see Notes 22 and 20Note 21 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K and First Quarter of 2016 Quarterly Report on Form 10-Q, respectively.

10-K.
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 September 30, 2016 As of March 31, 2017 
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Funded exposures(2)
Unfunded exposures  
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$50,416
$50,416
$—
$—
$—
$—
$—
$—
$46,993
$46,993
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
  
U.S. agency-sponsored(5)217,482
—
217,482
3,678
—
—
82
3,760
117,210
—
117,210
2,766
—
—
74
2,840
Non-agency-sponsored15,257
1,244
14,013
232
38
—
1
271
20,164
1,037
19,127
284
35
—
1
320
Citi-administered asset-backed commercial paper conduits (ABCP)20,324
20,324
—
—
—
—
—
—
19,120
19,120
—
—
—
—
—
—
Collateralized loan obligations (CLOs)18,592
—
18,592
4,752
—
—
83
4,835
18,246
—
18,246
5,071
—
—
64
5,135
Asset-based financing58,084
1,231
56,853
19,508
456
5,193
437
25,594
50,939
742
50,197
15,707
583
4,923
—
21,213
Municipal securities tender option bond trusts (TOBs)7,289
2,980
4,309
161
—
2,672
—
2,833
6,927
2,659
4,268
8
—
2,914
—
2,922
Municipal investments17,371
17
17,354
2,306
3,272
2,321
—
7,899
18,463
15
18,448
2,507
3,639
2,561
—
8,707
Client intermediation517
337
180
53
—
—
—
53
1,504
800
704
462
—
208
—
670
Investment funds2,744
788
1,956
35
156
59
3
253
2,177
767
1,410
32
34
15
1
82
Other1,346
619
727
149
—
119
45
313
767
36
731
115
11
66
44
236
Total(5)
$409,422
$77,956
$331,466
$30,874
$3,922
$10,364
$651
$45,811
$302,510
$72,169
$230,341
$26,952
$4,302
$10,687
$184
$42,125
As of December 31, 2015 As of December 31, 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$54,916
$54,916
$—
$—
$—
$—
$—
$—
$50,171
$50,171
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
  
U.S. agency-sponsored217,291
—
217,291
3,571
—
—
95
3,666
214,458
—
214,458
3,852
—
—
78
3,930
Non-agency-sponsored13,036
1,586
11,450
527
—
—
1
528
15,965
1,092
14,873
312
35
—
1
348
Citi-administered asset-backed commercial paper conduits (ABCP)21,280
21,280
—
—
—
—
—
—
19,693
19,693
—
—
—
—
—
—
Collateralized loan obligations (CLOs)16,719
—
16,719
3,150
—
—
86
3,236
18,886
—
18,886
5,128
—
—
62
5,190
Asset-based financing58,862
1,364
57,498
21,270
269
3,616
436
25,591
53,168
733
52,435
16,553
475
4,915
—
21,943
Municipal securities tender option bond trusts (TOBs)8,572
3,830
4,742
2
—
3,100
—
3,102
7,070
2,843
4,227
40
—
2,842
—
2,882
Municipal investments20,290
44
20,246
2,196
2,487
2,335
—
7,018
17,679
14
17,665
2,441
3,578
2,580
—
8,599
Client intermediation434
335
99
49
—
—
—
49
515
371
144
49
—
—
3
52
Investment funds1,730
842
888
13
138
102
—
253
2,788
767
2,021
32
120
27
3
182
Other4,915
597
4,318
292
554
—
52
898
1,429
607
822
116
11
58
43
228
Total(5)
$418,045
$84,794
$333,251
$31,070
$3,448
$9,153
$670
$44,341
$401,822
$76,291
$325,531
$28,523
$4,219
$10,422
$190
$43,354

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 September 30, 2016March 31, 2017 and December 31, 20152016 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 $390.9 billionSee Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and $383.2 billion assale of September 30, 2016 and December 31, 2015, respectively, with the remainder related to Citi Holdings.MSRs.


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 2012 and 1220 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 $10 billion and $12 billion at September 30, 2016March 31, 2017 and December 31, 2015, respectively;2016;
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:
September 30, 2016December 31, 2015March 31, 2017December 31, 2016
In millions of dollars
Liquidity
facilities
Loan / equity
commitments
Liquidity
facilities
Loan / equity
commitments
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing$5
$5,188
$5
$3,611
$—
$4,923
$5
$4,910
Municipal securities tender option bond trusts (TOBs)2,672
—
3,100
—
2,914
—
2,842
—
Municipal investments—
2,321
—
2,335
—
2,561
—
2,580
Client Intermediation—
208
—
—
Investment funds—
59
—
102
—
15
—
27
Other—
119
—
—
—
66
—
58
Total funding commitments$2,677
$7,687
$3,105
$6,048
$2,914
$7,773
$2,847
$7,575
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 dollarsSeptember 30, 2016December 31, 2015March 31, 2017December 31, 2016
Cash$0.1
$0.1
$0.1
$0.1
Trading account assets7.6
6.2
8.1
8.0
Investments4.1
3.0
4.4
4.4
Total loans, net of allowance21.8
23.6
18.3
18.8
Other1.2
1.7
0.5
1.5
Total assets$34.8
$34.6
$31.4
$32.8
Credit Card Securitizations
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 Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities.
The following table reflects amounts related to the Company’s securitized credit card receivables:

In billions of dollarsSeptember 30, 2016December 31, 2015March 31, 2017December 31, 2016
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$23.4
$29.7
$23.2
$22.7
Retained by Citigroup as trust-issued securities7.8
9.4
7.5
7.4
Retained by Citigroup via non-certificated interests18.7
16.5
16.2
20.6
Total$49.9
$55.6
$46.9
$50.7

The following tables summarizetable summarizes selected cash flow information related to Citigroup’s credit card securitizations:
 Three months ended September 30,
In billions of dollars20162015
Proceeds from new securitizations$—
$—
Pay down of maturing notes(2.8)(0.7)
Nine months ended September 30,Three months ended March 31,
In billions of dollars2016201520172016
Proceeds from new securitizations$—
$—
$2.5
$—
Pay down of maturing notes(6.3)(6.5)(2.0)(2.2)

The weighted average maturity of the third-party term notes issued by the Master Trust was 2.22.5 years as of September 30, 2016March 31, 2017 and 2.42.6 years as of December 31, 2015.2016.




 

Master Trust Liabilities (at Par Value)
In billions of dollarsSeptember 30, 2016Dec. 31, 2015March 31, 2017Dec. 31, 2016
Term notes issued to third parties$22.1
$28.4
$22.2
$21.7
Term notes retained by Citigroup affiliates5.9
7.5
5.6
5.5
Total Master Trust liabilities$28.0
$35.9
$27.8
$27.2

The weighted average maturity of the third-party term notes issued by the Omni Trust was 0.11.6 years as of September 30, 2016March 31, 2017 and 0.91.9 years as of December 31, 2015.2016.

Omni Trust Liabilities (at Par Value)
In billions of dollarsSeptember 30, 2016Dec. 31, 2015March 31, 2017Dec. 31, 2016
Term notes issued to third parties$1.3
$1.3
$1.0
$1.0
Term notes retained by Citigroup affiliates1.9
1.9
1.9
1.9
Total Omni Trust liabilities$3.2
$3.2
$2.9
$2.9



Mortgage Securitizations

The following tables summarizetable summarizes selected cash flow information related to Citigroup mortgage securitizations:
 Three months ended September 30,
 20162015
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Proceeds from new securitizations$11.7
$1.4
$6.8
$3.1
Contractual servicing fees received0.1
—
0.1
—
Nine months ended September 30,
2016201520172016
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(1)
Proceeds from new securitizations(1)
$32.5
$8.0
$19.8
$9.2
Proceeds from new securitizations$7.2
$1.4
$10.6
$4.2
Contractual servicing fees received0.3
—
0.4
—
0.1
—
0.1
—

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

GainsDuring the first quarter of 2017, gains recognized on the securitization of U.S. agency-sponsored mortgages were $36 million and $81 million for the three and nine months ended September 30, 2016, respectively. For the three and nine months ended September 30, 2016, gains recognized on the securitization of non-agency sponsored mortgages were $37$29 million and $65$20 million, respectively.


 
Gains recognized onAgency and non-agency securitization gains for the securitization of U.S. agency-sponsored mortgagesquarter ended March 31, 2016 were $25 million and $115 million for the three and nine months ended September 30, 2015, respectively. For the three and nine months ended September 30, 2015, gains recognized on the securitization of non-agency sponsored mortgages were $7 million and $38$9 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 September 30, 2016March 31, 2017
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate1.5%2.4% to 13.0%19.9%
—
—
   Weighted average discount rate10.013.0%—
—
Constant prepayment rate7.7%3.8% to 30.9%10.5%
—
—
   Weighted average constant prepayment rate13.76.2%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life2.06.5 to 9.812.2 years
—
—

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


 Three months ended September 30, 2015
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate2.3% to 10.7%
3.2%—
   Weighted average discount rate8.1%3.2%—
Constant prepayment rate8.4% to 16.6%
—
—
   Weighted average constant prepayment rate11.8%—
—
Anticipated net credit losses(2)
   NM
40.0%—
   Weighted average anticipated net credit losses   NM
40.0%—
Weighted average life6.3 to 9.3 years
9.8 years
—
 Nine months ended September 30,March 31, 2016
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.8%2.1% to 13.0%11.5%
—
—
   Weighted average discount rate9.18.4%—
—
Constant prepayment rate7.7%9.1% to 30.9%23.3%
—
—
   Weighted average constant prepayment rate12.811.8%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life0.53.5 to 17.5 years
—
—

Note: Citi held no retained interests in non-agency-sponsored mortgages securitized during the first quarter of 2017 and 2016.
 Nine months ended September 30, 2015
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.0% to 10.7%
2.8% to 3.2%
4.4% to 12.1%
   Weighted average discount rate6.4%2.9%7.2%
Constant prepayment rate5.7% to 34.9%
0.0%3.3% to 8.0%
   Weighted average constant prepayment rate12.6%0.0%4.2%
Anticipated net credit losses(2)
   NM
40.0%38.1% to 55.9%
   Weighted average anticipated net credit losses   NM
40.0%52.0%
Weighted average life3.5 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.

September 30, 2016March 31, 2017
 
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 31.3%
   4.8% to 7.8%
   5.2% to 32.7%
0.7% to 41.8%
0.0% to 4.4%
6.2% to 23.8%
Weighted average discount rate7.0%6.5%13.3%9.5%0.5%11.8%
Constant prepayment rate7.7% to 36.0%
   4.2% to 9.8%
   0.5% to 37.5%
6.2% to 20.7%
8.0% to 13.1%
0.5% to 23.6%
Weighted average constant prepayment rate16.4%5.6%10.8%9.8%12.3%9.0%
Anticipated net credit losses(2)
   NM
   51.5% to 85.6%
   8.0% to 94.4%
   NM
0.5% to 53.0%
29.7% to 62.7%
Weighted average anticipated net credit losses   NM
76.1%47.5%   NM
8.7%49.0%
Weighted average life0.3 to 17.6 years
   6.5 to 16.9 years
   1.2 to 17.6 years
0.0 to 28.6 years
5.3 to 8.6 years
0.9 to 11.9 years

December 31, 2015December 31, 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   0.0% to 27.0%
   1.6% to 67.6%
   2.0% to 24.9%
0.7% to 28.2%
0.0% to 8.1%
5.1% to 26.4%
Weighted average discount rate4.9%7.6%8.4%9.0%2.1%13.1%
Constant prepayment rate5.7% to 27.8%
   4.2% to 100.0%
   0.5% to 20.8%
6.8% to 22.8%
4.2% to 14.7%
0.5% to 37.5%
Weighted average constant prepayment rate12.3%14.0%7.5%10.2%11.0%10.8%
Anticipated net credit losses(2)
   NM
   0.2% to 89.1%
   3.8% to 92.0%
   NM
0.5% to 85.6%
8.0% to 63.7%
Weighted average anticipated net credit losses   NM
48.9%54.4%   NM
31.4%48.3%
Weighted average life1.3 to 21.0 years
   0.3 to 18.1 years
   0.9 to 19.0 years
0.2 to 28.8 years
5.0 to 8.5 years
1.2 to 12.1 years

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



September 30, 2016March 31, 2017
 
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$2,261
$20
$166
$1,211
$30
$168
Discount rates  
Adverse change of 10%$(54)$(6)$(8)$(42)$(8)$(8)
Adverse change of 20%(105)(12)(16)(80)(16)(15)
Constant prepayment rate  
Adverse change of 10%(91)(1)(4)(33)(2)(3)
Adverse change of 20%(189)(3)(9)(69)(3)(7)
Anticipated net credit losses  
Adverse change of 10%NM
(6)(2)NM
(7)(1)
Adverse change of 20%NM
(12)(3)NM
(14)(2)


December 31, 2015December 31, 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$3,546
$179
$533
$2,258
$26
$161
Discount rates  
Adverse change of 10%$(79)$(8)$(25)$(71)$(7)$(8)
Adverse change of 20%(155)(15)(49)(138)(14)(16)
Constant prepayment rate  
Adverse change of 10%(111)(3)(9)(80)(2)(4)
Adverse change of 20%(213)(6)(18)(160)(3)(8)
Anticipated net credit losses  
Adverse change of 10%NM
(6)(7)NM
(7)(1)
Adverse change of 20%NM
(11)(14)NM
(14)(2)

Note: There were no subordinated interests in mortgage securitizations in Citi Holdings as of September 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)
The fair value of Citi’s capitalized MSRs was $1.3 billion$567 million and $1.8$1.6 billion at September 30,March 31, 2017 and December 31, 2016, and 2015, respectively. The MSRs correspond to principal loan balances of $173$71 billion and $203$168 billion as of September 30,March 31, 2017 and December 31, 2016, and 2015, respectively. The following tables summarizetable summarizes 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
In millions of dollars20172016
Balance, beginning of year$1,564
$1,781
Originations35
33
Changes in fair value of MSRs due to changes in inputs and assumptions67
(225)
Other changes(1)
(53)(79)
Sale of MSRs(2)
(1,046)14
Balance, as of March 31$567
$1,524
 Nine months ended September 30,
In millions of dollars20162015
Balance, beginning of year$1,781
$1,845
Originations111
168
Changes in fair value of MSRs due to changes in inputs and assumptions(349)51
Other changes(1)
(255)(261)
Sale of MSRs(2)
(18)(37)
Balance, as of September 30$1,270
$1,766



(1)Represents changes due to customer payments and passage of time.
(2)AmountSee Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs. 2016 amount includes sales of credit challenged MSRs for which Citi paid the new servicer.




The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
Three months ended September 30,Nine months ended September 30,
In millions of dollars201620152016201520172016
Servicing fees$117
$135
$371
$416
$106
$128
Late fees3
4
11
12
3
4
Ancillary fees4
6
13
28
4
5
Total MSR fees$124
$145
$395
$456
$113
$137

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 threequarters ended March 31, 2017 and nine months ended September 30, 2016. During the three and nine months ended September 30, 2015, Citi transferred non-agency (private-label) securities with an original par value of $141 million and $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 September 30, 2016,March 31, 2017, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $133$126 million (all related to re-securitization transactions executed prior to 2016)2017), which has been recorded in Trading account assets. Of this amount, substantially all was related to subordinated beneficial interests. As of December 31, 2015,2016, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $428$126 million (including $132 million(all related to re-securitization transactions executed in 2015)prior to 2016). Of this amount, approximately $18 million was related to senior beneficial interests, and approximately $410 millionsubstantially all was related to subordinated beneficial interests. The original par value of private-label re-securitization transactions in which Citi holds a retained interest as of September 30, 2016March 31, 2017 and December 31, 20152016 was approximately $1.5$1.0 billion and $3.7$1.3 billion, respectively.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the threequarters ended March 31, 2017 and nine months ended September 30, 2016, Citi transferred agency securities with a fair value of approximately $7.1$4.5 billion and $21.3$7.3 billion, respectively, to re-securitization entities compared to approximately $3.5 billion and $12.4 billion for the three and nine months ended September 30, 2015.entities.
As of September 30, 2016,March 31, 2017, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.4$2.3 billion (including $670$599 million related to re-securitization transactions executed in 2016)2017) compared to $1.8$2.3 billion as of December 31, 20152016 (including $1.5 billion$741 million related to re-securitization transactions executed in 2015)2016), 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 September 30, 2016March 31, 2017 and December 31, 20152016 was approximately $69.9$68.6 billion and $65.0$71.8 billion, respectively.
As of September 30, 2016March 31, 2017 and December 31, 2015,2016, the Company did not consolidate any private-label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits
At September 30, 2016March 31, 2017 and December 31, 2015,2016, the commercial paper conduits administered by Citi had approximately $20.3$19.1 billion and $21.3$19.7 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $13.5$14.2 billion and $11.6$12.8 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At September 30, 2016March 31, 2017 and December 31, 2015,2016, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 6052 and 5655 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteed loan conduit, have obtained a letter of credit from the Company, which is equal to at least 8% to 10% of the conduit’s assets with a minimum of $200 million. The letters of credit provided by the Company to the conduits total approximately $1.7 billion and $1.8 billion as of September 30, 2016March 31, 2017 and December 31, 2015.2016, respectively. 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.
At September 30, 2016March 31, 2017 and December 31, 2015,2016, the Company owned $10.2$9.3 billion and $11.4$9.7 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.

Collateralized Loan Obligations
Key Assumptions and Retained InterestsThe following table summarizes selected cash flow information related to Citigroup CLOs:
In billions of dollarsMar. 31, 2017Mar. 31, 2016
Proceeds from new securitizations$0.3
$—

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:

Sept. 30, 2016Mar. 31, 2017Dec. 31, 20152016
Discount rate   1.1% to 1.5%1.7%1.4%1.3% to 49.6%1.7%
In millions of dollarsSept. 30, 2016Dec. 31, 2015Mar. 31, 2017Dec. 31, 2016
Carrying value of retained interests$909
$918
$4,259
$4,261
Discount rates  
Adverse change of 10%$(4)$(5)$(28)$(30)
Adverse change of 20%(9)(10)(55)(62)




Asset-Based Financing
The primary types of Citi’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement, and Citi’s maximum exposure to loss are shown below. For Citi to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
September 30, 2016March 31, 2017
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$12,608
$4,811
$8,194
$2,164
Corporate loans1,082
2,381
3,376
2,183
Hedge funds and equities374
57
417
57
Airplanes, ships and other assets42,789
18,345
38,210
16,809
Total$56,853
$25,594
$50,197
$21,213
December 31, 2015December 31, 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$17,459
$6,528
$8,784
$2,368
Corporate loans1,274
1,871
4,051
2,684
Hedge funds and equities385
55
370
54
Airplanes, ships and other assets38,380
17,137
39,230
16,837
Total$57,498
$25,591
$52,435
$21,943

 
Municipal Securities Tender Option Bond (TOB) Trusts
At September 30, 2016March 31, 2017 and December 31, 2015, the Company held $1932016, approximately $81 million and $2$82 million, respectively, of Floaters related to customer and non-customer TOB trusts.
At September 30, 2016 and December 31, 2015, approximately $82 million of the municipal bonds owned by non-customer TOB trusts arewere subject to a credit guarantee provided by the Company.
At September 30, 2016March 31, 2017 and December 31, 2015,2016, liquidity agreements provided with respect to customer TOB trusts totaled $2.8$2.9 billion, and $3.1 billion, respectively, of which $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 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 $9.6 billion and $8.1$7.4 billion as of September 30, 2016March 31, 2017 and December 31, 2015, respectively.2016. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.

Client Intermediation
The proceeds from new securitizations related to the Company’s client intermediation transactions for the threequarters ended March 31, 2017 and nine months ended September 30, 2016 totaled approximately $0.5 billion and $1.90.6 billion, respectively, compared to $0.4 billion and $1.2 billion for the three and nine months ended September 30, 2015.respectively.






19.   DERIVATIVES ACTIVITIES
In the ordinary course of business, Citigroup enters into various types of derivative transactions. For additional information regarding Citi’s use of and accounting for derivatives, see Note 2322 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.
Information pertaining to Citigroup’s derivative activity,activities, based on notional amounts is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete and accurate measure of Citi’s exposure to derivative transactions. Rather, Citi’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades. For example, if Citi enters into ana receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk. Aggregate 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 dollarsSeptember 30,
2016		December 31,
2015		September 30,
2016		December 31,
2015		September 30,
2016		December 31,
2015		March 31,
2017		December 31,
2016		March 31,
2017		December 31,
2016		March 31,
2017		December 31,
2016
Interest rate contracts          
Swaps$213,863
$166,576
$20,853,766
$22,208,794
$39,537
$28,969
$198,753
$151,331
$20,669,239
$19,145,250
$29,447
$47,324
Futures and forwards414
—
6,451,502
6,868,340
34,147
38,421
97
97
8,341,434
6,864,276
10,143
30,834
Written options—
—
3,138,417
3,033,617
4,653
2,606
—
—
3,645,213
2,921,070
3,288
4,759
Purchased options—
—
2,940,738
2,887,605
3,350
4,575
—
—
3,501,503
2,768,528
3,900
7,320
Total interest rate contract notionals$214,277
$166,576
$33,384,423
$34,998,356
$81,687
$74,571
$198,850
$151,428
$36,157,389
$31,699,124
$46,778
$90,237
Foreign exchange contracts            
Swaps$21,410
$23,007
$5,954,717
$4,765,687
$22,272
$23,960
$36,928
$19,042
$6,548,915
$5,492,145
$21,420
$22,676
Futures, forwards and spot65,417
72,124
3,410,229
2,563,649
3,080
3,034
38,220
56,964
4,175,350
3,251,132
2,333
3,419
Written options—
448
1,271,307
1,125,664
—
—
1,172
—
1,299,018
1,194,325
—
—
Purchased options—
819
1,310,990
1,131,816
—
—
2,596
—
1,308,291
1,215,961
—
—
Total foreign exchange contract notionals$86,827
$96,398
$11,947,243
$9,586,816
$25,352
$26,994
$78,916
$76,006
$13,331,574
$11,153,563
$23,753
$26,095
Equity contracts            
Swaps$—
$—
$195,000
$180,963
$—
$—
$—
$—
$204,137
$192,366
$—
$—
Futures and forwards—
—
39,964
33,735
—
—
—
—
42,926
37,557
—
—
Written options—
—
364,514
298,876
—
—
—
—
372,759
304,579
—
—
Purchased options—
—
325,200
265,062
—
—
—
—
350,655
266,070
—
—
Total equity contract notionals$—
$—
$924,678
$778,636
$—
$—
$—
$—
$970,477
$800,572
$—
$—
Commodity and other contracts            
Swaps$—
$—
$61,882
$70,561
$—
$—
$—
$—
$67,942
$70,774
$—
$—
Futures and forwards891
789
149,604
106,474
—
—
155
182
151,844
142,530
—
—
Written options—
—
73,673
72,648
—
—
—
—
74,668
74,627
—
—
Purchased options—
—
68,829
66,051
—
—
—
—
70,529
69,629
—
—
Total commodity and other contract notionals$891
$789
$353,988
$315,734
$—
$—
$155
$182
$364,983
$357,560
$—
$—
Credit derivatives(4)
            
Protection sold$—
$—
$1,021,118
$950,922
$—
$—
$—
$—
$876,791
$859,420
$—
$—
Protection purchased—
—
1,051,146
981,586
27,800
23,628
—
—
895,380
883,003
17,226
19,470
Total credit derivatives$—
$—
$2,072,264
$1,932,508
$27,800
$23,628
$—
$—
$1,772,171
$1,742,423
$17,226
$19,470
Total derivative notionals$301,995
$263,763
$48,682,596
$47,612,050
$134,839
$125,193
$277,921
$227,616
$52,596,594
$45,753,242
$87,757
$135,802
(1)The notional amounts presented in this table do not include hedge accounting relationships under ASC 815 where Citigroup is hedging the foreign currency risk of a net investment in a foreign operation by issuing a foreign-currency-denominated debt instrument. The notional amount of such debt was $1,991$1,815 million and $2,102$1,825 million at September 30, 2016March 31, 2017 and December 31, 2015,2016, 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 as of September 30, 2016March 31, 2017 and December 31, 2015.2016. Gross positive fair values are offset against gross negative fair values by counterparty pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.
In addition, the table for March 31, 2017 reflects a rule change adopted by a clearing organization that became effective January 3, 2017.  Under this rule change, variation margin exchanged on certain interest rate and credit derivative contracts is legally characterized and accounted for as settlement of the related derivative fair value, and not as collateral (whereby the counterparties would record a related collateral payable or receivable). As a result, the table for March 31, 2017 reflects a reduction in approximately $20 billion of gross derivative assets and gross derivative liabilities due to the accounting treatment of variation margin payments as settlement for derivatives with this clearing organization that are subject to the rule change. There is no change to the consolidated balance sheet reporting for the affected items.
The tables also includepresent amounts that are not permitted to be offset, 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 September 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 March 31, 2017
Derivatives classified
in Trading account
assets / liabilities(1)(2)(3)
Derivatives classified
in Other
assets / liabilities(2)(3)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$773
$180
$2,384
$27
$645
$143
$1,308
$34
Cleared6,692
1,730
—
225
3,925
2,175
53
62
Interest rate contracts$7,465
$1,910
$2,384
$252
$4,570
$2,318
$1,361
$96
Over-the-counter$1,485
$1,132
$45
$819
$1,315
$923
$232
$236
Foreign exchange contracts$1,485
$1,132
$45
$819
$1,315
$923
$232
$236
Total derivative instruments designated as ASC 815 hedges$8,950
$3,042
$2,429
$1,071
Total derivatives instruments designated as ASC 815 hedges$5,885
$3,241
$1,593
$332
Derivatives instruments not designated as ASC 815 hedges





Over-the-counter$336,753
$313,154
$209
$—
$222,212
$203,860
$64
$—
Cleared175,410
182,785
581
593
86,795
94,086
119
164
Exchange traded75
56
—
—
150
85
—
—
Interest rate contracts$512,238
$495,995
$790
$593
$309,157
$298,031
$183
$164
Over-the-counter$114,573
$113,454
$—
$45
$122,726
$126,685
$—
$59
Cleared579
493
—
—
1,170
1,042
—
—
Exchange traded69
56
—
—
25
17
—
—
Foreign exchange contracts$115,221
$114,003
$—
$45
$123,921
$127,744
$—
$59
Over-the-counter$16,202
$19,998
$—
$—
$16,494
$20,844
$—
$—
Cleared876
9
—
—
19
27
—
—
Exchange traded9,315
9,645
—
—
8,123
7,819
—
—
Equity contracts$26,393
$29,652
$—
$—
$24,636
$28,690
$—
$—
Over-the-counter$10,757
$13,271
$—
$—
$10,807
$12,647
$—
$—
Exchange traded774
1,065
—
—
642
665
—
—
Commodity and other contracts$11,531
$14,336
$—
$—
$11,449
$13,312
$—
$—
Over-the-counter$23,925
$24,602
$213
$83
$16,987
$17,770
$46
$87
Cleared5,848
5,987
85
557
6,335
6,916
26
325
Credit derivatives(4)
$29,773
$30,589
$298
$640
$23,322
$24,686
$72
$412
Total derivatives instruments not designated as ASC 815 hedges$695,156
$684,575
$1,088
$1,278
$492,485
$492,463
$255
$635
Total derivatives$704,106
$687,617
$3,517
$2,349
$498,370
$495,704
$1,848
$967
Cash collateral paid/received(5)(6)
$8,348
$16,459
$6
$50
$10,436
$13,961
$5
$15
Less: Netting agreements(7)
(596,599)(596,599)—
—
(416,229)(416,229)—
—
Less: Netting cash collateral received/paid(8)
(55,239)(53,460)(1,682)(29)(36,198)(40,577)(940)(51)
Net receivables/payables included on the consolidated balance sheet(9)
$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 
Net receivables/payables included on the Consolidated Balance Sheet(9)
$56,379
$52,859
$913
$931
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet 
Less: Cash collateral received/paid$(1,254)$(26)$—
$—
$(653)$(13)$—
$—
Less: Non-cash collateral received/paid(12,808)(6,724)(737)—
(10,239)(8,635)(506)—
Total net receivables/payables(9)
$46,554
$47,267
$1,104
$2,370
$45,487
$44,211
$407
$931
(1)The trading derivatives fair values are presented in Note 20 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 $11,245$6,312 million related to protection purchased and $18,528$17,010 million related to protection sold as of September 30, 2016.March 31, 2017. The credit derivatives trading liabilities comprise $19,566$18,467 million related to protection purchased and $11,023$6,219 million related to protection sold as of September 30, 2016.March 31, 2017.
(5)For the trading account assets/liabilities, reflects the net amount of the $61,808$51,013 million and $71,698$50,159 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $53,460$40,577 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $55,239$36,198 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 $35$56 million of gross cash collateral paid, of which $29$51 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 $1,732$955 million of gross cash collateral received, of which $1,682$940 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 $405$315 billion, $183$93 billion and $9$8 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$7 billion of derivative asset and $9$11 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)
In millions of dollars at December 31, 2016
Derivatives classified in Trading
account assets / liabilities(1)(2)(3)
Derivatives classified in Other assets / liabilities(2)(3)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$262
$105
$2,328
$106
$716
$171
$1,927
$22
Cleared4,607
1,471
5
—
3,530
2,154
47
82
Interest rate contracts$4,869
$1,576
$2,333
$106
$4,246
$2,325
$1,974
$104
Over-the-counter$2,688
$364
$95
$677
$2,494
$393
$747
$645
Foreign exchange contracts$2,688
$364
$95
$677
$2,494
$393
$747
$645
Total derivative instruments designated as ASC 815 hedges$7,557
$1,940
$2,428
$783
Total derivatives instruments designated as ASC 815 hedges$6,740
$2,718
$2,721
$749
Derivatives instruments not designated as ASC 815 hedges





Over-the-counter$289,124
$267,761
$182
$12
$244,072
$221,534
$225
$5
Cleared120,848
126,532
244
216
120,920
130,855
240
349
Exchange traded53
35
—
—
87
47
—
—
Interest rate contracts$410,025
$394,328
$426
$228
$365,079
$352,436
$465
$354
Over-the-counter$126,474
$133,361
$—
$66
$182,659
$186,867
$—
$60
Cleared134
152
—
—
482
470
—
—
Exchange traded21
36
—
—
27
31
—
—
Foreign exchange contracts$126,629
$133,549
$—
$66
$183,168
$187,368
$—
$60
Over-the-counter$14,560
$20,107
$—
$—
$15,625
$19,119
$—
$—
Cleared28
3
—
—
1
21
—
—
Exchange traded7,297
6,406
—
—
8,484
7,376
—
—
Equity contracts$21,885
$26,516
$—
$—
$24,110
$26,516
$—
$—
Over-the-counter$16,794
$18,641
$—
$—
$13,046
$14,234
$—
$—
Exchange traded1,216
1,912
—
—
719
798
—
—
Commodity and other contracts$18,010
$20,553
$—
$—
$13,765
$15,032
$—
$—
Over-the-counter$31,072
$30,608
$711
$245
$19,033
$19,563
$159
$78
Cleared3,803
3,560
131
318
5,582
5,874
47
310
Credit derivatives(4)
$34,875
$34,168
$842
$563
$24,615
$25,437
$206
$388
Total derivatives instruments not designated as ASC 815 hedges$611,424
$609,114
$1,268
$857
$610,737
$606,789
$671
$802
Total derivatives$618,981
$611,054
$3,696
$1,640
$617,477
$609,507
$3,392
$1,551
Cash collateral paid/received(5)(6)
$4,911
$13,628
$8
$37
$11,188
$15,731
$8
$1
Less: Netting agreements(7)
(524,481)(524,481)—
—
(519,000)(519,000)—
—
Less: Netting cash collateral received/paid(8)
(43,227)(42,609)(1,949)(53)(45,912)(49,811)(1,345)(53)
Net receivables/payables included on the Consolidated Balance Sheet(9)
$56,184
$57,592
$1,755
$1,624
$63,753
$56,427
$2,055
$1,499
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet 
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet 
Less: Cash collateral received/paid$(779)$(2)$—
$—
$(819)$(19)$—
$—
Less: Non-cash collateral received/paid(9,855)(5,131)(270)—
(11,767)(5,883)(530)—
Total net receivables/payables(9)
$45,550
$52,459
$1,485
$1,624
$51,167
$50,525
$1,525
$1,499
(1)The trading derivatives fair values are presented in Note 20 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 includeare 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 $17,957$8,871 million related to protection purchased and $16,918$15,744 million related to protection sold as of December 31, 2015.2016. The credit derivatives trading liabilities comprise $16,968$16,722 million related to protection purchased and $17,200$8,715 million related to protection sold as of December 31, 2015.2016.
(5)For the trading account assets/liabilities, reflects the net amount of the $47,520$60,999 million and $56,855$61,643 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $42,609$49,811 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $43,227$45,912 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 $61 million of the gross cash collateral received,paid, of which $53 million is netted against non-trading derivative positions within Other liabilities. For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $1,986$1,346 million of gross cash collateral received, of which $1,949$1,345 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 $391$383 billion, $126$128 billion and $7$8 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$7 billion of derivative asset and $10$9 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

For the three and nine months ended September 30,March 31, 2017 and 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

Three months ended March 31,
In millions of dollars20172016
Interest rate contracts$(45)$15
Foreign exchange3
4
Credit derivatives(263)(213)
Total Citigroup$(305)$(194)
 

















 
Gains (losses) included in
Other revenue

Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2016201520162015
Interest rate contracts$(28)$163
$(2)$127
Foreign exchange11
(19)26
(65)
Credit derivatives(399)536
(960)607
Total Citigroup$(416)$680
$(936)$669







The following table presentssummarizes 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 September 30,Nine Months Ended September 30,Three months ended March 31,
In millions of dollars201620152016201520172016
Gain (loss) on the derivatives in designated and qualifying fair value hedges    
Interest rate contracts$(450)$1,111
$2,747
$72
$(305)$2,115
Foreign exchange contracts(602)(311)(2,360)1,093
(82)(1,361)
Commodity contracts(57)(110)381
(69)2
349
Total gain (loss) on the derivatives in designated and qualifying fair value hedges$(1,109)$690
$768
$1,096
$(385)$1,103
Gain (loss) on the hedged item in designated and qualifying fair value hedges    
Interest rate hedges$442
$(1,113)$(2,701)$(115)$296
$(2,090)
Foreign exchange hedges664
304
2,425
(1,081)196
1,307
Commodity hedges59
109
(374)81
(1)(344)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$1,165
$(700)$(650)$(1,115)$491
$(1,127)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges    
Interest rate hedges$(11)$(1)$48
$(42)$(10)$27
Foreign exchange hedges(3)(24)(53)(41)62
(75)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges$(14)$(25)$(5)$(83)$52
$(48)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges    
Interest rate contracts$3
$(1)$(2)$(1)$1
$(2)
Foreign exchange contracts(2)
65
17
118
53
52
21
Commodity hedges(2)
2
(1)7
12
1
5
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges$70
$15
$123
$64
$54
$24
(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
The amount of hedge ineffectiveness on the cash flow hedges recognized in earnings for the three and nine months ended September 30,March 31, 2017, and 2016 and 2015 is not significant. The pretax change in AOCI from cash flow hedges is presented below:

Three Months Ended September 30,Nine Months Ended September 30,Three months ended March 31,
In millions of dollars201620152016201520172016
Effective portion of cash flow hedges included in AOCI    
Interest rate contracts$(187)$357
$448
$594
$41
$415
Foreign exchange contracts(29)(98)(26)(258)—
24
Total effective portion of cash flow hedges included in AOCI$(216)$259
$422
$336
$41
$439
Effective portion of cash flow hedges reclassified from AOCI to earnings

 
Interest rate contracts$(39)$(28)$(96)$(148)$44
$(16)
Foreign exchange contracts(46)(35)(89)(112)(3)(26)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)
$(85)$(63)$(185)$(260)$41
$(42)
(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 remainingremain in AOCI on the Consolidated Balance Sheet and 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 lossgain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of September 30, 2016March 31, 2017 is approximately $39$(217) 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 17 to the Consolidated Financial Statements.

Net Investment Hedges
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 $(371)$(1,716) million and $(1,791)$(1,374) million for the three and nine months ended September 30,March 31, 2017 and 2016, and $1,842 million and $2,599 million for the three and nine months ended September 30, 2015, respectively.





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 September 30, 2016
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at March 31, 2017
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty





Banks$14,728
$13,202
$501,904
$515,590
$10,428
$9,483
$383,466
$393,864
Broker-dealers4,240
4,822
132,959
134,774
3,297
3,587
107,767
116,589
Non-financial89
104
3,497
1,279
80
187
3,164
1,430
Insurance and other financial institutions11,014
13,101
440,586
369,475
9,589
11,841
418,209
364,908
Total by industry/counterparty$30,071
$31,229
$1,078,946
$1,021,118
$23,394
$25,098
$912,606
$876,791
By instrument





Credit default swaps and options$28,457
$28,652
$1,049,969
$1,006,236
$23,145
$23,096
$889,829
$868,748
Total return swaps and other1,614
2,577
28,977
14,882
249
2,002
22,777
8,043
Total by instrument$30,071
$31,229
$1,078,946
$1,021,118
$23,394
$25,098
$912,606
$876,791
By rating





Investment grade$10,860
$10,914
$809,822
$767,629
$9,951
$10,142
$691,002
$669,241
Non-investment grade19,211
20,315
269,124
253,489
13,443
14,956
221,604
207,550
Total by rating$30,071
$31,229
$1,078,946
$1,021,118
$23,394
$25,098
$912,606
$876,791
By maturity





Within 1 year$4,759
$5,642
$314,629
$301,906
$3,008
$4,108
$304,227
$296,731
From 1 to 5 years21,143
21,382
661,648
626,205
16,894
17,187
532,809
511,054
After 5 years4,169
4,205
102,669
93,007
3,492
3,803
75,570
69,006
Total by maturity$30,071
$31,229
$1,078,946
$1,021,118
$23,394
$25,098
$912,606
$876,791

(1)The fair value amount receivable is composed of $11,567$6,384 million under protection purchased and $18,504$17,010 million under protection sold.
(2)The fair value amount payable is composed of $20,248$18,879 million under protection purchased and $10,981$6,219 million under protection sold.
Fair valuesNotionalsFair valuesNotionals
In millions of dollars at December 31, 2015
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at December 31, 2016
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty





Banks$18,377
$16,988
$513,335
$508,459
$11,895
$10,930
$407,992
$414,720
Broker-dealers5,895
6,697
155,195
152,604
3,536
3,952
115,013
119,810
Non-financial128
123
3,969
2,087
82
99
4,014
2,061
Insurance and other financial institutions11,317
10,923
332,715
287,772
9,308
10,844
375,454
322,829
Total by industry/counterparty$35,717
$34,731
$1,005,214
$950,922
$24,821
$25,825
$902,473
$859,420
By instrument





Credit default swaps and options$34,849
$34,158
$981,999
$940,650
$24,502
$24,631
$883,719
$852,900
Total return swaps and other868
573
23,215
10,272
319
1,194
18,754
6,520
Total by instrument$35,717
$34,731
$1,005,214
$950,922
$24,821
$25,825
$902,473
$859,420
By rating





Investment grade$12,694
$13,142
$764,040
$720,521
$9,605
$9,995
$675,138
$648,247
Non-investment grade23,023
21,589
241,174
230,401
15,216
15,830
227,335
211,173
Total by rating$35,717
$34,731
$1,005,214
$950,922
$24,821
$25,825
$902,473
$859,420
By maturity





Within 1 year$3,871
$3,559
$265,632
$254,225
$4,113
$4,841
$293,059
$287,262
From 1 to 5 years27,991
27,488
669,834
639,460
17,735
17,986
551,155
523,371
After 5 years3,855
3,684
69,748
57,237
2,973
2,998
58,259
48,787
Total by maturity$35,717
$34,731
$1,005,214
$950,922
$24,821
$25,825
$902,473
$859,420



(1)The fair value amount receivable is composed of $18,799$9,077 million under protection purchased and $16,918$15,744 million under protection sold.
(2)The fair value amount payable is composed of $17,531$17,110 million under protection purchased and $17,200$8,715 million under protection sold.

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 September 30, 2016March 31, 2017 and December 31, 20152016 was $27$29 billion and $22$26 billion, respectively. The Company had posted $24$26 billion and $19$26 billion as collateral for this exposure in the normal course of business as of September 30, 2016March 31, 2017 and December 31, 2015,2016, 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 September 30, 2016,March 31, 2017, the Company could be required to post an additional $1.7$1.1 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$0.3 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.8$1.4 billion.

Derivatives Accompanied by Financial Asset Transfers
For transfers of financial assets accounted for as a sale 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 September 30, 2016,March 31, 2017, both the asset carrying amounts derecognized and gross cash proceeds received as of the date of derecognition were $1.5 billion. At September 30, 2016,March 31, 2017, the fair value of these previously derecognized assets was $1.5 billion and the fair value of the total return swaps was $13$29 million recorded as gross derivative assets and $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.




20.   FAIR VALUE MEASUREMENT
For additional information regarding fair value measurement at Citi, see Note 2524 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.

Market Valuation Adjustments
The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at September 30, 2016March 31, 2017 and December 31, 2015:2016:
Credit and funding valuation adjustments
contra-liability (contra-asset)
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsSeptember 30,
2016		December 31,
2015		March 31,
2017		December 31,
2016
Counterparty CVA$(1,849)$(1,470)$(1,316)$(1,488)
Asset FVA(642)(584)(444)(536)
Citigroup (own-credit) CVA542
471
377
459
Liability FVA94
106
52
62
Total CVA—derivative instruments(1)
$(1,855)$(1,477)$(1,331)$(1,503)

(1)FVA is included with CVA for presentation purposes.

The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) reflecting the change inon 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 September 30,Nine Months Ended 
 September 30,		Three months ended March 31,
In millions of dollars201620152016201520172016
Counterparty CVA$112
$(32)$19
$(191)$90
$(108)
Asset FVA37
(177)(59)(125)92
(80)
Own-credit CVA(60)97
65
81
(72)135
Liability FVA(59)44
(11)89
(10)29
Total CVA—derivative instruments(1)
$30
$(68)$14
$(146)$100
$(24)
DVA related to own FVO liabilities (2)(1)
$(319)$264
$8
$582
$(95)$307
Total CVA and DVA(2)
$5
$283

(1)See Note 1 to the Consolidated Financial Statements.
(2)FVA is included with CVA for presentation purposes.
(2)See Note 1 to the Consolidated Financial Statements for additional details.







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 September 30, 2016March 31, 2017 and December 31, 2015.2016. The Company may hedge positions that have been classified in the Level 3 category with other financial instruments (hedging instruments) that may be
 
classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables:



Fair Value Levels
In millions of dollars at September 30, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at March 31, 2017
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$—
$178,462
$1,313
$179,775
$(36,157)$143,618
$—
$174,962
$1,187
$176,149
$(38,789)$137,360
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
25,921
228
26,149
—
26,149
—
21,410
271
21,681
—
21,681
Residential—
335
441
776
—
776
—
289
368
657
—
657
Commercial—
1,072
444
1,516
—
1,516
—
1,052
266
1,318
—
1,318
Total trading mortgage-backed securities$—
$27,328
$1,113
$28,441
$—
$28,441
$—
$22,751
$905
$23,656
$—
$23,656
U.S. Treasury and federal agency securities$20,537
$2,929
$1
$23,467
$—
$23,467
$18,757
$3,511
$1
$22,269
$—
$22,269
State and municipal—
3,803
157
3,960
—
3,960
—
3,086
270
3,356
—
3,356
Foreign government38,147
19,388
63
57,598
—
57,598
37,588
21,152
126
58,866
—
58,866
Corporate545
16,585
685
17,815
—
17,815
240
16,011
296
16,547
—
16,547
Equity securities50,741
1,443
3,560
55,744
—
55,744
43,108
5,468
110
48,686
—
48,686
Asset-backed securities—
850
2,749
3,599
—
3,599
—
1,536
1,941
3,477
—
3,477
Other trading assets(9)(3)
6
9,526
2,580
12,112
—
12,112
8
9,771
1,888
11,667
—
11,667
Total trading non-derivative assets$109,976
$81,852
$10,908
$202,736
$—
$202,736
$99,701
$83,286
$5,537
$188,524
$—
$188,524
Trading derivatives
  
  
Interest rate contracts$39
$516,241
$3,423
$519,703
  $17
$311,584
$2,126
$313,727
  
Foreign exchange contracts57
115,889
760
116,706
  18
124,740
478
125,236
  
Equity contracts2,932
22,156
1,305
26,393
  1,815
22,196
625
24,636
  
Commodity contracts215
10,716
600
11,531
  250
10,647
552
11,449
  
Credit derivatives—
27,815
1,958
29,773
  —
21,751
1,571
23,322
  
Total trading derivatives$3,243
$692,817
$8,046
$704,106
  $2,100
$490,918
$5,352
$498,370
  
Cash collateral paid(3)(4)
 $8,348
   $10,436
  
Netting agreements $(596,599)  $(416,229) 
Netting of cash collateral received (55,239)  (36,198) 
Total trading derivatives$3,243
$692,817
$8,046
$712,454
$(651,838)$60,616
$2,100
$490,918
$5,352
$508,806
$(452,427)$56,379
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$43,113
$89
$43,202
$—
$43,202
$—
$35,648
$55
$35,703
$—
$35,703
Residential—
4,448
53
4,501
—
4,501
—
3,474
—
3,474
—
3,474
Commercial—
354
—
354
—
354
—
360
—
360
—
360
Total investment mortgage-backed securities$—
$47,915
$142
$48,057
$—
$48,057
$—
$39,482
$55
$39,537
$—
$39,537
U.S. Treasury and federal agency securities$109,926
$11,778
$2
$121,706
$—
$121,706
$106,915
$10,731
$1
$117,647
$—
$117,647
State and municipal—
9,535
1,656
11,191
—
11,191
—
8,392
1,233
9,625
—
9,625
Foreign government50,131
47,864
145
98,140
—
98,140
56,398
43,497
235
100,130
—
100,130
Corporate4,949
13,607
524
19,080
—
19,080
1,807
13,733
339
15,879
—
15,879
Equity securities1,274
41
10
1,325
—
1,325
317
65
9
391
—
391
Asset-backed securities—
6,744
682
7,426
—
7,426
—
5,811
712
6,523
—
6,523
Other debt securities—
1,181
11
1,192
—
1,192
—
550
—
550
—
550
Non-marketable equity securities(4)(5)
—
49
1,181
1,230
—
1,230
—
31
1,082
1,113
—
1,113
Total investments$166,280
$138,714
$4,353
$309,347
$—
$309,347
$165,437
$122,292
$3,666
$291,395
$—
$291,395
Table continues on the next page.


In millions of dollars at September 30, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at March 31, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$2,888
$1,082
$3,970
$—
$3,970
$—
$3,455
$580
$4,035
$—
$4,035
Mortgage servicing rights—
—
1,270
1,270
—
1,270
—
—
567
567
—
567
Non-trading derivatives and other financial assets measured on a recurring basis, gross$—
$8,070
$66
$8,136
  $11,750
$6,439
$27
$18,216
  
Cash collateral paid(5)(6)
 6
   5
  
Netting of cash collateral received $(1,682)  $(940) 
Non-trading derivatives and other financial assets measured on a recurring basis$—
$8,070
$66
$8,142
$(1,682)$6,460
$11,750
$6,439
$27
$18,221
$(940)$17,281
Total assets$279,499
$1,102,803
$27,038
$1,417,694
$(689,677)$728,017
$278,988
$881,352
$16,916
$1,187,697
$(492,156)$695,541
Total as a percentage of gross assets(6)(7)
19.8%78.2%1.9%





23.7%74.9%1.4%





Liabilities    
Interest-bearing deposits$—
$1,160
$260
$1,420
$—
$1,420
$—
$1,005
$302
$1,307
$—
$1,307
Federal funds purchased and securities loaned or sold under agreements to repurchase—
78,173
923
79,096
(36,157)42,939
—
78,919
809
79,728
(38,789)40,939
Trading account liabilities    
Securities sold, not yet purchased67,655
9,712
159
77,526
—
77,526
80,154
7,302
1,151
88,607
—
88,607
Other trading liabilities—
105
1
106
—
106
—
2,605
—
2,605
—
2,605
Total trading liabilities$67,655
$9,817
$160
$77,632
$—
$77,632
$80,154
$9,907
$1,151
$91,212
$—
$91,212
Trading derivatives    
Interest rate contracts$36
$493,883
$3,986
$497,905
  $5
$297,445
$2,899
$300,349
  
Foreign exchange contracts1
114,463
671
115,135
  8
128,229
430
128,667
  
Equity contracts2,764
24,616
2,272
29,652
  1,675
24,866
2,149
28,690
  
Commodity contracts192
11,245
2,899
14,336
  155
10,531
2,626
13,312
  
Credit derivatives—
27,612
2,977
30,589
  —
21,992
2,694
24,686
  
Total trading derivatives$2,993
$671,819
$12,805
$687,617
  $1,843
$483,063
$10,798
$495,704
  
Cash collateral received(7)(8)
 $16,459
   $13,961
  
Netting agreements $(596,599)  $(416,229) 
Netting of cash collateral paid (53,460)  (40,577) 
Total trading derivatives$2,993
$671,819
$12,805
$704,076
$(650,059)$54,017
$1,843
$483,063
$10,798
$509,665
$(456,806)$52,859
Short-term borrowings$—
$2,567
$32
$2,599
$—
$2,599
$—
$3,413
$60
$3,473
$—
$3,473
Long-term debt—
18,353
9,182
27,535
—
27,535
—
17,350
10,176
27,526
—
27,526
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$—
$2,316
$32
$2,348
  $11,750
$963
$4
$12,717
  
Cash collateral received(8)(9)
 50
   15
  
Netting of cash collateral paid $(29)  $(51) 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$—
$2,316
$32
$2,398
$(29)$2,369
$11,750
$963
$4
$12,732
$(51)$12,681
Total liabilities$70,648
$784,205
$23,394
$894,756
$(686,245)$208,511
$93,747
$594,620
$23,300
$725,643
$(495,646)$229,997
Total as a percentage of gross liabilities(6)(7)
8.0%89.3%2.7%  13.2%83.6%3.3%  

(1)For the three and nine months ended September 30, 2016,March 31, 2017, the Company transferred assets of approximately $0.1 billion and $1.1$0.9 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 nine months ended September 30, 2016,March 31, 2017, the Company transferred assets of approximately $1.4 billion and $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 nine months ended September 30, 2016,March 31, 2017, the Company transferred liabilities of approximately $0.2$0.1 billion and $0.3from Level 1 to Level 2. During the three months ended March 31, 2017, the Company transferred liabilities of approximately $0.1 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 2.1.
(2)Represents netting of: (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(4)Reflects the net amount of $61,808$51,013 million of gross cash collateral paid, of which $53,460$40,577 million was used to offset trading derivative liabilities.
(4)(5)
Amounts exclude $0.70.4 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)(6)Reflects the net amount of $35$56 million of gross cash collateral paid, of which $29$51 million was used to offset non-trading derivative liabilities.
(6)(7)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(7)(8)Reflects the net amount of $71,698$50,159 million of gross cash collateral received, of which $55,239$36,198 million was used to offset trading derivative assets.


(8)(9)Reflects the net amount of $1,732$955 million of gross cash collateral received, of which $1,682$940 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
In millions of dollars at December 31, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Assets    
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$177,538
$1,337
$178,875
$(40,911)$137,964
$—
$172,394
$1,496
$173,890
$(40,686)$133,204
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
24,023
744
24,767
—
24,767
—
22,718
176
22,894
—
22,894
Residential—
1,059
1,326
2,385
—
2,385
—
291
399
690
—
690
Commercial—
2,338
517
2,855
—
2,855
—
1,000
206
1,206
—
1,206
Total trading mortgage-backed securities$—
$27,420
$2,587
$30,007
$—
$30,007
$—
$24,009
$781
$24,790
$—
$24,790
U.S. Treasury and federal agency securities$14,208
$3,587
$1
$17,796
$—
$17,796
$17,756
$3,423
$1
$21,180
$—
$21,180
State and municipal—
2,345
351
2,696
—
2,696
—
3,780
296
4,076
—
4,076
Foreign government35,715
20,555
197
56,467
—
56,467
36,852
12,804
40
49,696
—
49,696
Corporate302
13,901
376
14,579
—
14,579
424
14,199
324
14,947
—
14,947
Equity securities50,429
2,382
3,684
56,495
—
56,495
45,331
4,985
127
50,443
—
50,443
Asset-backed securities—
1,217
2,739
3,956
—
3,956
—
892
1,868
2,760
—
2,760
Other trading assets(9)(3)
—
9,293
2,483
11,776
—
11,776
2
9,464
2,814
12,280
—
12,280
Total trading non-derivative assets$100,654
$80,700
$12,418
$193,772
$—
$193,772
$100,365
$73,556
$6,251
$180,172
$—
$180,172
Trading derivatives    
Interest rate contracts$9
$412,802
$2,083
$414,894
  $105
$366,995
$2,225
$369,325
  
Foreign exchange contracts5
128,189
1,123
129,317
  53
184,776
833
185,662
  
Equity contracts2,422
17,866
1,597
21,885
  2,306
21,209
595
24,110
  
Commodity contracts204
16,706
1,100
18,010
  261
12,999
505
13,765
  
Credit derivatives—
31,082
3,793
34,875
  —
23,021
1,594
24,615
  
Total trading derivatives$2,640
$606,645
$9,696
$618,981
  $2,725
$609,000
$5,752
$617,477
  
Cash collateral paid(3)(4)
 $4,911
   $11,188
  
Netting agreements $(524,481)  $(519,000) 
Netting of cash collateral received (43,227)  (45,912) 
Total trading derivatives$2,640
$606,645
$9,696
$623,892
$(567,708)$56,184
$2,725
$609,000
$5,752
$628,665
$(564,912)$63,753
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$39,575
$139
$39,714
$—
$39,714
$—
$38,304
$101
$38,405
$—
$38,405
Residential—
5,982
4
5,986
—
5,986
—
3,860
50
3,910
—
3,910
Commercial—
569
2
571
—
571
—
358
—
358
—
358
Total investment mortgage-backed securities$—
$46,126
$145
$46,271
$—
$46,271
$—
$42,522
$151
$42,673
$—
$42,673
U.S. Treasury and federal agency securities$111,536
$11,375
$4
$122,915
$—
$122,915
$112,916
$10,753
$2
$123,671
$—
$123,671
State and municipal—
9,267
2,192
11,459
—
11,459
—
8,909
1,211
10,120
—
10,120
Foreign government42,073
46,341
260
88,674
—
88,674
54,028
43,934
186
98,148
—
98,148
Corporate3,605
15,122
603
19,330
—
19,330
3,215
13,598
311
17,124
—
17,124
Equity securities430
71
124
625
—
625
336
46
9
391
—
391
Asset-backed securities—
8,578
596
9,174
—
9,174
—
6,134
660
6,794
—
6,794
Other debt securities—
688
—
688
—
688
—
503
—
503
—
503
Non-marketable equity securities(4)(5)
—
58
1,135
1,193
—
1,193
—
35
1,331
1,366
—
1,366
Total investments$157,644
$137,626
$5,059
$300,329
$—
$300,329
$170,495
$126,434
$3,861
$300,790
$—
$300,790
Table continues on the next page.


In millions of dollars at December 31, 2015
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$2,839
$2,166
$5,005
$—
$5,005
$—
$2,918
$568
$3,486
$—
$3,486
Mortgage servicing rights—
—
1,781
1,781
—
1,781
—
—
1,564
1,564
—
1,564
Non-trading derivatives and other financial assets measured on a recurring basis, gross$—
$7,882
$180
$8,062
  $9,300
$7,732
$34
$17,066
  
Cash collateral paid(5)(6)
 8
   8
  
Netting of cash collateral received $(1,949)  $(1,345) 
Non-trading derivatives and other financial assets measured on a recurring basis$—
$7,882
$180
$8,070
$(1,949)$6,121
$9,300
$7,732
$34
$17,074
$(1,345)$15,729
Total assets$260,938
$1,013,230
$32,637
$1,311,724
$(610,568)$701,156
$282,885
$992,034
$19,526
$1,305,641
$(606,943)$698,698
Total as a percentage of gross assets(6)(7)
20.0%77.5%2.5%  21.9%76.6%1.5%  
Liabilities    
Interest-bearing deposits$—
$1,156
$434
$1,590
$—
$1,590
$—
$919
$293
$1,212
$—
$1,212
Federal funds purchased and securities loaned or sold under agreements to repurchase—
76,507
1,247
77,754
(40,911)36,843
—
73,500
849
74,349
(40,686)33,663
Trading account liabilities    
Securities sold, not yet purchased48,452
9,176
199
57,827
—
57,827
73,782
5,831
1,177
80,790
—
80,790
Other trading liabilities—
2,093
—
2,093
—
2,093
—
1,827
1
1,828
—
1,828
Total trading liabilities$48,452
$11,269
$199
$59,920
$—
$59,920
$73,782
$7,658
$1,178
$82,618
$—
$82,618
Trading account derivatives    
Interest rate contracts$5
$393,321
$2,578
$395,904
  $107
$351,766
$2,888
$354,761
  
Foreign exchange contracts6
133,404
503
133,913
  13
187,328
420
187,761
  
Equity contracts2,244
21,875
2,397
26,516
  2,245
22,119
2,152
26,516
  
Commodity contracts263
17,329
2,961
20,553
  196
12,386
2,450
15,032
  
Credit derivatives—
30,682
3,486
34,168
  —
22,842
2,595
25,437
  
Total trading derivatives$2,518
$596,611
$11,925
$611,054
  $2,561
$596,441
$10,505
$609,507
  
Cash collateral received(7)(8)
 $13,628
   $15,731
  
Netting agreements $(524,481)  $(519,000) 
Netting of cash collateral paid (42,609)  (49,811) 
Total trading derivatives$2,518
$596,611
$11,925
$624,682
$(567,090)$57,592
$2,561
$596,441
$10,505
$625,238
$(568,811)$56,427
Short-term borrowings$—
$1,198
$9
$1,207
$—
$1,207
$—
$2,658
$42
$2,700
$—
$2,700
Long-term debt—
17,750
7,543
25,293
—
25,293
—
16,510
9,744
26,254
—
26,254
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$—
$1,626
$14
$1,640
  $9,300
$1,540
$8
$10,848
  
Cash collateral received(8)(9)
 37
   1
  
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
$9,300
$1,540
$8
$10,849
$(53)$10,796
Total liabilities$50,970
$706,117
$21,371
$792,123
$(608,054)$184,069
$85,643
$699,226
$22,619
$823,220
$(609,550)$213,670
Total as a percentage of gross liabilities(6)(7)
6.5%90.7%2.7%  10.6%86.6%2.8%  

(1)In 2015,2016, the Company transferred assets of approximately $3.3$2.6 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. In 2015,2016, the Company transferred assets of approximately $4.4$4.0 billion from Level 2 to Level 1, respectively, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. In 2015,2016, the Company transferred liabilities of approximately $0.6$0.4 billion from Level 2 to Level 1. In 2015,2016, the Company transferred liabilities of approximately $0.4$0.3 billion from Level 1 to Level 2.
(2)Represents netting of: (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(4)Reflects the net amount of $47,520$60,999 million of gross cash collateral paid, of which $42,609$49,811 million was used to offset trading derivative liabilities.
(4)(5)
Amounts exclude $ $0.90.4 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)(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.
(6)(7)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(7)(8)Reflects the net amount of $56,855$61,643 million of gross cash collateral received, of which $43,227$45,912 million was used to offset trading derivative assets.
(8)(9)Reflects the net amount of $1,986$1,346 million of gross cash collateral received, of which $1,949$1,345 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 nine months ended September 30, 2016March 31, 2017 and 2015.2016. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are classified in a different level. For example, the gains and losses for assets and liabilities in the Level 3
 
category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:


Level 3 Fair Value Rollforward
 Net realized/unrealized
gains (losses) 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 dollarsJun. 30, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2016Dec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2017
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$1,819
$(6)$—
$—
$—
$5
$—
$—
$(505)$1,313
$(3)$1,496
$(56)$—
$—
$(252)$—
$—
$—
$(1)$1,187
$4
Trading non-derivative assets      
Trading mortgage-backed securities   
Trading mortgage-
backed securities
   
U.S. government-sponsored agency guaranteed730
1
—
67
(387)96
—
(286)7
228
—
176
5
—
50
(17)161
—
(104)—
271
—
Residential801
116
—
5
(66)18
—
(433)—
441
(58)399
15
—
17
(29)50
—
(84)—
368
10
Commercial390
2
—
1
(107)309
—
(151)—
444
6
206
(8)—
17
(13)190
—
(126)—
266
(4)
Total trading mortgage-backed securities$1,921
$119
$—
$73
$(560)$423
$—
$(870)$7
$1,113
$(52)
Total trading mortgage-
backed securities
$781
$12
$—
$84
$(59)$401
$—
$(314)$—
$905
$6
U.S. Treasury and federal agency securities$3
$—
$—
$—
$—
$—
$—
$(2)$—
$1
$—
$1
$—
$—
$—
$—
$—
$—
$—
$—
$1
$—
State and municipal117
18
—
118
(37)56
—
(115)—
157
(1)296
2
—
2
(47)81
—
(64)—
270
2
Foreign government81
(19)—
—
—
24
—
(23)—
63
1
40
4
—
78
(13)44
—
(27)—
126
6
Corporate405
39
—
49
(26)414
—
(208)12
685
(31)324
91
—
27
(52)118
—
(197)(15)296
12
Equity securities3,970
348
—
12
(811)102
—
(61)—
3,560
(371)127
15
—
2
(12)7
—
(29)—
110
2
Asset-backed securities2,670
47
—
38
(42)783
—
(747)—
2,749
(58)1,868
160
—
20
(16)391
—
(482)—
1,941
81
Other trading assets2,839
12
—
296
(897)966
9
(628)(17)2,580
(63)2,814
(7)—
210
(531)287
1
(875)(11)1,888
(55)
Total trading non-derivative assets$12,006
$564
$—
$586
$(2,373)$2,768
$9
$(2,654)$2
$10,908
$(575)
Total trading non-
derivative assets
$6,251
$277
$—
$423
$(730)$1,329
$1
$(1,988)$(26)$5,537
$54
Trading derivatives, net(4)
      
Interest rate contracts$(374)$(82)$—
$(59)$77
$5
$—
$(37)$(93)$(563)$(143)$(663)$(37)$—
$(38)$19
$6
$—
$(113)$53
$(773)$(23)
Foreign exchange contracts(29)10
—
69
(13)52
—
(50)50
89
149
413
(390)—
55
(20)34
—
(32)(12)48
(341)
Equity contracts(1,071)29
—
14
123
17
—
(28)(51)(967)(189)(1,557)(2)—
—
(16)85
—
(24)(10)(1,524)202
Commodity contracts(2,017)(76)—
(379)74
3
—
5
91
(2,299)(285)(1,945)(175)—
46
(2)—
—
—
2
(2,074)(170)
Credit derivatives(754)(651)—
32
26
(4)—
(35)367
(1,019)450
(1,001)(92)—
(24)(8)—
—
—
2
(1,123)(108)
Total trading derivatives, net(4)
$(4,245)$(770)$—
$(323)$287
$73
$—
$(145)$364
$(4,759)$(18)$(4,753)$(696)$—
$39
$(27)$125
$—
$(169)$35
$(5,446)$(440)
Table continues on the next page.


  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsJun. 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$94
$—
$(4)$3
$(10)$6
$—
$—
$—
$89
$(1)
Residential25
—
1
49
—
1
—
(23)—
53
—
Commercial5
—
(1)—
(4)—
—
—
—
—
—
Total investment mortgage-backed securities$124
$—
$(4)$52
$(14)$7
$—
$(23)$—
$142
$(1)
U.S. Treasury and federal agency securities$3
$—
$—
$—
$—
$—
$—
$(1)$—
$2
$—
State and municipal2,016
—
(54)5
(338)60
—
(33)—
1,656
40
Foreign government141
—
(14)5
—
42
—
(29)—
145
(5)
Corporate460
—
42
1
(18)412
—
(8)(365)524
(1)
Equity securities128
—
11
—
—
—
—
(129)—
10
—
Asset-backed securities597
—
(88)3
(25)121
—
(7)81
682
88
Other debt securities5
—
—
10
—
1
—
(5)—
11
—
Non-marketable equity securities1,139
—
54
53
(23)1
—
(14)(29)1,181
(9)
Total investments$4,613
$—
$(53)$129
$(418)$644
$—
$(249)$(313)$4,353
$112
Loans$1,234
$—
$89
$24
$(196)$93
$—
$(137)$(25)$1,082
$(179)
Mortgage servicing rights1,324
—
13
—
—
—
43
(32)(78)1,270
15
Other financial assets measured on a recurring basis111
—
31
1
(41)1
72
(4)(105)66
(69)
Liabilities           
Interest-bearing deposits$433
$—
$41
$—
$(100)$—
$—
$—
$(32)$260
$42
Federal funds purchased and securities loaned or sold under agreements to repurchase1,107
10
—
—
(150)—
—
11
(35)923
8
Trading account liabilities           
Securities sold, not yet purchased12
(30)—
21
(42)(9)—
142
5
159
(30)
Other trading liabilities—
—
—
1
—
—
—
—
—
1
—
Short-term borrowings53
(9)—
1
(32)—
15
—
(14)32
2
Long-term debt9,138
(191)—
947
(1,550)—
1,719
—
(1,263)9,182
(191)
Other financial liabilities measured on a recurring basis5
—
(26)2
—
(1)—
—
—
32
(2)







  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		PurchasesIssuancesSalesSettlementsSept. 30, 2016
Assets           
Federal funds sold and securities borrowed or purchased under agreements to resell$1,337
$2
$—
$—
$(28)$508
$—
$—
$(506)$1,313
$3
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed744
13
—
485
(969)857
—
(920)18
228
4
Residential1,326
104
—
134
(153)275
—
(1,239)(6)441
23
Commercial517
15
—
180
(209)661
—
(720)—
444
(23)
Total trading mortgage-backed securities$2,587
$132
$—
$799
$(1,331)$1,793
$—
$(2,879)$12
$1,113
$4
U.S. Treasury and federal agency securities$1
$—
$—
$2
$—
$—
$—
$(2)$—
$1
$—
State and municipal351
26
—
136
(253)224
—
(327)—
157
—
Foreign government197
(27)—
2
(17)99
—
(191)—
63
(2)
Corporate376
323
—
129
(102)748
—
(796)7
685
58
Equity securities3,684
(187)—
279
(871)851
—
(196)—
3,560
(125)
Asset-backed securities2,739
181
—
195
(237)1,969
—
(2,098)—
2,749
87
Other trading assets2,483
(104)—
1,754
(2,379)2,323
7
(1,468)(36)2,580
136
Total trading non-derivative assets$12,418
$344
$—
$3,296
$(5,190)$8,007
$7
$(7,957)$(17)$10,908
$158
Trading derivatives, net(4)






















Interest rate contracts(495)(408)—
250
116
147
(18)(140)(15)(563)84
Foreign exchange contracts620
(667)—
73
(73)158
—
(141)119
89
(428)
Equity contracts(800)137
—
78
(305)63
38
(99)(79)(967)191
Commodity contracts(1,861)(357)—
(428)48
359
—
(347)287
(2,299)11
Credit derivatives307
(1,803)—
(82)3
38
—
(35)553
(1,019)(1,272)
Total trading derivatives, net(4)
$(2,229)$(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		PurchasesIssuancesSalesSettlementsSept. 30, 2016Dec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2017
Investments  
Mortgage-backed securities  
U.S. government-sponsored agency guaranteed$139
$—
$(29)$15
$(72)$46
$—
$(9)$(1)$89
$49
$101
$—
$2
$1
$(49)$—
$—
$—
$—
$55
$2
Residential4
—
2
49
—
26
—
(28)—
53
1
50
—
2
—
(47)—
—
(5)—
—
—
Commercial2
—
(1)6
(7)—
—
—
—
—
—
—
—
—
—
—
8
—
(8)—
—
—
Total investment mortgage-backed securities$145
$—
$(28)$70
$(79)$72
$—
$(37)$(1)$142
$50
$151
$—
$4
$1
$(96)$8
$—
$(13)$—
$55
$2
U.S. Treasury and federal agency securities$4
$—
$—
$—
$—
$—
$—
$(2)$—
$2
$—
$2
$—
$—
$—
$—
$—
$—
$(1)$—
$1
$—
State and municipal2,192
—
108
396
(1,121)300
—
(219)—
1,656
45
1,211
—
12
37
(30)54
—
(51)—
1,233
6
Foreign government260
—
5
38
—
145
—
(300)(3)145
1
186
—
1
2
(18)142
—
(78)—
235
1
Corporate603
—
87
6
(63)506
—
(250)(365)524
1
311
—
2
59
(4)91
—
(120)—
339
2
Equity securities124
—
11
4
—
—
—
(129)—
10
—
9
—
—
—
—
—
—
—
—
9
—
Asset-backed securities596
—
(53)3
(48)325
—
(222)81
682
(35)660
—
9
17
—
26
—
—
—
712
3
Other debt securities—
—
—
10
—
6
—
(5)—
11
—
—
—
—
—
—
11
—
(11)—
—
—
Non-marketable equity securities1,135
—
78
104
(23)19
—
(14)(118)1,181
29
1,331
—
(94)—
—
8
—
(73)(90)1,082
(2)
Total investments$5,059
$—
$208
$631
$(1,334)$1,373
$—
$(1,178)$(406)$4,353
$91
$3,861
$—
$(66)$116
$(148)$340
$—
$(347)$(90)$3,666
$12
Loans$2,166
$—
$31
$113
$(734)$663
$219
$(812)$(564)$1,082
$383
$568
$—
$(4)$65
$(16)$12
$—
$(43)$(2)$580
$74
Mortgage servicing rights$1,781
$—
$(349)$—
$—
$—
$111
$(18)$(255)$1,270
$(154)$1,564
$—
$67
$—
$—
$—
$35
$(1,046)$(53)$567
$83
Other financial assets measured on a recurring basis$180
$—
$64
$41
$(46)$1
$202
$(128)$(248)$66
$(260)$34
$—
$(189)$3
$(1)$—
$29
$204
$(53)$27
$(191)
Liabilities 
Interest-bearing deposits$434
$—
$76
$322
$(309)$—
$5
$—
$(116)$260
$42
$293
$—
$11
$20
$—
$—
$—
$—
$—
$302
$25
Federal funds purchased and securities loaned or sold under agreements to repurchase1,247
(11)—
—
(150)—
—
27
(212)923
(24)849
6
—
—
—
—
—
—
(34)809
6
Trading account liabilities 
Securities sold, not yet purchased199
(16)—
118
(85)(70)(41)212
(190)159
(61)1,177
54
—
11
(14)—
—
101
(70)1,151
2
Other trading liabilities—
—
—
1
—
—
—
—
—
1
—
1
—
—
—
—
—
—
—
(1)—
—
Short-term borrowings9
(36)—
18
(36)—
56
—
(51)32
2
42
(9)—
—
—
—
11
—
(2)60
22
Long-term debt7,543
(217)—
2,168
(3,393)—
4,591
61
(2,005)9,182
(277)9,744
17
—
200
(409)—
929
—
(271)10,176
116
Other financial liabilities measured on a recurring basis14
—
(33)2
(10)(7)2
—
(2)32
(7)8
—
(2)—
—
(1)1
—
(6)4
(2)

(1)
Changes in fair value for available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 30, 2016.March 31, 2017.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.




 Net realized/unrealized
gains (losses) 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 dollarsJun. 30, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2015Dec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2016
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$1,070
$66
$—
$279
$—
$—
$—
$—
$—
$1,415
$1
$1,337
$70
$—
$—
$—
$503
$—
$—
$(1)$1,909
$—
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed$611
$1
$—
$208
$(212)$166
$—
$(131)$9
$652
$2
744
12
—
335
(220)356
—
(191)3
1,039
1
Residential2,206
37
—
57
(119)294
—
(450)—
2,025
1
1,326
49
—
104
(43)211
—
(455)—
1,192
—
Commercial368
3
—
20
(60)30
—
(139)—
222
1
517
9
—
56
(27)245
—
(219)—
581
—
Total trading mortgage-backed securities$3,185
$41
$—
$285
$(391)$490
$—
$(720)$9
$2,899
$4
$2,587
$70
$—
$495
$(290)$812
$—
$(865)$3
$2,812
$1
U.S. Treasury and federal agency securities$—
$—
$—
$1
$—
$2
$—
$—
$—
$3
$—
$1
$—
$—
$2
$—
$—
$—
$—
$—
$3
$—
State and municipal249
9
—
8
(22)39
—
(6)—
277
—
351
7
—
13
(159)103
—
(106)—
209
—
Foreign government82
(1)—
25
—
19
—
(40)—
85
(1)197
(1)—
2
(4)41
—
(16)—
219
—
Corporate708
(19)—
53
(177)94
—
(268)—
391
(6)376
12
—
45
(16)169
—
(109)—
477
2
Equity securities2,741
75
—
148
(52)438
—
(66)—
3,284
16
3,684
(44)—
93
(34)79
—
(23)—
3,755
—
Asset-backed securities4,236
66
—
53
(109)827
—
(1,696)—
3,377
11
2,739
128
—
117
(14)492
—
(648)—
2,814
—
Other trading assets3,098
(45)—
124
(816)457
9
(520)(19)2,288
27
2,483
(27)—
778
(613)283
11
(331)(10)2,574
(5)
Total trading non-derivative assets$14,299
$126
$—
$697
$(1,567)$2,366
$9
$(3,316)$(10)$12,604
$51
$12,418
$145
$—
$1,545
$(1,130)$1,979
$11
$(2,098)$(7)$12,863
$(2)
Trading derivatives, net(4)
      
Interest rate contracts(423)(205)—
(1)2
(5)—
—
(8)(640)(61)$(495)$(508)$—
$165
$90
$5
$—
$(3)$(9)$(755)$(9)
Foreign exchange contracts391
206
—
(4)106
102
—
(92)(42)667
83
620
(353)—
3
30
17
—
(39)17
295
2
Equity contracts(355)272
—
(31)(108)172
—
(184)(218)(452)187
(800)32
—
75
(144)24
—
(59)(4)(876)—
Commodity contracts(1,727)(166)—
31
(21)—
—
—
36
(1,847)(196)(1,861)(142)—
(52)10
—
—
—
96
(1,949)(1)
Credit derivatives(574)457
—
52
64
—
—
—
90
89
196
307
(515)—
(81)29
1
—
—
(62)(321)(1)
Total trading derivatives, net(4)
$(2,688)$564
$—
$47
$43
$269
$—
$(276)$(142)$(2,183)$209
$(2,229)$(1,486)$—
$110
$15
$47
$—
$(101)$38
$(3,606)$(9)
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$96
$—
$(4)$29
$(68)$62
$—
$(1)$—
$114
$(4)$139
$—
$(31)$7
$(39)$39
$—
$(3)$(1)$111
$—
Residential10
—
—
—
—
—
—
(10)—
—
—
4
—
1
—
—
—
—
(5)—
—
—
Commercial—
—
—
2
—
—
—
—
—
2
—
2
—
—
3
(2)—
—
—
—
3
—
Total investment mortgage-backed securities$106
$—
$(4)$31
$(68)$62
$—
$(11)$—
$116
$(4)$145
$—
$(30)$10
$(41)$39
$—
$(8)$(1)$114
$—
U.S. Treasury and federal agency securities$5
$—
$—
$—
$—
$6
$—
$(1)$—
$10
$—
$4
$—
$—
$—
$—
$—
$—
$(1)$—
$3
$—
State and municipal2,153
—
11
305
(268)253
—
(189)(100)2,165
(4)2,192
—
35
261
(409)151
—
(132)—
2,098
—
Foreign government493
—
(7)3
(156)74
—
(164)—
243
—
260
—
2
33
—
62
—
(182)—
175
—
Corporate698
—
(38)4
—
53
—
(75)(1)641
(35)603
—
14
5
(37)1
—
(88)—
498
—
Equity securities483
—
31
5
—
7
—
(81)—
445
10
124
—
—
2
—
—
—
—
—
126
—
Asset-backed securities503
—
(8)45
—
18
—
—
—
558
(5)596
—
(26)—
(1)132
—
—
—
701
—
Other debt securities—
—
—
—
—
10
—
—
—
10
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities1,238
—
14
1
—
1
—
—
(12)1,242
18
1,135
—
(2)38
—
12
—
—
(18)1,165
—
Total investments$5,679
$—
$(1)$394
$(492)$484
$—
$(521)$(113)$5,430
$(20)$5,059
$—
$(7)$349
$(488)$397
$—
$(411)$(19)$4,880
$—
Table continues on the next page.


  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsJun. 30, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2015
Loans$3,840
$—
$(125)$—
$(720)$162
$69
$(121)$(450)$2,655
$(7)
Mortgage servicing rights1,924
—
(131)—
—
—
55
4
(86)1,766
(129)
Other financial assets measured on a recurring basis139
—
78
7
(11)1
67
(7)(82)192
(12)
Liabilities           
Interest-bearing deposits$347
$—
$(108)$—
$—
$—
$12
$—
$(9)$458
$(204)
Federal funds purchased and securities loaned or sold under agreements to repurchase965
(1)—
—
—
—
—
292
1
1,259
(1)
Trading account liabilities           
Securities sold, not yet purchased257
63
—
66
(9)—
—
103
(120)234
(9)
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings133
(9)—
4
(3)—
10
—
(51)102
(12)
Long-term debt7,665
194
—
995
(736)—
679
—
(214)8,195
(180)
Other financial liabilities measured on a recurring basis4
—
(1)2
—
(1)1
2
(4)5
1


  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		PurchasesIssuancesSalesSettlementsSept. 30, 2015
Assets           
Federal funds sold and securities borrowed or purchased under agreements to resell$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
30
—
690
(1,062)505
—
(619)23
652
1
Residential2,680
243
—
235
(401)1,423
—
(2,155)—
2,025
(97)
Commercial440
16
—
176
(138)442
—
(714)—
222
(9)
Total trading mortgage-backed securities$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
(1)—
35
(29)48
—
(17)—
277
2
Foreign government206
(4)—
52
(100)124
—
(139)(54)85
2
Corporate820
185
—
107
(262)605
—
(1,053)(11)391
24
Equity securities2,219
29
—
310
(240)1,180
—
(214)—
3,284
93
Asset-backed securities3,294
299
—
623
(224)3,586
—
(4,201)—
3,377
74
Other trading assets4,372
15
—
441
(2,744)2,089
41
(1,887)(39)2,288
34
Total trading non-derivative assets$15,357
$812
$—
$2,670
$(5,200)$10,004
$41
$(10,999)$(81)$12,604
$124
Trading derivatives, net(4)
           
Interest rate contracts$(211)$(633)$—
$(137)$(37)$13
$—
$166
$199
$(640)$117
Foreign exchange contracts778
(218)—
(5)25
276
—
(270)81
667
95
Equity contracts(863)594
—
(54)8
322
—
(324)(135)(452)47
Commodity contracts(1,622)(556)—
214
(11)—
—
—
128
(1,847)(361)
Credit derivatives(743)335
—
83
72
—
—
(3)345
89
219
Total trading derivatives, net(4)
$(2,661)$(478)$—
$101
$57
$611
$—
$(431)$618
$(2,183)$117
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$38
$—
$(4)$133
$(113)$62
$—
$(2)$—
$114
$(4)
Residential8
—
(1)—
—
11
—
(18)—
—
—
Commercial1
—
—
4
(3)—
—
—
—
2
—
Total investment mortgage-backed securities$47
$—
$(5)$137
$(116)$73
$—
$(20)$—
$116
$(4)
U.S. Treasury and federal agency securities$6
$—
$—
$—
$—
$6
$—
$(2)$—
$10
$—
State and municipal2,180
—
4
464
(506)652
—
(529)(100)2,165
(35)
Foreign government678
—
41
(5)(261)558
—
(498)(270)243
—
Corporate672
—
8
6
(44)122
—
(88)(35)641
(38)
Equity securities681
—
(55)12
(10)7
—
(190)—
445
10
Asset-backed securities549
—
(28)45
(58)51
—
(1)—
558
(6)
Other debt securities—
—
—
—
—
10
—
—
—
10
—
Non-marketable equity securities1,460
—
4
76
6
5
—
(53)(256)1,242
74
Total investments$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		PurchasesIssuancesSalesSettlementsSept. 30, 2015Dec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2016
Loans$3,108
$—
$(199)$689
$(805)$736
$432
$(496)$(810)$2,655
$16
$2,166
$—
$(77)$89
$(538)$359
$161
$(378)$(59)$1,723
$7
Mortgage servicing rights1,845
—
62
—
—
—
165
(37)(269)1,766
(390)1,781
—
(225)—
—
—
33
14
(79)1,524
57
Other financial assets measured on a recurring basis78
—
94
87
(18)4
165
(21)(197)192
453
180
—
17
3
(3)—
63
(120)(83)57
(317)
Liabilities      
Interest-bearing deposits$486
$—
$(7)$—
$—
$—
$12
$—
$(47)$458
$(250)$434
$—
$(4)$4
$(209)$—
$4
$—
$(46)$191
$—
Federal funds purchased and securities loaned or sold under agreements to repurchase1,043
(24)—
—
—
—
—
285
(93)1,259
—
1,247
(25)—
—
—
—
—
16
(50)1,238
—
Trading account liabilities      
Securities sold, not yet purchased424
41
—
263
(196)—
—
260
(476)234
(22)199
25
—
59
(25)—
—
36
(126)118
(2)
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings344
1
—
21
(18)—
59
—
(303)102
(15)9
(3)—
5
(4)—
34
—
(1)46
(4)
Long-term debt7,290
562
—
2,081
(2,774)—
3,080
—
(920)8,195
(230)6,951
46
—
509
(1,087)—
1,440
—
(89)7,678
—
Other financial liabilities measured on a recurring basis7
—
(8)2
(4)(3)3
2
(10)5
—
14
—
(8)—
(4)(4)1
—
(1)14
(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 September 30, 2015.March 31, 2016.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.
Level 3 Fair Value Rollforward
The followingThere were theno significant Level 3 transfers for the period June 30,from December 31, 2016 to September 30, 2016:

Transfers of Other trading assets of $0.3 billion from Level 2 to Level 3, and of $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 $0.9 billion from Level 2 to Level 3, and of $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.
March 31, 2017.

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

Transfers of Trading mortgage-backed securitiesLong-term debt of $0.5 billion from Level 2 to Level 3, and of $1.0 billion from Level 3 to Level 2, related to Agency Guaranteed MBS securities, reflecting changes in the volume of market quotations.
Transfers of Other trading assets of $1.8 billion from Level 2 to Level 3, and of $2.4 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 $2.2 billion from Level 2 to Level 3, and of $3.4$1.1 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 changes in the volume of market quotations.

There were no significant 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 September 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 $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 debt of $2.1 billion from Level 2 to Level 3, and of $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 following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements.
Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.








As of September 30, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of March 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets        
Federal funds sold and securities borrowed or purchased under agreements to resell$1,313
Model-basedInterest rate(0.47)%1.40%(0.39)%$1,187
Model-basedIR normal volatility13.87 %71.61%57.55 %
  IR normal volatility32.32 %80.41%68.61 %  Interest rate(0.56)%2.25%(0.39)%
Mortgage-backed securities$659
Price-basedPrice$6.65
$118.45
$75.90
$890
Price-basedPrice$5.78
$113.12
$70.94
547
Yield analysisYield0.11 %16.08%4.19 %
State and municipal, foreign government, corporate and other debt securities$3,595
Price-basedPrice$7.00
$106.00
$93.73
$3,136
Price-basedPrice$15.00
$108.88
$92.19
1,699
Cash flowCredit spread35 bps
600 bps
228 bps
655
Cash flowCredit spread35 bps
600 bps
236 bps
Equity securities(5)
$3,404
Model-basedWAL4 years
4 years
4 years
$73
Model-basedPrice$—
$158.24
$7.28
30
Price-basedWAL2.50 years
2.50 years
2.50 years
Asset-backed securities$3,285
Price-basedPrice$6.25
$100.00
$73.98
$2,617
Price-basedPrice$3.35
$101.38
$72.53
Non-marketable equity$603
Comparables analysisEBITDA multiples7.00x10.40x8.66x$527
Price-basedDiscount to price— %100.00%12.77 %
539
Price-basedDiscount to price— %73.80%11.23 %
  Price-to-book ratio0.32 %2.10%1.11 %513
Comparables analysisEBITDA multiples6.50x10.60x8.60x
  Price$—
$113.23
$39.02
  Price-to-book ratio0.70 %1.03%0.92 %
Derivatives—gross(6)
      
Interest rate contracts (gross)$7,228
Model-basedIR normal volatility15.10 %75.30%56.39 %$4,917
Model-basedIR normal volatility13.87 %86.04%53.37 %
  Mean reversion1.00 %20.00%10.50 %  Mean reversion1.00 %20.00%10.50 %
Foreign exchange contracts (gross)$1,237
Model-basedForeign exchange (FX) volatility3.61 %25.47%9.84 %$761
Model-basedForeign exchange (FX) volatility3.04 %22.77%10.03 %
174
Cash flowIR-IR correlation40.00 %40.00%40.00 %149
Cash flowYield5.62 %14.50%8.49 %
  IR-FX correlation40.00 %60.00%50.00 %  IR-FX correlation(27.35)%60.00%47.42 %
  Credit spread15 bps
537 bps
179 bps
  IR-IR correlation40.00 %47.54%40.22 %
  Credit spread22 bps
523 bps
217 bps
Equity contracts (gross)(7)
$3,562
Model-basedEquity volatility0.37 %59.43%18.82 %$2,700
Model-basedEquity volatility3.00 %55.49%24.77 %
  Equity forward66.94 %111.91%90.91 %
  Forward price22.38 %104.46%98.37 %  Forward price43.06 %144.61%93.92 %
  WAL4 years
4 years
4 years
  Equity-Equity correlation(89.91)%97.69%14.44 %
  Equity-IR correlation(35.00)%71.00%(11.50)%  Equity-FX correlation(70.20)%29.90%(24.88)%
Commodity contracts (gross)$3,499
Model-basedForward price42.00 %387.95%133.57 %$3,170
Model-basedForward price38.85 %299.37%102.39 %
  Commodity volatility2.00 %49.32%21.38 %  Commodity volatility10.45 %45.13%26.24 %
  Commodity correlation(43.68)%92.17%20.00 %  Commodity correlation(44.00)%91.00%56.00 %
Credit derivatives (gross)$3,482
Model-basedRecovery rate15.27 %75.00%37.56 %$2,976
Model-basedRecovery rate6.50 %65.00%35.21 %
1,449
Price-basedCredit correlation5.00 %65.00%35.53 %1,287
Price-basedCredit correlation5.00 %95.00%32.70 %
  Upfront points10.11 %99.95%67.49 %  Upfront points10.20 %99.00%54.28 %
  Price$1.00
$621.00
$86.26
  Price$—
$123.67
$75.18
  Credit spread5 bps
1,613 bps
285 bps
  Credit spread4 bps
2,109 bps
210 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 September 30, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of March 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$30
Model-basedRedemption rate12.52 %99.50%72.08 %
  Recovery rate40.00 %40.00%40.00 %
  Credit spread33 bps
659 bps
202 bps
Loans$235
Model-basedCredit spread45 bps
500 bps
76 bps
214
Yield AnalysisYield2.90 %20.00%11.98 %
120
Price-based 





Mortgage servicing rights$475
Cash flowYield4.20 %21.22%12.38 %
92
Model-basedWAL3.53 years
7.72 years
6.23 years
Liabilities      
Interest-bearing deposits$260
Model-basedMean reversion1.00 %20.00%10.50 %$282
Model-basedMean reversion1.00 %20.00%10.50 %
  Forward price99.50 %99.95%99.62 %
Federal funds purchased and securities loaned or sold under agreements to repurchase$923
Model-basedInterest rate0.15 %1.40%1.11 %$809
Model-basedInterest rate0.73 %2.25%2.07 %
Trading account liabilities      
Securities sold, not yet purchased$195
Price-basedPrice$—
$621.00
$86.97
$1,013
Model-basedIR normal volatility13.87 %71.61%57.55 %
  Forward price42.00 %387.95%131.84 %
  Commodity correlation(43.68)%92.17%20.00 %
  Commodity volatility2.00 %49.32%21.30 %$138
Price-basedPrice$1.29
$121.00
$98.22
Short-term borrowings and long-term debt$9,241
Model-basedEquity volatility7.55 %41.94%19.85 %$10,303
Model-basedMean Reversion1.00 %20.00%10.50 %
  Mean Reversion1.00 %20.00%10.49 %  Forward price68.46 %235.35%100.73 %
  Forward price88.11 %198.89%113.04 %  Equity volatility3.00 %50.00%20.71 %
  Commodity correlation(43.68)%92.17%20.00 %  IR normal volatility0.16 %86.04%57.73 %
  Commodity volatility2.00 %49.32%21.38 %
As of December 31, 2015
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets        
Federal funds sold and securities borrowed or purchased under agreements to resell$1,337
Model-basedIR log-normal volatility29.02 %137.02%37.90 %$1,496
Model-basedIR log-normal volatility12.86 %75.50 %61.73 %
  Interest rate— %2.03%0.27 %  Interest rate(0.51)%5.76 %2.80 %
Mortgage-backed securities$1,287
Price-basedPrice$3.45
$109.21
$78.25
$509
Price-basedPrice$5.50
$113.48
$61.74
1,377
Yield analysisYield0.50 %14.07%4.83 %368
Yield analysisYield1.90 %14.54 %4.34 %
State and municipal, foreign government, corporate and other debt securities$3,761
Price-basedPrice$—
$217.00
$79.41
$3,308
Price-basedPrice$15.00
$103.60
$89.93
1,719
Cash flowCredit spread20 bps
600 bps
251 bps
1,513
Cash flowCredit spread35 bps
600 bps
230 bps
Equity securities(5)
$3,499
Model-basedWAL1.5 years
1.5 years
1.5 years
$69
Model-basedPrice$0.48
$104.00
$22.19
  Redemption rate41.21 %41.21%41.21 %58
Price-based 





Asset-backed securities$3,075
Price-basedPrice$5.55
$100.21
$71.57
$2,454
Price-basedPrice$4.00
$100.00
$71.51
Non-marketable equity$633
Comparables analysisEBITDA multiples6.80x10.80x9.05x$726
Price-basedDiscount to price— %90.00 %13.36 %
473
Price-basedDiscount to price— %90.00%10.89 %565
Comparables analysisEBITDA multiples6.80x10.10x8.62x
  Price-to-book ratio0.19x1.09x0.60x  Price-to-book ratio0.32 %1.03 %0.87 %
  Price$—
$132.78
$46.66
  Price$—
$113.23
$54.40
Derivatives—gross(6)
      
Interest rate contracts (gross)$4,553
Model-basedIR log-normal volatility17.41 %137.02%37.60 %$4,897
Model-basedIR log-normal volatility1.00 %93.97 %62.72 %
  Mean reversion(5.52)%20.00%0.71 %  Mean reversion1.00 %20.00 %10.50 %
Foreign exchange contracts (gross)$1,326
Model-basedForeign exchange (FX) volatility0.38 %25.73%11.63 %$1,110
Model-basedForeign exchange (FX) volatility1.39 %26.85 %15.18 %
275
Cash flowInterest rate7.50 %7.50%7.50 %134
Cash flowInterest rate(0.85)%(0.49)%(0.84)%
  Forward price1.48 %138.09%56.80 %  Credit spread4 bps
657 bps
266 bps
  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)
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
  IR-IR correlation40.00 %50.00 %41.27 %
  IR-FX correlation16.41 %60.00 %49.52 %
Equity contracts (gross)(7)
$2,701
Model-basedEquity volatility3.00 %97.78 %29.52 %
  Forward price69.05 %144.61 %94.28 %
  Equity-FX correlation(60.70)%28.20 %(26.28)%
  Equity-IR correlation(35.00)%41.00 %(15.65)%
  Yield volatility3.55 %14.77 %9.29 %
  Equity-equity correlation(87.70)%96.50 %67.45 %
Commodity contracts (gross)$2,955
Model-basedForward price35.74 %235.35 %119.99 %
  Commodity volatility5.00 %83.00%24.00 %  Commodity volatility2.00 %32.19 %17.07 %
  Commodity correlation(57.00)%91.00%30.00 %  Commodity correlation(41.61)%90.42 %52.85 %
Credit derivatives (gross)$5,849
Model-basedRecovery rate1.00 %75.00%32.49 %$2,786
Model-basedRecovery rate20.00 %75.00 %39.75 %
1,424
Price-basedCredit correlation5.00 %90.00%43.48 %1,403
Price-basedCredit correlation5.00 %90.00 %34.27 %
  Price$0.33
$101.00
$61.52
  Upfront points6.00 %99.90 %72.89 %
  Credit spread1 bps
967 bps
133 bps
  Price$1.00
$167.00
$77.35
  Upfront points7.00 %99.92%66.75 %  Credit spread3 bps
1,515 bps
256 bps
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$194
Model-basedRecovery rate7.00 %40.00%10.72 %$42
Model-basedRecovery rate40.00 %40.00 %40.00 %
  Redemption rate27.00 %99.50%74.80 %  Redemption rate3.92 %99.58 %74.69 %
  Interest rate5.26 %5.28%5.27 %  Upfront points16.00 %20.50 %18.78 %
Loans$750
Price-basedYield1.50 %4.50%2.52 %$258
Price-basedPrice$31.55
$105.74
$56.46
892
Model-basedPrice$—
$106.98
$40.69
221
Yield analysisYield2.75 %20.00 %11.09 %
524
Cash flowCredit spread29 bps
500 bps
105 bps
79
Model-based  
Mortgage servicing rights$1,690
Cash flowYield— %23.32%6.83 %$1,473
Cash flowYield4.20 %20.56 %9.32 %
  WAL3.38 years
7.48 years
5.5 years
  WAL3.53 years
7.24 years
5.83 years
Liabilities      
Interest-bearing deposits$434
Model-basedEquity-IR correlation23.00 %39.00%34.51 %$293
Model-basedMean reversion1.00 %20.00 %10.50 %
  Forward price35.09 %299.32%112.72 %  Forward price98.79 %104.07 %100.19 %
  Commodity correlation(57.00)%91.00%30.00 %
  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 %$849
Model-basedInterest rate0.62 %2.19 %1.99 %
Trading account liabilities      
Securities sold, not yet purchased$152
Price-basedPrice$—
$217.00
$87.78
$1,056
Model-basedIR normal volatility12.86 %75.50 %61.73 %
Short-term borrowings and long-term debt$7,004
Model-basedMean reversion(5.52)%20.00%7.80 %$9,774
Model-basedMean reversion1.00 %20.00 %10.50 %
  Equity volatility9.55 %42.56%22.26 %  Commodity correlation(41.61)%90.42 %52.85 %
  Equity forward82.72 %100.80%94.48 %  Commodity volatility2.00 %32.19 %17.07 %
  Equity-equity correlation(80.54)%100.00%49.16 %  Forward price69.05 %235.35 %103.28 %
  Forward price35.09 %299.32%106.32 %
  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.





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:recorded:
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
September 30, 2016 
March 31, 2017 
Loans held-for-sale$8,665
$6,677
$1,988
$3,790
$2,002
$1,788
Other real estate owned80
17
63
70
13
57
Loans(1)
983
519
464
1,195
630
565
Total assets at fair value on a nonrecurring basis$9,728
$7,213
$2,515
$5,055
$2,645
$2,410
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
December 31, 2015 
December 31, 2016 
Loans held-for-sale$10,326
$6,752
$3,574
$5,802
$3,389
$2,413
Other real estate owned107
15
92
75
15
60
Loans(1)
1,173
836
337
1,376
586
790
Total assets at fair value on a nonrecurring basis$11,606
$7,603
$4,003
$7,253
$3,990
$3,263
(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.estate.





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 September 30, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(5)
High
Weighted
average(2)
Loans held-for-sale$1,988
Price-basedPrice$—
$100.00
$93.47
Other real estate owned$62
Price-based
Discount to price(4)
0.34%13.00%2.96%
   Price58.91
68.50
59.42
Loans(3)
$347
CashflowPrice$3.00
$105.00
$55.67
 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 March 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$1,788
Price-basedPrice$77.93
$100.00
$98.03
Other real estate owned$57
Price-based
Discount to price(4)
0.34%0.34%0.34%
   Appraised value$27,054.05
$4,514,806.00
$2,032,098.00
   Price$62.43
$85.81
$65.53
Loans(5)
$345
Price-basedPrice$3.20
$100.00
$23.67
 128
Recovery analysis
Discount to price(4)
18.67%28.39%23.57%
 

 Recovery rate92.68%92.68%92.68%
As of December 31, 2015
Fair value(1)
 (in millions)
MethodologyInput
Low(5)
High
Weighted
average(2)
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$3,486
Price-basedPrice$—
$100.00
$81.05
$2,413
Price-basedPrice$—
$100.00
$93.08
Other real estate owned$90
Price-based
Discount to price(4)
0.34%13.00%2.86%$59
Price-based
Discount to price(4)
0.34%13.00%3.10%
2
 Appraised value$—
$8,518,230
$3,813,045


 Price$64.65
$74.39
$66.21
Loans(3)(5)
$157
Recovery analysisRecovery rate11.79%60.00%23.49%$431
Cash flowPrice$3.25
$105.00
$59.61
87
Price-based
Discount to price(4)
13.00%34.00%7.99%197
Recovery analysisForward price$2.90
$210.00
$156.78
135
Price-based
Discount to price(4)
0.25%13.00%8.34%


 Appraised value$25.80
$26,400,000
$6,462,735

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


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 September 30,Three months ended March 31,
In millions of dollars201620152017
Loans held-for-sale$(17)$(7)$(22)
Other real estate owned(4)(5)(2)
Loans(1)
(42)(72)(28)
Other Assets(2)
$—
Total nonrecurring fair value gains (losses)$(63)$(84)$(52)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate loans.estate.

 

 Three months ended March 31,
In millions of dollars2016
Loans held-for-sale$3
Other real estate owned(2)
Loans(1)
(63)
Other Assets (2)
$(262)
Total nonrecurring fair value gains (losses)$(324)
 Nine Months Ended September 30,
In millions of dollars20162015
Loans held-for-sale$(15)$(7)
Other real estate owned(6)(12)
Loans(1)
(110)(220)
Total nonrecurring fair value gains (losses)$(131)$(239)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate loans.estate.
(2)Represents net impairment losses related to an equity investment.



Estimated Fair Value of Financial Instruments Not Carried at Fair Value
The following 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.


September 30, 2016Estimated fair valueMarch 31, 2017Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$44.8
$46.1
$1.6
$42.6
$1.9
$54.0
$53.9
$0.9
$50.5
$2.5
Federal funds sold and securities borrowed or purchased under agreements to resell92.4
92.4
—
86.2
6.2
105.6
105.6
—
100.6
5.0
Loans(1)(2)
620.1
617.9
—
8.4
609.5
610.7
604.0
—
7.3
596.7
Other financial assets(2)(3)
214.6
214.6
7.2
148.8
58.6
242.3
242.8
7.0
173.2
62.6
Liabilities  
Deposits$938.8
$937.3
$—
$781.9
$155.4
$948.7
$947.1
$—
$800.5
$146.6
Federal funds purchased and securities loaned or sold under agreements to repurchase110.2
110.2
—
109.6
0.6
107.3
107.3
—
107.2
0.1
Long-term debt(4)
181.5
186.3
—
156.1
30.2
181.0
187.5
—
158.7
28.8
Other financial liabilities(5)
115.3
115.3
—
15.7
99.6
110.2
110.2
—
14.9
95.3

December 31, 2015Estimated fair valueDecember 31, 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$41.7
$42.7
$3.5
$36.4
$2.8
$52.1
$52.0
$0.8
$48.6
$2.6
Federal funds sold and securities borrowed or purchased under agreements to resell81.7
81.7
—
77.4
4.3
103.6
103.6
—
98.5
5.1
Loans(1)(2)
597.5
599.4
—
6.0
593.4
607.0
604.5
—
7.0
597.5
Other financial assets(2)(3)
186.5
186.5
6.9
126.2
53.4
215.2
215.9
8.2
153.6
54.1
Liabilities  
Deposits$906.3
$896.7
$—
$749.4
$147.3
$928.2
$927.6
$—
$789.7
$137.9
Federal funds purchased and securities loaned or sold under agreements to repurchase109.7
109.7
—
109.4
0.3
108.2
108.2
—
107.8
0.4
Long-term debt(4)
176.0
180.8
—
153.8
27.0
179.9
185.5
—
156.5
29.0
Other financial liabilities(5)
97.6
97.6
—
18.0
79.6
115.3
115.3
—
16.2
99.1
(1)
The carrying value of loans is net of the Allowance for loan losses of $12.4$12.0 billion for September 30, 2016March 31, 2017 and $12.6$12.1 billion for December 31, 2015.2016. In addition, the carrying values exclude $1.9$1.8 billionand $2.4$1.9 billion of lease finance receivables at September 30, 2016March 31, 2017 and December 31, 2015,2016, respectively.
(2)Includes items measured at fair value on a nonrecurring basis.
(3)
Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(4)The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)
Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

The estimated fair values of the Company’s corporate unfunded lending commitments at September 30, 2016March 31, 2017 and December 31, 20152016 were liabilities of $4.4$2.9 billion and $7.0$5.2 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.




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 an election is 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 20 to the Consolidated Financial Statements.
The Company has elected fair value accounting for its mortgage servicing rights. See Note 18 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 September 30,Nine Months Ended September 30,three months ended March 31,
In millions of dollars201620152016201520172016
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
$(54)$1
$(7)$(92)
Federal funds sold and securities borrowed or purchased under agreements to resell -
selected portfolios
$(33)$28
Trading account assets571
(676)509
(449)430
258
Investments(4)3
(25)52
—
1
Loans  
  
Certain corporate loans(1)
5
(164)65
(173)24
24
Certain consumer loans(1)
1
—
—
2
—
(1)
Total loans$6
$(164)$65
$(171)$24
$23
Other assets  
  
MSRs$13
$(140)$(349)$51
$67
$(225)
Certain mortgage loans held for sale(2)
100
95
271
267
37
80
Other assets6
—
376
—
—
370
Total other assets$119
$(45)$298
$318
$104
$225
Total assets$638
$(881)$840
$(342)$525
$535
Liabilities     
Interest-bearing deposits$(16)$(107)$(84)$(74)$(14)$(50)
Federal funds purchased and securities loaned or sold under agreements to repurchase
selected portfolios of securities sold under agreements to repurchase and securities loaned
32
(5)24
(3)
Federal funds purchased and securities loaned or sold under agreements to repurchase -
selected portfolios
613
(6)
Trading account liabilities4
(51)101
(66)26
94
Short-term borrowings(173)14
(207)(54)19
80
Long-term debt(305)246
(845)701
(332)(423)
Total liabilities$(458)$97
$(1,011)$504
$312
$(305)
(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 tousing 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) was a loss of $319$95 million and a gain of $264$307 million for the three months ended September 30,March 31, 2017 and 2016, and 2015, and gains of $8 million and $582 million for the nine months ended September 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:
September 30, 2016December 31, 2015March 31, 2017December 31, 2016
In millions of dollarsTrading assetsLoansTrading assetsLoansTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$9,561
$3,970
$9,314
$5,005
$9,126
$4,035
$9,824
$3,486
Aggregate unpaid principal balance in excess of fair value700
47
980
280
532
—
758
18
Balance of non-accrual loans or loans more than 90 days past due—
1
5
2
—
2
—
1
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
1
13
1
—
1
—
1
In addition to the amounts reported above, $1,463$1,263 million and $2,113$1,828 million of unfunded commitments related to certain credit products selected for fair value accounting were
 
outstanding as of September 30, 2016March 31, 2017 and December 31, 2015,2016, 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 ninethree months ended September 30,March 31, 2017 and 2016 and 2015 due to instrument-specific credit risk totaled to a gain of $83$26 million and loss of $203$13 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 $0.7$0.4 billion and $0.6 billion at September 30, 2016March 31, 2017 and December 31, 2015,2016, 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 September 30, 2016,March 31, 2017, there were approximately $18.2$18.4 billion and $14.6$15.4 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 dollarsSeptember 30,
2016		December 31, 2015March 31,
2017		December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$1,031
$745
$683
$915
Aggregate fair value in excess of unpaid principal balance39
20
21
8
Balance of non-accrual loans or loans more than 90 days past due—
—
—
—
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—
—
—
The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the ninethree months ended September 30,March 31, 2017 and 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 dollarsSeptember 30, 2016December 31, 2015March 31, 2017December 31, 2016
Interest rate linked$11.0
$9.6
$11.3
$10.6
Foreign exchange linked0.2
0.3
0.2
0.2
Equity linked12.1
9.9
12.0
12.3
Commodity linked1.1
1.4
0.8
0.3
Credit linked0.9
1.6
1.6
0.9
Total$25.3
$22.8
$25.9
$24.3
Prior to 2016, the total change in the fair value of these structured liabilities was reported in Principal transactions in the Company’s Consolidated Statement of Income. Beginning in the first quarter of 2016, 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 dollarsSeptember 30, 2016December 31, 2015March 31, 2017December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$27,535
$25,293
$27,526
$26,254
Aggregate unpaid principal balance in excess of (less than) fair value(148)1,569
(55)(128)
The following table provides information about short-term borrowings carried at fair value:
In millions of dollarsSeptember 30, 2016December 31, 2015March 31, 2017December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$2,599
$1,207
$3,473
$2,700
Aggregate unpaid principal balance in excess of (less than) fair value(52)130
(9)(61)


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 2726 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at September 30, 2016March 31, 2017 and December 31, 2015:2016:


Maximum potential amount of future payments Maximum potential amount of future payments 
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)
In billions of dollars at March 31, 2017 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$25.8
$69.3
$95.1
$170
$28.1
$66.0
$94.1
$205
Performance guarantees7.7
3.8
11.5
19
7.6
3.7
11.3
20
Derivative instruments considered to be guarantees4.5
78.4
82.9
954
10.7
78.1
88.8
690
Loans sold with recourse—
0.2
0.2
13
—
0.2
0.2
11
Securities lending indemnifications(1)
83.9
—
83.9
—
97.1
—
97.1
—
Credit card merchant processing(1)(2)
83.3
—
83.3
—
77.6
—
77.6
—
Credit card arrangements with partners—
1.5
1.5
206
0.2
1.3
1.5
206
Custody indemnifications and other0.1
47.1
47.2
58
1.5
47.5
49.0
58
Total$205.3
$200.3
$405.6
$1,420
$222.8
$196.8
$419.6
$1,190
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)
In billions of dollars at December 31, 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$23.8
$73.0
$96.8
$152
$26.0
$67.1
$93.1
$141
Performance guarantees7.4
4.1
11.5
23
7.5
3.6
11.1
19
Derivative instruments considered to be guarantees3.6
74.9
78.5
1,779
7.2
80.0
87.2
747
Loans sold with recourse—
0.2
0.2
17
—
0.2
0.2
12
Securities lending indemnifications(1)
79.0
—
79.0
—
80.3
—
80.3
—
Credit card merchant processing(1)(2)
84.2
—
84.2
—
86.4
—
86.4
—
Credit card arrangements with partners—
1.5
1.5
206
Custody indemnifications and other—
51.7
51.7
56
—
45.4
45.4
58
Total$198.0
$203.9
$401.9
$2,027
$207.4
$197.8
$405.2
$1,183
(1)The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At September 30, 2016March 31, 2017 and December 31, 2015,2016, this maximum potential exposure was estimated to be $83$78 billion and $84$86 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.











 
















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’sseller
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 $114$104 million and
$152107 million at September 30, 2016March 31, 2017 and December 31, 2015,2016,
respectively, and these amounts are included in Other
liabilities on the Consolidated Balance Sheet.

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.

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 September 30, 2016March 31, 2017 and December 31, 2015,2016, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were
immaterial.

Value-Transfer Networks
Citi is a member of, or shareholder in, hundreds of value transfer networks (VTNs) (payment, clearing and settlement
systems as well as exchanges) around the world. As a
condition of membership, many of these VTNs require that
members stand ready to pay a pro rata share of the losses
incurred by the organization due to another member’s default
on its obligations. Citi’s potential obligations may be limited
to its membership interests in the VTNs, contributions to the
VTN’s funds, or, in 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 September 30, 2016March 31, 2017 or
December 31, 20152016 for potential obligations that could arise
from Citi’s involvement with VTN associations.

Long-Term Care Insurance Indemnification
In connection with the 2005 sale of ancertain insurance subsidiary,and annuity subsidiaries to MetLife Inc. (MetLife), 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
reinsurersubsidiaries of Genworth Financial Inc. (Genworth). In turn, Genworth has offsetting reinsurance agreements with MetLife and the Union Fidelity Life Insurance Company (UFLIC), a subsidiary of the General Electric Company. Genworth has funded two trusts with securities whose fair
value (approximately $7.4$7.1 billion at September 30, 2016,
March 31, 2017, compared to $6.3$7.0 billion at December 31, 2015)2016) is designed
to cover the insurance company’sGenworth’s statutory liabilities for the
LTC policies. The trusts serve as collateral for Genworth's reinsurance obligations related to the MetLife LTC policies and MetLife Insurance Company USA is the sole beneficiary of the trusts. 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 reinsurerGenworth 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,MetLife, then Citi must indemnify the
ceding insurance companyreimburse MetLife 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 companyMetLife 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 September 30, 2016March 31, 2017 and December 31, 20152016 related to this indemnification. Citi continues to closely monitor its potential exposure under this indemnification obligation.
In the fourth quarter of 2016, MetLife announced it was pursuing spinning off the entity involved in the long-term care reinsurance obligations as part of a broader separation of its retail and group/corporate insurance operations. Separately, Genworth announced that it had agreed to be purchased by China Oceanwide Holdings Co., Ltd, subject to a series of conditions and regulatory approvals. Citi is monitoring these developments.



Futures and over-the-counter derivatives clearing
Citi provides clearing services on central clearing counterparties (CCP) for clients executing
that need to clear exchange-traded futures and over-the-counter (OTC)
derivatives contracts with central counterparties (CCPs).
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 19 for a discussion of Citi’s
derivatives activities that are reflected in its Consolidated
Financial Statements.
As a clearing member, Citi collects and remits cash and securities collateral (margin) between its clients and the
respective CCP. In certain circumstances, Citi collects a higher amount of cash (or securities) from its clients than it needs to remit to the CCPs. This excess cash is then held at depository institutions such as banks or carry brokers.
There are 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, or depository institutions, is reflected within Brokerage Payablespayables (payables to customers) and Brokerage Receivables
receivables (receivables from brokers, dealers and clearing
organizations) or Cash and due from banks, respectively.
However, for OTCexchange-traded and OTC-cleared derivatives
contracts where Citi does not obtain benefits from or control the client cash balances, the client cash initial margin collected from clients and remitted to the CCP or depository institutions is not reflected on Citi’s Consolidated Balance Sheet. These conditions are met when Citi has contractually agreed with the client
that (a)(i) Citi will pass through to the client all interest paid by
the CCP or depository institutions on the cash initial margin; (b)(ii) Citi will not utilize its
right as a clearing member to transform cash margin into
other assets; and (c)(iii) Citi does not guarantee and is not liable
to the client for the performance of the CCP or the depository institution and (iv) the client cash initial
margin collectedbalances are legally isolated from clients and remitted to the CCP is not
reflected on Citi’s Consolidated Balance Sheet.bankruptcy estate. The total
amount of cash initial margin collected and remitted in this
manner was approximately $6.0$10.6 billion and $4.3$9.4 billion as of
September 30, 2016 March 31, 2017 and December 31, 2015,2016, 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 nonperformance 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 September 30, 2016both March 31, 2017 and December 31, 2015,2016, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately $1.4 billion and $2.0 billion, respectively.$1.2 billion. 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 $52$55 billion and $45 billion at both September 30, 2016March 31, 2017 and December 31, 2015.2016, respectively. Securities and other marketable assets held as collateral amounted to $37$45 billion and $33$38 billion at September 30, 2016March 31, 2017 and December 31, 2015,2016, 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 $4.1$6.0 billion and $4.2$5.4 billion at September 30, 2016March 31, 2017 and December 31, 2015,2016, 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
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 September 30, 2016 and December 31, 2015.ratings. 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.




 Maximum potential amount of future payments
In billions of dollars at September 30, 2016
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$68.4
$14.1
$12.6
$95.1
Performance guarantees6.5
4.1
0.9
11.5
Derivative instruments deemed to be guarantees—
—
82.9
82.9
Loans sold with recourse—
—
0.2
0.2
Securities lending indemnifications—
—
83.9
83.9
Credit card merchant processing—
—
83.3
83.3
Credit card arrangements with partners—
—
1.5
1.5
Custody indemnifications and other47.1
0.1
—
47.2
Total$122.0
$18.3
$265.3
$405.6



Maximum potential amount of future paymentsMaximum potential amount of future payments
In billions of dollars at December 31, 2015
Investment
grade
Non-investment
grade
Not
rated
Total
In billions of dollars at March 31, 2017
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$69.2
$15.4
$12.2
$96.8
$65.9
$14.8
$13.4
$94.1
Performance guarantees6.6
4.1
0.8
11.5
7.2
2.6
1.5
11.3
Derivative instruments deemed to be guarantees—
—
78.5
78.5
—
—
88.8
88.8
Loans sold with recourse—
—
0.2
0.2
—
—
0.2
0.2
Securities lending indemnifications—
—
79.0
79.0
—
—
97.1
97.1
Credit card merchant processing—
—
84.2
84.2
—
—
77.6
77.6
Credit card arrangements with partners—
—
1.5
1.5
Custody indemnifications and other51.6
0.1
—
51.7
47.3
0.1
1.6
49.0
Total$127.4
$19.6
$254.9
$401.9
$120.4
$17.5
$281.7
$419.6

 Maximum potential amount of future payments
In billions of dollars at December 31, 2016
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$66.8
$13.4
$12.9
$93.1
Performance guarantees6.3
4.0
0.8
11.1
Derivative instruments deemed to be guarantees—
—
87.2
87.2
Loans sold with recourse—
—
0.2
0.2
Securities lending indemnifications—
—
80.3
80.3
Credit card merchant processing—
—
86.4
86.4
Credit card arrangements with partners—
—
1.5
1.5
Custody indemnifications and other45.3
0.1
—
45.4
Total$118.4
$17.5
$269.3
$405.2


Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
In millions of dollarsU.S.
Outside of 
U.S.
September 30,
2016
December 31,
2015
U.S.
Outside of 
U.S.
March 31,
2017
December 31,
2016
Commercial and similar letters of credit$1,268
$4,209
$5,477
$6,102
$795
$4,790
$5,585
$5,736
One- to four-family residential mortgages1,644
1,810
3,454
3,196
1,283
1,698
2,981
2,838
Revolving open-end loans secured by one- to four-family residential properties11,939
1,621
13,560
14,726
11,900
1,542
13,442
13,405
Commercial real estate, construction and land development8,414
1,593
10,007
10,522
9,562
1,318
10,880
10,781
Credit card lines571,251
99,088
670,339
573,057
576,402
97,286
673,688
664,335
Commercial and other consumer loan commitments161,524
91,791
253,315
271,076
174,429
96,164
270,593
259,934
Other commitments and contingencies2,477
9,021
11,498
9,982
3,723
9,290
13,013
11,267
Total$758,517
$209,133
$967,650
$888,661
$778,094
$212,088
$990,182
$968,296

The majority of unused commitments are contingent upon customers’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.





23.   CONTINGENCIES

The following information supplements and amends, as applicable, the disclosures in Note 2827 to the Consolidated Financial Statements of Citigroup’s 20152016 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.10-K. 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 will behas been 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 September 30, 2016, Citigroup’s estimate was materially unchanged from its estimate ofMarch 31, 2017, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $3.0$2.0 billion in the aggregate as of June 30, 2016.aggregate.
As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation and regulatory proceedings are subject to particular uncertainties. For example, at the time of making an estimate, 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 2827 to the Consolidated Financial Statements of Citigroup’s 20152016 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: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, plaintiffsMarch 29, 2017, the parties filed an amended complainta stipulation of discontinuance with prejudice in the New York State Supreme Court action captioned FIXED INCOME SHARES: SERIES M, ET AL.U.S. BANK NATIONAL ASSOCIATION, SOLELY IN ITS CAPACITY AS TRUSTEE FOR CITIGROUP MORTGAGE LOAN TRUST 2007-AHL2 v. CITIBANK N.A., which Citibank moved to dismiss on September 9, 2016.CITIGROUP GLOBAL MARKETS REALTY CORP.  Additional information concerning this action is publicly available in court filings under the docket number 653891/2015653816/2013 (N.Y. Sup. Ct.) (Ramos,(Kornreich, J.).
Mortgage Backed Securities Trustee Actions:
On SeptemberApril 7, 2016, plaintiffs2017, Citibank submitted a motion for summary judgment as to all claims 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.).

Foreign Exchange Matters
Antitrust and Other Litigation: On September 30, 2016, Citibank’sMarch 24, 2017, in NYPL v. JPMORGAN CHASE & CO., ET AL., the court granted the motion to dismiss the action captioned FEDERAL DEPOSIT INSURANCE  CORPORATION AS RECEIVER FOR GUARANTY BANK v. CITIBANK N.A. was grantedfiled by Citigroup and Related Parties along with other defendant banks. Plaintiffs may move for lack of subject matter jurisdiction.leave to file an amended complaint by May 5, 2017. Additional information concerning this action is publicly available in court filings under the docket number 15-cv-6574numbers 15 Civ. 2290 (N.D. Cal.) (Chhabria, J.) and 15 Civ. 9300 (S.D.N.Y.) (Carter,(Schofield, J.).
Derivative Actions and Related Proceedings:On October 5, 2016, the court dismissed with prejudice plaintiff’s derivative complaintJanuary 9, 2017, in IRA FOR THE BENEFITALLEN V. BANK OF VICTORIA SHAEV v. CORBAT,AMERICA CORPORATION, ET AL., the plaintiffs appealed the dismissal of their claims. Additional information concerning this action is publicly available in court filings under the docket number 652066/2016 (N.Y. Sup. Ct.numbers 15 Civ. 4285 (S.D.N.Y.) (Bransten,(Schofield, J.); 16-3327 (2d Cir.); and 16-3571 (2d Cir.).

Lehman Brothers Bankruptcy Proceedings
On July 1, 2016, the bankruptcy court entered an order approving the parties’ settlementFebruary 27, 2017, in LEHMAN BROTHERS FINANCE AGNEGRETE v. CITIBANK, N.A., ET AL. A stipulation of dismissal with prejudice was filed on July 26, 2016.  Additional information concerning this action is publicly



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

Tribune Company Bankruptcy
On September 9, 2016, Tribune noteholders filed a petition for certiorari with the U.S. Supreme Court with respect to the order of the U.S. Court of Appeals for the Second Circuit affirming the dismissal of their state-law constructive fraudulent conveyance claims against various defendants, including certain Citigroup affiliates. Additional information concerning these actions is publicly available in court filings under the docket numbers 13-3992, 13-3875, 13-4178, and 13-4196 (2d Cir.).

Depositary Receipts Conversion Litigation 
Citigroup, Citibank and CGMI were sued by a purported class of persons or entities who, from January 2000 to the present, are or were holders of depositary receipts for which 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’sgranted Citibank’s motion to dismiss was granted in part without leave to amend, and denied in part on August 15, 2016,plaintiffs’ motion for partial summary judgment. On March 13, 2017, Citibank filed an answer to plaintiffs’ amended complaint. On March 21, 2017, plaintiffs moved for entry of final judgment as to the dismissed claims 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 appealrequested that litigation of the decision as it relates to standing and statute of limitations was filed on October 7, 2016.remaining claim be stayed pending an appeal. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 91857250 (S.D.N.Y.) (McMahon, C.(Sweet, J.).

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 noticeJanuary 23, 2017, 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 NYPLBAKER ET AL. v. JPMORGAN CHASE & CO.,BANK OF AMERICA CORPORATION ET AL., Citigroup and Related Parties, along with other defendant banks, moved to dismiss


the secondcomplaint. On March 24, 2017, in lieu of responding to the motion, plaintiffs filed an 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 September 20, 2016, in ALLEN v. BANK OF AMERICA CORPORATION, ET AL., plaintiffs and settling defendants in IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION filed a 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 August 11, 2016, in WAH ET AL. v. HSBC NORTH AMERICA HOLDINGS INC. ET AL., the court granted defendants’ motion to dismiss. On September 28, 2016, the court permitted plaintiffs to move for leave to amend the
complaint by October 28, 2016. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 8974 (S.D.N.Y.) (Schofield, J.).
On September 26, 2016, investors in exchange-traded funds (ETFs) commenced a suit captioned BAKER ET AL. v. BANK OF AMERICA CORPORATION ET AL. in the United States District Court for the Southern District of New 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 foreign exchange market collusion affecting ETF investments. The plaintiffs seek to certify nationwide, California and New York classes, and request damages and injunctive relief under the relevant statutes, including treble damages where applicable. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 7512 (S.D.N.Y.)(S.D.N.Y) (Schofield, J.).

Derivative ActionsInterest Rate Swaps Matters
Antitrust and Related ProceedingsOther Litigation:: On August 15, 2016, plaintiffs in OKLAHOMA FIREFIGHTERS PENSION & RETIREMENT SYSTEM, ET AL. v. CORBAT, ET AL.January 20, 2017, defendants, including Citigroup, Citibank, CGMI and CGML, filed an amended complaint, which the defendants moveda joint motion to dismiss all claims in IN RE INTEREST RATE SWAPS ANTITRUST LITIGATION. Additional information concerning action is publicly available in court filings under the docket number 16 MD 2704 (S.D.N.Y.) (Engelmayer, J.).

Interchange Fee Litigation
On March 27, 2017, the United States Supreme Court entered an order denying class plaintiffs’ petition for writ of certiorari. Additional information concerning this action is publicly available in court filings under the docket numbers MDL 05-1720 (E.D.N.Y.) (Brodie, J.); 12-4671 (2d Cir.); and 16-710 (U.S. Sup. Ct.).

Interbank Offered Rates-Related Litigation and Other
Matters
Antitrust and Other Litigation:On February 21, 2017, in SULLIVAN v. BARCLAYS PLC, ET AL., the court ruled on September 30, 2016.defendants’ motion to dismiss, dismissing all claims against Citigroup and Citibank, with the exception of one claim under the Sherman Act and two common law claims.  On March 7, 2017, defendants, including Citigroup and Citibank, filed a motion seeking clarification concerning the scope of the February 21, 2017 ruling, and, on April 18, 2017, the court granted defendants’ motion.  Additional information concerning this action is publicly available in court filings under the docket number C.A. No. 12151-VCG (Del. Ch.13 Civ. 2811 (S.D.N.Y.) (Glasscock, Ch.(Castel, J.).

Interbank Offered Rates-Related LitigationOceanografia Fraud and OtherRelated Matters
Antitrust and Other Litigation: Litigation: On July 6, 2016, in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION, Citibank and Citigroup along with the other defendants moved to dismiss all antitrust claims based on the 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 August 16, 2016,February 27, 2017, a complaint was filed against Citigroup Citibank,in the United States District Court for the Southern District of New York by Oceanografia SA de CV (OSA) and 16its controlling shareholder, Amado Yáñez Osuna. The complaint alleges that plaintiffs were injured when Citigroup made certain public statements about receivable financings and other banks in an action captioned DENNIS, ET AL. v. JPMORGAN CHASE & CO., ET AL. asserting common lawfinancing arrangements related to OSA . The complaint asserts claims as well as violations of the Sherman Act, the Commodity Exchange Act,for malicious prosecution and the Racketeer Influencedtortious interference with existing and Corrupt Organizations Act. These claims are based on allegations that the banks conspired to manipulate the Bank Bill Swap Reference Rate. The plaintiffs are seeking injunctive relief, disgorgement, and damages, including treble damages where applicable.prospective business relationships.  Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 064961:17-cv-01434 (S.D.N.Y.) (Kaplan, J.).

Interest Rate Swaps Matters
Regulatory Actions: The U.S. Commodity Futures Trading Commission is conducting an investigation into the trading and clearing of interest rate swaps by investment banks. Citigroup is cooperating with the investigation.






Oceanografia Fraud and Related Matters
Other Litigation: On August 23, 2016, plaintiffs filed an 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, the amended complaint also asserts common law claims for fraud, aiding and abetting fraud, and conspiracy on behalf of all plaintiffs. Additional information concerning this action is publicly available in court filings under the docket number 16-20725 (S.D. Fla.) (Gayles,(Sullivan, J.).

Sovereign Securities Matters
Antitrust and Other Litigation: Litigation: On October 12, 2016,April 11, 2017, plaintiffs filed a putative class action captioned LOUISIANA MUNICIPAL POLICE EMPLOYEES’ RETIREMENT SYSTEM v. BANK OF AMERICA CORPORATION ET AL. was filedconsolidated amended complaint against various financial institutions and traders, including Citigroup and Related Parties, in the consolidated proceeding before 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 basedIn Re SSA Bonds Antitrust Litigation.  Based on the defendants' alleged manipulation ofallegations that defendants engaged in collusion in the supranational, sub-sovereign, and agency (SSA) bond market, plaintiffs assert claims under the antitrust laws and seeks disgorgementfor unjust enrichment, and seek damages, including treble damages.damages where authorized by statute, and restitution. Additional information concerningrelating to this action is publicly available in court filings under the docket number 16 Civ. 0799103711 (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.








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 nine months ended September 30,March 31, 2017 and 2016, and 2015, Condensed Consolidating Balance Sheet as of September 30, 2016March 31, 2017 and December 31, 20152016 and Condensed Consolidating Statement of Cash Flows for the ninethree months ended September 30,March 31, 2017 and 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 September 30, 2016Three months ended March 31, 2017
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$4,000
 $—
 $—
 $(4,000) $—
$3,750
 $—
 $—
 $(3,750) $—
Interest revenue2
 1,158
 13,493
 —
 14,653
1
 1,027
 13,395
 —
 14,423
Interest revenue—intercompany695
 148
 (843) —
 —
793
 157
 (950) —
 —
Interest expense1,102
 345
 1,727
 —
 3,174
1,218
 396
 1,952
 —
 3,566
Interest expense—intercompany61
 401
 (462) —
 —
90
 426
 (516) —
 —
Net interest revenue$(466) $560
 $11,385
 $—
 $11,479
$(514) $362
 $11,009
 $—
 $10,857
Commissions and fees$—
 $1,062
 $1,582
 $—
 $2,644
$—
 $1,255
 $1,504
 $—
 $2,759
Commissions and fees—intercompany—
 63
 (63) —
 —
—
 2
 (2) —
 —
Principal transactions(1,103) 1,600
 1,741
 —
 2,238
(163) 1,606
 1,579
 —
 3,022
Principal transactions—intercompany977
 (470) (507) —
 —
204
 (682) 478
 —
 —
Other income482
 51
 866
 —
 1,399
(39) 74
 1,447
 —
 1,482
Other income—intercompany(501) 51
 450
 —
 —
(123) 34
 89
 —
 —
Total non-interest revenues$(145) $2,357
 $4,069
 $—
 $6,281
$(121) $2,289
 $5,095
 $—
 $7,263
Total revenues, net of interest expense$3,389
 $2,917
 $15,454
 $(4,000) $17,760
$3,115
 $2,651
 $16,104
 $(3,750) $18,120
Provisions for credit losses and for benefits and claims$—
 $—
 $1,736
 $—
 $1,736
$—
 $—
 $1,662
 $—
 $1,662
Operating expenses
 
 0 
 

 
 
 
 
Compensation and benefits$26
 $1,150
 $4,027
 $—
 $5,203
$(14) $1,262
 $4,286
 $—
 $5,534
Compensation and benefits—intercompany8
 —
 (8) —
 —
31
 —
 (31) —
 —
Other operating(103) 444
 4,860
 —
 5,201
28
 406
 4,509
 —
 4,943
Other operating—intercompany133
 379
 (512) —
 —
(59) 468
 (409) —
 —
Total operating expenses$64
 $1,973
 $8,367
 $—
 $10,404
$(14) $2,136
 $8,355
 $—
 $10,477
Income (loss) before income taxes and equity in undistributed income of subsidiaries$3,325
 $944
 $5,351
 $(4,000) $5,620
Equity in undistributed income of subsidiaries587
 —
 —
 (587) —
Income (loss) from continuing operations before income taxes$3,716
 $515
 $6,087
 $(4,337) $5,981
Provision (benefit) for income taxes(395) 345
 1,783
 —
 1,733
(374) 215
 2,022
 —
 1,863
Equity in undistributed income of subsidiaries120
 —
 —
 (120) —
Income (loss) from continuing operations$3,840
 $599
 $3,568
 $(4,120) $3,887
$4,090
 $300
 $4,065
 $(4,337) $4,118
Loss from discontinued operations, net of taxes—
 —
 (30) —
 (30)—
 —
 (18) —
 (18)
Net income (loss) before attribution of noncontrolling interests$3,840
 $599
 $3,538
 $(4,120) $3,857
$4,090
 $300
 $4,047
 $(4,337) $4,100
Net income (loss) attributable to noncontrolling interests—
 (9) 26
 —
 17
Net income (loss) after attribution of noncontrolling interests$3,840
 $608
 $3,512
 $(4,120) $3,840
Noncontrolling interests—
 —
 10
 —
 10
Net income (loss)$4,090
 $300
 $4,037
 $(4,337) $4,090
Comprehensive income

 

 $—
 

 



 

 

 

 

Other comprehensive income (loss)$(1,078) $(86) $(1,019) $1,105
 $(1,078)
Comprehensive income$2,762
 $522
 $2,493
 $(3,015) $2,762
Add: Other comprehensive income (loss)1,464
 (20) (3,721) 3,741
 1,464
Total Citigroup comprehensive income (loss)$5,554
 $280
 $316
 $(596) $5,554
Add: Other comprehensive income attributable to noncontrolling interests—
—
—
—
31
 —
 31
Add: Net income attributable to noncontrolling interests—
—
—
—
10
 —
 10
Total comprehensive income (loss)$5,554
 $280
 $357
 $(596) $5,595



Condensed Consolidating Statements of Income and Comprehensive Income
 Three Months Ended September 30, 2015
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$3,600
 $—
 $—
 $(3,600) $—
Interest revenue2
 1,116
 13,596
 —
 14,714
Interest revenue—intercompany739
 60
 (799) —
 —
Interest expense1,121
 236
 1,584
 —
 2,941
Interest expense—intercompany(80) 334
 (254) —
 —
Net interest revenue$(300) $606
 $11,467
 $—
 $11,773
Commissions and fees$—
 $1,043
 $1,689
 $—
 $2,732
Commissions and fees—intercompany—
 29
 (29) —
 —
Principal transactions735
 4,707
 (4,115) —
 1,327
Principal transactions—intercompany(774) (4,418) 5,192
 —
 —
Other income(713) 299
 3,274
 —
 2,860
Other income—intercompany1,012
 464
 (1,476) —
 —
Total non-interest revenues$260
 $2,124
 $4,535
 $—
 $6,919
Total revenues, net of interest expense$3,560
 $2,730
 $16,002
 $(3,600) $18,692
Provisions for credit losses and for benefits and claims$—
 $—
 $1,836
 $—
 $1,836
Operating expenses
 
 
 
 
Compensation and benefits$(70) $1,253
 $4,138
 $—
 $5,321
Compensation and benefits—intercompany24
 —
 (24) —
 —
Other operating70
 514
 4,764
 —
 5,348
Other operating—intercompany36
 298
 (334) —
 —
Total operating expenses$60
 $2,065
 $8,544
 $—
 $10,669
Income (loss) before income taxes and equity in undistributed income of subsidiaries$3,500
 $665
 $5,622
 $(3,600) $6,187
Provision (benefit) for income taxes(60) 293
 1,648
 —
 1,881
Equity in undistributed income of subsidiaries731
 —
 —
 (731) —
Income (loss) from continuing operations$4,291
 $372
 $3,974
 $(4,331) $4,306
Income from discontinued operations, net of taxes—
 —
 (10) —
 (10)
Net income (loss) before attribution of noncontrolling interests$4,291
 $372
 $3,964
 $(4,331) $4,296
Net income (loss) attributable to noncontrolling interests—
 9
 (4) —
 5
Net income (loss) after attribution of noncontrolling interests$4,291
 $363
 $3,968
 $(4,331) $4,291
Comprehensive income

 

 

 

 

Other comprehensive income (loss)$(2,153) $12
 $5,323
 $(5,335) $(2,153)
Comprehensive income$2,138
 $375
 $9,291
 $(9,666) $2,138



Condensed Consolidating Statements of Income and Comprehensive Income
 Nine months ended September 30, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$9,700
 $—
 $—
 $(9,700) $—
Interest revenue5
 3,555
 39,616
 —
 43,176
Interest revenue—intercompany2,235
 423
 (2,658) —
 —
Interest expense3,266
 1,110
 4,858
 —
 9,234
Interest expense—intercompany140
 1,246
 (1,386) —
 —
Net interest revenue$(1,166) $1,622
 $33,486
 $—
 $33,942
Commissions and fees$—
 $3,141
 $4,691
 $—
 $7,832
Commissions and fees—intercompany(19) 33
 (14) —
 —
Principal transactions(1,498) 3,857
 3,535
 —
 5,894
Principal transactions—intercompany1,018
 (1,513) 495
 —
 —
Other income(3,197) 178
 8,214
 —
 5,195
Other income—intercompany3,495
 250
 (3,745) —
 —
Total non-interest revenues$(201) $5,946
 $13,176
 $—
 $18,921
Total revenues, net of interest expense$8,333
 $7,568
 $46,662
 $(9,700) $52,863
Provisions for credit losses and for benefits and claims$—
 $—
 $5,190
 $—
 $5,190
Operating expenses         
Compensation and benefits$18
 $3,641
 $12,329
 $—
 $15,988
Compensation and benefits—intercompany34
 —
 (34) —
 —
Other operating377
 1,242
 13,689
 —
 15,308
Other operating—intercompany213
 1,008
 (1,221) —
 —
Total operating expenses$642
 $5,891
 $24,763
 $—
 $31,296
Income (loss) before income taxes and equity in undistributed income of subsidiaries$7,691
 $1,677
 $16,709
 $(9,700) $16,377
Provision (benefit) for income taxes(875) 539
 5,271
 —
 4,935
Equity in undistributed income of subsidiaries2,773
 —
 —
 (2,773) —
Income (loss) from continuing operations$11,339
 $1,138
 $11,438
 $(12,473) $11,442
Loss from discontinued operations, net of taxes—
 —
 (55) —
 (55)
Net income (loss) before attribution of noncontrolling interests$11,339
 $1,138
 $11,383
 $(12,473) $11,387
Net income (loss) attributable to noncontrolling interests—
 (10) 58
 —
 48
Net income (loss) after attribution of noncontrolling interests$11,339
 $1,148
 $11,325
 $(12,473) $11,339
Comprehensive income         
Other comprehensive income (loss)$2,166
 $(28) $2,589
 $(2,561) $2,166
Comprehensive income$13,505
 $1,120
 $13,914
 $(15,034) $13,505


Condensed Consolidating Statements of Income and Comprehensive Income
Nine months ended September 30, 2015Three months ended March 31, 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$8,200
 $—
 $—
 $(8,200) $—
$2,800
 $—
 $—
 $(2,800) $—
Interest revenue7
 3,363
 40,817
 —
 44,187
2
 1,146
 13,019
 —
 14,167
Interest revenue—intercompany2,122
 180
 (2,302) —
 —
872
 136
 (1,008) —
 —
Interest expense3,430
 741
 4,849
 —
 9,020
1,070
 364
 1,506
 —
 2,940
Interest expense—intercompany(411) 935
 (524) —
 —
41
 429
 (470) —
 —
Net interest revenue$(890) $1,867
 $34,190
 $—
 $35,167
$(237) $489
 $10,975
 $—
 $11,227
Commissions and fees$—
 $3,707
 $5,389
 $—
 $9,096
$—
 $960
 $1,503
 $—
 $2,463
Commissions and fees—intercompany—
 132
 (132) —
 —
(2) (6) 8
 —
 —
Principal transactions1,192
 6,896
 (2,617) —
 5,471
(209) (137) 2,186
 —
 1,840
Principal transactions—intercompany(1,443) (5,252) 6,695
 —
 —
258
 748
 (1,006) —
 —
Other income2,463
 326
 5,375
 —
 8,164
(3,094) 76
 5,043
 —
 2,025
Other income—intercompany(1,602) 1,004
 598
 —
 —
3,260
 (140) (3,120) —
 —
Total non-interest revenues$610
 $6,813
 $15,308
 $—
 $22,731
$213
 $1,501
 $4,614
 $—
 $6,328
Total revenues, net of interest expense$7,920
 $8,680
 $49,498
 $(8,200) $57,898
$2,776
 $1,990
 $15,589
 $(2,800) $17,555
Provisions for credit losses and for benefits and claims$—
 $—
 $5,399
 $—
 $5,399
$—
 $—
 $2,045
 $—
 $2,045
Operating expenses
 
 
 
 

 
 
 
 
Compensation and benefits$(22) $3,764
 $12,582
 $—
 $16,324
$8
 $1,289
 $4,259
 $—
 $5,556
Compensation and benefits—intercompany54
 —
 (54) —
 —
3
 —
 (3) —
 —
Other operating30
 1,462
 14,665
 —
 16,157
267
 386
 4,314
 —
 4,967
Other operating—intercompany166
 903
 (1,069) —
 —
1
 307
 (308) —
 —
Total operating expenses$228
 $6,129
 $26,124
 $—
 $32,481
$279
 $1,982
 $8,262
 $—
 $10,523
Income (loss) before income taxes and equity in undistributed income of subsidiaries$7,692
 $2,551
 $17,975
 $(8,200) $20,018
Equity in undistributed income of subsidiaries944
 —
 —
 (944) —
Income (loss) from continuing operations before income taxes$3,441
 $8
 $5,282
 $(3,744) $4,987
Provision (benefit) for income taxes(786) 562
 6,261
 —
 6,037
(60) 37
 1,502
 —
 1,479
Equity in undistributed income of subsidiaries5,429
 —
 —
 (5,429) —
Income (loss) from continuing operations$13,907
 $1,989
 $11,714
 $(13,629) $13,981
$3,501
 $(29) $3,780
 $(3,744) $3,508
Income from discontinued operations, net of taxes—
 —
 (9) —
 (9)—
 —
 (2) —
 (2)
Net income (loss) before attribution of noncontrolling interests$13,907
 $1,989
 $11,705
 $(13,629) $13,972
$3,501
 $(29) $3,778
 $(3,744) $3,506
Net income (loss) attributable to noncontrolling interests—
 6
 59
 —
 65
Net income (loss) after attribution of noncontrolling interests$13,907
 $1,983
 $11,646
 $(13,629) $13,907
Noncontrolling interests—
 2
 3
 —
 5
Net income (loss)$3,501
 $(31) $3,775
 $(3,744) $3,501
Comprehensive income

 

 

 

 



 

 

 

 

Other comprehensive income (loss)$(4,041) $(74) $(2,285) $2,359
 $(4,041)
Comprehensive income$9,866
 $1,909
 $9,361
 $(11,270) $9,866
Add: Other comprehensive income (loss)$2,733
 $47
 $(534) $487
 $2,733
Total Citigroup comprehensive income (loss)$6,234
 $16
 $3,241
 $(3,257) $6,234
Add: Other comprehensive income attributable to noncontrolling interests—
 —
 27
 —
 27
Add: Net income attributable to noncontrolling interests—
 2
 3
 —
 5
Total comprehensive income (loss)$6,234
 $18
 $3,271
 $(3,257) $6,266




Condensed Consolidating Balance Sheet
September 30, 2016March 31, 2017
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$—
 $593
 $22,826
 $—
 $23,419
$—
 $480
 $21,792
 $—
 $22,272
Cash and due from banks—intercompany131
 2,241
 (2,372) —
 —
352
 3,167
 (3,519) —
 —
Federal funds sold and resale agreements—
 197,446
 38,599
 —
 236,045
—
 196,387
 46,542
 —
 242,929
Federal funds sold and resale agreements—intercompany—
 8,164
 (8,164) —
 —
—
 14,742
 (14,742) —
 —
Trading account assets(97) 141,187
 122,262
 —
 263,352
1
 128,414
 116,488
 —
 244,903
Trading account assets—intercompany656
 1,148
 (1,804) —
 —
991
 3,173
 (4,164) —
 —
Investments193
 353
 354,394
 —
 354,940
43
 217
 345,573
 —
 345,833
Loans, net of unearned income—
 749
 637,686
 —
 638,435
—
 1,269
 627,326
 —
 628,595
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,439) —
 (12,439)—
 —
 (12,030) —
 (12,030)
Total loans, net$—
 $749
 $625,247
 $—
 $625,996
$—
 $1,269
 $615,296
 $—
 $616,565
Advances to subsidiaries$115,107
 $—
 $(115,107) $—
 $—
$143,808
 $—
 $(143,808) $—
 $—
Investments in subsidiaries232,108
 —
 —
 (232,108) —
228,432
 —
 —
 (228,432) —
Other assets (1)
24,243
 40,433
 249,689
 —
 314,365
23,924
 51,968
 273,241
 —
 349,133
Other assets—intercompany55,500
 32,526
 (88,026) —
 —
8,229
 58,770
 (66,999) —
 —
Total assets$427,841
 $424,840
 $1,197,544
 $(232,108) $1,818,117
$405,780
 $458,587
 $1,185,700
 $(228,432) $1,821,635
Liabilities and equity

 
 
 
 


 
 
 
 
Deposits$—
 $—
 $940,252
 $—
 $940,252
$—
 $—
 $949,990
 $—
 $949,990
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 133,214
 19,910
 —
 153,124
—
 128,196
 20,034
 —
 148,230
Federal funds purchased and securities loaned or sold—intercompany—
 23,538
 (23,538) —
 —
—
 20,807
 (20,807) —
 —
Trading account liabilities—
 84,252
 47,397
 —
 131,649
7
 94,791
 49,272
 —
 144,070
Trading account liabilities—intercompany563
 1,303
 (1,866) —
 —
819
 2,834
 (3,653) —
 —
Short-term borrowings1
 1,439
 28,087
 —
 29,527
—
 1,961
 24,166
 —
 26,127
Short-term borrowings—intercompany—
 34,190
 (34,190) —
 —
—
 65,562
 (65,562) —
 —
Long-term debt149,042
 6,993
 53,016
 —
 209,051
141,626
 15,017
 51,887
 —
 208,530
Long-term debt—intercompany—
 38,573
 (38,573) —
 —
—
 28,781
 (28,781) —
 —
Advances from subsidiaries34,135
 —
 (34,135) —
 —
26,357
 —
 (26,357) —
 —
Other liabilities3,547
 68,047
 50,230
 —
 121,824
3,346
 66,324
 45,865
 —
 115,535
Other liabilities—intercompany8,978
 704
 (9,682) —
 —
5,493
 1,263
 (6,756) —
 —
Stockholders’ equity231,575
 32,587
 200,636
 (232,108) 232,690
228,132
 33,051
 196,402
 (228,432) 229,153
Total liabilities and equity$427,841
 $424,840
 $1,197,544
 $(232,108) $1,818,117
$405,780
 $458,587
 $1,185,700
 $(228,432) $1,821,635

(1)
Other assets for Citigroup parent company at September 30, 2016March 31, 2017 included $18.2 billion of placements to Citibank and its branches, of which $8.3 billion had a remaining term of less than 30 days.





Condensed Consolidating Balance Sheet
December 31, 2015December 31, 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$—
 $592
 $20,308
 $—
 $20,900
$—
 $870
 $22,173
 $—
 $23,043
Cash and due from banks—intercompany124
 1,403
 (1,527) —
 —
142
 3,820
 (3,962) —
 —
Federal funds sold and resale agreements—
 178,178
 41,497
 —
 219,675
—
 196,236
 40,577
 —
 236,813
Federal funds sold and resale agreements—intercompany—
 15,035
 (15,035) —
 —
—
 12,270
 (12,270) —
 —
Trading account assets(8) 124,731
 125,233
 —
 249,956
6
 121,484
 122,435
 —
 243,925
Trading account assets—intercompany1,032
 1,765
 (2,797) —
 —
1,173
 907
 (2,080) —
 —
Investments484
 402
 342,069
 —
 342,955
173
 335
 352,796
 —
 353,304
Loans, net of unearned income—
 1,068
 616,549
 —
 617,617
—
 575
 623,794
 —
 624,369
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 (3) (12,623) —
 (12,626)—
 —
 (12,060) —
 (12,060)
Total loans, net$—
 $1,065
 $603,926
 $—
 $604,991
$—
 $575
 $611,734
 $—
 $612,309
Advances to subsidiaries$104,405
 $—
 $(104,405) $—
 $—
$143,154
 $—
 $(143,154) $—
 $—
Investments in subsidiaries221,362
 —
 —
 (221,362) —
226,279
 —
 —
 (226,279) —
Other assets(1)
25,819
 36,860
 230,054
 —
 292,733
23,734
 46,095
 252,854
 —
 322,683
Other assets—intercompany58,207
 30,737
 (88,944)��—
 —
27,845
 38,207
 (66,052) —
 —
Total assets$411,425
 $390,768
 $1,150,379
 $(221,362) $1,731,210
$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077
Liabilities and equity
 
 
 
 


 
 
 
 

Deposits$—
 $—
 $907,887
 $—
 $907,887
$—
 $—
 $929,406
 $—
 $929,406
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 122,459
 24,037
 —
 146,496
—
 122,320
 19,501
 —
 141,821
Federal funds purchased and securities loaned or sold—intercompany185
 22,042
 (22,227) —
 —
—
 25,417
 (25,417) —
 —
Trading account liabilities—
 62,386
 55,126
 —
 117,512
—
 87,714
 51,331
 —
 139,045
Trading account liabilities—intercompany1,036
 2,045
 (3,081) —
 —
1,006
 868
 (1,874) —
 —
Short-term borrowings146
 188
 20,745
 —
 21,079
—
 1,356
 29,345
 —
 30,701
Short-term borrowings—intercompany—
 34,916
 (34,916) —
 —
—
 35,596
 (35,596) —
 —
Long-term debt141,914
 2,530
 56,831
 —
 201,275
147,333
 8,128
 50,717
 —
 206,178
Long-term debt—intercompany—
 51,171
 (51,171) —
 —
—
 41,287
 (41,287) —
 —
Advances from subsidiaries36,453
 —
 (36,453) —
 —
41,258
 —
 (41,258) —
 —
Other liabilities3,560
 55,482
 54,827
 —
 113,869
3,466
 57,430
 57,887
 —
 118,783
Other liabilities—intercompany6,274
 10,967
 (17,241) —
 —
4,323
 7,894
 (12,217) —
 —
Stockholders’ equity221,857
 26,582
 196,015
 (221,362) 223,092
225,120
 32,789
 194,513
 (226,279) 226,143
Total liabilities and equity$411,425
 $390,768
 $1,150,379
 $(221,362) $1,731,210
$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077

(1)
Other assets for Citigroup parent company at December 31, 20152016 included $21.8$20.7 billion of placements to Citibank and its branches, of which $13.9$6.8 billion had a remaining term of less than 30 days.




Condensed Consolidating Statement of Cash Flows
Nine months ended September 30, 2016Three months ended March 31, 2017
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$16,685
 $5,285
 $6,364
 $—
 $28,334
Net cash provided by (used in) operating activities of continuing operations$24,958
 $(3,405) $(24,559) $—
 $(3,006)
Cash flows from investing activities of continuing operations                  
Purchases of investments$—
 $—
 $(155,804) $—
 $(155,804)$—
 $—
 $(41,584) $—
 $(41,584)
Proceeds from sales of investments229
 —
 98,943
 —
 99,172
116
 —
 29,340
 —
 29,456
Proceeds from maturities of investments61
 —
 52,546
 —
 52,607
—
 —
 24,006
 —
 24,006
Change in deposits with banks—
 (1,464) (18,910) —
 (20,374)—
 6,514
 (26,836) —
 (20,322)
Change in loans—
 —
 (42,163) —
 (42,163)—
 —
 (7,953) —
 (7,953)
Proceeds from sales and securitizations of loans—
 —
 12,676
 —
 12,676
—
 —
 3,191
 —
 3,191
Proceeds from significant disposals—
 —
 265
 —
 265
—
 —
 2,732
 —
 2,732
Change in federal funds sold and resales—
 (12,398) (3,972) —
 (16,370)—
 (2,623) (3,493) —
 (6,116)
Changes in investments and advances—intercompany(14,378) (23) 14,401
 —
 —
(569) (5,007) 5,576
 —
 —
Other investing activities2,962
 —
 (4,587) —
 (1,625)—
 —
 (653) —
 (653)
Net cash used in investing activities of continuing operations$(11,126) $(13,885) $(46,605) $—
 $(71,616)$(453) $(1,116) $(15,674) $—
 $(17,243)
Cash flows from financing activities of continuing operations                  
Dividends paid$(1,517) $—
 $—
 $—
 $(1,517)$(744) $—
 $—
 $—
 $(744)
Issuance of preferred stock2,498
 —
 —
 —
 2,498
Treasury stock acquired(5,167) —
 —
 —
 (5,167)(1,858) —
 —
 —
 (1,858)
Proceeds (repayments) from issuance of long-term debt, net1,613
 4,196
 (2,806) —
 3,003
(6,395) 5,175
 938
 —
 (282)
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (12,533) 12,533
 —
 —
—
 (12,506) 12,506
 —
 —
Change in deposits—
 —
 32,365
 —
 32,365
—
 —
 20,584
 —
 20,584
Change in federal funds purchased and repos—
 12,251
 (5,623) —
 6,628
—
 1,266
 5,143
 —
 6,409
Change in short-term borrowings(163) 1,251
 7,360
 —
 8,448
—
 605
 (5,179) —
 (4,574)
Net change in short-term borrowings and other advances—intercompany(2,503) (726) 3,229
 —
 —
(14,901) 8,938
 5,963
 —
 —
Capital contributions from parent—
 5,000
 (5,000) —
 —
Other financing activities(313) —
 —
 —
 (313)(397) —
 —
 —
 (397)
Net cash provided by (used in) financing activities of continuing operations$(5,552) $9,439
 $42,058
 $—
 $45,945
$(24,295) $3,478
 $39,955
 $—
 $19,138
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(144) $—
 $(144)$—
 $—
 $340
 $—
 $340
Change in cash and due from banks$7
 $839
 $1,673
 $—
 $2,519
$210
 $(1,043) $62
 $—
 $(771)
Cash and due from banks at beginning of period124
 1,995
 18,781
 —
 20,900
142
 4,690
 18,211
 —
 23,043
Cash and due from banks at end of period$131
 $2,834
 $20,454
 $—
 $23,419
$352
 $3,647
 $18,273
 $—
 $22,272
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 



 

 

 

 

Cash paid (refund) during the year for income taxes$(265) $81
 $3,039
 $—
 $2,855
$(139) $64
 $988
 $—
 $913
Cash paid during the year for interest3,402
 2,378
 3,980
 —
 9,760
1,153
 822
 1,275
 —
 3,250
Non-cash investing activities

 

 

 

 



 

 

 

 

Transfers to loans HFS from loans—
 —
 7,900
 —
 7,900
—
 —
 2,800
 —
 2,800
Transfers to OREO and other repossessed assets—
 —
 138
 —
 138
—
 —
 30
 —
 30


Condensed Consolidating Statement of Cash Flows
Nine months ended September 30, 2015Three months ended March 31, 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 (used in) operating activities of continuing operations$14,915
 $(1,849) $28,298
 $—
 $41,364
$5,194
 $(2,833) $(2,899) $—
 $(538)
Cash flows from investing activities of continuing operations                  
Purchases of investments$—
 $(4) $(195,417) $—
 $(195,421)$—
 $—
 $(59,715) $—
 $(59,715)
Proceeds from sales of investments—
 53
 113,900
 —
 113,953
—
 —
 39,268
 —
 39,268
Proceeds from maturities of investments210
 —
 64,640
 —
 64,850
26
 —
 16,518
 —
 16,544
Change in deposits with banks—
 (10,267) 17
 —
 (10,250)—
 (7,380) (16,472) —
 (23,852)
Change in loans—
 —
 (7,158) —
 (7,158)—
 —
 (5,057) —
 (5,057)
Proceeds from sales and securitizations of loans—
 —
 8,127
 —
 8,127
—
 —
 1,247
 —
 1,247
Proceeds from significant disposals—
 —
 265
 —
 265
Change in federal funds sold and resales—
 4,628
 6,247
 —
 10,875
—
 (1,127) (4,291) —
 (5,418)
Changes in investments and advances—intercompany(22,517) 2,207
 20,310
 —
 —
(12,271) (6,052) 18,323
 —
 —
Other investing activities1
 (63) (1,939) —
 (2,001)—
 —
 (472) —
 (472)
Net cash provided by (used in) investing activities of continuing operations$(22,306) $(3,446) $8,727
 $—
 $(17,025)
Net cash used in investing activities of continuing operations$(12,245) $(14,559) $(10,386) $—
 $(37,190)
Cash flows from financing activities of continuing operations                  
Dividends paid$(838) $—
 $—
 $—
 $(838)$(359) $—
 $—
 $—
 $(359)
Issuance of preferred stock4,731
 —
 —
 —
 4,731
1,004
 —
 —
 —
 1,004
Treasury stock acquired(3,800) —
 —
 —
 (3,800)(1,312) —
 —
 —
 (1,312)
Proceeds (repayments) from issuance of long-term debt, net8,683
 (98) (6,544) —
 2,041
2,448
 1,527
 (1,352) —
 2,623
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 12,514
 (12,514) —
 —
—
 (2,692) 2,692
 —
 —
Change in deposits—
 —
 4,911
 —
 4,911
—
 —
 26,704
 —
 26,704
Change in federal funds purchased and repos—
 (5,956) 1,122
 —
 (4,834)—
 12,077
 (1,365) —
 10,712
Change in short-term borrowings(529) (1,752) (33,475) —
 (35,756)(109) 342
 (419) —
 (186)
Net change in short-term borrowings and other advances—intercompany(434) 335
 99
 —
 —
5,926
 3,711
 (9,637) —
 —
Capital contributions from parent—
 2,500
 (2,500) —
 —
Other financing activities(425) —
 —
 —
 (425)(308) —
 —
 —
 (308)
Net cash provided by (used in) financing activities of continuing operations$7,388
 $5,043
 $(46,401) $—
 $(33,970)
Net cash provided by financing activities of continuing operations$7,290
 $17,465
 $14,123
 $—
 $38,878
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(751) $—
 $(751)$—
 $—
 $190
 $—
 $190
Change in cash and due from banks$(3) $(252) $(10,127) $—
 $(10,382)$239
 $73
 $1,028
 $—
 $1,340
Cash and due from banks at beginning of period125
 1,751
 30,232
 —
 32,108
124
 1,995
 18,781
 —
 20,900
Cash and due from banks at end of period$122
 $1,499
 $20,105
 $—
 $21,726
$363
 $2,068
 $19,809
 $—
 $22,240
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 



 

 

 

 

Cash paid (refund) during the year for income taxes$88
 $157
 $3,798
 $—
 $4,043
$(231) $20
 $899
 $—
 $688
Cash paid during the year for interest3,759
 1,704
 2,978
 —
 8,441
1,036
 637
 1,021
 —
 2,694
Non-cash investing activities

 

 

 

 



 

 

 

 

Decrease in net loans associated with significant disposals reclassified to HFS$—
 $—
 $(9,063) $—
 $(9,063)
Decrease in investments associated with significant disposals reclassified to HFS—
 —
 (1,402) —
 (1,402)
Decrease in goodwill and intangible assets associated with significant disposals reclassified to HFS—
 —
 (216) —
 (216)
Decrease in deposits with banks associated with significant disposals reclassified to HFS—
 —
 (404) —
 (404)
Decrease in goodwill associated with significant disposals reclassified to HFS—
 —
 (30) —
 (30)
Transfers to loans HFS from loans—
 —
 17,900
 —
 17,900
—
 —
 3,200
 —
 3,200
Transfers to OREO and other repossessed assets—
 —
 225
 —
 225
—
 —
 56
 —
 56
Non-cash financing activities

 

 

 

 

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

$—
 $—
 $(6,179) $—
 $(6,179)


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

Unregistered Sales of Equity Securities
None.

Equity Security Repurchases
The following table summarizes Citi’s equity security repurchases, which consisted entirely of common stock repurchases: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
July 2016  
January 2017  
Open market repurchases(1)
16.2
$43.02
$7,937
10.4
$57.68
$2,969
Employee transactions(2)
—
—
N/A
—
—
N/A
August 2016  
February 2017  
Open market repurchases(1)
15.2
45.73
7,244
9.2
58.54
2,431
Employee transactions(2)
—
—
N/A
—
—
N/A
September 2016  
March 2017  
Open market repurchases(1)
24.3
46.96
6,103
10.7
60.15
1,785
Employee transactions(2)
—
—
N/A
—
—
N/A
Total55.7
$45.48
$6,103
Total for 1Q17 and remaining program balance as of March 31, 201730.3
$58.82
$1,785
(1)Represents repurchases under the $8.6$10.4 billion 2016 common stock repurchase program (2016 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on June 29, 2016. The 2016 whichRepurchase Program includes the additional $1.75 billion increase in the program that was approved by Citigroup’s Board of Directors and announced on November 21, 2016. The 2016 Repurchase Program was part of the planned capital actions included by Citi in its 2016 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 2016 Repurchase Program were added to treasury stock.
(2)Consisted of shares added to treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.
N/A Not applicable

Dividends
In addition to Board of Directors’ approval, 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—RegulatoryStrategic Risks” in Citi’s 20152016 Annual Report on Form 10-K. 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 1918 to the
Consolidated Financial Statements in Citi’s 20152016 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 31st1st day of October, 2016.May, 2017.



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+
10.01+*

 
Form of Citigroup Inc. Performance Share Unit Award Agreement (for awards granted on February 16, 2017 and in future years).

10.02+*
The Amended and Restated 2011 Citigroup Executive Performance Plan (as amended and restated as of January 1, 2016, and as further amended on February 16, 2017).
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 Quarterly Report on Form 10-Q of the Company for the quarter ended September 30, 2016,March 31, 2017, filed on October 31, 2016,May 1, 2017, 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.
 
* Denotes a management contract or compensatory plan or arrangement. 
+ Filed herewith.    




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