UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended JuneSeptember 30, 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, smaller reporting, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "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 JuneSeptember 30, 2017: 2,724,556,0952,644,001,999

Available on the web at www.citigroup.com
 


CITIGROUP’S SECONDTHIRD QUARTER 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
Global Consumer Banking (GCB)
13
North America GCB
15
Latin America GCB
17
Asia GCB
19
Institutional Clients Group
21
Corporate/Other
26
OFF-BALANCE SHEET
  ARRANGEMENTS
27
CAPITAL RESOURCES
28
MANAGING GLOBAL RISK TABLE OF
  CONTENTS
4746
MANAGING GLOBAL RISK
4847
INCOME TAXES
8987
DISCLOSURE CONTROLS AND
  PROCEDURES
9088
DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT
9088
FORWARD-LOOKING STATEMENTS
9189
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
9492
CONSOLIDATED FINANCIAL STATEMENTS
9593
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS (UNAUDITED)
103101
UNREGISTERED SALES OF EQUITY SECURITIES, PURCHASES OF EQUITY SECURITIES AND DIVIDENDS
213212


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, 2016, including the historical audited consolidated financial statements of Citigroup reflecting certain reclassifications set forth in Citigroup’s Current Report on Form 8-K filed with the SEC on June 16, 2017 (2016 Annual Report on Form 10-K), and Citigroup’s Quarterly ReportReports on Form 10-Q for the quarterquarters ended March 31, 2017 (First Quarter of 2017 Form 10-Q) and June 30, 2017 (Second Quarter of 2017 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 and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available free of charge through Citi’s website by clicking on the “Investors” page and selecting “All SEC Filings.” The SEC’s website also contains current reports on Form 8-K, 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 NoteNotes 1 and 3 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.



Citigroup is managed pursuant to the following segments:
citisegmentsa20.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
citigroupregionsa07.jpg

(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

SecondThird Quarter of 2017—Solid PerformanceBalanced Growth Across Citi’s BusinessesFranchise
As described further throughout this Executive Summary, Citi reported solidbalanced operating results in the secondthird quarter of 2017, reflecting continued momentum across its businesses and geographies, notably many of those where Citi has been making investments. During the quarter, Citi had loanrevenue and revenueloan growth in both Global Consumer Banking (GCB) and the Institutional Clients Group (ICG) compared to the prior-year quarter, while continuing to wind-down the legacy assets in Corporate/Other.Results during the quarter also included a $580 million pretax ($355 million after-tax) gain on the sale of a fixed income analytics business, which was included in ICG’s results.
In North America GCB,generated positive operating leverage driven by revenue growth in retail banking showed significantand Citi retail services as well as strong expense discipline. North America GCB’s results also included higher cost of credit, largely reflecting volume growth, outside of mortgage operations, while Citi-branded cards continued to benefit from the acquisition of the Costco portfolio.seasoning and additional cards-related loan loss reserve builds. International GCB generated positive operating leverage driven by year-over-year revenue growth in both Latin America and Asia GCB, excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation). ICG had a strong quarter with revenue growth across all Banking businesses, particularlyas well as in investment banking,equity markets and securities services, partially offset by declinesa decline in fixed income and equity markets revenues. These increases in revenues were partially offset by lower revenues in Corporate/Other, mostlyreflecting the continued wind-down of legacy non-core assets.
Citi also continued to generate significantCiti’s regulatory capital declined slightly during the quarter, driven mostlyas earnings growth was more than offset by earnings. Citi generatedthe return of approximately $4.7 billion in regulatory capital during the quarter, before returning approximately $2.2$6.4 billion to its common shareholders in the form of common stock repurchases and dividends. Citi repurchased approximately 2981 million common shares in the third quarter of 2017, as outstanding common shares declined 1%3% from the prior quarter and 6%7% from the prior-year period. Despite this capital return, each of Citigroup’s key regulatory capital metrics remained strong as of the end of the secondthird quarter of 2017 (see “Capital” below). Citi utilized approximately $100$300 million of deferred tax assets (DTAs) during the quarter and $900 million$1.2 billion of its DTAs during the first halfnine months of 2017.
The Federal Reserve Board did not object toWhile the capital plan Citi submitted as part of the 2017 Comprehensive Capital Analysis and Review (CCAR). Accordingly, as previously disclosed, Citi intends to return $18.9 billion of capital to its common shareholders over the next four quarters beginning with the third quarter of 2017 (for additional information, see “Equity Security Repurchases” and “Dividends” below).
While economic sentiment has improved,macroeconomic environment remains largely positive, there continues to be various economic, political and politicalother risks and uncertainties and changes that could impact Citi’s businesses.businesses and future results. For a more detailed discussion of these risks and uncertainties, see each respective business’s results of operations and “Forward-Looking Statements” below, as well as each respective business’s results of operations and the “Managing Global Risk” and “Risk Factors” sections in Citi’s 2016 Annual Report on Form 10-K.

 

Second
Third Quarter of 2017 Summary Results

Citigroup
Citigroup reported net income of $3.9$4.1 billion, or $1.28$1.42 per share, compared to $4.0$3.8 billion, or $1.24 per share, in the prior-year period. The 3% decrease8% increase in net income fromincluded the prior-year period was primarily driven bygain on sale, which contributed $0.13 to earnings per share. Excluding the gain, net income declined 2%, reflecting higher cost of credit, costs and operating expenses, as well as a higher effective tax rate, partially offset by higher revenues. Earningswhile earnings per share increased 3%4%, largely due to a 6%7% reduction in average shares outstanding. (Citi’s results of operations excluding the gain on sale are non-GAAP financial measures.)
Citigroup revenues of $17.9$18.2 billion in the secondthird quarter of 2017 increased 2%, driven by a 6% increasethe gain on sale as well as 3% aggregate growth in ICG, as well as a 5% increase in and GCB, partially offset by a 45%55% decrease in Corporate/Other due primarily to the continued wind-down of legacy non-core assets.
Citigroup’s end-of-period loans increased 2% to $645$653 billion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s end-of-period loans also grew 2%, as 4%5% growth in both GCBICG and 3% growth in ICGGCB was partially offset by the continued wind-down of legacy assets in Corporate/Other. (Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures.) Citigroup’s end-of-period deposits increased 2%3% to $959$964 billion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s deposits were also up 2%, driven by a 3% increase in bothICG deposits and a 1% increase in GCB and ICG deposits, slightly offset by a decline in Corporate/Other deposits.

Expenses
Citigroup’s operating expenses were up slightly at $10.5decreased 2% to $10.2 billion versus the prior-year period, as the impact of higher volume-related expenses performance-based compensation and ongoing investments were partiallymore than offset by efficiency savings and the wind-down of legacy assets. Year-over-year, GCB and ICG operating expenses were up each 5%, whileGCB operating expenses were largely unchanged and Corporate/Other operating expenses declined 24%36%.

Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims of $1.7$2.0 billion increased 22%15% from the prior-year period. The increase was driven by an increase in net credit losses of $94$252 million, primarily in North America GCB, and a net loan loss reserve releasebuild of $16$194 million, compared to a net releasebuild of $256$176 million mostly related to legacy assets in the prior-year period. The net loan loss reserve build in the current quarter included roughly $100 million of loan loss reserves related to the potential impact of hurricane and earthquake events, recorded in North America GCB and Latin America GCB, as well as the legacy portfolio in Corporate/Other.
Net credit losses of $1.7$1.8 billion increased 6%17% versus the prior-year period. Consumer net credit losses of $1.6$1.7 billion


increased 11%17%, primarily driven by the Costco portfolio acquisition, organic volume growth and seasoning, and the impact of changes in collections processesepisodic charge-offs in the North America cardsGCB businesses,commercial portfolio, which were offset by related loan loss reserve releases, and overall volume growth and seasoning in cards. The increase in consumer net credit losses was partially offset by the continued wind-down of legacy assets in Corporate/Other. Corporate net credit losses decreased 45%increased 2% from the prior-year period to $77 million, driven by improvement in the energy sector. Citi$43 million.


expects consumer cost of credit to increase in the near term due to continued volume growth.
For additional information on Citi’s consumer and corporate credit costs and allowance for loan losses, see “Credit Risk” below.

Capital
Citigroup’s Common Equity Tier 1 Capital and Tier 1 Capital ratios, , on a fully implemented basis, were 13.1%13.0% and 14.7%14.6% as of JuneSeptember 30, 2017 (based on Basel III Standardized Approach for determining risk-weighted assets), respectively, compared to 12.5%12.6% and 14.1%14.2% as of JuneSeptember 30, 2016 (based on the Basel III Advanced Approaches for determining risk-weighted assets). Citigroup’s Supplementary Leverage ratio as of JuneSeptember 30, 2017, on a fully implemented basis, was 7.2%7.1%, compared to 7.5%7.4% as of JuneSeptember 30, 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.

Global Consumer Banking
GCB net income decreased 12%6% to $1.1$1.2 billion, as higher revenues were more than offset by higher cost of credit, and higherwhile operating expenses.expenses were unchanged. Operating expenses were $4.5$4.4 billion, an increase of 5% on both a reported basis anddown 1% excluding the impact of FX driven by the addition of the Costco portfolio, volume growthtranslation, as higher volume-related expenses and continued investments partiallywere more than offset by ongoing efficiency savings.
GCB revenues of $8.0$8.4 billion increased 5%3% versus the prior-year period. Excluding the impact of FX translation, GCB revenues also increased 5%2%, driven by a 5% increase in both North America GCB and international GCB.growth across all regions. North America GCB revenues increased 5%1% to $4.9$5.2 billion, as higher revenues in Citi-branded cards and Citi retail services and retail banking were partially offset by lower revenues in retail banking, driven by lower mortgage revenues.Citi-branded cards. Citi-branded cards revenues of $2.1$2.2 billion were up 10%decreased 1% versus the prior-year period, reflectingas the impactbenefit of growth in full rate revolving balances in the Costco portfolio acquisitioncore portfolios was outpaced by the continued run-off of non-core portfolios as well as modest organicthe higher cost to fund growth in core portfolios, partially offset by the run-off of non-core portfolios.transactor and promotional balances, given higher interest rates. Citi retail services revenues of $1.6$1.7 billion increased 4%2% versus the prior-year period, reflecting continued loan growth and a favorable prior period comparison.growth. Retail banking revenues decreased 2%of $1.4 billion increased 1% from the prior-year period, mainly driven by the lower mortgage revenues.period. Excluding mortgage revenues, retail banking revenues were up 7%12% from the prior-year period, driven by continued growth in average loans deposits and assets under management, as well as a benefit from higher interest rates.
North America GCB average deposits of $185$184 billion were up 2%unchanged versus the prior-year period, average retail loans of $56 billion grew 2%,1% and assets under management of $57$59 billion grew 10%. Average branded card loans of $83$85 billion increased 25%8%, while branded card purchase sales of $81$80 billion increased 52%10% versus the prior-year period, both driven by the Costco portfolio acquisition as well as organic growth.period. Average retail services loans of $45$46 billion were up 4%5%, while
retail services purchase sales of $21$20 billion were up 2%. For additional information on the results of operations of North
America GCB for the secondthird quarter of 2017, see “Global Consumer Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes the results of operations in certain EMEA countries)) increased 4%8% to $3.1$3.2 billion versus the prior-year period. Excluding the impact of FX translation, international GCB revenues increased 5% versus the prior-year period. Latin America GCB revenues increased 8%4% versus the prior-year period, driven by growth in retail loans and deposits, as well as improved deposit spreads, partially offset by a modest decline in cards revenues.volumes. Asia GCB revenues increased 3%5% versus the prior-year period, driven by improvement in cardswealth management and wealth managementcards revenues, partially offset by lower retail lending revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for the secondthird quarter of 2017, including the impact of FX translation, see “Global Consumer Banking—Latin America GCB”GCB” and “—Global Consumer Banking—Asia GCB” below.
Year-over-year, international GCB average deposits of $122$124 billion increased 7%4%, average retail loans of $87$89 billion were roughly flat, assets under management of $96$100 billion increased 7%10%, average card loans of $24 billion increased 6% and card purchase sales of $24$25 billion increased 7%, all excluding the impact of FX translation.

Institutional Clients Group
ICG net income of $2.8$3.0 billion increased 6%15%, driven by higher revenues, including the $580 million ($355 million after-tax) gain on the sale of a fixed income analytics business, and a higher benefit from cost of credit, partially offset by higher operating expenses. ICG operating expenses increased 5% to $5.0$4.9 billion, as higher incentive compensation, investments and volume-related expenses were partially offset by efficiency savings.
ICG revenues were $9.2 billion in the secondthird quarter of 2017, up 6%9% from the prior-year period, driven by a 19%16% increase in Banking revenues partially offset byand a 5% decrease3% increase in Markets and securities services revenues.revenues, including the gain on sale. The increase in Banking revenues included the impact of $9$48 million of mark-to-market gainslosses on loan hedges related to accrual loans within corporate lending, compared to losses of $203$218 million in the prior-year period.
Banking revenues of $4.8$4.7 billion (excluding the impact of mark-to-market losses on loan hedges related to accrual loans within corporate lending) increased 13%11% compared to the prior-year period, driven by significant growth in investment banking and the private bank as well as continued solid performance in treasury and trade solutions and the private bank.corporate lending. Investment banking revenues of $1.5$1.2 billion increased 22%14% versus the prior-year period. Advisory revenues increased 32% to $314 million, equityperiod, reflecting continued wallet share gains across all products. Equity underwriting revenues increased 70%99% to $295$290 million, and debt underwriting revenues increased 9%1% to $877$704 million while advisory revenues decreased 1% to $237 million, all versus the prior-year period.
Private bank revenues increased 17%15% versus the prior-year period to $788$785 million, driven by loangrowth in clients, loans, investment activity and deposit growth,deposits, as well as improved spreads and increased investment activity.spreads. Corporate lending revenues increased $306$233 million to $486$454 million. Excluding the mark-to-market impact of losses on loan hedges, corporate lending revenues increased 25%14% to $477$502 million


versus the prior-year period, reflecting lower hedging costs as well as the absence of a prior period adjustment to the residual value of a lease financing.and improved loan sale activity. Treasury and trade solutions


revenues increased 3%8% to $2.1 billion versus the prior-year period, reflecting continued volume growth and improved deposit spreads.
Markets and securities services revenues decreased 5%increased 3% to $4.4$4.6 billion versus the prior-year period.period, as a decline in fixed income marketsrevenues was more than offset by higher revenues in equity markets, securities services as well as the gain on sale. Fixed income markets revenues decreased 6%16% to $3.2$2.9 billion versus the prior-year period, primarily reflecting lower G10 rates and currencies revenue,revenues, given low volatility in the current quarter and the comparison to higher Brexit-related activity a year ago.ago, as well as lower activity in spread products. Equity markets revenues decreased 11%increased 16% to $691$757 million versus the prior-year period, reflecting episodic activity in the prior-year period, as well as low volatility in the current quarter.client-led growth across cash equities, derivatives and prime finance. Securities services revenues increased 10%12% to $584$599 million versus the prior-year period, driven by growth in client volumes across the global custody business.business, along with higher interest revenue. For additional information on the results of operations of ICG for the secondthird quarter of 2017, see “Institutional Clients Group” below.

Corporate/Other
Corporate/Other net loss was $15$87 million in the secondthird quarter of 2017, compared to a net incomeloss of $116$48 million in the prior-year period, reflecting lower revenues, partially offset by lower operating expenses and lower cost of credit. ExpensesOperating expenses of $990$822 million declined 24% from the prior-year period, reflecting the wind-down of legacy assets.
Corporate/Other revenues were $653 million, down 45%36% from the prior-year period, reflecting the wind-down of legacy assets divestiture activityand lower legal expenses.
Corporate/Other revenues were $509 million, down 55% from the prior-year period, reflecting the wind-down of legacy assets, divestitures and the absenceimpact of gains related to debt buybacks in the prior-year period.hedging activities.
Corporate/Other end-of-period assets decreased 21%4% to $92$100 billion from the prior-year period, as Citi continued to wind-down legacy assets. For additional information on the results of operations of Corporate/Other for the secondthird quarter of 2017, see “Corporate/Other” below.






RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars, except per-share amounts and ratios20172016% Change20172016% Change20172016% Change20172016% Change
Net interest revenue$11,165
$11,236
(1)%$22,022
$22,463
(2)%$11,442
$11,479
— %$33,464
$33,942
(1)%
Non-interest revenue6,736
6,312
7
13,999
12,640
11
6,731
6,281
7
20,730
18,921
10
Revenues, net of interest expense$17,901
$17,548
2 %$36,021
$35,103
3 %$18,173
$17,760
2 %$54,194
$52,863
3 %
Operating expenses10,506
10,369
1
20,983
20,892
—
10,171
10,404
(2)31,154
31,296
—
Provisions for credit losses and for benefits and claims1,717
1,409
22
3,379
3,454
(2)1,999
1,736
15
5,378
5,190
4
Income from continuing operations before income taxes$5,678
$5,770
(2)%$11,659
$10,757
8 %$6,003
$5,620
7 %$17,662
$16,377
8 %
Income taxes1,795
1,723
4
3,658
3,202
14
1,866
1,733
8
5,524
4,935
12
Income from continuing operations$3,883
$4,047
(4)%$8,001
$7,555
6 %$4,137
$3,887
6 %$12,138
$11,442
6 %
Income (loss) from discontinued operations,
net of taxes(1)
21
(23)NM
3
(25)NM
(5)(30)83
(2)(55)96
Net income before attribution of noncontrolling
interests
$3,904
$4,024
(3)%$8,004
$7,530
6 %$4,132
$3,857
7 %$12,136
$11,387
7 %
Net income attributable to noncontrolling interests32
26
23
42
31
35
(1)17
NM
41
48
(15)
Citigroup’s net income$3,872
$3,998
(3)%$7,962
$7,499
6 %$4,133
$3,840
8 %$12,095
$11,339
7 %
Less: 

   

  
Preferred dividends—Basic$320
$322
(1)%$621
$532
17 %$272
$225
21 %$893
$757
18 %
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS48
53
(9)103
93
11
53
53
—
156
145
8
Income allocated to unrestricted common shareholders
for basic and diluted EPS
$3,504
$3,623
(3)%$7,238
$6,874
5 %$3,808
$3,562
7 %$11,046
$10,437
6 %
Earnings per share 

  
  

  
 
Basic 

  
  

  
 
Income from continuing operations$1.27
1.25
2
$2.63
2.36
11
1.42
1.25
14
4.05
3.60
13
Net income1.28
1.24
3
2.63
2.35
12
1.42
1.24
15
4.05
3.58
13
Diluted 

   

  
Income from continuing operations$1.27
$1.25
2 %$2.63
$2.36
11 %$1.42
$1.25
14 %$4.05
$3.60
13 %
Net income1.28
1.24
3
2.63
2.35
12
1.42
1.24
15
4.05
3.58
13
Dividends declared per common share0.16
0.05
NM
0.32
0.10
NM
0.32
0.16
100
0.64
0.26
NM

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


SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
Citigroup Inc. and Consolidated Subsidiaries
Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars, except per-share amounts, ratios and
direct staff
20172016% Change20172016% Change20172016% Change20172016% Change
At June 30:    
At September 30:    
Total assets$1,864,063
$1,818,771
2 %  $1,889,133
$1,818,117
4 %  
Total deposits958,743
937,852
2
  964,038
940,252
3
  
Long-term debt225,179
207,448
9
  232,673
209,051
11
  
Citigroup common stockholders’ equity210,766
212,635
(1)  208,381
212,322
(2)  
Total Citigroup stockholders’ equity230,019
231,888
(1)  227,634
231,575
(2)  
Direct staff (in thousands)
214
220
(3)  213
220
(3)  
Performance metrics 

   

  
Return on average assets0.83%0.89%

0.87%0.84% 0.87%0.83%

0.87%0.84% 
Return on average common stockholders’ equity(2)
6.8
7.0


7.1
6.7
 7.3
6.8


7.2
6.7
 
Return on average total stockholders’ equity(2)
6.8
7.0


7.1
6.7
 7.2
6.6


7.1
6.6
 
Efficiency ratio (Total operating expenses/Total revenues)59
59


58
60
 56
59


57
59
 
Basel III ratios—full implementation        
Common Equity Tier 1 Capital(3)
13.06%12.53%   12.98%12.63%   
Tier 1 Capital(3)
14.74
14.12
   14.61
14.23
   
Total Capital(3)
16.93
16.13
   16.95
16.34
   
Supplementary Leverage ratio(4)
7.24
7.48
   7.11
7.40
   
Citigroup common stockholders’ equity to assets11.31%11.69% 

  11.03%11.68% 

  
Total Citigroup stockholders’ equity to assets12.34
12.75
 

  12.05
12.74
 

  
Dividend payout ratio(5)
12.5
4.0
 12.2%4.3% 22.5
12.9
 15.8%7.3% 
Total payout ratio(6)
63
40
 61
42
 165
83
 96
56
 
Book value per common share$77.36
$73.19
6 %

  $78.81
$74.51
6 %

  
Tangible book value (TBV) per share(7)
67.32
63.53
6
  68.55
64.71
6
  
Ratio of earnings to fixed charges and preferred stock dividends2.28x
2.63x
 2.39x
2.59x
 2.27x
2.61x
 2.34x
2.60x
 
(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 reportable Common Equity Tier 1 (CET1) Capital and Tier 1 Capital ratios were the lower derived under the U.S. Basel III Standardized Approach at JuneSeptember 30, 2017, and U.S. Basel III Advanced Approaches at JuneSeptember 30, 2016. Citi’s reportable Total Capital ratios were derived under the U.S. Basel III Advanced Approaches for both periods presented. This reflects the U.S. Basel III requirement to report the lower of risk-based capital ratios under both the Standardized Approach and Advanced Approaches in accordance with the Collins Amendment of the Dodd-Frank Act.
(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 Returns on Equity” below.
NM Not Meaningfulmeaningful




SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars20172016% Change20172016% Change20172016% Change20172016% Change
Income from continuing operations        
Global Consumer Banking        
North America$670
$815
(18)%$1,297
$1,648
(21)%$655
$780
(16)%$1,952
$2,428
(20)%
Latin America136
173
(21)266
319
(17)164
160
3
430
479
(10)
Asia(1)
323
297
9
569
512
11
355
310
15
924
822
12
Total$1,129
$1,285
(12)%$2,132
$2,479
(14)%$1,174
$1,250
(6)%$3,306
$3,729
(11)%
Institutional Clients Group

 



 



 



 

North America$1,112
$1,005
11 %$2,212
$1,551
43 %$1,322
$1,067
24 %$3,534
$2,618
35 %
EMEA779
695
12
1,634
1,069
53
746
649
15
2,380
1,718
39
Latin America333
392
(15)808
722
12
380
389
(2)1,188
1,111
7
Asia556
523
6
1,137
1,142
—
614
555
11
1,751
1,697
3
Total$2,780
$2,615
6 %$5,791
$4,484
29 %$3,062
$2,660
15 %$8,853
$7,144
24 %
Corporate/Other(26)147
NM
78
592
(87)(99)(23)NM
(21)569
NM
Income from continuing operations$3,883
$4,047
(4)%$8,001
$7,555
6 %$4,137
$3,887
6 %$12,138
$11,442
6 %
Discontinued operations$21
$(23)NM
$3
$(25)NM
$(5)$(30)83 %$(2)$(55)96 %
Net income attributable to noncontrolling interests32
26
23
42
31
35
(1)17
NM
41
48
(15)
Citigroup’s net income$3,872
$3,998
(3)%$7,962
$7,499
6 %$4,133
$3,840
8 %$12,095
$11,339
7 %

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



CITIGROUP REVENUES
Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars20172016% Change20172016% Change20172016% Change20172016% Change
Global Consumer Banking        
North America$4,944
$4,709
5 %$9,888
$9,539
4 %$5,194
$5,161
1 %$15,082
$14,700
3 %
Latin America1,290
1,236
4
2,441
2,465
(1)1,370
1,245
10
3,811
3,710
3
Asia(1)
1,801
1,729
4
3,523
3,384
4
1,869
1,758
6
5,392
5,142
5
Total$8,035
$7,674
5 %$15,852
$15,388
3 %$8,433
$8,164
3 %$24,285
$23,552
3 %
Institutional Clients Group

 

 



 

 

North America$3,568
$3,393
5 %$7,023
$6,373
10 %$3,638
$3,191
14 %$10,661
$9,564
11 %
EMEA2,837
2,577
10
5,644
4,744
19
2,655
2,506
6
8,299
7,250
14
Latin America1,042
1,022
2
2,169
1,984
9
1,059
999
6
3,228
2,983
8
Asia1,766
1,697
4
3,503
3,483
1
1,879
1,763
7
5,382
5,246
3
Total$9,213
$8,689
6 %$18,339
$16,584
11 %$9,231
$8,459
9 %$27,570
$25,043
10 %
Corporate/Other653
1,185
(45)1,830
3,131
(42)509
1,137
(55)2,339
4,268
(45)
Total Citigroup net revenues$17,901
$17,548
2 %$36,021
$35,103
3 %$18,173
$17,760
2 %$54,194
$52,863
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)
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$9,260
$65,850
$110,972
$—
$186,082
$9,963
$64,994
$111,152
$—
$186,109
Federal funds sold and securities
borrowed or purchased under
agreements to resell
358
233,076
631
—
234,065
327
251,787
494
—
252,608
Trading account assets6,414
251,170
2,022
—
259,606
6,366
250,104
2,437
—
258,907
Investments10,255
113,078
228,377
—
351,710
10,143
110,627
233,904
—
354,674
Loans, net of unearned income and
allowance for loan losses

290,001
316,842
25,827
—
632,670
291,785
325,055
23,977
—
640,817
Other assets38,143
103,046
58,741
—
199,930
38,306
101,387
56,325
—
196,018
Liquidity assets(4)
64,378
269,709
(334,087)—
—
62,265
266,523
(328,788)—
—
Total assets$418,809
$1,352,771
$92,483
$—
$1,864,063
$419,155
$1,370,477
$99,501
$—
$1,889,133
Liabilities and equity      
Total deposits$309,320
$623,533
$25,890
$—
$958,743
$310,048
$639,554
$14,436
$—
$964,038
Federal funds purchased and
securities loaned or sold under
agreements to repurchase
4,061
150,711
8
—
154,780
4,199
157,076
7
—
161,282
Trading account liabilities13
136,273
459
—
136,745
9
138,253
558
—
138,820
Short-term borrowings602
20,455
15,462
—
36,519
798
20,806
16,545
—
38,149
Long-term debt(3)
1,178
34,179
42,565
147,257
225,179
1,109
35,498
44,152
151,914
232,673
Other liabilities17,999
83,118
19,873
—
120,990
19,377
86,477
19,695
—
125,549
Net inter-segment funding (lending)(3)
85,636
304,502
(12,862)(377,276)—
83,615
292,813
3,120
(379,548)—
Total liabilities$418,809
$1,352,771
$91,395
$(230,019)$1,632,956
$419,155
$1,370,477
$98,513
$(227,634)$1,660,511
Total equity(5)
—
—
1,088
230,019
231,107
—
—
988
227,634
228,622
Total liabilities and equity$418,809
$1,352,771
$92,483
$—
$1,864,063
$419,155
$1,370,477
$99,501
$—
$1,889,133

(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of JuneSeptember 30, 2017. The respective segment information depicts the assets and liabilities managed by each segment as of such date.
(2)
Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.
(3)The total stockholders’ equity and the majority of long-term debt of Citigroup reside in the Citigroup parent company Consolidated Balance Sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquidity assets (primarily consisting of cash and available-for-sale securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.
(5)
Corporate/Other equity represents noncontrolling interests.





































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GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB) consists of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, including commercial banking, and Citi-branded cards and Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). GCB is focused on its priority markets in the U.S., Mexico and Asia with 2,5702,474 branches in 19 countries and jurisdictions as of JuneSeptember 30, 2017. At JuneSeptember 30, 2017, GCB had approximately $419 billion in assets and $309$310 billion in deposits.
GCB’s overall strategy is to leverage Citi’s global footprint and be the preeminent bank for the emerging affluent and affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies.

Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars except as otherwise noted20172016% Change20172016% Change20172016% Change20172016% Change
Net interest revenue$6,699
$6,308
6 %$13,221
$12,660
4 %$7,010
$6,709
4 %$20,231
$19,369
4 %
Non-interest revenue1,336
1,366
(2)%2,631
2,728
(4)%1,423
1,455
(2)%4,054
4,183
(3)%
Total revenues, net of interest expense$8,035
$7,674
5 %$15,852
$15,388
3 %$8,433
$8,164
3 %$24,285
$23,552
3 %
Total operating expenses$4,497
$4,297
5 %$8,912
$8,698
2 %$4,410
$4,429
— %$13,322
$13,127
1 %
Net credit losses$1,615
$1,374
18 %$3,218
$2,745
17 %$1,704
$1,349
26 %$4,922
$4,094
20 %
Credit reserve build (release)125
23
NM
302
108
NM
486
436
11 %788
544
45 %
Provision (release) for unfunded lending commitments(1)8
NM
5
9
(44)%(5)(3)(67)%—
6
(100)%
Provision for benefits and claims23
20
15 %52
48
8 %28
26
8 %80
74
8 %
Provisions for credit losses and for benefits and claims$1,762
$1,425
24 %$3,577
$2,910
23 %
Provisions for credit losses and for benefits and claims (LLR & PBC)$2,213
$1,808
22 %$5,790
$4,718
23 %
Income from continuing operations before taxes$1,776
$1,952
(9)%$3,363
$3,780
(11)%$1,810
$1,927
(6)%$5,173
$5,707
(9)%
Income taxes647
667
(3)1,231
1,301
(5)636
677
(6)1,867
1,978
(6)
Income from continuing operations$1,129
$1,285
(12)%$2,132
$2,479
(14)%$1,174
$1,250
(6)%$3,306
$3,729
(11)%
Noncontrolling interests4
1
NM
5
3
67
2
3
(33)%7
6
17
Net income$1,125
$1,284
(12)%$2,127
$2,476
(14)%$1,172
$1,247
(6)%$3,299
$3,723
(11)%
Balance Sheet data (in billions of dollars)


 

 



 

 

Total EOP assets$419
$399
5 % 

$419
$411
2 % 

Average assets414
387
7
$413
$382
8 %421
409
3
$415
$391
6 %
Return on average assets1.09%1.33%

1.04%1.30%

1.10%1.21%

1.06%1.27%

Efficiency ratio56%56%

56%57%

52%54%

55%56%

Average deposits$307
$297
3 %$305
$296
3 %$308
$301
2 %$306
$298
3 %
Net credit losses as a percentage of average loans2.20%2.02%

2.22%2.03%

2.26%1.87%

2.24%1.97%

Revenue by business

 

 



 

 

Retail banking$3,299
$3,242
2 %$6,454
$6,429
— %$3,493
$3,330
5 %$9,947
$9,759
2 %
Cards(1)
4,736
4,432
7
9,398
8,959
5
4,940
4,834
2
14,338
13,793
4
Total$8,035
$7,674
5 %$15,852
$15,388
3 %$8,433
$8,164
3 %$24,285
$23,552
3 %
Income from continuing operations by business

 

 



 

 

Retail banking$420
$472
(11)%$759
$770
(1)%$550
$461
19 %$1,309
$1,231
6 %
Cards(1)
709
813
(13)1,373
1,709
(20)624
789
(21)1,997
2,498
(20)
Total$1,129
$1,285
(12)%$2,132
$2,479
(14)%$1,174
$1,250
(6)%$3,306
$3,729
(11)%
Table continues on the next page.



Foreign currency (FX) translation impact 

   

  
Total revenue—as reported$8,035
$7,674
5 %$15,852
$15,388
3 %$8,433
$8,164
3 %$24,285
$23,552
3 %
Impact of FX translation(2)
—
(23)

—
(126)

—
89


—
(39)

Total revenues—ex-FX(3)
$8,035
$7,651
5 %$15,852
$15,262
4 %$8,433
$8,253
2 %$24,285
$23,513
3 %
Total operating expenses—as reported$4,497
$4,297
5 %$8,912
$8,698
2 %$4,410
$4,429
— %$13,322
$13,127
1 %
Impact of FX translation(2)
—
(9)

—
(50)

—
43


—
(10)

Total operating expenses—ex-FX(3)
$4,497
$4,288
5 %$8,912
$8,648
3 %$4,410
$4,472
(1)%$13,322
$13,117
2 %
Total provisions for LLR & PBC—as reported$1,762
$1,425
24 %$3,577
$2,910
23 %$2,213
$1,808
22 %$5,790
$4,718
23 %
Impact of FX translation(2)
—
(7)

—
(37)

—
20


—
(20)

Total provisions for LLR & PBC—ex-FX(3)
$1,762
$1,418
24 %$3,577
$2,873
25 %$2,213
$1,828
21 %$5,790
$4,698
23 %
Net income—as reported$1,125
$1,284
(12)%$2,127
$2,476
(14)%$1,172
$1,247
(6)%$3,299
$3,723
(11)%
Impact of FX translation(2)
—
(6)

—
(30)

—
17


—
(10)

Net income—ex-FX(3)
$1,125
$1,278
(12)%$2,127
$2,446
(13)%$1,172
$1,264
(7)%$3,299
$3,713
(11)%
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the secondthird quarter of 2017 and year-to-date 2017 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.




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 smallsmall- 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 and 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 previously announced, the Hilton Honors co-brand credit card partnership with Citi willwas scheduled to terminate as of year-end 2017. On October 23, 2017, Citi signed an agreement to sell the Hilton credit card portfolio ($1.2 billion in outstanding loan balances in Citi-branded cards) to American Express. In connection with the sale agreement, the existing partnership was extended through the closing date. The terminationsale is not expected to haveclose in the first quarter of 2018 with a material impact to North America GCB’s resultspretax gain of operations or financial condition. approximately $150 million, which approximates one year of revenues from the portfolio.
As of JuneSeptember 30, 2017, North America GCB’s 695 retail bank branches are concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of JuneSeptember 30, 2017, North America GCB had approximately 9.59.4 million retail banking customer accounts, $55.6$55.7 billion in retail banking loans and $185.2$185.1 billion in deposits. In addition, North America GCB had approximately 120 million Citi-branded and Citi retail services credit card accounts with $130.8$132.2 billion in outstanding card loan balances.

Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars, except as otherwise noted20172016% Change20172016% Change20172016% Change20172016% Change
Net interest revenue$4,633
$4,331
7 %$9,250
$8,729
6 %$4,825
$4,696
3 %$14,075
$13,425
5 %
Non-interest revenue311
378
(18)638
810
(21)369
465
(21)1,007
1,275
(21)
Total revenues, net of interest expense$4,944
$4,709
5 %$9,888
$9,539
4 %$5,194
$5,161
1 %$15,082
$14,700
3 %
Total operating expenses$2,577
$2,426
6 %$5,153
$4,926
5 %$2,460
$2,595
(5)%$7,613
$7,521
1 %
Net credit losses$1,181
$954
24 %$2,371
$1,887
26 %$1,239
$927
34 %$3,610
$2,814
28 %
Credit reserve build (release)101
49
NM
253
128
98
463
408
13 %716
536
34
Provision for unfunded lending commitments2
7
(71)9
7
29
(3)—
NM
6
7
(14)
Provisions for benefits and claims8
8
— %14
17
(18)9
8
13 %23
25
(8)
Provisions for credit losses and for benefits and claims$1,292
$1,018
27 %$2,647
$2,039
30 %$1,708
$1,343
27 %$4,355
$3,382
29 %
Income from continuing operations before taxes$1,075
$1,265
(15)%$2,088
$2,574
(19)%$1,026
$1,223
(16)%$3,114
$3,797
(18)%
Income taxes405
450
(10)791
926
(15)371
443
(16)1,162
1,369
(15)
Income from continuing operations$670
$815
(18)%$1,297
$1,648
(21)%$655
$780
(16)%$1,952
$2,428
(20)%
Noncontrolling interests—
(1)NM
—
(1)NM
—
—
NM
—
(1)100 %
Net income$670
$816
(18)%$1,297
$1,649
(21)%$655
$780
(16)%$1,952
$2,429
(20)%
Balance Sheet data (in billions of dollars)


 

  




 

  


Average assets$243
$218
11 %$244
$215
13 %$249
$239
4 %$246
$223
10 %
Return on average assets1.11%1.51%

1.07%1.54%

1.04%1.30%

1.06%1.45%

Efficiency ratio52%52%

52%52%

47%50%

50%51%

Average deposits$185.1
$182.1
2 %$185.3
$181.4
2 %$184.1
$183.9
—
$184.9
$182.2
1 %
Net credit losses as a percentage of average loans2.58%2.34%

2.61%2.33%

2.63%2.07%

2.62%2.24%

Revenue by business

 

  




 

  


Retail banking$1,291
$1,313
(2)%$2,547
$2,603
(2)%$1,363
$1,356
1 %$3,910
$3,959
(1)%
Citi-branded cards2,079
1,886
10
4,175
3,746
11
2,178
2,191
(1)6,353
5,937
7
Citi retail services1,574
1,510
4
3,166
3,190
(1)1,653
1,614
2
4,819
4,804
—
Total$4,944
$4,709
5 %$9,888
$9,539
4 %$5,194
$5,161
1 %$15,082
$14,700
3 %
Income from continuing operations by business

 

  




 

  


Retail banking$140
$172
(19)%$223
$261
(15)%$179
$187
(4)%$402
$448
(10)%
Citi-branded cards305
320
(5)553
673
(18)345
322
7
898
995
(10)
Citi retail services225
323
(30)521
714
(27)131
271
(52)652
985
(34)
Total$670
$815
(18)%$1,297
$1,648
(21)%$655
$780
(16)%$1,952
$2,428
(20)%

NM Not meaningful



2Q173Q17 vs. 2Q163Q16
Net income decreased 18%16% due to significantly higher cost of credit, driven by the impact of the Costco portfolio acquisition (completed June 17, 2016), and higher expenses, partially offset by lower expenses and higher revenues.
Revenues increased 5%1%, reflecting higher revenues in Citi-branded cards and Citi retail services and retail banking, partially offset by lower revenues in retail banking.Citi-branded cards.
Retail banking revenues declined 2%increased 1%. Excluding mortgage revenues (decline of 39%), reflecting lower mortgage revenues.retail banking revenues were up 12%, driven by continued growth in average loans (1%), and asset under management (10%), as well as a benefit from higher interest rates. The decline in mortgage revenues was driven by lower origination activity and higher cost of funds, reflecting the higher interest rate environment, as well as the impact of the previously announced sale of a portion of Citi’s mortgage servicing rights (MSR). Excluding mortgage revenues, retail banking revenues were up 7%, driven by continued growth in average loans (6%), deposits (2%), and asset under management (10%), as well as a benefit from higher interest rates. Citi expects higher interest rates and the impact of the MSR sale to continue to negatively impact mortgage revenues during the remainder of 2017.rights.
Cards revenues increased 8%. In Citi-branded cards, revenues increased 10%decreased 1%, largely reflectingas the impactbenefit of the Costco portfolio acquisition and modest organic growth in Citi’sfull-rate revolving balances in the core portfolios. This increase in revenuesportfolios was partially offsetoutpaced by the runoffcontinued run-off of non-core portfolios which is expectedas well as the higher cost to be an ongoing headwind duringfund growth in transactor and promotional balances, given the remainder of 2017.higher interest rates. Average loans grew 25% (3% excluding Costco)8% and purchase sales grew 52% (3% excluding Costco)10%.
Citi retail services revenues increased 4%2%, primarily driven byreflecting continued loan growth, and a favorable prior-period comparison, partially offset by the continued impact of the previously disclosed renewal and extension of certain partnerships within the portfolio. Average loans were up 4%grew 5% and purchase sales were upgrew 2%.
Expenses increased 6%decreased 5%, primarily driven by the addition of the Costco portfolio, volume growthas higher volume-related expenses and continued investments partiallywere more than offset by efficiency savings.
Provisions increased 27% from the prior-year period, driven by higher net credit losses and a higher net loan loss reserve build.
Net credit losses increased 24%34%, primarilylargely driven by higher losses in Citi-branded cards, including the impact of acquiring the Costco portfolio, and Citi retail services. In Citi-branded cards, net credit losses increased 31%36% to $611 million, primarily due to the Costco portfolio acquisition, organic volume growth and seasoning. In Citi retail services, net credit losses increased 20%26% to $531$540 million, primarily due to volume growth and seasoning andseasoning. The higher net credit losses also reflected episodic charge-offs in the impact of changescommercial portfolio in collection processes. retail banking, which were offset by related reserve releases.
The net loan loss reserve build in the secondthird quarter of 2017 was $103$460 million compared(compared to a build of $56$408 million in the prior-year period, largely supportingperiod), driven by a build of approximately $500 million related to the cards businesses, partially offset by a reserve release in the commercial portfolio. The loan loss reserve build included approximately $300 million related to the increase in net flow rates in the later delinquency buckets leading to higher inherent credit loss expectations primarily in Citi retail services, as well as a slight increase in delinquencies for the Citi-branded card portfolio. It also includes approximately $150 million driven by volume growth and seasoning, as well as approximately $50 million for the impact of changes in collections processes in Citi retail services.estimated hurricane-related impacts.
For additional information on North America GCB’s retail banking, including commercial banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.
 
2017 YTD vs. 2016 YTD
Year-to-date, North America GCB has experienced similar trends to those described above. Net income decreased 21%20% due to higher cost of credit and higher expenses, partially offset by higher revenues.
Revenues increased 4%3%, reflecting higher revenues in cards, partially offset by lower revenues in retail banking. Retail banking revenues decreased 2%1%, driven by lower mortgage revenues, partially offset by the sameother factors described above. Cards revenues increased 6%4%. In Citi-branded cards, revenues increased 11%7%, driven by the sameimpact of the Costco portfolio acquisition, partially offset by the other factors described above. Citi retail services revenues were down 1%, driven bylargely unchanged, as the continued impact of the renewal and extension of certain partnerships, as well as the absence of gains on sales of two cards portfolios in the first quarter of 2016, partiallywere offset by the continued loan growth.growth (average loans up 4%).
Expenses increased 5%1%, primarily driven by the same factors described above.addition of the Costco portfolio, volume-related expenses and continued investments, partially offset by efficiency savings.
Provisions increased 30%29%, driven by the same factors described above. Net credit losses increased 26%28% and the net loan loss reserve build of $262$722 million increased $127$179 million.








LATIN AMERICA GCB
Latin America GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and smallsmall- to mid-size businesses in Mexico through Citibanamex, one of Mexico’s largest banks.
At JuneSeptember 30, 2017, Latin America GCB had 1,4961,497 retail branches in Mexico, with approximately 28.027.6 million retail banking customer accounts, $21.0 billion in retail banking loans and $28.7$28.3 billion in deposits. In addition, the business had approximately 5.7 million Citi-branded card accounts with $5.5$5.6 billion in outstanding loan balances.

Second Quarter Six Months% ChangeThird Quarter Nine Months% Change
In millions of dollars, except as otherwise noted20172016% Change2017201620172016% Change20172016
Net interest revenue$917
$861
7 %$1,717
$1,714
— %$985
$877
12 %$2,702
$2,591
4 %
Non-interest revenue373
375
(1)%724
751
(4)%385
368
5 %1,109
1,119
(1)%
Total revenues, net of interest expense$1,290
$1,236
4 %$2,441
$2,465
(1)%$1,370
$1,245
10 %$3,811
$3,710
3 %
Total operating expenses$735
$725
1 %$1,394
$1,443
(3)%$768
$707
9 %$2,162
$2,150
1 %
Net credit losses$277
$260
7 %$530
$538
(1)%$295
$254
16 %$825
$792
4 %
Credit reserve build (release)50
(2)NM
62
15
NM
44
32
38 %106
47
NM
Provision (release) for unfunded lending commitments(1)1
NM
(1)2
NM
(1)—
NM
(2)2
NM
Provision for benefits and claims15
12
25 %38
31
23 %19
18
6 %57
49
16 %
Provisions for credit losses and for benefits and claims (LLR & PBC)$341
$271
26 %$629
$586
7 %$357
$304
17 %$986
$890
11 %
Income from continuing operations before taxes$214
$240
(11)%$418
$436
(4)%$245
$234
5 %$663
$670
(1)%
Income taxes78
67
16
152
117
30
81
74
9
233
191
22
Income from continuing operations$136
$173
(21)%$266
$319
(17)%$164
$160
3 %$430
$479
(10)%
Noncontrolling interests2
1
100
3
2
50
1
2
(50)4
4
—
Net income$134
$172
(22)%$263
$317
(17)%$163
$158
3 %$426
$475
(10)%
Balance Sheet data (in billions of dollars)


 

  




 

  


Average assets$46
$50
(8)%$45
$50
(10)%$47
$49
(4)%$45
$50
(10)%
Return on average assets1.17%1.38%

1.18%1.27%

1.38%1.28%

1.27%1.27%

Efficiency ratio57%59%

57%59%

56%57%

57%58%

Average deposits$27.8
$25.9
7 %$26.6
$26.0
2 %$28.8
$25.7
12 %$27.3
$25.9
5 %
Net credit losses as a percentage of average loans4.36%4.30%

4.38%4.43%

4.37%4.18%

4.39%4.35%

Revenue by business

 

 



 

 

Retail banking$923
$853
8 %$1,759
$1,709
3 %$976
$881
11 %$2,735
$2,590
6 %
Citi-branded cards367
383
(4)682
756
(10)394
364
8
1,076
1,120
(4)
Total$1,290
$1,236
4 %$2,441
$2,465
(1)%$1,370
$1,245
10 %$3,811
$3,710
3 %
Income from continuing operations by business

 

  




 

  


Retail banking$87
$96
(9)%$173
$186
(7)%$125
$84
49 %$298
$270
10 %
Citi-branded cards49
77
(36)93
133
(30)39
76
(49)132
209
(37)
Total$136
$173
(21)%$266
$319
(17)%$164
$160
3 %$430
$479
(10)%


FX translation impact

 

  




 

  


Total revenues—as reported$1,290
$1,236
4 %$2,441
$2,465
(1)%$1,370
$1,245
10 %$3,811
$3,710
3 %
Impact of FX translation(1)
—
(37)

—
(160)

—
71


—
(92)

Total revenues—ex-FX(2)
$1,290
$1,199
8 %$2,441
$2,305
6 %$1,370
$1,316
4 %$3,811
$3,618
5 %
Total operating expenses—as reported$735
$725
1 %$1,394
$1,443
(3)%$768
$707
9 %$2,162
$2,150
1 %
Impact of FX translation(1)
—
(18)

—
(73)

—
33


—
(43)

Total operating expenses—ex-FX(2)
$735
$707
4 %$1,394
$1,370
2 %$768
$740
4 %$2,162
$2,107
3 %
Provisions for LLR & PBC—as reported$341
$271
26 %$629
$586
7 %$357
$304
17 %$986
$890
11 %
Impact of FX translation(1)
—
(8)

—
(39)

—
18


—
(23)

Provisions for LLR & PBC—ex-FX(2)
$341
$263
30 %$629
$547
15 %$357
$322
11 %$986
$867
14 %
Net income—as reported$134
$172
(22)%$263
$317
(17)%$163
$158
3 %$426
$475
(10)%
Impact of FX translation(1)
—
(9)

—
(37)

—
13


—
(20)

Net income—ex-FX(2)
$134
$163
(18)%$263
$280
(6)%$163
$171
(5)%$426
$455
(6)%
(1)Reflects the impact of FX translation into U.S. dollars at the secondthird quarter of 2017 and year-to-date 2017 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.

2Q173Q17 vs. 2Q163Q16
Net income decreased 18%5%, primarily driven by higher credit costs and expenses, partially offset by higher revenues.
Revenues increased 8%4%, driven by higher revenues in
retail banking partially offset by modestly lower revenues in
and cards.
Retail banking revenues grew by 12%increased 5%, reflecting continued growth in volumes, including an increase in average loans (8%(6%), largely driven by the commercial and small business portfolios andas well as mortgages, an increase in average deposits (10%(7%), as well as and improved deposit spreads. Cards revenues decreased 1%, reflecting continuedspreads, driven by higher cost to fund non-revolving loans, largely offset by increased purchase sales (10%). Average card loans grew 6%.interest rates. While revolving card loan balance trendsdeposits continued to improveincrease during the quarter, Latin America GCB expects cards revenueswas impacted by lower industry-wide deposit growth due to remain under pressurea slowing of growth in the near term.monetary supply. Cards revenues increased 2%, reflecting continued improvement in full rate revolving loan trends, partially offset by continued higher cost to fund non-revolving loans. Purchase sales grew 5% and average card loans also grew 5%.
Expenses increased 4%, as ongoing investment spending and business growth were partially offset by efficiency savings.
Provisions increased 30%11%, primarily driven by higher net credit losses (9%) and a higher net loan loss reserve build (increase of $51($10 million) and higher net credit losses (10%), largely reflecting volume growth, seasonality and seasonality.a Mexico earthquake-related loan loss reserve build (approximately $25 million).
For additional information on Latin America GCB’s retail banking, including commercial banking, and its Citi-branded
cards portfolios, see “Credit Risk—Consumer Credit” below.


2017 YTD vs. 2016 YTD
Year-to-date, Latin America GCB has experienced similar trends to those described above. Net income decreased 6%, driven by the same factors described above.
Revenues increased 6%5%, primarily due to higher revenues in retail banking, partially offset by lower revenues in cards. Retail banking revenues increased 10%8%, driven by the same factors described above as well as the impact of business divestitures. Cards revenues decreased 3%1%, driven by the same factors described above.continued higher cost to fund non-revolving loans, partially offset by the continued improvement in full rate revolving loans.
Expenses increased 2%3%, as ongoing investment spending was partially offset by efficiency savings.
Provisions increased 15%14%, largely driven by the same factors described above.




ASIA GCB
Asia GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and smallsmall- to mid-size businesses, as applicable. During the secondthird quarter of 2017, Citi’s most significant revenues in the region were from Singapore, Hong Kong, Singapore, Korea, Australia, India, Taiwan, Indonesia, Thailand, Philippines Thailand and Malaysia. Included within Asia GCB, traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily in Poland, Russia and the United Arab Emirates.
At JuneSeptember 30, 2017, on a combined basis, the businesses had 379282 retail branches, approximately 16.316.2 million retail banking customer accounts, $66.8$67.5 billion in retail banking loans and $95.4$96.6 billion in deposits. In addition, the businesses had approximately 16.716.6 million Citi-branded card accounts with $18.8 billion in outstanding loan balances.

Second Quarter Six Months% ChangeThird Quarter Nine Months% Change
In millions of dollars, except as otherwise noted (1)
20172016% Change2017201620172016% Change20172016
Net interest revenue$1,149
$1,116
3 %$2,254
$2,217
2 %$1,200
$1,136
6 %$3,454
$3,353
3 %
Non-interest revenue652
613
6
1,269
1,167
9
669
622
8
1,938
1,789
8
Total revenues, net of interest expense$1,801
$1,729
4 %$3,523
$3,384
4 %$1,869
$1,758
6 %$5,392
$5,142
5 %
Total operating expenses$1,185
$1,146
3 %$2,365
$2,329
2 %$1,182
$1,127
5 %$3,547
$3,456
3 %
Net credit losses$157
$160
(2)%$317
$320
(1)%$170
$168
1 %$487
$488
— %
Credit reserve build (release)(26)(24)(8)(13)(35)63
(21)(4)NM
(34)(39)13
Provision (release) for unfunded lending commitments(2)—
NM
(3)—
NM
(1)(3)67
(4)(3)(33)
Provisions for credit losses$129
$136
(5)%$301
$285
6 %$148
$161
(8)%$449
$446
1 %
Income from continuing operations before taxes$487
$447
9 %$857
$770
11 %$539
$470
15 %$1,396
$1,240
13 %
Income taxes164
150
9
288
258
12
184
160
15
472
418
13
Income from continuing operations$323
$297
9 %$569
$512
11 %$355
$310
15 %$924
$822
12 %
Noncontrolling interests2
1
100
2
2
—
1
1
—
3
3
—
Net income$321
$296
8 %$567
$510
11 %$354
$309
15 %$921
$819
12 %
Balance Sheet data (in billions of dollars)






  








  


Average assets$125
$119
5 %$124
$118
5 %$125
$121
3 %$124
$119
4 %
Return on average assets1.03%1.00%

0.92%0.87%

1.12%1.02%

0.99%0.92%

Efficiency ratio66%66% 67%69%

63%64% 66%67%

Average deposits$94.3
$89.4
5 %$93.5
$88.3
6 %$95.2
$91.6
4
$94.1
$89.4
5
Net credit losses as a percentage of average loans0.74%0.76%

0.76%0.76%

0.78%0.78%

0.77%0.77%

Revenue by business   

   

Retail banking$1,085
$1,076
1 %$2,148
$2,117
1 %$1,154
$1,093
6 %$3,302
$3,210
3 %
Citi-branded cards716
653
10
1,375
1,267
9
715
665
8
2,090
1,932
8
Total$1,801
$1,729
4 %$3,523
$3,384
4 %$1,869
$1,758
6 %$5,392
$5,142
5 %
Income from continuing operations by business





 







 

Retail banking$193
$204
(5)%$363
$323
12 %$246
$190
29 %$609
$513
19 %
Citi-branded cards130
93
40
206
189
9
109
120
(9)315
309
2
Total$323
$297
9 %$569
$512
11 %$355
$310
15 %$924
$822
12 %


FX translation impact

 



 

Total revenues—as reported$1,801
$1,729
4 %$3,523
$3,384
4 %$1,869
$1,758
6 %$5,392
$5,142
5 %
Impact of FX translation(2)
—
14


—
34


—
18


—
53


Total revenues—ex-FX(3)
$1,801
$1,743
3 %$3,523
$3,418
3 %$1,869
$1,776
5 %$5,392
$5,195
4 %
Total operating expenses—as reported$1,185
$1,146
3 %$2,365
$2,329
2 %$1,182
$1,127
5 %$3,547
$3,456
3 %
Impact of FX translation(2)
—
9


—
23


—
10


—
33


Total operating expenses—ex-FX(3)
$1,185
$1,155
3 %$2,365
$2,352
1 %$1,182
$1,137
4 %$3,547
$3,489
2 %
Provisions for loan losses—as reported$129
$136
(5)%$301
$285
6 %$148
$161
(8)%$449
$446
1 %
Impact of FX translation(2)
—
1


—
2


—
2


—
3


Provisions for loan losses—ex-FX(3)
$129
$137
(6)%$301
$287
5 %$148
$163
(9)%$449
$449
— %
Net income—as reported$321
$296
8 %$567
$510
11 %$354
$309
15 %$921
$819
12 %
Impact of FX translation(2)
—
3


—
7


—
4


—
10


Net income—ex-FX(3)
$321
$299
7 %$567
$517
10 %$354
$313
13 %$921
$829
11 %

(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 secondthird quarter of 2017 and year-to-date 2017 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful


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

2Q173Q17 vs. 2Q163Q16
Net income increased 7%13%, reflecting higher revenues and lower cost of credit, partially offset by higher expenses.
Revenues increased 3%5%, driven by improvement in cardswealth management and wealth managementcards revenues, partially offset by continued lower retail lending revenues.
Retail banking revenues were largely unchanged,increased 4%, primarily due to an increasethe continued improvement in wealth management revenues, partially offset by the repositioning of the retail loan portfolio. Wealth management revenues increased due to improvement in investor sentiment, stronger equity markets and an increaseincreases in assets under management (9%(14%) and investment sales (27%(36%). Average deposits increased 3%. These increases were partially offset by continuedthe lower retail lending revenues (down 3%4%), reflecting continued lower average loans (decrease of 2%(1%) due to the continued optimization of this portfolio away from lower-yielding mortgage loans to focus on growing higher-return personal loans.
Cards revenues increased 9%6%, reflecting 6% growth in average loans and 7% growth in purchase sales, both of which benefited from the previously disclosed portfolio acquisition in Australia in the first quarter of 2017. Cards revenues also benefitted from a modest gain from the sale of merchant acquiring businesses in certain countries.
Expenses increased 3%4%, resulting from volume growth and ongoing investment spending, partially offset by efficiency savings.
Provisions decreased 6%9%, primarily driven by an increase in net loan loss reserve releases and lower net credit losses.releases. Overall credit quality continued to remain stable in the region.
For additional information on Asia GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.

 


2017 YTD vs. 2016 YTD
Year-to-date, Asia GCB has experienced similar trends to
those described above. Net income increased 10%11% due to higher revenues, partially offset by higher expenses and cost of credit.expenses.
Revenues increased 3%4%, primarily due to an increase in cards revenues and wealth management revenues, partially offset by lower retail lending revenues. Retail banking revenues were largely unchanged,increased 2%, driven by the same factors described above. Cards revenues increased 8%7%, driven by the same factors described above as well as a previously disclosed modest gain in the second quarter of 2017 related to the sale of merchant acquiring businesses in certain countries.
Expenses increased 2%, driven by the same factors described above.
Expenses increased 1%, driven by business volumes.
Provisions increased 5%,were largely unchanged, as lower net credit losses were offset by lower net credit reserve releases, primarily due to a higher net loan loss reserve build in the first quarter of 2017 related to the card portfolio acquisition in Australia, partially offset by lower net credit losses.Australia.









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 assets held less interest paid to customers on deposits and long- and short-term debt is recorded as Net interest revenue.
The amount and types of Markets revenues are impacted by a variety of interrelated factors, including market liquidity; changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices and credit spreads, as well as their implied volatilities; investor confidence; 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 aggregate level.
In the Markets businesses, client revenues are those revenues directly attributable to client transactions at the time of inception, including commissions, interest or fees earned. Client revenues do not include the results of client facilitation activities (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 98 countries and jurisdictions. At JuneSeptember 30, 2017, ICG had approximately $1.4 trillion of assets and $624$640 billion of deposits, while two of its businesses—securities services and issuer services—managed approximately $16.5$17.1 trillion of assets under custody compared to $15.3$15.4 trillion at the end of the prior-year period.
 

Second Quarter Six Months% ChangeThird Quarter Nine Months% Change
In millions of dollars, except as otherwise noted20172016% Change2017201620172016% Change20172016
Commissions and fees$1,020
$956
7 %$2,005
$1,960
2 %$1,036
$929
12 %$3,041
$2,889
5 %
Administration and other fiduciary fees719
638
13
1,363
1,235
10
710
610
16
2,073
1,845
12
Investment banking1,180
1,029
15
2,224
1,769
26
1,099
917
20
3,323
2,686
24
Principal transactions2,079
1,912
9
4,747
3,488
36
1,757
2,064
(15)6,504
5,552
17
Other(1)
240
46
NM
235
39
NM
704
(125)NM
939
(86)NM
Total non-interest revenue$5,238
$4,581
14 %$10,574
$8,491
25 %$5,306
$4,395
21 %$15,880
$12,886
23 %
Net interest revenue (including dividends)3,975
4,108
(3)7,765
8,093
(4)3,925
4,064
(3)11,690
12,157
(4)
Total revenues, net of interest expense$9,213
$8,689
6 %$18,339
$16,584
11 %$9,231
$8,459
9 %$27,570
$25,043
10 %
Total operating expenses$5,019
$4,763
5 %$9,964
$9,635
3 %$4,939
$4,687
5 %$14,903
$14,322
4 %
Net credit losses$71
$141
(50)%$96
$352
(73)%$44
$45
(2)%$140
$397
(65)%
Credit reserve build (release)(15)(26)42
(191)82
NM
(38)(93)59
(229)(11)NM
Provision (release) for unfunded lending commitments31
(33)NM
(23)38
NM
(170)(42)NM
(193)(4)NM
Provisions for credit losses$87
$82
6 %$(118)$472
NM
$(164)$(90)(82)%$(282)$382
NM
Income from continuing operations before taxes$4,107
$3,844
7 %$8,493
$6,477
31 %$4,456
$3,862
15 %$12,949
$10,339
25 %
Income taxes1,327
1,229
8
2,702
1,993
36
1,394
1,202
16
4,096
3,195
28
Income from continuing operations$2,780
$2,615
6 %$5,791
$4,484
29 %$3,062
$2,660
15 %$8,853
$7,144
24 %
Noncontrolling interests18
17
6
33
27
22
14
19
(26)47
46
2
Net income$2,762
$2,598
6 %$5,758
$4,457
29 %$3,048
$2,641
15 %$8,806
$7,098
24 %
EOP assets (in billions of dollars)
$1,353
$1,303
4 %  $1,370
$1,303
5 %  
Average assets (in billions of dollars)
1,360
1,300
5
$1,339
$1,286
4 %1,369
1,310
5
$1,349
$1,294
4 %
Return on average assets0.81%0.80%

0.87%0.70%

0.88%0.80%

0.87%0.73%

Efficiency ratio54
55


54
58


54
55


54
57


Revenues by region 

 

 

 

North America$3,568
$3,393
5 %$7,023
$6,373
10 %$3,638
$3,191
14 %$10,661
$9,564
11 %
EMEA2,837
2,577
10
5,644
4,744
19
2,655
2,506
6
8,299
7,250
14
Latin America1,042
1,022
2
2,169
1,984
9
1,059
999
6
3,228
2,983
8
Asia1,766
1,697
4
3,503
3,483
1
1,879
1,763
7
5,382
5,246
3
Total$9,213
$8,689
6 %$18,339
$16,584
11 %$9,231
$8,459
9 %$27,570
$25,043
10 %
Income from continuing operations by region 

  


 

  


North America$1,112
$1,005
11 %$2,212
$1,551
43 %$1,322
$1,067
24 %$3,534
$2,618
35 %
EMEA779
695
12
1,634
1,069
53
746
649
15
2,380
1,718
39
Latin America333
392
(15)808
722
12
380
389
(2)1,188
1,111
7
Asia556
523
6
1,137
1,142
—
614
555
11
1,751
1,697
3
Total$2,780
$2,615
6 %$5,791
$4,484
29 %$3,062
$2,660
15 %$8,853
$7,144
24 %
Average loans by region (in billions of dollars)
 

  


 

  


North America$146
$138
6 %$143
$135
6 %$152
$145
5 %$149
$142
5 %
EMEA67
67
—
66
65
2
71
68
4
68
66
3
Latin America37
38
(3)37
39
(5)34
36
(6)34
36
(6)
Asia62
61
2
61
61
—
64
58
10
61
58
5
Total$312
$304
3 %$307
$300
2 %$321
$307
5 %$312
$302
3 %
EOP deposits by business (in billions of dollars)
   

   

Treasury and trade solutions$421
$407
3 % 

$428
$417
3 % 

All other ICG businesses
203
202
—






212
202
5






Total$624
$609
2 %





$640
$619
3 %






(1)Third quarter of 2017 includes the $580 million gain on the sale of a fixed income analytics business. 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.
NM Not meaningful


ICG Revenue Details—Excluding Gain (Loss)Gains (Losses) on Loan Hedges
Second Quarter Six Months% ChangeThird Quarter Nine Months% Change
In millions of dollars20172016% Change2017201620172016% Change20172016
Investment banking revenue details
        
Advisory$314
$238
32 %$560
$465
20 %$237
$239
(1)%$797
$704
13 %
Equity underwriting295
174
70
530
292
82
290
146
99
820
438
87
Debt underwriting877
803
9
1,610
1,331
21
704
698
1
2,314
2,029
14
Total investment banking$1,486
$1,215
22 %$2,700
$2,088
29 %$1,231
$1,083
14 %$3,931
$3,171
24 %
Treasury and trade solutions2,065
1,999
3
4,140
3,902
6
2,144
1,986
8
6,284
5,888
7
Corporate lending—excluding (loss) on loan hedges(1)
477
383
25
911
831
10
Corporate lending—excluding gains/(losses) on loan hedges(1)
502
439
14
1,413
1,270
11
Private bank788
674
17
1,532
1,358
13
785
680
15
2,317
2,038
14
Total banking revenues (ex-gain/(loss) on loan hedges)$4,816
$4,271
13 %$9,283
$8,179
13 %
Corporate lending—gain/(loss) on loan hedges(1)
$9
$(203)NM
$(106)$(269)61 %
Total banking revenues (including gain/(loss) on loan hedges)$4,825
$4,068
19 %$9,177
$7,910
16 %
Total banking revenues (ex-gains/(losses) on loan hedges)$4,662
$4,188
11 %$13,945
$12,367
13 %
Corporate lending—gains/(losses) on loan hedges(1)
$(48)$(218)78 %$(154)$(487)68 %
Total banking revenues (including gains/(losses) on loan hedges)$4,614
$3,970
16 %$13,791
$11,880
16 %
Fixed income markets$3,215
$3,432
(6)%$6,837
$6,483
5 %$2,877
$3,413
(16)%$9,714
$9,896
(2)%
Equity markets691
776
(11)1,460
1,473
(1)757
654
16
2,217
2,127
4
Securities services584
529
10
1,127
1,090
3
599
533
12
1,726
1,623
6
Other(2)
(102)(116)12
(262)(372)30
384
(111)NM
122
(483)NM
Total markets and securities services revenues$4,388
$4,621
(5)%$9,162
$8,674
6 %$4,617
$4,489
3 %$13,779
$13,163
5 %
Total revenues, net of interest expense$9,213
$8,689
6 %$18,339
$16,584
11 %$9,231
$8,459
9 %$27,570
$25,043
10 %
Commissions and fees$154
$113
36 %$294
$237
24 %$167
$115
45 %$461
$352
31 %
Principal transactions(3)
1,890
1,765
7
4,208
3,109
35
1,546
1,825
(15)5,754
4,934
17
Other181
213
(15)330
429
(23)129
171
(25)459
600
(24)
Total non-interest revenue$2,225
$2,091
6 %$4,832
$3,775
28 %$1,842
$2,111
(13)%$6,674
$5,886
13 %
Net interest revenue990
1,341
(26)2,005
2,708
(26)1,035
1,302
(21)3,040
4,010
(24)
Total fixed income markets$3,215
$3,432
(6)%$6,837
$6,483
5 %$2,877
$3,413
(16)%$9,714
$9,896
(2)%
Rates and currencies$2,227
$2,461
(10)%$4,730
$4,697
1 %$2,161
$2,362
(9)%$6,891
$7,059
(2)%
Spread products / other fixed income988
971
2
2,107
1,786
18
716
1,051
(32)2,823
2,837
—
Total fixed income markets$3,215
$3,432
(6)%$6,837
$6,483
5 %$2,877
$3,413
(16)%$9,714
$9,896
(2)%
Commissions and fees$313
$319
(2)%$629
$676
(7)%$301
$302
— %$930
$978
(5)%
Principal transactions(3)
(25)(48)48
141
3
NM
190
45
NM
331
48
NM
Other(7)127
NM
1
129
(99)(5)4
NM
(4)133
NM
Total non-interest revenue$281
$398
(29)%$771
$808
(5)%$486
$351
38 %$1,257
$1,159
8 %
Net interest revenue410
378
8
689
665
4
271
303
(11)960
968
(1)
Total equity markets$691
$776
(11)%$1,460
$1,473
(1)%$757
$654
16 %$2,217
$2,127
4 %

(1)Hedges on accrual loans reflect the mark-to-market on creditCredit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual portfolio.loans and loans at fair value. Gains/(losses) on loan hedges includes the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup'sCitigroup’s results of operations excluding the impact of gain/(loss)gains/(losses) on loan hedges are non-GAAP financial measures.
(2)Third quarter of 2017 includes the $580 million gain on the sale of a fixed income analytics business. 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




2Q173Q17 vs. 2Q163Q16
Net income increased 6%15%, primarily driven by higher revenues, including the $580 million gain on the sale of a fixed income analytics business, and a higher benefit from cost of credit, partially offset by higher operating expenses.

Revenues increased 6%9%, reflecting higher revenues in Banking (increase of 19%16%; increase of 13%11% excluding gains and losses on hedges on accrual loans), offset by lowerloan hedges) and higher revenues in Markets and securities services (increase of 3%), including the gain on sale (decrease of 5%), primarily due to fixed income and equity markets.10% excluding the gain on sale). Banking revenues were driven by continued strong momentum and performance in equity capital markets and M&A advisory as well as improved performance in corporate lending and the private bank.across all businesses. Citi expects revenues in ICG, particularly in its Markets and securities services businesses, will likely continue to reflect the overall market environment, including a normal seasonal trends duringdecline in the remaindermarkets businesses in the fourth quarter of 2017, although ICG revenues may also be impacted by uncertainty around interest rates and tax reform legislation along with continued low market volatility.2017.

Within Banking:

Investment banking revenues increased 22%14%, driven by continued wallet share gains across products, partially offset by a decline in overall market wallet from the prior-year period. Advisory revenues declined 1%, largely reflecting the decline in overall market wallet. Equity underwriting revenues increased 99%, reflecting strength across all productssignificant wallet share gains and regions, particularlyparticular strength in North America and EMEA. Debt underwriting revenues increased 1%, despite a slightreflecting the wallet share gains, partially offset by the decline in overall market wallet from the prior-year period. Debt underwriting revenues increased 9%, reflecting continued momentum driven by wallet share gains. Equity underwriting revenues increased 70%, reflecting an increase in wallet share and higher overall market activity. Advisory revenues increased 32%, largely reflecting an increase in wallet share.wallet.
Treasury and trade solutions revenues increased 3%8%. Excluding the impact of FX translation, revenues increased 4%7%, primarily reflecting strength in North America, AsiaEMEA and EMEAAsia. The increase in revenues was driven by feereflects continued growth reflecting continued volume growthin loans and deposits along with improvements in deposit spreads, as well as improved deposit spreads, partially offsetfee growth driven by lower trade revenues. higher payment, clearing and commercial card volumes and episodic fees in trade.End-of-period deposit balances increased 3% (4%(2% excluding the impact of FX translation), driven by North America, while average. Average trade loans increased 4% (3% excluding the impact of FX translation)., driven by strong loan growth in Asia and EMEA.
Corporate lending revenues increased $306$233 million to $486$454 million. Excluding the mark-to-market impact of losses on loan hedges, revenues increased 25%, driven by North America14%. The increase in revenues was driven by lower hedging costs and the absence of a prior-period adjustment to the residual value of a lease financing transaction, while averageimproved loan sale activity. Average loans declined modestly (1%)1%.
Private bank revenues increased 17%15%, reflecting strength across all products, largely driven by North Americaand regions.Asia. The increase in revenues was driven bydue to growth in clients, higher loan and deposit growth, improvedvolumes, higher deposit spreads, higher managed investments revenues and increased capital markets activity.




 
Within Markets and securities services:

Fixed income markets revenues decreased 6%16%, driven by North America and EMEA, primarily due to lower revenues in North America, Asia and Latin America, as client activity was impacted by low volatility in the current quarter. Netquarter and the strong trading environment in the prior-year period. The decline in revenues was driven by lower net interest revenues were lowerrevenue (down 26%21%), largely due to a change in the mix of trading positions in support of client activity which was partially offset by higherand lower principal transactions revenues (up 7%(down 15%). reflecting the lower client activity and the prior-year strength in the trading environment. Rates and currencies revenues decreased 10%9%, reflecting weaker performance across all regions. The decrease was driven mainly by lower G10 rates and currencies revenues due to the low volatility in the current quarter and the comparison to higher revenues in the prior-year period following the vote in the U.K. in favor of its withdrawal from the European Union. G10Local markets rates and local marketscurrencies revenues were broadly stable.increased modestly, reflecting continued corporate client engagement across the global network. Spread products and other fixed income revenues increased 2%decreased 32%, primarily driven by higher client activitythe prior-year strength in the trading environment in securitized productsmarkets in North America and EMEA,as higher commodities and other fixed income revenues were offset bywell as lower credit products and municipals revenues.
Equity markets revenues decreased by 11%increased 16%, driven mainly by the absence of episodicclient-led growth, reflecting strength across regions. The increase in revenues was primarily due to higher equity derivatives revenues due to higher client activity inand a more favorable trading environment compared to the prior-year period, partially offsetperiod. The increase was also driven by continued momentum in cash equities and higher balances in prime finance. Principal transactions revenues increased, reflecting the client-led growth.
Securities services revenues increased 12%, reflecting particular strength in investor client activity, particularly in EMEAAsia and AsiaEMEA. Equity derivativesThe increase in revenues declined from the prior-year period due to the absence of episodic activity and the impact of low volatilitywas driven by growth in the current quarter. This was partially offset by higher prime finance and delta onefee revenues due to continued growth in client balances, as well as higher cash equities revenues. Commissions revenues declined slightly, reflecting the ongoing shift to electronic trading by clients across the industry.
Securities services revenues increased by 10%. Excluding the impact of FX translation, revenues increased 12%, reflecting strength in North America, Asia and Latin America. The increase was driven by growth in deposit balances and higher net interest revenues that benefited from the rising interest rate environment. Fee revenues continued to increase, driven by growth in assets under custody and the increased client volumes.volumes, as well as growth in net interest revenue driven by higher interest rates.

Expenses increased 5% as investments, volume-related expenses and higher incentive compensation, investmentslegal and volume-relatedrelated expenses were partially offset by a benefit from FX translation and efficiency savings.
Provisions increased 6% to $87 million, reflectingdecreased 82%, driven by a net loan loss reserve buildrelease of $16$208 million (compared to a $59$135 million release in the prior-year period, largely related to energy and energy-related exposures) and lower net credit losses of $71 million ($141 million in the prior-year period). The decline in net credit losses reflectedprimary driver of the current quarter’s release was an improvement in the energy sector.provision for unfunded lending commitments in the corporate loan portfolio.



2017 YTD vs. 2016 YTD
Net income increased 29%24%, primarily driven by higher revenues and lower credit costs, partially offset by higher expenses.

Revenuesincreased 11%10%, reflecting higher revenues in Markets and securities services (increase of 6%) and higher revenues in Banking (increase of 16%; increase of 13% excluding the impact of losses on hedgesloan hedges) and higher revenues in Markets and securities services (increase of 5%), including the gain on accrual loans)sale (unchanged excluding the gain on sale).

Within Banking:

Investment banking revenues increased 29%24%, largely reflecting year-over-year gains in wallet share andacross products as well as an improvement from the industry-wide slowdown in activity levels during the first half of 2016.2016, particularly in equity underwriting. Advisory revenues increased 20%13%, reflecting a strong performance in the first half of 2017.wallet share gains. Equity underwriting revenues increased 82%87%, while debtdriven by significant wallet share gains as well as the increase in overall market activity. Debt underwriting revenues increased 21%14%, both primarily due to increaseddriven by the wallet share as well as higher market activity.gains.
Treasury and trade solutions revenues increased 6%7%, primarily driven by continued growth in deposit and loan volumes, improvedhigher spreads and strong fee growth across most cash products.products, as well as a modest improvement in trade revenues.
Corporate lending revenues increased 43%61%. Excluding the impact of losses on loan hedges, on accrual loans, revenues increased 10%11%, driven by lower hedging costs in the current period, improved loan sale activity and the absence of a prior-period adjustment to the residual value of a lease financing transaction.financing.
Private bank revenues increased 13%14%, reflecting increasingstrength across all regions, primarily driven by increased loan and deposit growth, higher deposit spreads and volume growth, growth in loans and higher
managed investments revenues.

Within Markets and securities services:

Fixed income markets revenues increased by 5%decreased 2%, due to higherlower revenues in North America,Latin America, and Asia, partially offset by growth in EMEA. Rates and currencies revenues increased 1%decreased 2% due to higherlower G10 rates revenues in EMEA, partially offset by a decrease in G10and currencies revenues reflecting the low volatility this year and lower clientthe comparison to Brexit-led activity in all regions.the prior-year period. Spread products and other fixed income revenues increased 18%remained unchanged. Net interest revenue was lower (down 24%), primarilylargely due to a recovery from the challenging trading environmentchange in the prior-year period, particularlymix of trading positions in securitized products.support of client activity, partially offset by higher principal transactions revenues (up 17%).
Equity marketsmarkets revenues declined 1%increased 4%, as continued growth in client balances and higher client activity, particularly in EMEA and Asia, were more thanpartially offset by the absence of episodic activity in North America in the prior-year period. Equity derivatives revenues increased, driven by stronger trading performance compared to the prior-year period as well as higher investor client activity, partially offset by a modest decline in prime finance revenues due to spread mix. Cash equities revenues were modestly higher, driven by higher client activity in Asia, partially offset by lower activity in North America. Equity derivatives revenues declined, driven by the same factors described above. Cash equities revenues decreased primarily due to lower commissions in the first quarter of 2017. These declines were partially offset by higher revenues due to the continued growth in client balances in prime finance and delta one.
Securities services revenues increased 3%6%. Excluding the impact of prior-periodprior year divestitures, revenues grew 10%increased 11%, primarily driven bylargely due to higher deposit balances and higher net interest revenue, primarilyrevenues in North America,, Asia and
Latin America and EMEA, and higher fee revenue from growth in assets under custody and client volumes.driven by the same factors described above.

Expenses increased 3%4% from the prior-year period, driven by the same factors described above, partially offset by lower repositioning costs.
Provisions decreased $590$664 million, primarily reflecting a decline in net credit losses from $352$397 million in the prior-year period to $96$140 million and a net loan loss reserve release of $214$422 million ($12015 million buildrelease in the period-year period). This lower cost of credit was driven largely by improvement in the energy sector.sector, as well as the release related to the improvement in the provision for unfunded lending commitments.







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 (for additional information on Corporate/Other, see “Citigroup Segments” above). At JuneSeptember 30, 2017, Corporate/Other had $92$100 billion in assets, a decrease of 21%4% year-over-year and 11%3% from December 31, 2016.

Second Quarter Six Months% ChangeThird Quarter Nine Months% Change
In millions of dollars20172016% Change2017201620172016% Change20172016
Net interest revenue$491
$820
(40)%$1,036
$1,710
(39)%$507
$706
(28)%$1,543
$2,416
(36)%
Non-interest revenue162
365
(56)794
1,421
(44)2
431
(100)796
1,852
(57)
Total revenues, net of interest expense$653
$1,185
(45)%$1,830
$3,131
(42)%$509
$1,137
(55)%$2,339
$4,268
(45)%
Total operating expenses$990
$1,309
(24)%$2,107
$2,559
(18)%$822
$1,288
(36)%$2,929
$3,847
(24)%
Net credit losses$24
$101
(76)%$105
$243
(57)%$29
$131
(78)%$134
$374
(64)%
Credit reserve build (release)(154)(223)31
(189)(254)26
(79)(122)35
(268)(376)29
Provision (release) for unfunded lending commitments(2)(5)60
3
(6)NM
—
—
—
3
(6)NM
Provision for benefits and claims—
29
(100)1
89
(99)—
9
(100)1
98
(99)
Provisions for credit losses and for benefits and claims$(132)(98)(35)%$(80)72
NM
$(50)$18
NM
$(130)$90
NM
Income (loss) from continuing operations before taxes$(205)$(26)NM
$(197)$500
NM
$(263)$(169)(56)%$(460)$331
NM
Income taxes (benefits)(179)(173)(3)%(275)(92)NM
(164)(146)(12)%(439)(238)(84)%
Income (loss) from continuing operations$(26)$147
NM
$78
$592
(87)%$(99)$(23)NM
$(21)$569
NM
Income (loss) from discontinued operations, net of taxes21
(23)NM
3
(25)NM
(5)(30)83 %(2)(55)96 %
Net income (loss) before attribution of noncontrolling interests$(5)$124
NM
$81
$567
(86)%$(104)$(53)(96)%$(23)$514
NM
Noncontrolling interests10
8
25 %4
1
NM
(17)(5)NM
(13)(4)NM
Net income (loss)$(15)$116
NM
$77
$566
(86)%$(87)$(48)(81)%$(10)$518
NM


2Q173Q17 vs. 2Q163Q16
The net loss was $15$87 million, compared to a net income loss of $116$48 million in the prior-year period, due to lower revenues, partially offset by lower expenses and lower cost of credit.
Revenues decreased 45%55%, driven by continued legacy asset run-off, divestitures and divestiture activity, as well as the absence of gains related to debt buybacks in the prior-year period.lower revenue from treasury hedging activities.
Expenses decreased 24%36%, primarily driven by the wind-down of legacy assets.assets and lower legal expenses.
Provisions decreased 35%$68 million to a net benefit of $132$50 million, primarily due to lower net credit losses, partially offset by a lower net loan loss reserve release. Net credit losses declined 76%78% to $24$29 million, primarily reflecting the impact of ongoing divestiture activity. The provision for benefits and claims declined by $29 million to $0, reflecting continued legacy divestitures. The net reserve release declined 32%35%, mostly reflecting the continued wind-down of legacy activities, primarily in the North America mortgage portfolio. Citi expects that cost of credit in portfolio, partially offset by a hurricane-related loan loss reserve build (of approximately $20 million).Corporate/Other should be moderately higher in the near term due to normalization of credit costs.





 

2017 YTD vs. 2016 YTD
Year-to-date,, Corporate/Otherhas experienced similar trends to those described above. The Net incomenet loss declined 86%was $10 million, compared to $77net income of $518 million in the prior-year period, reflecting lower revenues, partially offset by lower expenses and lower cost of credit.
Revenues decreased 42%45%, primarily driven by the same factors described above and lower revenue from treasury hedging activity.as well as the absence of gains related to debt buybacks in 2016. Revenues in the current period included approximately $750 million in gains on asset sales in the first quarter of 2017, which more than offset a roughly $300 million charge related to the exit of Citi’s U.S. mortgage servicing operations.operations in the quarter.
Expenses decreased 18%24%, driven by the same factors described above, partially offset by approximately $100 million in episodic expenses primarily related to the exit of the U.S. mortgage servicing operations.
Provisions decreased by $152$220 million, driven by the same factors described above. Net credit losses declined 57%64% to $105$134 million, reflecting the impact of ongoing divestiture activity as well as continued wind-down in the legacy North Americamortgage portfolio. The provision for benefits and claims declined by $88$97 million, reflecting continued legacy divestitures. The net reserve release declined 28%31%, driven by the same factors described above.




OFF-BALANCE SHEET ARRANGEMENTS

The table below shows the location of a discussion of Citi’s various off-balance sheet arrangements in this Form 10-Q. For additional information on Citi’s off-balance sheet arrangements, see “Off-Balance Sheet Arrangements” and Notes 1, 21 and 26 to the Consolidated Financial Statements in Citigroup’s 2016 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 changes in interest and foreign exchange rates, as well as business and asset dispositions.
During the secondthird quarter of 2017, Citi returned a total of approximately $2.2$6.4 billion of capital to common shareholders in the form of share repurchases (approximately 2981 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 2016 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 Citigroup has effective capital planning processes as well as sufficient regulatory capital to absorb losses during stressful economic and financial conditions, while also meeting obligations to creditors and counterparties and continuing to serve as a credit intermediary. This annual assessment includes two related programs: the 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—Strategic Risks” in Citigroup’s 2016 Annual Report on Form 10-K.
In June 2017, the Federal Reserve Board expressed no objection to Citi’s capital plan, including requested capital actions, in conjunction with the 2017 CCAR. For additional information, see “Equity Security Repurchases” and “Dividends” below.








 
Current Regulatory Capital Standards
Citi is subject to regulatory capital standards issued by the Federal Reserve Board which constitute the U.S. Basel III rules. These rules establish an integrated capital adequacy framework, encompassing both risk-based capital ratios and leverage ratios. 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 2016 Annual Report on Form 10-K.

GSIB Surcharge
The Federal Reserve Board also adopted a rule that 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% to 4.5% of total risk-weighted assets. Citi’s initial GSIB surcharge effective January 1, 2016 was 3.5%. However, ongoing efforts in addressing quantitative measures of 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 2016 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 2016 Annual Report on Form 10-K.


Citigroup’s Capital Resources Under Current Regulatory Standards
Citi is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6% 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), were 6%, 7.5% and 9.5%, respectively.
Furthermore, to be “well capitalized” under current federal bank regulatory agency definitions, a bank holding
company must have a Tier 1 Capital ratio of at least 6%, 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 tables set forth the capital tiers, total risk-weighted assets and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citi as of JuneSeptember 30, 2017 and December 31, 2016.

Citigroup Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
June 30, 2017December 31, 2016September 30, 2017December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$163,786
$163,786
$167,378
$167,378
$162,008
$162,008
$167,378
$167,378
Tier 1 Capital179,544
179,544
178,387
178,387
177,304
177,304
178,387
178,387
Total Capital (Tier 1 Capital + Tier 2 Capital)204,790
216,927
202,146
214,938
202,643
214,787
202,146
214,938
Total Risk-Weighted Assets1,157,670
1,163,894
1,166,764
1,126,314
1,143,448
1,158,679
1,166,764
1,126,314
Credit Risk(1)
$755,530
$1,086,259
$773,483
$1,061,786
$756,529
$1,093,468
$773,483
$1,061,786
Market Risk77,140
77,635
64,006
64,528
64,368
65,211
64,006
64,528
Operational Risk325,000
—
329,275
—
322,551
—
329,275
—
Common Equity Tier 1 Capital ratio(2)
14.15%14.07%14.35%14.86%14.17%13.98%14.35%14.86%
Tier 1 Capital ratio(2)
15.51
15.43
15.29
15.84
15.51
15.30
15.29
15.84
Total Capital ratio(2)
17.69
18.64
17.33
19.08
17.72
18.54
17.33
19.08
In millions of dollars, except ratiosJune 30, 2017December 31, 2016September 30, 2017December 31, 2016
Quarterly Adjusted Average Total Assets(3)
 $1,815,196
 $1,768,415
 $1,838,307
 $1,768,415
Total Leverage Exposure(4)
 2,421,852
 2,351,883
 2,433,814
 2,351,883
Tier 1 Leverage ratio 9.89% 10.09% 9.64% 10.09%
Supplementary Leverage ratio 7.41
 7.58
 7.29
 7.58

(1)Under the U.S. Basel III rules, credit risk-weighted assets during the transition period reflect the effects of transitionaltransition arrangements related to regulatory capital adjustments and deductions and, as a result, will differ from credit risk-weighted assets derived under full implementation of the rules.
(2)As of JuneSeptember 30, 2017, Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework. As of December 31, 2016, Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s risk-based capital ratios at JuneSeptember 30, 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 JuneSeptember 30, 2017.





Components of Citigroup Capital Under Current Regulatory Standards (Basel III Transition Arrangements)
In millions of dollarsJune 30,
2017		December 31, 2016September 30,
2017		December 31, 2016
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$210,950
$206,051
$208,565
$206,051
Add: Qualifying noncontrolling interests212
259
209
259
Regulatory Capital Adjustments and Deductions:  
Less: Net unrealized losses on securities available-for-sale (AFS), net of tax(2)(3)
(20)(320)(34)(320)
Less: Defined benefit plans liability adjustment, net of tax(3)
(1,062)(2,066)(1,068)(2,066)
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(4)
(445)(560)(437)(560)
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax(3)(5)
(233)(37)(333)(37)
Less: Intangible assets:  
Goodwill, net of related deferred tax liabilities (DTLs)(6)
21,589
20,858
21,532
20,858
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related
DTLs(3)
3,670
2,926
3,528
2,926
Less: Defined benefit pension plan net assets(3)
637
514
576
514
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and
general business credit carry-forwards(3)(7)
16,666
12,802
16,054
12,802
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
and MSRs(3)(7)(8)
6,574
4,815
6,948
4,815
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$163,786
$167,378
$162,008
$167,378
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$19,069
$19,069
$19,069
$19,069
Qualifying trust preferred securities(9)
1,374
1,371
1,374
1,371
Qualifying noncontrolling interests134
17
118
17
Regulatory Capital Adjustment and Deductions:  
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax(3)(5)
(58)(24)(83)(24)
Less: Defined benefit pension plan net assets(3)
159
343
144
343
Less: DTAs arising from net operating loss, foreign tax credit and
general business credit carry-forwards(3)(7)
4,166
8,535
4,014
8,535
Less: Permitted ownership interests in covered funds(10)
495
533
1,128
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
57
61
62
61
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$15,758
$11,009
$15,296
$11,009
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
(Standardized Approach and Advanced Approaches)
$179,544
$178,387
$177,304
$178,387
Tier 2 Capital  
Qualifying subordinated debt$23,642
$22,818
$23,578
$22,818
Qualifying trust preferred securities(12)
324
317
329
317
Qualifying noncontrolling interests39
22
39
22
Eligible allowance for credit losses(13)
13,433
13,452
13,598
13,452
Regulatory Capital Adjustment and Deduction:  
Add: Unrealized gains on AFS equity exposures includable in Tier 2 Capital2
3
1
3
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
57
61
62
61
Total Tier 2 Capital (Standardized Approach)$37,383
$36,551
$37,483
$36,551
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$216,927
$214,938
$214,787
$214,938
Adjustment for excess of eligible credit reserves over expected credit losses(13)
$(12,137)$(12,792)$(12,144)$(12,792)
Total Tier 2 Capital (Advanced Approaches)

$25,246
$23,759
$25,339
$23,759
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$204,790
$202,146
$202,643
$202,146

Footnotes are presented on the following page.



(1)Issuance costs of $184 million related to noncumulative perpetual preferred stock outstanding at JuneSeptember 30, 2017 and December 31, 2016 are excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. generally accepted accounting principles (GAAP).
(2)In addition, includes the net amount of unamortized loss on held-to-maturity (HTM) securities. This amount relates to securities that were previously transferred from AFS to HTM, and non-credit-related factors such as changes in interest rates and liquidity spreads for HTM securities with other-than-temporary impairment.
(3)The transition arrangements for significant regulatory capital adjustments and deductions impacting Common Equity Tier 1 Capital and Additional Tier 1 Capital are set forth in the chart entitled “Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions,” as presented in Citigroup’s 2016 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 Accumulated other comprehensive income (loss) (AOCI) that relate to the hedging of items not recognized at fair value on the balance sheet.
(5)The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected, and own-credit valuation adjustments on derivatives, are excluded from Common Equity Tier 1 Capital and Additional Tier 1 Capital, in accordance with the U.S. Basel III rules.
(6)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
(7)Of Citi’s approximately $45.8$45.5 billion of net DTAs at JuneSeptember 30, 2017, approximately $19.8$19.9 billion were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $26.0$25.6 billion were excluded. Excluded from Citi’s regulatory capital at JuneSeptember 30, 2017 was in total approximately $27.4$27.0 billion of net DTAs arising from both net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences, of which approximately $23.2$23.0 billion were deducted from Common Equity Tier 1 Capital and approximately $4.2$4.0 billion were deducted from Additional Tier 1 Capital, which was reduced by approximately $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 fullsolely from Common Equity Tier 1 Capital under these rules, if in excess of 10%/15% limitations.
(8)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At JuneSeptember 30, 2017 and December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $6.6$6.9 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at JuneSeptember 30, 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.
(9)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(10)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act 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.
(11)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(12)Effective January 1, 2016, non-grandfathered trust preferred securities are not eligible for inclusion in Tier 1 Capital, but are eligible for inclusion in Tier 2 Capital subject to full phase-out by January 1, 2022. Non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital in an amount up to 50% and 60% during 2017 and 2016, respectively, of the aggregate outstanding principal amounts of such issuances as of January 1, 2014, in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules.
(13)Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $1.3$1.5 billion and $0.7 billion at JuneSeptember 30, 2017 and December 31, 2016, respectively.


Citigroup Capital Rollforward Under Current Regulatory Standards (Basel III Transition Arrangements)
In millions of dollarsThree Months Ended   June 30, 2017Six Months Ended     June 30, 2017
Common Equity Tier 1 Capital, beginning of period(1)
$161,388
$167,378
Net income3,872
7,962
Common and preferred stock dividends declared(765)(1,511)
Net increase in treasury stock(1,762)(3,699)
Net change in common stock and additional paid-in capital184
(245)
Net decrease in foreign currency translation adjustment net of hedges, net of tax643
1,961
Net change in unrealized losses on securities AFS, net of tax(22)397
Net increase in defined benefit plans liability adjustment, net of tax(108)(1,151)
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
11
52
Net increase in goodwill, net of related DTLs(141)(731)
Net change in identifiable intangible assets other than MSRs, net of related DTLs120
(744)
Net change in defined benefit pension plan net assets32
(123)
Net change in DTAs arising from net operating loss, foreign tax credit and
    general business credit carry-forwards
196
(3,864)
Net change in excess over 10%/15% limitations for other DTAs, certain common
    stock investments and MSRs
123
(1,759)
Other15
(137)
Net change in Common Equity Tier 1 Capital$2,398
$(3,592)
Common Equity Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$163,786
$163,786
Additional Tier 1 Capital, beginning of period$15,439
$11,009
Net increase in qualifying trust preferred securities2
3
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
23
34
Net decrease in defined benefit pension plan net assets8
184
Net decrease in DTAs arising from net operating loss, foreign tax credit and
    general business credit carry-forwards
49
4,369
Net decrease in permitted ownership interests in covered funds123
38
Other114
121
Net increase in Additional Tier 1 Capital$319
$4,749
Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$179,544
$179,544
Tier 2 Capital, beginning of period (Standardized Approach)$36,976
$36,551
Net increase in qualifying subordinated debt364
824
Net increase in qualifying trust preferred securities5
7
Net change in eligible allowance for credit losses26
(19)
Other12
20
Net increase in Tier 2 Capital (Standardized Approach)$407
$832
Tier 2 Capital, end of period (Standardized Approach)$37,383
$37,383
Total Capital, end of period (Standardized Approach)$216,927
$216,927
   
Tier 2 Capital, beginning of period (Advanced Approaches)$24,396
$23,759
Net increase in qualifying subordinated debt364
824
Net increase in qualifying trust preferred securities5
7
Net increase in excess of eligible credit reserves over expected credit losses469
636
Other12
20
Net increase in Tier 2 Capital (Advanced Approaches)$850
$1,487
Tier 2 Capital, end of period (Advanced Approaches)$25,246
$25,246
Total Capital, end of period (Advanced Approaches)$204,790
$204,790

Footnote is presented on the following page.
In millions of dollarsThree Months Ended 
 September 30, 2017		Nine Months Ended  
  September 30, 2017
Common Equity Tier 1 Capital, beginning of period$163,786
$167,378
Net income4,133
12,095
Common and preferred stock dividends declared(1,137)(2,648)
Net increase in treasury stock(5,487)(9,186)
Net change in common stock and additional paid-in capital98
(147)
Net decrease in foreign currency translation adjustment net of hedges, net of tax218
2,179
Net change in unrealized losses on securities AFS, net of tax(52)345
Net increase in defined benefit plans liability adjustment, net of tax(23)(1,174)
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
(23)29
Net change in goodwill, net of related DTLs57
(674)
Net change in identifiable intangible assets other than MSRs, net of related DTLs142
(602)
Net change in defined benefit pension plan net assets61
(62)
Net change in DTAs arising from net operating loss, foreign tax credit and
    general business credit carry-forwards
612
(3,252)
Net increase in excess over 10%/15% limitations for other DTAs, certain common
    stock investments and MSRs
(374)(2,133)
Other(3)(140)
Net decrease in Common Equity Tier 1 Capital$(1,778)$(5,370)
Common Equity Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$162,008
$162,008
Additional Tier 1 Capital, beginning of period$15,758
$11,009
Net increase in qualifying trust preferred securities—
3
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
25
59
Net decrease in defined benefit pension plan net assets15
199
Net decrease in DTAs arising from net operating loss, foreign tax credit and
    general business credit carry-forwards
152
4,521
Net increase in permitted ownership interests in covered funds(633)(595)
Other(21)100
Net change in Additional Tier 1 Capital$(462)$4,287
Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$177,304
$177,304
Tier 2 Capital, beginning of period (Standardized Approach)$37,383
$36,551
Net change in qualifying subordinated debt(64)760
Net increase in qualifying trust preferred securities5
12
Net increase in eligible allowance for credit losses165
146
Other(6)14
Net increase in Tier 2 Capital (Standardized Approach)$100
$932
Tier 2 Capital, end of period (Standardized Approach)$37,483
$37,483
Total Capital, end of period (Standardized Approach)$214,787
$214,787
   
Tier 2 Capital, beginning of period (Advanced Approaches)$25,246
$23,759
Net change in qualifying subordinated debt(64)760
Net increase in qualifying trust preferred securities5
12
Net increase in excess of eligible credit reserves over expected credit losses158
794
Other(6)14
Net increase in Tier 2 Capital (Advanced Approaches)$93
$1,580
Tier 2 Capital, end of period (Advanced Approaches)$25,339
$25,339
Total Capital, end of period (Advanced Approaches)$202,643
$202,643


(1)
The beginning balance of Common Equity Tier 1 Capital for the three months ended June 30, 2017 has been restated to reflect the modified retrospective adoption of Accounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which amends the amortization period for certain purchased callable debt securities held at a premium. For additional information regarding ASU 2017-08, see Note 1 to the Consolidated Financial Statements.


Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Standardized Approach with Transition Arrangements)
In millions of dollarsThree Months Ended 
 June 30, 2017		Six Months Ended  
  June 30, 2017		Three Months Ended 
 September 30, 2017		Nine Months Ended  
September 30, 2017
Total Risk-Weighted Assets, beginning of period$1,142,559
$1,126,314
$1,163,894
$1,126,314
Changes in Credit Risk-Weighted Assets  
Net increase in general credit risk exposures(1)
20,345
13,643
1,511
15,154
Net increase in repo-style transactions(2)418
6,988
8,430
15,417
Net decrease in securitization exposures(3)(2,096)(2,054)(4,129)(6,183)
Net increase in equity exposures212
747
809
1,556
Net change in over-the-counter (OTC) derivatives2,277
(1,080)
Net increase in other exposures(2)
7
2,907
Net increase in over-the-counter (OTC) derivatives(4)
2,827
1,746
Net change in other exposures(5)
(1,508)1,401
Net change in off-balance sheet exposures(3)(6)
(4,937)3,322
(731)2,591
Net increase in Credit Risk-Weighted Assets$16,226
$24,473
$7,209
$31,682
Changes in Market Risk-Weighted Assets  
Net increase in risk levels(4)
$5,138
$15,890
Net change in risk levels(7)
$(1,727)$14,163
Net decrease due to model and methodology updates(5)(8)
(29)(2,783)(10,697)(13,480)
Net increase in Market Risk-Weighted Assets$5,109
$13,107
Net change in Market Risk-Weighted Assets$(12,424)$683
Total Risk-Weighted Assets, end of period$1,163,894
$1,163,894
$1,158,679
$1,158,679

(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three and sixnine months ended JuneSeptember 30, 2017 primarily due to corporate loan growth.
(2)Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions.
(3)Securitization exposures decreased during the three and nine months ended September 30, 2017 principally as a result of certain securitization exposures becoming subject to deduction from Tier 1 Capital under the Volcker Rule of the Dodd-Frank Act.
(4)OTC derivatives increased during the three and nine months ended September 30, 2017 primarily due to increased trade volume.
(5)Other exposures include cleared transactions, unsettled transactions, and other assets.
(3)Off-balance sheet Other exposures decreased during the three months ended JuneSeptember 30, 2017, as growth in cleared transactions was more than offset by the impact of supervisory guidance on the regulatory capital treatment of certain centrally cleared derivatives. Other exposures increased during the nine months ended September 30, 2017 primarily due to the changegrowth in risk-weighting treatment applicable to certain corporate card commitments. cleared transactions.
(6)Off-balance sheet exposures increased during the sixnine months ended JuneSeptember 30, 2017, as the growth in corporate exposures and reduced hedging benefits during the first quarter of 2017 more than offset the decline in off-balance sheet exposures during the second and third quarter of 2017.
(4)(7)Risk levels decreased during the three months ended September 30, 2017 primarily due to a decrease in exposure levels subject to Stressed Value at Risk and Value at Risk. Risk levels increased during the three and sixnine months ended JuneSeptember 30, 2017 primarily due to an increase in exposure levels subject to Stressed Value at Risk and comprehensive risk, as well as an increase in positions subject to securitization charges and standard specific risk charges.
(5)(8)Risk-weighted assets declined during the sixthree and nine months ended JuneSeptember 30, 2017, dueas Citi received supervisory approval to remove the Comprehensive Risk Measure model surcharge for correlation trading portfolios, commencing with the third quarter of 2017. Further contributing to the decline in risk-weighted assets during the three and nine months ended September 30, 2017, were changes in model inputs regarding volatility as well as methodology changes for standard specificand the correlation between market risk charges.factors.



Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsThree Months Ended   June 30, 2017Six Months Ended     June 30, 2017Three Months Ended 
 September 30, 2017		Nine Months Ended  
  September 30, 2017
Total Risk-Weighted Assets, beginning of period$1,166,181
$1,166,764
$1,157,670
$1,166,764
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(1)
(4,343)(8,655)
Net change in wholesale exposures(2)
(4,029)416
Net change in retail exposures(1)
1,898
(6,757)
Net decrease in wholesale exposures(2)
(6,362)(5,946)
Net increase in repo-style transactions(3)199
2
4,658
4,660
Net decrease in securitization exposures(4)(1,880)(2,115)(4,362)(6,477)
Net increase in equity exposures134
599
737
1,336
Net decrease in over-the-counter (OTC) derivatives(1,898)(6,097)
Net decrease in derivatives CVA(39)(1,100)
Net change in other exposures(3)
1,636
(49)
Net change in over-the-counter (OTC) derivatives(5)
1,088
(5,009)
Net change in derivatives CVA1,017
(83)
Net increase in other exposures(6)
2,326
2,277
Net decrease in supervisory 6% multiplier(4)(7)
(611)(954)(1)(955)
Net decrease in Credit Risk-Weighted Assets$(10,831)$(17,953)
Net change in Credit Risk-Weighted Assets$999
$(16,954)
Changes in Market Risk-Weighted Assets  
Net increase in risk levels(5)
$4,922
$15,917
Net change in risk levels(8)
$(2,075)$13,842
Net decrease due to model and methodology updates(6)(9)
(29)(2,783)(10,697)(13,480)
Net increase in Market Risk-Weighted Assets$4,893
$13,134
Net decrease in Operational Risk-Weighted Assets(7)
$(2,573)$(4,275)
Net change in Market Risk-Weighted Assets$(12,772)$362
Net decrease in Operational Risk-Weighted Assets(10)
$(2,449)$(6,724)
Total Risk-Weighted Assets, end of period$1,157,670
$1,157,670
$1,143,448
$1,143,448

(1)Retail exposures decreasedincreased during the three and six months ended JuneSeptember 30, 2017 primarily due to model enhancements. Retail exposures decreased during the nine months ended September 30, 2017 principally resulting from residential mortgage loan sales and repayments, and divestitures of certain legacy assets and reductions in qualifying revolving (cards) exposures, partially offset by the impact of FX translation.assets.
(2)Wholesale exposures decreased during the three months ended JuneSeptember 30, 2017 as the impact of certain loan syndications more than offset corporate loan growth. Wholesale exposures decreased during the nine months ended September 30, 2017 primarily due to annual updates to model parameters. Wholesale exposures increased during the six months ended June 30, 2017 primarily due to increases in commercial loans and loan commitments, as well as the impact of FX translation.
(3)Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions.
(4)Securitization exposures decreased during the three and nine months ended September 30, 2017 principally as a result of certain securitization exposures becoming subject to deduction from Tier 1 Capital under the Volcker Rule of the Dodd-Frank Act.
(5)OTC derivatives increased during the three months ended September 30, 2017 primarily due to changes in fair value. OTC derivatives decreased during the nine months ended September 30, 2017 primarily due to changes in fair value and improved portfolio credit quality.
(6)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories, and non-material portfolios. Other exposures increased during the three and nine months ended September 30, 2017 primarily due to increases in cleared transactions.
(4)(7)Supervisory 6% multiplier does not apply to derivatives CVA.
(5)(8)Risk levels decreased during the three months ended September 30, 2017 primarily due to a decrease in exposure levels subject to Stressed Value at Risk and Value at Risk. Risk levels increased during the three and sixnine months ended JuneSeptember 30, 2017 primarily due to an increase in exposure levels subject to Stressed Value at Risk and comprehensive risk, as well as an increase in positions subject to securitization charges.
(6)Risk-weighted assets declined during the six months ended June 30, 2017 due to changes in model inputs regarding volatility, as well as methodology changes forcharges and standard specific risk charges.
(7)(9)Risk-weighted assets declined during the three and nine months ended September 30, 2017, as Citi received supervisory approval to remove the Comprehensive Risk Measure model surcharge for correlation trading portfolios, commencing with the third quarter of 2017. Further contributing to the decline in risk-weighted assets during the three and nine months ended September 30, 2017, were changes in model inputs regarding volatility and the correlation between market risk factors.
(10)Operational risk-weighted assets decreased during the three and sixnine months ended JuneSeptember 30, 2017 primarily due to quarterly updatesassessed improvements in the business environment and risk controls. Further contributing to model parameters.the decline in operational risk-weighted assets during the nine months ended September 30, 2017 were changes in operational loss severity and frequency.



Capital Resources of Citigroup’s Subsidiary U.S. Depository Institutions Under Current Regulatory Standards
Citigroup’s subsidiary U.S. depository institutions are also subject to regulatory capital standards issued by their respective primary federal bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
During 2017, Citi’s primary subsidiary U.S. depository institution, Citibank, N.A. (Citibank), is subject to effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios, inclusive of the 50% phase-in of the 2.5% Capital Conservation Buffer, of 5.75%, 7.25% and 9.25%, respectively. Citibank’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total
Capital ratios during 2016, inclusive of the 25% phase-in of
the 2.5% Capital Conservation Buffer, were 5.125%, 6.625% and 8.625%, respectively. Citibank is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6% and 8%, respectively.
The following tables set forth the capital tiers, total risk-weighted assets and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citibank, Citi’s primary subsidiary U.S. depository institution, as of JuneSeptember 30, 2017 and December 31, 2016.
Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
June 30, 2017December 31, 2016September 30, 2017December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$127,728
$127,728
$126,220
$126,220
$129,170
$129,170
$126,220
$126,220
Tier 1 Capital129,099
129,099
126,465
126,465
130,564
130,564
126,465
126,465
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
142,010
152,802
138,821
150,291
143,608
154,424
138,821
150,291
Total Risk-Weighted Assets963,668
1,029,517
973,933
1,001,016
962,968
1,044,808
973,933
1,001,016
Credit Risk$666,691
$995,230
$669,920
$955,767
Market Risk48,496
49,578
44,579
45,249
Operational Risk247,781
—
259,434
—
Common Equity Tier 1 Capital ratio(2)(3)
13.25%12.41%12.96%12.61%13.41%12.36%12.96%12.61%
Tier 1 Capital ratio(2)(3)
13.40
12.54
12.99
12.63
13.56
12.50
12.99
12.63
Total Capital ratio(2)(3)
14.74
14.84
14.25
15.01
14.91
14.78
14.25
15.01
In millions of dollars, except ratiosJune 30, 2017December 31, 2016September 30, 2017December 31, 2016
Quarterly Adjusted Average Total Assets(4)
 $1,376,154
 $1,333,161
 $1,396,879
 $1,333,161
Total Leverage Exposure(5)
 1,917,020
 1,859,394
 1,929,785
 1,859,394
Tier 1 Leverage ratio(3)
 9.38% 9.49% 9.35% 9.49%
Supplementary Leverage ratio 6.73
 6.80
 6.77
 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 JuneSeptember 30, 2017, Citibank’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Standardized Approach. As of December 31, 2016, Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach. As of June 30, 2017 and December 31, 2016, Citibank’sApproach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework.
(3)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 2016 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 risk-based capital ratios at JuneSeptember 30, 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 JuneSeptember 30, 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 and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), under current regulatory capital standards (reflecting Basel III Transition Arrangements), as of JuneSeptember 30, 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 Approaches0.91.20.91.30.91.50.91.20.91.40.91.6
Standardized Approach0.91.20.91.30.91.60.91.20.91.30.91.6
Citibank            
Advanced Approaches1.01.41.01.41.01.51.01.41.01.41.01.6
Standardized Approach1.01.21.01.21.01.41.01.21.01.21.01.4

Impact of Changes on Citigroup and Citibank Leverage Ratios (Basel III Transition Arrangements)
Tier 1 Leverage ratioSupplementary Leverage ratioTier 1 Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup0.60.50.40.30.50.50.40.3
Citibank0.70.70.50.40.70.70.50.4

Citigroup Broker-Dealer Subsidiaries
At JuneSeptember 30, 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 $10.7$10.5 billion, which exceeded the minimum requirement by approximately $8.8$8.5 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 approximately $17.5$17.2 billion at JuneSeptember 30, 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 JuneSeptember 30, 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 an 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 tables set forth the capital tiers, total risk-weighted assets and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios, assuming full implementation under the U.S. Basel III rules, for Citi as of JuneSeptember 30, 2017 and December 31, 2016.

 
At JuneSeptember 30, 2017, Citi’s constraining Common Equity Tier 1 Capital and Tier 1 Capital ratios were those derived under the Basel III Standardized Approach, whereas Citi’s binding Total Capital ratio was that resulting from application of the Basel III Advanced Approaches.Approaches framework. Further, each of Citi’s risk-based capital ratios was constrained by the Basel III Advanced Approaches framework for all periods prior periods.to June 30, 2017.
Citigroup Capital Components and Ratios Under Basel III (Full Implementation)
June 30, 2017December 31, 2016September 30, 2017December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$155,174
$155,174
$149,516
$149,516
$153,534
$153,534
$149,516
$149,516
Tier 1 Capital175,129
175,129
169,390
169,390
172,849
172,849
169,390
169,390
Total Capital (Tier 1 Capital + Tier 2 Capital)200,382
212,519
193,160
205,975
198,195
210,339
193,160
205,975
Total Risk-Weighted Assets1,183,399
1,188,167
1,189,680
1,147,956
1,169,142
1,182,918
1,189,680
1,147,956
Credit Risk$781,259
$1,110,532
$796,399
$1,083,428
$782,223
$1,117,707
$796,399
$1,083,428
Market Risk77,140
77,635
64,006
64,528
64,368
65,211
64,006
64,528
Operational Risk325,000
—
329,275
—
322,551
—
329,275
—
Common Equity Tier 1 Capital ratio(1)(2)
13.11%13.06%12.57%13.02%13.13%12.98%12.57%13.02%
Tier 1 Capital ratio(1)(2)
14.80
14.74
14.24
14.76
14.78
14.61
14.24
14.76
Total Capital ratio(1)(2)
16.93
17.89
16.24
17.94
16.95
17.78
16.24
17.94
In millions of dollars, except ratiosJune 30, 2017December 31, 2016September 30, 2017December 31, 2016
Quarterly Adjusted Average Total Assets(3)
 $1,812,001
 $1,761,923
 $1,835,074
 $1,761,923
Total Leverage Exposure(4)
 2,418,658
 2,345,391
 2,430,582
 2,345,391
Tier 1 Leverage ratio(2)
 9.66% 9.61% 9.42% 9.61%
Supplementary Leverage ratio(2)
 7.24
 7.22
 7.11
 7.22

(1)As of JuneSeptember 30, 2017, Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework. As of December 31, 2016, Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(2)Citi’s Basel III risk-based capital and leverage ratios and related components, on a fully implemented basis, are non-GAAP financial measures.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.


Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 13.1%13.0% at JuneSeptember 30, 2017, compared to 12.8%13.1% at March 31,June 30, 2017 and 12.6% at December 31, 2016. The ratio declined quarter-over-quarter increase inas the ratio was primarily due tofavorable effects associated with quarterly net income of $3.9$4.1 billion and a slight decline in total risk-weighted assets were more than offset by the return of $6.4 billion of capital to common shareholders during the period. The growth in Citi’s Common Equity Tier 1 Capital ratio from year-end 2016 reflected continued enhancement of Common Equity Tier 1 Capital resulting from year-to-date net income of $12.1 billion and beneficial net movements in AOCI, offset in part by the return of approximately $2.2$10.8 billion of capital to common shareholders. The growth in Citi’s Common Equity Tier 1 Capital ratio from year-end 2016 reflected continued growth in Common Equity Tier 1 Capital resulting from year-to-date net incomeshareholders during the first nine months of $8 billion and beneficial net movements in AOCI, offset in part by the return of approximately $4.5 billion of capital to common shareholders.2017.



Components of Citigroup Capital Under Basel III (Full Implementation)
In millions of dollarsJune 30,
2017		December 31, 2016September 30,
2017		December 31, 2016
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$210,950
$206,051
$208,565
$206,051
Add: Qualifying noncontrolling interests143
129
144
129
Regulatory Capital Adjustments and Deductions:  
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(2)
(445)(560)(437)(560)
Less: Cumulative unrealized net loss related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax(3)
(291)(61)(416)(61)
Less: Intangible assets:  
Goodwill, net of related DTLs(4)
21,589
20,858
21,532
20,858
Identifiable intangible assets other than MSRs, net of related DTLs
4,587
4,876
4,410
4,876
Less: Defined benefit pension plan net assets796
857
720
857
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards(5)
20,832
21,337
20,068
21,337
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
and MSRs(5)(6)
8,851
9,357
9,298
9,357
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$155,174
$149,516
$153,534
$149,516
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$19,069
$19,069
$19,069
$19,069
Qualifying trust preferred securities(7)
1,374
1,371
1,374
1,371
Qualifying noncontrolling interests64
28
62
28
Regulatory Capital Deductions:  
Less: Permitted ownership interests in covered funds(8)
495
533
1,128
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
57
61
62
61
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$19,955
$19,874
$19,315
$19,874
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
(Standardized Approach and Advanced Approaches)
$175,129
$169,390
$172,849
$169,390
Tier 2 Capital  
Qualifying subordinated debt$23,642
$22,818
$23,578
$22,818
Qualifying trust preferred securities(10)
324
317
329
317
Qualifying noncontrolling interests48
36
47
36
Eligible allowance for credit losses(11)
13,433
13,475
13,598
13,475
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
57
61
62
61
Total Tier 2 Capital (Standardized Approach)$37,390
$36,585
$37,490
$36,585
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$212,519
$205,975
$210,339
$205,975
Adjustment for excess of eligible credit reserves over expected credit losses(11)
$(12,137)$(12,815)$(12,144)$(12,815)
Total Tier 2 Capital (Advanced Approaches)

$25,253
$23,770
$25,346
$23,770
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$200,382
$193,160
$198,195
$193,160

(1)Issuance costs of $184 million related to noncumulative perpetual preferred stock outstanding at JuneSeptember 30, 2017 and December 31, 2016 are excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in AOCI that relate to the hedging of items not recognized at fair value on the balance sheet.
(3)The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected, and own-credit valuation adjustments on derivatives, are excluded from Common Equity Tier 1 Capital, in accordance with the U.S. Basel III rules.
(4)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.



Footnotes continue on the following page.




(5)Of Citi’s approximately $45.8$45.5 billion of net DTAs at JuneSeptember 30, 2017, approximately $17.6 billion were includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while approximately $28.2$27.9 billion were excluded. Excluded from Citi’s Common Equity Tier 1 Capital at JuneSeptember 30, 2017 was ain total of approximately $29.7$29.3 billion of net DTAs arising from both net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences, which was reduced by approximately $1.5$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 fullyentirely 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 under these rules, if in excess of 10%/15% limitations.
(6)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At JuneSeptember 30, 2017 and December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $8.9$9.3 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at JuneSeptember 30, 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”Risks��� in Citigroup’s 2016 Annual Report on Form 10-K.
(7)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(8)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act 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.
(9)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(10)Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.
(11)Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $1.3$1.5 billion and $0.7 billion at JuneSeptember 30, 2017 and December 31, 2016, respectively.







Citigroup Capital Rollforward Under Basel III (Full Implementation)
In millions of dollarsThree Months Ended   June 30, 2017Six Months Ended     June 30, 2017Three Months Ended 
 September 30, 2017		Nine Months Ended  
  September 30, 2017
Common Equity Tier 1 Capital, beginning of period(1)
$152,664
$149,516
$155,174
$149,516
Net income3,872
7,962
4,133
12,095
Common and preferred stock dividends declared(765)(1,511)(1,137)(2,648)
Net increase in treasury stock(1,762)(3,699)(5,487)(9,186)
Net change in common stock and additional paid-in capital184
(245)98
(147)
Net decrease in foreign currency translation adjustment net of hedges, net of tax643
1,961
218
2,179
Net change in unrealized losses on securities AFS, net of tax(27)697
(66)631
Net increase in defined benefit plans liability adjustment, net of tax(135)(147)(29)(176)
Net change in adjustment related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
34
86
2
88
Net increase in goodwill, net of related DTLs(141)(731)
Net change in goodwill, net of related DTLs57
(674)
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs151
289
177
466
Net decrease in defined benefit pension plan net assets40
61
76
137
Net decrease in DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards
245
505
764
1,269
Net decrease in excess over 10%/15% limitations for other DTAs, certain common stock
investments and MSRs
161
506
Net change in excess over 10%/15% limitations for other DTAs, certain common stock
investments and MSRs
(447)59
Other10
(76)1
(75)
Net increase in Common Equity Tier 1 Capital$2,510
$5,658
Net change in Common Equity Tier 1 Capital$(1,640)$4,018
Common Equity Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$155,174
$155,174
$153,534
$153,534
Additional Tier 1 Capital, beginning of period$19,791
$19,874
$19,955
$19,874
Net increase in qualifying trust preferred securities2
3
—
3
Net decrease in permitted ownership interests in covered funds123
38
Net increase in permitted ownership interests in covered funds(633)(595)
Other39
$40
(7)33
Net increase in Additional Tier 1 Capital$164
$81
Net decrease in Additional Tier 1 Capital$(640)$(559)
Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$175,129
$175,129
$172,849
$172,849
Tier 2 Capital, beginning of period (Standardized Approach)$36,981
$36,585
$37,390
$36,585
Net increase in qualifying subordinated debt364
824
Net change in eligible allowance for credit losses26
(42)
Net change in qualifying subordinated debt(64)760
Net increase in eligible allowance for credit losses165
123
Other19
23
(1)22
Net increase in Tier 2 Capital (Standardized Approach)$409
$805
$100
$905
Tier 2 Capital, end of period (Standardized Approach)$37,390
$37,390
$37,490
$37,490
Total Capital, end of period (Standardized Approach)$212,519
$212,519
$210,339
$210,339
  
Tier 2 Capital, beginning of period (Advanced Approaches)$24,401
$23,770
$25,253
$23,770
Net increase in qualifying subordinated debt364
824
Net change in qualifying subordinated debt(64)760
Net increase in excess of eligible credit reserves over expected credit losses469
636
158
794
Other19
23
(1)22
Net increase in Tier 2 Capital (Advanced Approaches)$852
$1,483
$93
$1,576
Tier 2 Capital, end of period (Advanced Approaches)$25,253
$25,253
$25,346
$25,346
Total Capital, end of period (Advanced Approaches)$200,382
$200,382
$198,195
$198,195

(1)
The beginning balance of Common Equity Tier 1 Capital for the three months ended June 30, 2017 has been restated to reflect the modified retrospective adoption of Accounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which amends the amortization period for certain purchased callable debt securities held at a premium. For additional information regarding ASU 2017-08, see Note 1 to the Consolidated Financial Statements.




Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach with Full Implementation)
In millions of dollarsThree Months Ended 
 June 30, 2017		Six Months Ended  
  June 30, 2017		Three Months Ended 
 September 30, 2017		Nine Months Ended  
September 30, 2017
Total Risk-Weighted Assets, beginning of period$1,166,409
$1,147,956
$1,188,167
$1,147,956
Changes in Credit Risk-Weighted Assets  
Net increase in general credit risk exposures(1)
20,345
13,643
1,511
15,154
Net increase in repo-style transactions418
6,988
8,430
15,417
Net decrease in securitization exposures(2,096)(2,054)(4,129)(6,183)
Net increase in equity exposures225
836
1,003
1,839
Net change in over-the-counter (OTC) derivatives2,277
(1,080)
Net increase in other exposures(2)
417
5,449
Net increase in over-the-counter (OTC) derivatives2,827
1,746
Net change in other exposures(2)
(1,736)3,715
Net change in off-balance sheet exposures(4,937)3,322
(731)2,591
Net increase in Credit Risk-Weighted Assets$16,649
$27,104
$7,175
$34,279
Changes in Market Risk-Weighted Assets  
Net increase in risk levels$5,138
$15,890
Net change in risk levels$(1,727)$14,163
Net decrease due to model and methodology updates(29)(2,783)(10,697)(13,480)
Net increase in Market Risk-Weighted Assets$5,109
$13,107
Net change in Market Risk-Weighted Assets$(12,424)$683
Total Risk-Weighted Assets, end of period$1,188,167
$1,188,167
$1,182,918
$1,182,918

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

Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches with Full Implementation)
In millions of dollarsThree Months Ended   June 30, 2017Six Months Ended     June 30, 2017Three Months Ended 
 September 30, 2017		Nine Months Ended  
  September 30, 2017
Total Risk-Weighted Assets, beginning of period$1,191,463
$1,189,680
$1,183,399
$1,189,680
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(4,343)(8,655)
Net change in wholesale exposures(4,029)416
Net change in retail exposures1,898
(6,757)
Net decrease in wholesale exposures(6,362)(5,946)
Net increase in repo-style transactions199
2
4,658
4,660
Net decrease in securitization exposures(1,880)(2,115)(4,362)(6,477)
Net increase in equity exposures146
688
931
1,619
Net decrease in over-the-counter (OTC) derivatives(1,898)(6,097)
Net decrease in derivatives CVA(39)(1,100)
Net change in over-the-counter (OTC) derivatives1,088
(5,009)
Net change in derivatives CVA1,017
(83)
Net increase in other exposures(1)
2,047
2,516
2,099
4,615
Net decrease in supervisory 6% multiplier(2)
(587)(795)(3)(798)
Net decrease in Credit Risk-Weighted Assets$(10,384)$(15,140)
Net change in Credit Risk-Weighted Assets$964
$(14,176)
Changes in Market Risk-Weighted Assets  
Net increase in risk levels$4,922
$15,917
Net change in risk levels$(2,075)$13,842
Net decrease due to model and methodology updates(29)(2,783)(10,697)(13,480)
Net increase in Market Risk-Weighted Assets$4,893
$13,134
Net change in Market Risk-Weighted Assets$(12,772)$362
Net decrease in Operational Risk-Weighted Assets$(2,573)$(4,275)$(2,449)$(6,724)
Total Risk-Weighted Assets, end of period$1,183,399
$1,183,399
$1,169,142
$1,169,142

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




Total risk-weighted assets under the Basel III Standardized Approach increased from year-end 2016 substantially due to substantially higher credit and market risk-weighted assets. The increase in credit risk-weighted assets, under the Basel III Standardized Approach was primarily due toresulting from corporate loan growth and increased repo-style transaction activity.
Total risk-weighted assets under the Basel III Advanced Approaches decreased from year-end 2016, asdriven by substantially lower credit and operational risk-weighted assets were partially offset by an increase in market risk-weighted assets. The decrease in credit risk-weighted assets under the Basel III Advanced Approaches was primarily due to annual updates to model parameters for wholesale exposures, a decline in retail exposures resulting from residential mortgage loan sales and repayments as well as divestitures of certain legacy assets, and, reductionsseparately, certain securitization exposures becoming subject to deduction from Tier 1 Capital under the Volcker Rule of the Dodd-Frank Act, which was partially offset by an increase in qualifying revolving (cards) exposures attributable to seasonal holiday spending repayments, as well as a decrease in OTC derivatives due to model enhancements.repo-style transaction activity. Operational risk-weighted assets decreased from year-end 2016 due to quarterly updates to model parameters.
The increase in market risk-weighted assets under both approaches over this period was primarily due to increasesassessed improvements in exposure levels subject to Stressed Value at Riskthe business environment and comprehensive risk controls, as well as an increasechanges in positions subject to securitization charges.operational loss severity and frequency.



Supplementary Leverage Ratio
Citigroup’s Supplementary Leverage ratio was 7.1% for the third quarter of 2017, compared to 7.2% for both the second quarter of 2017 compared to 7.3% for the first quarter of 2017 and 7.2% for the fourth quarter of 2016. The decline in the ratio quarter-over-quarter was principally driven by the return of $6.4 billion of capital to common shareholders and an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, partially offset by quarterly net income of $3.9 billion and beneficial net movements in AOCI.$4.1 billion. The ratio remained unchangeddecreased from the fourth quarter of 2016, as year-to-date net income of $8$12.1 billion and beneficial net movements
in AOCI were more than offset by the return
of $10.8 billion of capital to common shareholders and an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, as well as, although to a lesser extent, an increase in certain off-balance sheet exposures.assets.
The following table sets forth Citi’s Supplementary Leverage ratio and related components, assuming full implementation under the U.S. Basel III rules, for the three months ended JuneSeptember 30, 2017 and December 31, 2016.



Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)
In millions of dollars, except ratiosJune 30, 2017December 31, 2016September 30, 2017December 31, 2016
Tier 1 Capital$175,129
$169,390
$172,849
$169,390
Total Leverage Exposure (TLE)  
On-balance sheet assets(1)
$1,869,208
$1,819,802
$1,892,292
$1,819,802
Certain off-balance sheet exposures:(2)
  
Potential future exposure on derivative contracts225,090
211,009
216,819
211,009
Effective notional of sold credit derivatives, net(3)
69,727
64,366
68,569
64,366
Counterparty credit risk for repo-style transactions(4)
23,174
22,002
25,513
22,002
Unconditionally cancellable commitments67,571
66,663
67,945
66,663
Other off-balance sheet exposures221,095
219,428
216,662
219,428
Total of certain off-balance sheet exposures$606,657
$583,468
$595,508
$583,468
Less: Tier 1 Capital deductions57,207
57,879
57,218
57,879
Total Leverage Exposure$2,418,658
$2,345,391
$2,430,582
$2,345,391
Supplementary Leverage ratio7.24%7.22%7.11%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 third quarter of 2017, compared to 6.6% for both the second quarter of 2017 compared to 6.7% for the first quarter of 2017 and 6.6% for the fourth quarter of 2016. The declinegrowth in the ratio quarter-over-quarter and from year-end 2016 was principally driven by an increase in Tier 1 Capital attributable largely to net income, partially offset by cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup, as well as an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, partially offset by quarterly net income and the favorable effects associated with DTA utilization. The ratio remained unchanged from the fourth quarter of 2016, as the Tier 1 Capital benefits associated with net income and beneficial net movements in AOCI were offset by an increase in Total Leverage Exposure and cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup.


Regulatory Capital Standards Developments

Revisions to the Securitization Framework
In July 2017, the Basel Committee on Banking Supervision (Basel Committee) issued two consultative documents: one which establishes criteria for identifying “simple, transparent, and comparable” (STC) short-term securitizations, and another which provides for an alternative, and potentially preferential, regulatory capital treatment for short-term securitizations identified as STC. The Basel Committee had previously issued criteria solely for identifying STC securitizations in July 2015, and also previously issued an alternative regulatory capital treatment for STC securitizations in July 2016. The July 2017 consultative documents, however, introduce identification criteria and regulatory capital treatments that are uniquely tailored to short-term securitizations, with a focus on exposures related to asset-backed commercial paper conduits.
The U.S. banking agencies may revise the regulatory capital treatment of STC short-term securitizations in the future, based upon any revisions adopted by the Basel Committee.


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

In millions of dollars or shares, except per share amountsJune 30,
2017		December 31,
2016		 September 30,
2017		December 31,
2016
Total Citigroup stockholders’ equity$230,019
$225,120
 $227,634
$225,120
Less: Preferred stock19,253
19,253
 19,253
19,253
Common stockholders’ equity$210,766
$205,867
 $208,381
$205,867
Less:  
Goodwill22,349
21,659
 22,345
21,659
Identifiable intangible assets (other than MSRs)4,887
5,114
 4,732
5,114
Goodwill and identifiable intangible assets (other than MSRs) related to
assets held-for-sale
120
72
 48
72
Tangible common equity (TCE)$183,410
$179,022
 $181,256
$179,022
Common shares outstanding (CSO)2,724.6
2,772.4
 2,644.0
2,772.4
Book value per share (common equity/CSO)$77.36
$74.26
 $78.81
$74.26
Tangible book value per share (TCE/CSO)67.32
64.57
 68.55
64.57
In millions of dollarsThree Months Ended June 30, 2017Three Months Ended June 30, 2016Six Months Ended June 30, 2017Six Months Ended June 30, 2016
Net income available to common shareholders$3,552
$3,676
$7,341
$6,967
Average common stockholders’ equity$209,693
$210,146
$208,298
$208,615
Average TCE$182,404
$184,130
$181,276
$182,420
Less: Average net DTAs excluded from Common Equity Tier 1 Capital(1)
28,448
28,503
28,714
29,333
Average TCE, excluding average net DTAs excluded from
Common Equity Tier 1 Capital
$153,956
$155,627
$152,562
$153,087
Return on average common stockholders’ equity6.8%7.0%7.1%6.7%
Return on average TCE (ROTCE)(2)
7.8
8.0
8.2
7.7
Return on average TCE, excluding average net DTAs excluded from Common Equity Tier 1 Capital9.3
9.5
9.7
9.2


In millions of dollarsThree Months Ended September 30, 2017Three Months Ended September 30, 2016Nine Months Ended September 30, 2017Nine Months Ended September 30, 2016
Net income available to common shareholders$3,861
$3,615
$11,202
$10,582
Average common stockholders’ equity$209,764
$212,321
$208,787
$209,850
Average TCE$182,333
$184,492
$181,271
$182,914
Less: Average net DTAs excluded from Common Equity Tier 1 Capital(1)
28,085
27,921
28,522
28,954
Average TCE, excluding average net DTAs excluded from
  Common Equity Tier 1 Capital
$154,248
$156,571
$152,749
$153,960
Return on average common stockholders’ equity7.3%6.8%7.2%6.7%
Return on average TCE (ROTCE)(2)
8.4
7.8
8.3
7.7
Return on average TCE, excluding average net DTAs excluded from Common Equity Tier 1 Capital9.9
9.2
9.8
9.2

(1)Represents average net DTAs excluded in arriving at Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules.
(2)ROTCE represents annualized net income available to common shareholders as a percentage of average TCE.



Managing Global Risk Table of Contents

MANAGING GLOBAL RISK 
4847

CREDIT RISK(1)
 
4948

Consumer Credit 
4948

Corporate Credit 
5655

Additional Consumer and Corporate Credit Details 
5857

 Loans Outstanding 
5857

       Details of Credit Loss Experience 
6059

       Allowance for Loan Losses 6160
       Non-Accrual Loans and Assets and Renegotiated Loans 
6261

LIQUIDITY RISK 
6665

High-Quality Liquid Assets (HQLA) 
6665

Loans 6766
Deposits 6766
Long-Term Debt 6867
Secured Funding Transactions and Short-Term Borrowings 7069
Liquidity Coverage Ratio (LCR) 7169
Credit Ratings 7270
MARKET RISK(1)
 
7472

Market Risk of Non-Trading Portfolios 
7472

Market Risk of Trading Portfolios 
8583

COUNTRY RISK 
8785


(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 2016 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 2016 Annual Report on Form 10-K.

CONSUMER CREDIT
Citi provides traditional retail banking, including commercial banking, and credit card products in 19 countries and jurisdictions through North America GCB, Latin America GCB and Asia GCB. The retail banking products include consumer mortgages, home equity, personal and 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 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 dollars2Q’163Q’164Q’161Q’172Q’173Q’172Q’171Q’174Q’163Q’16
Retail banking:  
Mortgages$81.6
$81.4
$79.4
$81.2
$81.4
$81.4
$81.4
$81.2
$79.4
$81.4
Commercial banking32.6
33.2
32.0
33.9
34.8
35.5
34.8
33.9
32.0
33.2
Personal and other27.2
27.0
24.9
26.3
27.2
27.3
27.2
26.3
24.9
27.0
Total retail banking$141.4
$141.6
$136.3
$141.4
$143.4
$144.2
$143.4
$141.4
$136.3
$141.6
Cards:  
Citi-branded cards$100.1
$103.9
$108.3
$105.7
$109.9
$110.7
$109.9
$105.7
$108.3
$103.9
Citi retail services43.3
43.9
47.3
44.2
45.2
45.9
45.2
44.2
47.3
43.9
Total cards$143.4
$147.8
$155.6
$149.9
$155.1
$156.6
$155.1
$149.9
$155.6
$147.8
Total GCB
$284.8
$289.4
$291.9
$291.3
$298.5
$300.8
$298.5
$291.3
$291.9
$289.4
GCB regional distribution:
  
North America62%62%64%62%62%62%62%62%64%62%
Latin America8
8
8
9
9
9
9
9
8
8
Asia(2)
30
30
28
29
29
29
29
29
28
30
Total GCB
100%100%100%100%100%100%100%100%100%100%
Corporate/Other(3)
$41.3
$39.0
$33.2
$29.3
$26.8
$24.8
$26.8
$29.3
$33.2
$39.0
Total consumer loans$326.1
$328.4
$325.1
$320.6
$325.3
$325.6
$325.3
$320.6
$325.1
$328.4

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

For information on changes to Citi’s 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
legenda07.jpg
a2q17gcbfinal.jpga3q17gcba01.jpg
North America
legenda07.jpg
a2q17naa02.jpga3q17na.jpg
Latin America
legenda07.jpg
a2q17latama03.jpga3q17latam.jpg
Asia(1)
legenda07.jpg
a2q17asia.jpga3q17asia.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 JuneSeptember 30, 2017, approximately 70% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which drovegenerally drives the overall credit performance of North America GCB, including the credit performance year-over-year as of the third quarter of 2017 (for additional information on North America GCB’s cards portfolios, including delinquenciesdelinquency and net credit losses,loss rates, see “Credit Card Trends” below). Quarter-over-quarter, 90+ days past due delinquencies increased slightly, primarily due to seasonality in the cards portfolios. The net credit loss rate increased quarter-over-quarter, primarily due to episodic charge-offs in the commercial portfolio, which were offset by related loan loss reserve releases.
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 modestly improved and the net credit loss rates slightlyrate increased in Latin America GCB year-over-year as of the secondthird quarter of 2017, while the delinquency rate increased and the net credit loss rate decreased quarter-over-quarter.2017. The sequential improvementincrease in the net credit loss rate primarily reflected seasoning. The delinquency and increase in the delinquency rate were mostly driven by seasonality.net credit loss rates remained stable quarter-over-quarter.
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 secondthird 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
legenda07.jpg
a2q17totalcards.jpga3q17totalcards.jpg

North America Citi-Branded Cards
legenda10.jpg
a2q17nacards.jpg
North America Citi Retail Services
legenda06.jpg
a2q17naretail.jpg
Latin America Citi-Branded Cards
legenda09.jpg
a2q17latamcards.jpg
Asia Citi-Branded Cards(1)
legenda08.jpg
a2q17asiacards.jpga3q17nacards.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, the 90+ days past due delinquency ratesrate in Citi-branded cards was stable year-over-year and quarter-over-quarter. The net credit loss rate increased year-over-year as of the second quarter of 2017 primarily due to the impact of the Costco portfolio
organic volume growth acquisition and seasoning, and decreased quarter-over-quarter mostly due to the flow-through of delinquencies to credit losses related to the Costco conversion and seasonality. Net credit loss rates increased year-over-year primarily due to
the Costco portfolio acquisition, organic volume growth and
seasoning, and decreased quarter-over-quarter due to the flow-through of delinquencies to credit losses related to the Costco conversion in the first quarter of 2017 and seasonality.
North America Citi Retail Services
legenda06.jpg
a3q17naretail.jpg
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 home improvement, specialty retail, consumer electronics and fuel. Citi retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
Citi retail services’ delinquency and net credit loss rates increased year-over-year, primarily due to seasoning and the impact of changes in collection processes. The net credit loss rate also increased quarter-over-quarter due to the softness in the collections rates experienced once an account reaches mid-stage delinquency. The delinquencynet credit loss rate decreased quarter-over-quarter due to seasonality.seasonality, while the delinquency rate increase quarter-over-quarter was driven by seasonality and softening in collections.

Latin America Citi-Branded Cards
legenda09.jpg
a3q17latamcards.jpg

Latin America GCB issues proprietary and co-branded cards. As set forth in the chart above, the net credit loss rate increased year-over-year and quarter-over-quarter primarily due to seasoning. The 90+ days past due delinquency rates and net credit loss rates have continued to improve or remained stable year-over-year as of the second quarter of 2017. The net credit loss rate decreased and delinquency rate increased quarter-over-quarter, both primarilyyear-over-year also driven by seasoning, while the decrease quarter-over-quarter was due to seasonality.



Asia Citi-Branded Cards(1)
legenda08.jpg
a3q17asiacards.jpg

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

Asia GCB issues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency and net credit loss rates have remained broadly stable, driven by the 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 distributionJune 30, 2017December 31, 2016
  > 72063%64%
   660 - 72026
26
   620 - 6607
6
  < 6204
4
Total100%100%
  
FICO distributionSeptember 30, 2017December 31, 2016
  > 72062%64%
   660 - 72027
26
   620 - 6607
6
  < 6204
4
Total100%100%

Citi Retail Services
  
FICO distributionJune 30, 2017December 31, 2016September 30, 2017December 31, 2016
> 72041%42%41%42%
660 - 72035
35
35
35
620 - 66013
13
13
13
< 62011
10
11
10
Total100%100%100%100%

As indicated by the tables above, the FICO distributions for Citi-branded cards and Citi retail services cards portfolios were largely unchanged versus year-end 2016. For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.






North America Consumer Mortgage Lending
Citi’s North America consumer mortgage portfolio consists of both residential first mortgages and home equity loans. The following table shows the outstanding quarterly end-of-period loans for Citi’s North America residential first mortgage and home equity loan portfolios:

In billions of dollars2Q’163Q’164Q’161Q’172Q’173Q’172Q’171Q’174Q’163Q’16
GCB:
  
Residential firsts$40.1
$40.1
$40.2
$40.3
$40.2
$40.1
$40.2
$40.3
$40.2
$40.1
Home equity3.8
3.9
4.0
4.0
4.1
4.1
4.1
4.0
4.0
3.9
Total GCB
$43.9
$44.0
$44.2
$44.3
$44.3
$44.2
$44.3
$44.3
$44.2
$44.0
Corporate/Other:
  
Residential firsts$15.8
$14.8
$13.4
$12.3
$11.0
$10.1
$11.0
$12.3
$13.4
$14.8
Home equity17.3
16.1
15.0
13.4
12.4
11.5
12.4
13.4
15.0
16.1
Total Corporate/
Other
$33.1
$30.9
$28.4
$25.7
$23.4
$21.6
$23.4
$25.7
$28.4
$30.9
Total Citigroup—
North America
$77.0
$74.9
$72.6
$70.0
$67.7
$65.8
$67.7
$70.0
$72.6
$74.9

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

Home Equity Loans—Revolving HELOCs
As set forth in the table above, Citi had $16.5$15.6 billion of home equity loans as of JuneSeptember 30, 2017, of which $3.9$3.6 billion arewere fixed-rate home equity loans and $12.6$12.0 billion arewere extended under home equity lines of credit (Revolving HELOCs). Fixed-rate home equity loans are fully amortizing. Revolving HELOCs allow for amounts to be drawn for a period of time with the payment of interest only until the end of the draw period, when the outstanding amount is converted to an amortizing loan, or “reset” (the interest-only payment feature during the revolving period is standard for this product across the industry). Upon reset, these borrowers will be required to pay both interest, usually at a variable rate, and principal that amortizes typically over 20 years, rather than the standard 30-year amortization.
Of the Revolving HELOCs at JuneSeptember 30, 2017, $6.6$6.8 billion had reset (compared to $6.4$6.6 billion at March 31,June 30, 2017) and $6.0$5.2 billion were still within their revolving period that had not reset (compared to $6.8$6.0 billion at March 31,June 30, 2017). The following chart indicates the FICO and combined loan-to-value (CLTV) characteristics of Citi’s Revolving HELOCs portfolio and the year in which they reset:
 
North America Home Equity Lines of Credit Amortization – Citigroup
Total ENR by Reset Year
In billions of dollars as of JuneSeptember 30, 2017
nahelca2q17.jpgnahelca3q17.jpgNote: Totals may not sum due to rounding.

Approximately 53%57% of Citi’s total Revolving HELOCs portfolio had reset as of JuneSeptember 30, 2017 (compared to 49%53% as of March 31,June 30, 2017). Of the remaining Revolving HELOCs portfolio, approximately 22%11% will commence amortization during the remainder of 2017. Citi’s customers with Revolving HELOCs that reset could experience “payment shock” due to the higher required payments on the loans. Citi currently estimates that the monthly loan payment for its Revolving HELOCs that reset during the remainder of 2017 could increase on average by approximately $356,$355, or 115%101%. Increases in interest rates could further increase these payments given the variable nature of the interest rates on these loans post-reset. 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 5.9% of the Revolving HELOCs that have reset as of JuneSeptember 30, 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 6.4%5.9% and 3.9%3.7%, respectively, as of March 31,June 30, 2017. As newly amortizing loans continue to season, the delinquency rate of Citi’s total home equity loan portfolio could increase. In addition, resets to date have generally occurred during a period of historically low interest rates, which Citi believes has likely reduced the overall “payment shock” to the borrower.
Citi monitors this reset risk closely and will continue to consider any potential impact in determining its allowance for loan loss reserves. In addition, management continues to review and take additional actions to offset potential reset risk, such as a borrower outreach program to provide reset risk education and proactively working with high-risk borrowers through a specialized single point of contact unit.


    



Additional Consumer Credit Details

Consumer Loan Delinquency Amounts and Ratios
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
In millions of dollars,
except EOP loan amounts in billions		June 30,
2017		June 30,
2017		March 31,
2017		June 30,
2016		June 30,
2017		March 31,
2017		June 30,
2016		September 30,
2017		September 30,
2017		June 30,
2017		September 30,
2016		September 30,
2017		June 30,
2017		September 30,
2016
Global Consumer Banking(3)(4)
        
Total$298.5
$2,183
$2,241
$1,965
$2,498
$2,516
$2,318
$300.8
$2,279
$2,183
$2,166
$2,763
$2,498
$2,553
Ratio 0.73%0.77%0.69%0.84%0.87%0.82% 0.76%0.73%0.75%0.92%0.84%0.88%
Retail banking          
Total$143.4
$477
$488
$515
$747
$777
$735
$144.2
$489
$477
$579
$805
$747
$722
Ratio 0.33%0.35%0.37%0.52%0.55%0.52% 0.34%0.33%0.41%0.56%0.52%0.51%
North America55.6
155
182
180
191
189
192
55.7
167
155
256
270
191
198
Ratio 0.28%0.33%0.33%0.35%0.35%0.36% 0.30%0.28%0.47%0.49%0.35%0.37%
Latin America21.0
150
141
157
216
246
197
21.0
151
150
160
244
216
196
Ratio 0.71%0.72%0.82%1.03%1.25%1.03% 0.72%0.71%0.86%1.16%1.03%1.05%
Asia(5)
66.8
172
165
178
340
342
346
67.5
171
172
163
291
340
328
Ratio 0.26%0.25%0.26%0.51%0.52%0.51% 0.25%0.26%0.24%0.43%0.51%0.48%
Cards          
Total$155.1
$1,706
$1,753
$1,450
$1,751
$1,739
$1,583
$156.6
$1,790
$1,706
$1,587
$1,958
$1,751
$1,831
Ratio 1.10%1.17%1.01%1.13%1.16%1.10% 1.14%1.10%1.07%1.25%1.13%1.24%
North America—Citi-branded85.6
659
698
510
619
632
550
86.3
668
659
607
705
619
710
Ratio 0.77%0.85%0.66%0.72%0.77%0.71% 0.77%0.77%0.75%0.82%0.72%0.87%
North America—Citi retail services45.2
693
735
619
730
730
669
45.9
772
693
664
836
730
750
Ratio 1.53%1.66%1.43%1.62%1.65%1.55% 1.68%1.53%1.51%1.82%1.62%1.71%
Latin America5.5
161
137
145
151
145
137
5.6
159
161
131
163
151
131
Ratio 2.93%2.63%2.90%2.75%2.79%2.74% 2.84%2.93%2.67%2.91%2.75%2.67%
Asia(5)
18.8
193
183
176
251
232
227
18.8
191
193
185
254
251
240
Ratio 1.03%1.00%1.00%1.34%1.27%1.29% 1.02%1.03%1.05%1.35%1.34%1.36%
Corporate/Other—Consumer(6)(7)
          
Total$26.8
$601
$684
$878
$554
$615
$858
$24.8
$605
$601
$857
$643
$554
$849
Ratio 2.37%2.45%2.23%2.18%2.20%2.18% 2.57%2.37%2.29%2.74%2.18%2.27%
International1.8
63
77
170
44
60
138
1.7
57
63
164
47
44
135
Ratio 3.50%3.67%3.09%2.44%2.86%2.51% 3.35%3.50%2.98%2.76%2.44%2.45%
North America25.0
538
607
708
510
555
720
23.1
548
538
693
596
510
714
Ratio 2.28%2.35%2.09%2.16%2.15%2.12% 2.51%2.28%2.17%2.73%2.16%2.24%
Total Citigroup325.3
$2,784
$2,925
$2,843
$3,052
$3,131
$3,176
$325.6
$2,884
$2,784
$3,023
$3,406
$3,052
$3,402
Ratio 0.86%0.92%0.88%0.94%0.98%0.98% 0.89%0.86%0.93%1.05%0.94%1.04%
(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 for 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 $295$289 million ($0.80.7 billion), $313$295 million ($0.8 billion) and $408$305 million ($0.90.7 billion) at September 30, 2017, June 30, 2017, March 31, 2017, and JuneSeptember 30, 2016, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $84$79 million, $84 million and $91$58 million at September 30, 2017, June 30, 2017 March 31, 2017, and JuneSeptember 30, 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 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 $0.7 billion ($1.31.2 billion), $0.8$0.7 billion ($1.41.3 billion) and $1.2$1.0 billion ($1.81.5 billion) at September 30, 2017, June 30, 2017 March 31, 2017, and JuneSeptember 30, 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 $0.1 billion and $0.2 billion at September 30, 2017, June 30, 2017 March 31, 2017, and JuneSeptember 30, 2016, respectively.


(7)
The September 30, 2017, June 30, 2017 March 31, 2016, and JuneSeptember 30, 2016 loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $6 million, $7$6 million and $9 million, respectively, of loans that are carried at fair value.

Consumer Loan Net Credit Losses and Ratios
Average
loans(1)
Net credit losses(2)(3)
Average
loans(1)
Net credit losses(2)(3)
In millions of dollars, except average loan amounts in billions2Q171Q172Q163Q172Q173Q16
Global Consumer Banking    
Total$293.8
$1,615
$1,603
$1,374
$299.7
$1,704
$1,615
$1,349
Ratio 2.20 %2.24%2.02% 2.26%2.20 %1.87%
Retail banking    
Total$142.3
$244
$236
$243
$144.3
$300
$244
$257
Ratio 0.69 %0.69%0.69% 0.82%0.69 %0.72%
North America55.6
39
37
45
55.7
88
39
52
Ratio 0.28 %0.27%0.33% 0.63%0.28 %0.38%
Latin America20.2
151
137
137
21.2
143
151
132
Ratio 3.00 %3.04%2.87% 2.68%3.00 %2.75%
Asia(4)
66.5
54
62
61
67.4
69
54
73
Ratio 0.33 %0.39%0.36% 0.41%0.33 %0.43%
Cards    
Total$151.5
$1,371
$1,367
$1,131
$155.4
$1,404
$1,371
$1,092
Ratio 3.63 %3.68%3.45% 3.58%3.63 %2.99%
North America—Citi-branded83.3
611
633
467
85.4
611
611
448
Ratio 2.94 %3.11%2.82% 2.84%2.94 %2.25%
North America—Retail services44.5
531
520
442
45.6
540
531
427
Ratio 4.79 %4.66%4.16% 4.70%4.79 %3.90%
Latin America5.3
126
116
123
5.6
152
126
122
Ratio 9.54 %9.80%9.70% 10.77%9.54 %9.52%
Asia(4)
18.4
103
98
99
18.8
101
103
95
Ratio 2.25 %2.20%2.29% 2.13%2.25 %2.15%
Corporate/Other—Consumer(3)
    
Total$27.8
$18
$69
$101
$25.8
$52
$18
$134
Ratio 0.26 %0.88%0.94% 0.80%0.26 %1.31%
International1.9
24
26
77
1.9
25
24
82
Ratio 5.07 %5.02%5.08% 5.22%5.07 %6.04%
North America25.9
(6)43
24
23.9
27
(6)52
Ratio (0.09)%0.59%0.26% 0.45%(0.09)%0.58%
Other(5)0.1
—
—
—
0.1
(22)—
—
Total Citigroup$321.7
$1,633
$1,672
$1,475
$325.6
$1,734
$1,633
$1,483
Ratio 2.04 %2.11%1.87% 2.11%2.04 %1.80%
(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)
In October 2016, Citi entered into agreements to sell Citi’s Brazil and Argentina consumer banking businesses and classified these businesses as held-for-sale (HFS). The sale of the Argentina consumer banking business was completed at the end of the first quarter 2017. As a result of HFS accounting treatment, approximately $42 million, $41$38 million and $38$37 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during the fourth quarter of 2016, the firstsecond quarter of 2017 and the secondthird quarter of 2017, respectively. Accordingly, these NCLs are not included in this table. Loans classified as 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.
(5)The third quarter of 2017 NCLs represent a recovery related to legacy assets.





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

Corporate Credit Portfolio
The following table sets forth Citi’s corporate credit portfolio within ICG (excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:
At June 30, 2017At March 31, 2017At December 31, 2016At September 30, 2017At June 30, 2017At December 31, 2016
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year		Greater
than 1 year
but within
5 years		Greater
than
5 years		Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
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)
$122
$94
$23
$239
$129
$82
$20
$231
$109
$94
$22
$225
$124
$96
$23
$243
$122
$94
$23
$239
$109
$94
$22
$225
Unfunded lending commitments (off-balance sheet)(2)
103
222
22
347
113
221
23
357
103
218
23
344
104
219
20
$343
103
222
22
347
103
218
23
344
Total exposure$225
$316
$45
$586
$242
$303
$43
$588
$212
$312
$45
$569
$228
$315
$43
$586
$225
$316
$45
$586
$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:
June 30,
2017		March 31,
2017		December 31,
2016		September 30,
2017		June 30,
2017		December 31,
2016
North America55%53%55%55%55%55%
EMEA26
26
26
26
26
26
Asia12
13
12
12
12
12
Latin America7
8
7
7
7
7
Total100%100%100%100%100%100%

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

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

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


Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:
Total exposureTotal exposure
June 30,
2017		March 31,
2017		December 31,
2016		September 30,
2017		June 30,
2017		December 31,
2016
Transportation and industrial21%21%22%22%21%22%
Consumer retail and health17
16
16
16
17
16
Technology, media and telecom11
12
12
11
11
12
Power, chemicals, metals and mining10
11
11
10
10
11
Energy and commodities(1)
9
8
9
8
9
9
Banks/broker-dealers/finance companies8
7
6
Real estate8
7
7
7
8
7
Banks/broker-dealers/finance companies7
6
6
Hedge funds5
5
5
Insurance and special purpose entities5
5
5
5
5
5
Public sector5
5
5
5
5
5
Hedge funds4
5
5
Other industries2
4
2
4
2
2
Total100%100%100%100%100%100%

Note: Total exposure includes direct outstandings and unfunded lending
commitments.
(1) In addition to this exposure, Citi has energy-related exposure within
the “Public sector” (e.g., energy-related state-owned entities) and “Transportation
“Transportation and industrial” sector (e.g., off-shore drilling entities)
included in the table above. As of JuneSeptember 30, 2017, Citi’s total
exposure to these energy-related entities remained largely consistent
with the prior quarter, at approximately $6 billion, of which
approximately $4$3 billion consisted of direct outstanding funded loans.

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, 2017, June 30, 2017 March 31, 2017,and December 31, 2016,$23.7 $22.2 billion, $27.6$23.7 billion and $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. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying corporate credit portfolio exposures with the following risk rating distribution:

 
Rating of Hedged Exposure
June 30,
2017		March 31,
2017		December 31,
2016		September 30,
2017		June 30,
2017		December 31,
2016
AAA/AA/A16%16%16%16%16%16%
BBB47
49
49
48
47
49
BB/B34
31
31
33
34
31
CCC or below3
4
4
3
3
4
Total100%100%100%100%100%100%

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

Industry of Hedged Exposure
June 30,
2017		March 31,
2017		December 31,
2016		September 30,
2017		June 30,
2017		December 31,
2016
Transportation and industrial27%28%29%27%27%29%
Energy and commodities20
19
20
17
20
20
Consumer retail and health11
13
10
12
11
10
Technology, media and telecom13
13
13
14
13
13
Power, chemicals, metals and mining13
12
12
12
13
12
Public sector6
6
5
8
6
5
Banks/broker-dealers5
4
4
5
5
4
Insurance and special purpose entities2
3
3
2
2
3
Other industries3
2
4
3
3
4
Total100%100%100%100%100%100%




ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding
2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.
In millions of dollars201720172016201720172016
Consumer loans

In U.S. offices

Mortgage and real estate(1)
$69,022
$71,170
$72,957
$75,057
$77,242
$67,131
$69,022
$71,170
$72,957
$75,057
Installment, revolving credit, and other3,190
3,252
3,395
3,465
3,486
Installment, revolving credit and other3,191
3,190
3,252
3,395
3,465
Cards130,181
125,799
132,654
124,637
120,113
131,476
130,181
125,799
132,654
124,637
Commercial and industrial7,404
7,434
7,159
6,989
7,041
7,619
7,404
7,434
7,159
6,989
Total$209,797
$207,655
$216,165
$210,148
$207,882
$209,417
$209,797
$207,655
$216,165
$210,148
In offices outside the U.S.  
Mortgage and real estate(1)
$43,821
$43,822
$42,803
$45,751
$46,049
$43,723
$43,821
$43,822
$42,803
$45,751
Installment, revolving credit, and other26,480
26,014
24,887
28,217
27,830
Installment, revolving credit and other26,153
26,480
26,014
24,887
28,217
Cards25,376
24,497
23,783
25,833
25,844
25,443
25,376
24,497
23,783
25,833
Commercial and industrial18,956
17,728
16,568
17,498
17,520
20,015
18,956
17,728
16,568
17,498
Lease financing81
83
81
113
140
77
81
83
81
113
Total$114,714
$112,144
$108,122
$117,412
$117,383
$115,411
$114,714
$112,144
$108,122
$117,412
Total consumer loans$324,511
$319,799
$324,287
$327,560
$325,265
$324,828
$324,511
$319,799
$324,287
$327,560
Unearned income(2)
750
757
776
812
817
748
750
757
776
812
Consumer loans, net of unearned income$325,261
$320,556
$325,063
$328,372
$326,082
$325,576
$325,261
$320,556
$325,063
$328,372
Corporate loans

In U.S. offices

Commercial and industrial$50,341
$49,845
$49,586
$50,156
$50,286
$51,679
$50,341
$49,845
$49,586
$50,156
Loans to financial institutions36,953
35,734
35,517
35,801
32,001
37,203
36,953
35,734
35,517
35,801
Mortgage and real estate(1)
42,041
40,052
38,691
41,078
40,175
43,274
42,041
40,052
38,691
41,078
Installment, revolving credit, and other31,611
32,212
34,501
32,571
32,491
Installment, revolving credit and other32,464
31,611
32,212
34,501
32,571
Lease financing1,467
1,511
1,518
1,532
1,546
1,493
1,467
1,511
1,518
1,532
Total$162,413
$159,354
$159,813
$161,138
$156,499
$166,113
$162,413
$159,354
$159,813
$161,138
In offices outside the U.S.

Commercial and industrial$91,131
$87,258
$81,882
$84,492
$87,432
$93,107
$91,131
$87,258
$81,882
$84,492
Loans to financial institutions34,844
33,763
26,886
27,305
27,856
33,050
34,844
33,763
26,886
27,305
Mortgage and real estate(1)
6,783
5,527
5,363
5,595
5,455
6,383
6,783
5,527
5,363
5,595
Installment, revolving credit, and other19,200
16,576
19,965
25,462
24,855
Installment, revolving credit and other23,830
19,200
16,576
19,965
25,462
Lease financing234
253
251
243
255
216
234
253
251
243
Governments and official institutions5,518
5,970
5,850
6,506
5,757
5,628
5,518
5,970
5,850
6,506
Total$157,710
$149,347
$140,197
$149,603
$151,610
$162,214
$157,710
$149,347
$140,197
$149,603
Total corporate loans$320,123
$308,701
$300,010
$310,741
$308,109
$328,327
$320,123
$308,701
$300,010
$310,741
Unearned income(3)
(689)(662)(704)(678)(676)(720)(689)(662)(704)(678)
Corporate loans, net of unearned income$319,434
$308,039
$299,306
$310,063
$307,433
$327,607
$319,434
$308,039
$299,306
$310,063
Total loans—net of unearned income$644,695
$628,595
$624,369
$638,435
$633,515
$653,183
$644,695
$628,595
$624,369
$638,435
Allowance for loan losses—on drawn exposures(12,025)(12,030)(12,060)(12,439)(12,304)(12,366)(12,025)(12,030)(12,060)(12,439)
Total loans—net of unearned income
and allowance for credit losses		$632,670
$616,565
$612,309
$625,996
$621,211
$640,817
$632,670
$616,565
$612,309
$625,996
Allowance for loan losses as a percentage of total loans—
net of unearned income(4)
1.88%1.93%1.94%1.97%1.96%1.91%1.88%1.93%1.94%1.97%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(4)
2.93%2.96%2.88%2.95%2.89%3.04%2.93%2.96%2.88%2.95%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(4)
0.80%0.83%0.91%0.90%0.95%0.77%0.80%0.83%0.91%0.90%


(1)Loans secured primarily by real estate.
(2)Unearned income on consumer loans primarily represents unamortized origination fees, costs, premiums and discounts.
(3)Unearned income on corporate loans primarily represents interest received in advance but not yet earned on loans originated on a discounted basis.
(4)All periods exclude loans that are carried at fair value.


Details of Credit Loss Experience
2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.
In millions of dollars201720172016201720172016
Allowance for loan losses at beginning of period$12,030
$12,060
$12,439
$12,304
$12,712
$12,025
$12,030
$12,060
$12,439
$12,304
Provision for loan losses  
Consumer$1,620
$1,816
$1,659
$1,815
$1,276
$2,142
$1,620
$1,816
$1,659
$1,815
Corporate46
(141)68
(69)114
4
46
(141)68
(69)
Total$1,666
$1,675
$1,727
$1,746
$1,390
$2,146
$1,666
$1,675
$1,727
$1,746
Gross credit losses  
Consumer  
In U.S. offices$1,437
$1,444
$1,343
$1,181
$1,213
$1,429
$1,437
$1,444
$1,343
$1,181
In offices outside the U.S. 597
597
605
702
678
642
597
597
605
702
Corporate  
In U.S. offices72
48
32
29
62
15
72
48
32
29
In offices outside the U.S. 24
55
103
36
95
34
24
55
103
36
Total$2,130
$2,144
$2,083
$1,948
$2,048
$2,120
$2,130
$2,144
$2,083
$1,948
Credit recoveries(1)
  
Consumer  
In U.S. offices$266
$242
$235
$227
$262
$167
$266
$242
$235
$227
In offices outside the U.S. 135
127
137
173
154
170
135
127
137
173
Corporate  
In U.S. offices15
2
2
16
3
2
15
2
2
16
In offices outside the U.S. 4
64
13
7
13
4
4
64
13
7
Total$420
$435
$387
$423
$432
$343
$420
$435
$387
$423
Net credit losses  
In U.S. offices$1,228
$1,248
$1,138
$967
$1,010
$1,275
$1,228
$1,248
$1,138
$967
In offices outside the U.S. 482
461
558
558
606
502
482
461
558
558
Total$1,710
$1,709
$1,696
$1,525
$1,616
$1,777
$1,710
$1,709
$1,696
$1,525
Other—net(2)(3)(4)(5)(6)(7)
$39
$4
$(410)$(86)$(182)$(28)$39
$4
$(410)$(86)
Allowance for loan losses at end of period$12,025
$12,030
$12,060
$12,439
$12,304
$12,366
$12,025
$12,030
$12,060
$12,439
Allowance for loan losses as a percentage of total loans(8)
1.88%1.93%1.94%1.97%1.96%1.91%1.88%1.93%1.94%1.97%
Allowance for unfunded lending commitments(9)
$1,406
$1,377
$1,418
$1,388
$1,432
$1,232
$1,406
$1,377
$1,418
$1,388
Total allowance for loan losses and unfunded lending commitments$13,431
$13,407
$13,478
$13,827
$13,736
$13,598
$13,431
$13,407
$13,478
$13,827
Net consumer credit losses$1,633
$1,672
$1,576
$1,483
$1,475
$1,734
$1,633
$1,672
$1,576
$1,483
As a percentage of average consumer loans2.04%2.11%1.95%1.80%1.87%2.11%2.04%2.11%1.95%1.80%
Net corporate credit losses$77
$37
$120
$42
$141
$43
$77
$37
$120
$42
As a percentage of average corporate loans0.10%0.05%0.16%0.05%0.19%0.05%0.10%0.05%0.16%0.05%
Allowance by type at end of period(10)
  
Consumer$9,515
$9,495
$9,358
$9,673
$9,432
$9,892
$9,515
$9,495
$9,358
$9,673
Corporate2,510
2,535
2,702
2,766
2,872
2,474
2,510
2,535
2,702
2,766
Total$12,025
$12,030
$12,060
$12,439
$12,304
$12,366
$12,025
$12,030
$12,060
$12,439
(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)The third quarter of 2017 includes a reduction of approximately $34 million related to the sale or transfer to held-for-sale (HFS) of various loan portfolios, including a reduction of $28 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the third quarter includes an increase of approximately $7 million related to FX translation.
(4)The second quarter of 2017 includes a reduction of approximately $19 million related to the sale or transfer to held-for-sale (HFS)HFS of various loan portfolios, including a reduction of $19 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes an increase of approximately $50 million related to FX translation.
(4)(5)The first quarter of 2017 includes a reduction of approximately $161 million related to the sale or transfer to 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.


(5)(6)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.


(6)(7)The third quarter of 2016 includes a reduction of approximately $58 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $50 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the third quarter includes a reduction of approximately $46 million related to FX translation.
(7)The second quarter of 2016 includes a reduction of approximately $101 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $24 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes a reduction of approximately $75 million related to FX translation.
(8)September 30, 2017, June 30, 2017, March 31, 2017, December 31, 2016 and September 30, 2016 and June 30, 2016 exclude $4.3 billion, $4.2 billion, $4.0 billion, $3.5 billion $4.0 billion and $4.1$4.0 billion, respectively, of loans which are carried at fair value.
(9)
Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(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 2016 Annual Report on Form 10-K. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.


Allowance for Loan Losses
The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:
June 30, 2017September 30, 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)
$5.4
$130.9
4.1%$6.0
$132.2
4.5%
North America mortgages(3)
0.9
67.7
1.3
0.8
65.8
1.2
North America other
0.4
12.7
3.1
0.2
13.0
1.5
International cards1.3
24.8
5.2
1.4
24.9
5.6
International other(4)
1.5
89.2
1.7
1.5
89.7
1.7
Total consumer$9.5
$325.3
2.9%$9.9
$325.6
3.0%
Total corporate2.5
319.4
0.8
2.5
327.6
0.8
Total Citigroup$12.0
$644.7
1.9%$12.4
$653.2
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 $5.4$6.0 billion of loan loss reserves represented approximately 1416 months of coincident net credit loss coverage.
(3)
Of the $0.9$0.8 billion, approximately $0.8$0.7 billion was allocated to North America mortgages in Corporate/Other. Of the $0.9$0.8 billion, approximately $0.3 billion and $0.6$0.5 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $67.7$65.8 billion in loans, approximately $63.6$61.9 billion and $4.1$3.8 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 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.

 December 31, 2016
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$5.2
$133.3
3.9%
North America mortgages(3)
1.1
72.6
1.5
North America other
0.5
13.6
3.7
International cards1.2
23.1
5.2
International other(4)
1.4
82.8
1.7
Total consumer$9.4
$325.4
2.9%
Total corporate2.7
299.0
0.9
Total Citigroup$12.1
$624.4
1.9%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $5.2 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.
(3)
Of the $1.1 billion, approximately $1.0 billion was allocated to North America mortgages in Corporate/Other. Of the $1.1 billion, approximately $0.4 billion and $0.7 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $72.6 billion in loans, approximately $67.7 billion and $4.8 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 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 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%69% and 65%67% of Citi’s corporate non-accrual loans were performing at JuneSeptember 30, 2017 and March 31,June 30, 2017, respectively.
Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.
MortgageConsumer mortgage loans, in regulated bank entities discharged through Chapter 7 bankruptcy, other than FHAFederal Housing Administration (FHA) insured loans, are classified as non-accrual. Non-bank mortgage loans discharged through Chapter 7 bankruptcy are classified as non-accrual at 90within 60 days or more past due.of notification that the borrower has filed for bankruptcy. 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.
 


Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,
In millions of dollars201720172016201720172016
Corporate non-accrual loans(1)
  
North America$944
$993
$984
$1,057
$1,280
$915
$944
$993
$984
$1,057
EMEA727
828
904
857
762
681
727
828
904
857
Latin America281
342
379
380
267
312
281
342
379
380
Asia146
176
154
121
151
146
146
176
154
121
Total corporate non-accrual loans$2,098
$2,339
$2,421
$2,415
$2,460
$2,054
$2,098
$2,339
$2,421
$2,415
Consumer non-accrual loans(1)
  
North America$1,754
$1,926
$2,160
$2,429
$2,520
$1,721
$1,754
$1,926
$2,160
$2,429
Latin America793
737
711
841
884
791
793
737
711
841
Asia(2)
301
292
287
282
301
271
301
292
287
282
Total consumer non-accrual loans$2,848
$2,955
$3,158
$3,552
$3,705
$2,783
$2,848
$2,955
$3,158
$3,552
Total non-accrual loans$4,946
$5,294
$5,579
$5,967
$6,165
$4,837
$4,946
$5,294
$5,579
$5,967
(1)Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $177 million at September 30, 2017, $183 million at June 30, 2017, $194 million at March 31, 2017, $187 million at December 31, 2016 and $194 million at September 30, 2016 and $212 million at June 30, 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 endedThree Months EndedThree Months Ended
June 30, 2017June 30, 2016September 30, 2017September 30, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,339
$2,955
$5,294
$2,327
$3,601
$5,928
$2,098
$2,848
$4,946
$2,460
$3,705
$6,165
Additions311
697
1,008
830
1,326
2,156
190
1,042
1,232
469
1,131
1,600
Sales and transfers to held-for-sale(46)(82)(128)(1)(209)(210)(1)(69)(70)(4)(102)(106)
Returned to performing(3)(166)(169)(68)(143)(211)(2)(133)(135)(58)(149)(207)
Paydowns/settlements(464)(285)(749)(491)(396)(887)(196)(291)(487)(433)(562)(995)
Charge-offs(15)(318)(333)(113)(462)(575)(33)(611)(644)(24)(455)(479)
Other(24)47
23
(24)(12)(36)(2)(3)(5)5
(16)(11)
Ending balance$2,098
$2,848
$4,946
$2,460
$3,705
$6,165
$2,054
$2,783
$4,837
$2,415
$3,552
$5,967




Six Months EndedSix Months EndedNine Months EndedNine Months Ended
June 30, 2017June 30, 2016September 30, 2017September 30, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,421
$3,158
$5,579
$1,596
$3,658
$5,254
$2,421
$3,158
$5,579
$1,596
$3,658
$5,254
Additions564
1,521
2,085
1,877
2,240
4,117
754
2,563
3,317
2,346
3,371
5,717
Sales and transfers to held-for-sale(82)(216)(298)(9)(371)(380)(83)(286)(369)(13)(473)(486)
Returned to performing(40)(329)(369)(83)(284)(367)(42)(462)(504)(141)(434)(575)
Paydowns/settlements(647)(565)(1,212)(589)(641)(1,230)(843)(856)(1,699)(1,022)(1,203)(2,225)
Charge-offs(69)(842)(911)(253)(898)(1,151)(102)(1,452)(1,554)(277)(1,353)(1,630)
Other(49)121
72
(79)1
(78)(51)118
67
(74)(14)(88)
Ending balance$2,098
$2,848
$4,946
$2,460
$3,705
$6,165
$2,054
$2,783
$4,837
$2,415
$3,552
$5,967


The tables below summarize Citigroup’s other real estate owned (OREO) assets as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,
In millions of dollars201720172016201720172016
OREO  
North America$128
$136
$161
$132
$151
$97
$128
$136
$161
$132
EMEA1
1
—
1
—
1
1
1
—
1
Latin America31
31
18
18
19
30
31
31
18
18
Asia8
5
7
10
5
15
8
5
7
10
Total OREO$168
$173
$186
$161
$175
$143
$168
$173
$186
$161
Non-accrual assets

Corporate non-accrual loans$2,098
$2,339
$2,421
$2,415
$2,460
$2,054
$2,098
$2,339
$2,421
$2,415
Consumer non-accrual loans2,848
2,955
3,158
3,552
3,705
2,783
2,848
2,955
3,158
3,552
Non-accrual loans (NAL)$4,946
$5,294
$5,579
$5,967
$6,165
$4,837
$4,946
$5,294
$5,579
$5,967
OREO$168
$173
$186
$161
$175
$143
$168
$173
$186
$161
Non-accrual assets (NAA)$5,114
$5,467
$5,765
$6,128
$6,340
$4,980
$5,114
$5,467
$5,765
$6,128
NAL as a percentage of total loans0.77%0.84%0.89%0.93%0.97%0.74%0.77%0.84%0.89%0.93%
NAA as a percentage of total assets0.27
0.30
0.32
0.34
0.35
0.26
0.27
0.30
0.32
0.34
Allowance for loan losses as a percentage of NAL(1)
243
227
216
208
200
256
243
227
216
208

(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.



Renegotiated Loans
The following table presents Citi’s loans modified in TDRs:
In millions of dollarsJun. 30, 2017Dec. 31, 2016Sept. 30, 2017Dec. 31, 2016
Corporate renegotiated loans(1)
    
In U.S. offices    
Commercial and industrial(2)
$211
$89
$285
$89
Mortgage and real estate70
84
78
84
Loans to financial institutions9
9
8
9
Other166
228
155
228
$456
$410
$526
$410
In offices outside the U.S.    
Commercial and industrial(2)
$380
$319
$401
$319
Mortgage and real estate4
3
7
3
Loans to financial institutions15
—
15
—
$399
$322
$423
$322
Total corporate renegotiated loans$855
$732
$949
$732
Consumer renegotiated loans(3)(4)(5)
    
In U.S. offices    
Mortgage and real estate(6)
$4,030
$4,695
$3,812
$4,695
Cards1,270
1,313
1,295
1,313
Installment and other192
117
176
117
$5,492
$6,125
$5,283
$6,125
In offices outside the U.S.    
Mortgage and real estate$375
$447
$337
$447
Cards512
435
525
435
Installment and other396
443
414
443
$1,283
$1,325
$1,276
$1,325
Total consumer renegotiated loans$6,775
$7,450
$6,559
$7,450
(1)Includes $678$769 million and $445 million of non-accrual loans included in the non-accrual loans table above at JuneSeptember 30, 2017 and December 31, 2016, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at JuneSeptember 30, 2017, Citi also modified $85$86 million of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators), all within offices in the U.S. These modifications were not considered TDRs because the modifications did not involve a concession.
(3)Includes $1,416$1,368 million and $1,502 million of non-accrual loans included in the non-accrual loans table above at JuneSeptember 30, 2017 and December 31, 2016, respectively. The remaining loans are accruing interest.
(4)Includes $47$42 million and $58 million of commercial real estate loans at JuneSeptember 30, 2017 and December 31, 2016, respectively.
(5)Includes $179$162 million and $105 million of other commercial loans at JuneSeptember 30, 2017 and December 31, 2016, respectively.
(6)Reduction in the sixnine months ended JuneSeptember 30, 2017 includes $517$778 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 2016 Annual Report on Form 10-K.
 
 




High-Quality Liquid Assets (HQLA)
Citibank
Non-Bank and Other(1)
TotalCitibank
Non-Bank and Other(1)
Total
In billions of dollarsJun. 30, 2017Mar. 31, 2017Jun. 30, 2016Jun. 30, 2017Mar. 31, 2017Jun. 30, 2016Jun. 30, 2017Mar. 31, 2017Jun. 30, 2016Sept. 30, 2017Jun. 30, 2017Sept. 30, 2016Sept. 30, 2017Jun. 30, 2017Sept. 30, 2016Sept. 30, 2017Jun. 30, 2017Sept. 30, 2016
Available cash$78.5
$83.8
$61.3
$35.0
$24.5
$23.2
$113.5
$108.3
$84.5
$89.8
$78.5
$71.1
$25.7
$35.0
$19.2
$115.5
$113.5
$90.2
U.S. sovereign110.6
113.8
115.0
23.2
22.7
19.6
133.8
136.5
134.6
114.5
110.6
122.3
28.6
23.2
21.8
143.1
133.8
144.1
U.S. agency/agency MBS63.2
59.2
69.2
1.1
0.8
0.3
64.3
60.0
69.5
80.4
63.2
62.6
0.3
1.1
0.2
80.7
64.3
62.8
Foreign government debt(2)
102.4
84.5
86.7
17.7
17.2
16.8
120.1
101.7
103.6
82.2
102.4
89.2
17.3
17.7
15.5
99.6
120.1
104.7
Other investment grade0.4
0.3
1.2
1.2
1.5
1.5
1.6
1.8
2.7
0.7
0.4
1.0
1.2
1.2
1.5
1.9
1.6
2.5
Total HQLA (EOP)$355.1
$341.6
$333.3
$78.1
$66.7
$61.5
$433.2
$408.3
$394.8
$367.6
$355.1
$346.2
$73.1
$78.1
$58.2
$440.8
$433.2
$404.3
Total HQLA (AVG)$354.0
$353.5
$342.5
$70.4
$59.3
$68.5
$424.4
$412.8
$411.0
$371.0
$354.0
$344.0
$77.6
$70.4
$59.8
$448.6
$424.4
$403.8

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 therefore exclude any securities that are encumbered, and incorporate any haircuts that would be required for secured funding transactions. The Federal Reserve Board adopted 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, 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; other component information is not currently available.
(1)Citibanamex and Citibank (Switzerland) AG account for approximately $6 billion of the “Non-Bank and Other” HQLA balance as of JuneSeptember 30, 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, Korea, Taiwan, Singapore, India, Brazil and Mexico.

As set forth in the table above, sequentially, Citi’s total HQLA increased on both on an average and end-of-period andbasis, predominantly driven by changes in eligibility assumptions relating to certain assets. On an average basis, due primarily tothe sequential increase in Citi’s total HQLA was also impacted by an increase in cash related to resolution planning, as well as an increase in foreign government debt.average cash.
Citi’s HQLA as set forth above does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLBs) of which Citi is a member, which was approximately $23$16 billion as of September 30, 2017 (compared to $18 billion as of June 30, 2017 (compared to $28and $24 billion as of March 31, 2017 and $37 billion as of JuneSeptember 30, 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 JuneSeptember 30, 2017, the capacity available for lending to these entities under Section 23A was approximately $15 billion, unchanged from both March 31,June 30, 2017 and JuneSeptember 30, 2016, subject to certain eligible non-cash collateral requirements.



Loans
The table below sets forth the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
In billions of dollarsJun. 30, 2017Mar. 31, 2017Jun. 30, 2016Sept. 30, 2017Jun. 30, 2017Sept. 30, 2016
Global Consumer Banking  
North America$183.4
$183.3
$163.8
$186.7
$183.4
$177.8
Latin America25.5
23.1
24.3
26.8
25.5
24.2
Asia(1)
84.9
83.2
84.9
86.2
84.9
85.5
Total$293.8
$289.6
$273.0
$299.7
$293.8
$287.5
Institutional Clients Group  
Corporate lending121.5
118.1
124.2
123.3
121.5
124.0
Treasury and trade solutions (TTS)73.7
71.4
70.9
74.9
73.7
71.1
Private bank, Markets and
securities services and other
117.2
112.2
108.9
Private Bank82.6
79.0
74.2
Markets and securities services
and other
40.1
38.2
37.2
Total$312.4
$301.8
$304.0
$320.9
$312.4
$306.6
Total Corporate/Other
28.2
31.8
43.6
25.8
28.2
40.9
Total Citigroup loans (AVG)$634.3
$623.2
$620.6
$646.3
$634.3
$634.9
Total Citigroup loans (EOP)$644.7
$628.6
$633.5
$653.2
$644.7
$638.4

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

As set forth in the table above, end-of-period loans increased 2% year-over-year and 3%1% quarter-over-quarter. On an average basis, loans increased 2% both year-over-year and quarter-over-quarter.
Excluding the impact of FX translation, average loans increased 3%1% both year-over-year and 1% quarter-over-quarter. On this basis, average GCB loans grew 8%4% year-over-year, driven by 12%5% growth in North America. Within North America,Citi-branded cards increased 25% year-over-year, primarily due to the acquisition of the Costco portfolio, as well as modest organic growth.. International GCB loans increased 1%, as 7%driven by 6% growth in Mexico, was partially offset by a 1% decline inwhile Asia, loans were unchanged, reflecting Citi’s optimization of its portfolio in this region.
Average ICG loans increased 3%4% year-over-year, primarily driven mostly by client-led growth in the private bank. Corporate lending decreased 1%, primarily driven by a lower level of episodic funding compared to the prior-year period. Sequentially, corporate lending increased 2%, as Citi supported core business activity among its global subsidiary clients. TTSTreasury and trade solutions loans increased 4%5%, driven by growth in EMEA and Asia.
Average Corporate/Other loans decreased 36% year-over-
year,37% year-over-year, driven by the continued wind down of legacy assets.
Deposits
The table below sets forth the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:
In billions of dollarsJun. 30, 2017Mar. 31, 2017Jun. 30, 2016Sept. 30, 2017Jun. 30, 2017Sept. 30, 2016
Global Consumer Banking  
North America$185.1
$185.5
$182.1
$184.1
$185.1
$183.9
Latin America27.8
25.3
25.9
28.8
27.8
25.7
Asia(1)
94.3
92.7
89.4
95.2
94.3
91.6
Total$307.2
$303.5
$297.4
$308.1
$307.2
$301.2
Institutional Clients Group  
Treasury and trade solutions (TTS)423.9
416.2
415.0
427.8
423.9
414.6
Banking ex-TTS122.1
120.8
116.3
122.4
122.1
119.6
Markets and securities services84.3
80.1
82.7
84.7
84.3
84.1
Total$630.3
$617.1
$614.0
$634.9
$630.3
$618.4
Corporate/Other22.5
20.3
24.2
22.9
22.5
24.7
Total Citigroup deposits (AVG)$960.0
$940.9
$935.6
$965.9
$960.0
$944.2
Total Citigroup deposits (EOP)$958.7
$950.0
$937.9
$964.0
$958.7
$940.3
(1)
Includes deposits in certain EMEA countries for all periods presented.

End-of-period deposits increased 2%3% year-over-year and 1% quarter-over-quarter. On an average basis, deposits increased 3%2% year-over-year and 2%1% sequentially.
Excluding the impact of FX translation, average deposits grew 3%2% from the prior-year period, driven primarily by 3% growth in treasury and trade solutions, as Citi experienced strong customer engagement across all major businesseswell as 4% aggregate growth in Asia and regions.Latin America GCB.North America GCB deposits were largely unchanged as a net inflow of deposits was offset by transfers from deposit to investment accounts.



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 6.96.8 years as of JuneSeptember 30, 2017, a slightmodest decline from both the prior-year period and unchanged sequentially.the prior quarter.
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 dollarsJun. 30, 2017Mar. 31, 2017Jun. 30, 2016Sept. 30, 2017Jun. 30, 2017Sept. 30, 2016
Parent and other(1)












Benchmark debt:  
Senior debt$105.9
$100.2
$96.1
$109.8
$105.9
$97.1
Subordinated debt26.8
26.3
28.8
27.0
26.8
28.8
Trust preferred1.7
1.7
1.7
1.7
1.7
1.7
Customer-related debt:

Structured debt25.3
24.3
22.5
27.0
25.3
23.6
Non-structured debt3.1
2.9
3.3
3.3
3.1
3.5
Local country and other(2)
2.1
2.0
2.3
1.8
2.1
2.7
Total parent and other$164.9
$157.4
$154.8
$170.6
$164.9
$157.4
Bank











FHLB borrowings$20.3
$20.3
$19.6
$19.8
$20.3
$21.6
Securitizations(3)
28.2
24.0
27.3
28.6
28.2
24.4
CBNA benchmark debt7.2
2.5
—
CBNA benchmark senior debt9.5
7.2
—
Local country and other(2)
4.5
4.3
5.8
4.2
4.5
5.7
Total bank$60.2
$51.1
$52.6
$62.1
$60.2
$51.7
Total long-term debt$225.2
$208.5
$207.4
$232.7
$225.2
$209.1
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 JuneSeptember 30, 2017, “parent and other” included $17.7 $18.7billion of long-term debt issued by Citi’s broker-dealer and other non-bank 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 increased both year-over-year and sequentially, primarily driven by the issuance of senior debt at the parent, as well as the issuance of benchmark senior debt at the bank. Sequentially, Citi’s total long-term debt outstanding increased, primarily driven by an increase in credit card securitizations, as well as the issuance of benchmark debt at both the bank and parent.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offersoffers/redemptions or other means. Such repurchases help reduce Citi’s overall funding costs (and assist it in meeting regulatory changes and requirements). During the secondthird quarter of 2017, Citi repurchased an aggregate of approximately $0.2$0.3 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:
2Q171Q172Q163Q172Q173Q16
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent and other























Benchmark debt:          
Senior debt$2.0
$6.3
$5.3
$5.2
$5.1
$6.6
$2.5
$5.7
$2.0
$6.3
$3.3
$4.5
Subordinated debt—
0.2
1.2
0.7
1.7
1.0
—
—
—
0.2
1.3
1.5
Trust preferred—
—
—
—
—
—
—
—
—
—
—
—
Customer-related debt:

   

   
Structured debt2.0
3.6
1.8
3.5
3.4
2.0
1.7
2.9
2.0
3.6
2.2
3.0
Non-structured debt0.3
—
0.1
—
0.1
0.1
0.1
0.1
0.3
—
0.1
0.2
Local country and other0.1
—
0.5
0.1
1.9
—
0.4
—
0.1
—
0.1
0.4
Total parent and other$4.3
$10.2
$9.0
$9.6
$12.2
$9.7
$4.7
$8.7
$4.3
$10.2
$6.9
$9.6
Bank























FHLB borrowings$1.5
$1.5
$1.8
$0.5
$1.0
$2.5
$1.5
$1.0
$1.5
$1.5
$2.8
$5.8
Securitizations0.9
5.1
2.0
2.5
1.3
—
1.8
2.2
0.9
5.1
3.0
—
CBNA benchmark debt—
4.7
—
2.5
—
—
CBNA benchmark senior debt—
2.2
—
4.7
—
—
Local country and other0.7
0.3
1.2
0.9
1.1
1.0
0.5
0.5
0.7
0.3
0.9
0.9
Total bank$3.0
$11.6
$5.0
$6.3
$3.4
$3.5
$3.8
$5.9
$3.0
$11.6
$6.7
$6.7
Total$7.4
$21.8
$13.9
$15.9
$15.6
$13.2
$8.5
$14.6
$7.4
$21.8
$13.6
$16.3

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2017, as well as its aggregate expected annual long-term debt maturities as of JuneSeptember 30, 2017:
Maturities 2017 YTDMaturitiesMaturities 2017 YTDMaturities
In billions of dollars201720182019202020212022ThereafterTotal201720182019202020212022ThereafterTotal
Parent and other



































Benchmark debt:   
   
Senior debt$7.2
$6.9
$18.3
$14.5
$8.9
$14.2
$6.0
$37.1
$105.9
$9.8
$4.3
$18.4
$14.7
$8.9
$14.4
$6.0
$43.1
$109.8
Subordinated debt1.2
—
0.9
1.4
—
—
1.1
23.3
26.8
1.2
0.4
1.0
1.4
—
—
0.8
23.4
27.0
Trust preferred—
—
—
—
—
—
—
1.7
1.7
—
—
—
—
—
—
—
1.7
1.7
Customer-related debt:   
   
Structured debt3.8
0.6
3.9
2.3
2.9
2.2
1.2
12.2
25.3
5.5
0.3
3.6
2.3
3.2
2.3
1.4
13.9
27.0
Non-structured debt0.4
0.1
0.6
0.2
0.3
0.1
0.2
1.6
3.1
0.5
—
0.6
0.2
0.3
0.1
0.2
1.9
3.3
Local country and other0.6
0.3
0.5
0.1
0.1
0.1
0.1
0.8
2.1
1.0
—
0.7
0.1
0.1
0.1
—
0.8
1.8
Total parent and other$13.3
$7.9
$24.2
$18.4
$12.3
$16.7
$8.6
$76.8
$164.9
$18.0
$5.0
$24.3
$18.7
$12.5
$16.9
$8.4
$84.8
$170.6
Bank



































FHLB borrowings$3.3
$4.5
$14.3
$1.6
$—
$—
$—
$—
$20.3
$4.8
$3.0
$15.3
$1.6
$—
$—
$—
$—
$19.8
Securitizations2.9
2.4
9.4
6.5
3.3
3.8
0.1
2.8
28.2
4.7
0.6
9.4
6.5
4.4
3.8
1.2
2.7
28.6
CBNA benchmark debt—
—
2.2
2.5
2.5
—
—
—
7.2
—
—
2.2
4.7
2.5
—
—
—
9.5
Local country and other1.9
1.1
1.7
0.6
0.5
0.1
0.1
0.4
4.5
2.4
0.7
1.8
0.7
0.5
0.2
0.1
0.3
4.2
Total bank$8.0
$7.9
$27.7
$11.1
$6.3
$3.9
$0.2
$3.2
$60.2
$11.8
$4.2
$28.7
$13.5
$7.4
$4.0
$1.3
$3.1
$62.1
Total long-term debt$21.3
$15.9
$51.9
$29.5
$18.5
$20.6
$8.8
$80.0
$225.2
$29.8
$9.3
$53.0
$32.2
$19.8
$20.9
$9.7
$87.9
$232.7











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). In July 2017, Citi submitted its 2017 Resolution Plan to the Federal Reserve and FDIC (the Agencies). Under Citi’s Resolution Plan, only Citigroup, the parent holding company, would enter into bankruptcy, while Citigroup’s material legal entities (as defined in the public section of its 2017 Resolution Plan, which can be found on the Agencies’ websites) 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’s final TLAC rule, Citigroup believes it has developed the Resolution Plan so that Citigroup’s shareholders and unsecured creditors—including its unsecured long-term debt holders—bear any losses resulting from Citigroup’s bankruptcy.
In response to feedback received from the Agencies on Citigroup’s 2015 Resolution Plan, Citigroup took the following actions in connection with its 2017 Resolution Plan submission:
(i) Citicorp LLC (Citicorp), an existing wholly-owned subsidiary of Citigroup, was established as an intermediate holding company (an IHC) for certain of Citigroup’s operating material legal entities;
(ii) Citigroup executed an inter-affiliate agreement with Citicorp, Citigroup’s operating material legal entities and certain other affiliated entities pursuant to which Citicorp is required to provide liquidity and capital support to Citigroup’s operating material legal entities in the event Citigroup were to enter bankruptcy proceedings (Citi Support Agreement);
(iii) pursuant to the Citi Support Agreement:

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

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

Secured Funding Transactions and Short-Term Borrowings
Citi supplements its primary sources of funding with short-term borrowings. Short-term borrowings generally include (i) secured funding transactions (securities loaned or sold under agreements to repurchase, or repos) and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).
Outside of secured funding transactions, Citi’s short-term borrowings increased 98%29% year-over-year and 40%4% sequentially.The increase both year-over-year and sequentially was driven primarily by an increase in FHLB borrowings, as Citi continued to optimize liquidity across its legal vehicles.entities.

Secured Funding
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which 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 $155$161 billion as of JuneSeptember 30, 2017 declined 2%increased 5% from the prior-year period and increased 4% sequentially. Excluding the impact of FX translation, secured funding decreased 2%increased 3% from both the prior-year period and increased 2% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $161$158 billion for the quarter ended JuneSeptember 30, 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 JuneSeptember 30, 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 Citi’s 2016 Annual Report on Form 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 dollarsJun. 30, 2017Mar. 31, 2017Jun. 30, 2016Sept. 30, 2017Jun. 30, 2017Sept. 30, 2016
HQLA$424.4
$412.8
$411.0
$448.6
$424.4
$403.8
Net outflows338.2
334.4
339.8
365.1
338.2
335.3
LCR125%123%121%123%125%120%
HQLA in excess of net outflows$86.2
$78.4
$71.2
$83.5
$86.2
$68.5

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

As set forth in the table above, Citi’s average LCR increased both year-over-year, and sequentially driven byas an increase in average HQLA reflecting themore than offset an increase in cash related to resolution planning, partiallymodeled net outflows. Sequentially, Citi’s average LCR decreased modestly, as an increase in modeled net outflows was largely offset by an increase in average HQLA. Both the increase in modeled net outflows.outflows and the increase in average HQLA were predominantly driven by changes in assumptions, including changes in methodology to better align Citi’s outflow assumptions with those embedded in its resolution planning.
















Credit Ratings
The table below sets forth the ratings for Citigroup and Citibank as of JuneSeptember 30, 2017. While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Inc. (CGMI) were “A2/P-1” at Moody’s, “A+/A-1” at Standard & Poor’s and “A+/F1” at Fitch as of June 30, 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 JuneSeptember 30, 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-2StableA+A-1Stable

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, 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 2016 Annual Report on Form 10-K.


Citigroup Inc. and Citibank—Potential Derivative Triggers
As of JuneSeptember 30, 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 $0.7$1.0 billion, compared to $0.6$0.7 billion as of March 31,June 30, 2017. Other funding sources, such as secured funding and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of JuneSeptember 30, 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 $0.3$0.5 billion, compared to $0.8$0.3 billion as of March 31,June 30, 2017, due to derivative triggers.
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 $1.0$1.5 billion, compared to $1.4$1.0 billion as of March 31,June 30, 2017 (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 $354$371 billion and the liquidity resources of Citi’s non-bank and other entities were approximately $70$78 billion, for a total of approximately $424$449 billion as of JuneSeptember 30, 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 June 30, 2017, Citibank had liquidity commitments of approximately $10.0billion to consolidated asset-backed commercial paper conduits, compared to $10.1 billion at March 31,as of September 30, 2017 and June 30, 2017 (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 2016 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 2016 Annual Report on Form 10-K.


The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point increase in interest rates:
In millions of dollars (unless otherwise noted)Jun. 30, 2017Mar. 31, 2017Jun. 30, 2016Sept. 30, 2017Jun. 30, 2017Sept. 30, 2016
Estimated annualized impact to net interest revenue      
U.S. dollar(1)
$1,435
$1,644
$1,394
$1,449
$1,435
$1,405
All other currencies589
581
590
610
589
574
Total$2,024
$2,225
$1,984
$2,059
$2,024
$1,979
As a percentage of average interest-earning assets0.12%0.14%0.12%0.12%0.12%0.12%
Estimated initial impact to AOCI (after-tax)(2)
$(4,258)$(3,830)$(4,628)$(4,206)$(4,258)$(4,868)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(49)(43)(52)(48)(49)(53)
(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 $(164)$(204) million for a 100 basis point instantaneous increase in interest rates as of JuneSeptember 30, 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 sequential decrease in the estimated impact to net interest revenue primarily reflected an increase in the assumed deposit re-pricing sensitivity to further increases in interest rates andincreased slightly on a sequential basis, reflecting changes in balance sheet composition. The sequential increasedecrease in the estimated impact to AOCI primarily reflected changes to the positioning of Citi Treasury’s investment securities and related interest rate derivatives 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 JuneSeptember 30, 2017, Citi expects that the negative
$4.2 $4.2 billion impact to AOCI in such a scenario could potentially be offset over approximately 2123 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 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$1,435
$1,363
$87
$(116)$1,449
$1,369
$89
$(130)
All other currencies589
549
34
(34)610
554
34
(34)
Total$2,024
$1,912
$121
$(150)$2,059
$1,923
$123
$(164)
Estimated initial impact to AOCI (after-tax)(1)
$(4,258)$(2,609)$(1,833)$(1,329)$(4,206)$(2,542)$(1,632)$1,077
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2)
(49)(30)(21)(15)(48)(29)(19)12
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.
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 2016 Annual Reporting on Form 10-K).

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of JuneSeptember 30, 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 $1.4$1.6 billion, or 0.8%0.9%, 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 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)Jun. 30, 2017Mar. 31, 2017Jun. 30, 2016Sept. 30, 2017Jun. 30, 2017Sept. 30, 2016
Change in FX spot rate(1)
1.9%4.5%(0.9)%1.1%1.9%(0.2)%
Change in TCE due to FX translation, net of hedges$478
$654
$(441)$222
$478
$(412)
As a percentage of TCE0.3%0.4%(0.2)%0.1%0.3%(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)
(3)(2)2
(3)(3)(2)

(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
a2q17charta01.jpga3q17charta01.jpg
2nd Qtr. 1st Qtr. 2nd Qtr. Change3rd Qtr. 2nd Qtr. 3rd Qtr. Change
In millions of dollars, except as otherwise noted2017 2017 2016 2Q17 vs. 2Q162017 2017 2016 3Q17 vs. 3Q16
Interest revenue(1)
$15,323
 $14,546
 $14,473
 6 % $15,944
 $15,323
 $14,767
 8 % 
Interest expense(2)
4,036
 3,566
 3,120
 29
 4,379
 4,036
 3,174
 38
 
Net interest revenue$11,287
 $10,980
 $11,353
 (1)% $11,565
 $11,287
 $11,593
 — % 
Interest revenue—average rate3.70% 3.63% 3.65% 5
bps3.75% 3.70% 3.65% 10
bps
Interest expense—average rate1.26
 1.16
 1.04
 22
bps1.33
 1.26
 1.03
 30
bps
Net interest margin2.72
 2.74
 2.86
 (14)bps
Net interest margin(3)
2.72
 2.72
 2.86
 (14)bps
Interest-rate benchmarks                
Two-year U.S. Treasury note—average rate1.30% 1.24% 0.77% 53
bps1.36% 1.30% 0.73% 63
bps
10-year U.S. Treasury note—average rate2.26
 2.45
 1.75
 51
bps2.24
 2.26
 1.56
 68
bps
10-year vs. two-year spread96
bps121
bps98
bps 
 88
bps96
bps83
bps 
 
Note: All interest expense amounts include FDIC deposit insurance 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 $123 million, $122 million, $123 million, and $117$114 million for the three months ended September 30, 2017, June 30, 2017 March 31, 2017 and JuneSeptember 30, 2016, respectively.
(2)
Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statements of Income and is therefore not reflected in Interest expense in the table above.
(3)Citi’s net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest-earning assets.


Citi’s net interest revenue declined 1% to $11.2remained largely unchanged at $11.4 billion ($11.311.6 billion on a taxable equivalent basis) versus the prior-year period. Excluding the impact of FX translation, Citi’s net interest revenue was largely unchanged at $11.2 billion ($11.3 billion on a taxable equivalent basis)down slightly versus the prior-year period due to(down $110 million), as higher core accrual net interest revenue ($10.4 billion, up 5% or $0.5 billion) was offset by lower trading-related net interest revenue ($0.90.7 billion, down approximately 29%34% or $0.4 billion), and lower net interest revenue associated with legacy assets in Corporate/Other ($($0.3 billion, down approximately 49%38% or $0.3$0.2 billion), offset by higher net interest revenue. The increase in the remaining accrual businesses (core accrual net interest revenue). Corecore accrual net interest revenue increased 7% to $10.0 billion versus the prior-year period,was driven by the addition of the Costco portfolio, other volume growth and the
impact of the December 2016, March 2017 and MarchJune 2017 interest rate increases and volume growth,
partially offset by 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-earning assets. Citi’s NIM was 2.72% on a taxable equivalent basis in the secondthird quarter of 2017, a decrease of 14 bps from the prior-year period. Citi’s core accrual NIM was 3.44%3.45%, a decline of 17 bps, as the higher 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 underlying fundamentals of its business results.)




Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3) 
Taxable Equivalent Basis
Average volumeInterest revenue% Average rateAverage volumeInterest revenue% Average rate
2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.
In millions of dollars, except rates201720172016201720172016201720172016201720172016201720172016201720172016
Assets                
Deposits with banks(4)
$166,023
$154,765
$135,245
$375
$295
$237
0.91%0.77%0.70%$176,942
$166,023
$131,571
$486
$375
$247
1.09%0.91%0.75%
Federal funds sold and securities
borrowed or purchased under
agreements to resell(5)
     




      




In U.S. offices$144,483
$144,003
$148,511
$472
$368
$362
1.31%1.04%0.98%$136,681
$144,483
$146,581
$524
$472
$387
1.52%1.31%1.05%
In offices outside the U.S.(4)
104,780
103,032
84,018
356
293
302
1.36
1.15
1.45
108,770
104,780
88,415
334
356
249
1.22
1.36
1.12
Total$249,263
$247,035
$232,529
$828
$661
$664
1.33%1.09%1.15%$245,451
$249,263
$234,996
$858
$828
$636
1.39%1.33%1.08%
Trading account assets(6)(7)
    




     




In U.S. offices$100,080
$101,836
$108,602
$877
$884
$970
3.51%3.52%3.59%$98,725
$100,080
$100,381
$918
$877
$912
3.69%3.51%3.61%
In offices outside the U.S.(4)
103,581
94,015
92,656
646
423
603
2.50
1.82
2.62
105,882
103,581
100,825
555
646
559
2.08
2.50
2.21
Total$203,661
$195,851
$201,258
$1,523
$1,307
$1,573
3.00%2.71%3.14%$204,607
$203,661
$201,206
$1,473
$1,523
$1,471
2.86%3.00%2.91%
Investments    




     




In U.S. offices    




    




Taxable$224,021
$221,450
$225,279
$1,086
$1,034
$991
1.94%1.89%1.77%$227,680
$224,021
$228,337
$1,138
$1,086
$990
1.98%1.94%1.72%
Exempt from U.S. income tax18,466
18,680
19,010
197
196
170
4.28
4.26
3.60
17,890
18,466
19,102
181
197
162
4.01
4.28
3.37
In offices outside the U.S.(4)
106,758
107,225
107,235
830
789
837
3.12
2.98
3.14
106,456
106,758
107,350
835
830
794
3.11
3.12
2.94
Total$349,245
$347,355
$351,524
$2,113
$2,019
$1,998
2.43%2.36%2.29%$352,026
$349,245
$354,789
$2,154
$2,113
$1,946
2.43%2.43%2.18%
Loans (net of unearned income)(8)
     




      




In U.S. offices$369,342
$367,397
$353,422
$6,392
$6,273
$5,793
6.94%6.92%6.59%$372,067
$369,342
$368,372
$6,650
$6,392
$6,272
7.09%6.94%6.77%
In offices outside the U.S.(4)
264,986
255,941
267,226
3,832
3,697
3,972
5.80
5.86
5.98
274,254
264,986
267,399
4,031
3,832
3,974
5.83
5.80
5.91
Total$634,328
$623,338
$620,648
$10,224
$9,970
$9,765
6.46%6.49%6.33%$646,321
$634,328
$635,771
$10,681
$10,224
$10,246
6.56%6.46%6.41%
Other interest-earning assets(9)
$60,107
$56,733
$54,058
$260
$294
$236
1.74%2.10%1.76%$61,677
$60,107
$52,668
$292
$260
$221
1.88%1.74%1.67%
Total interest-earning assets$1,662,627
$1,625,077
$1,595,262
$15,323
$14,546
$14,473
3.70%3.63%3.65%$1,687,024
$1,662,627
$1,611,001
$15,944
$15,323
$14,767
3.75%3.70%3.65%
Non-interest-earning assets(6)
$206,581
$205,477
$212,050
      $205,268
$206,581
$219,213
      
Total assets$1,869,208
$1,830,554
$1,807,312
   $1,892,292
$1,869,208
$1,830,214
   
(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 $123 million, $122 million, $123 million, and $117$114 million for the three months ended September 30, 2017, June 30, 2017 March 31, 2017 and JuneSeptember 30, 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)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(6)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(7)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(8)Includes cash-basis loans.
(9)Includes brokerage receivables.


Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3) 
Taxable Equivalent Basis
Average volumeInterest expense% Average rateAverage volumeInterest expense% Average rate
2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.
In millions of dollars, except rates201720172016201720172016201720172016201720172016201720172016201720172016
Liabilities                 
Deposits               
In U.S. offices(4)
$311,758
$302,294
$286,653
$593
$507
$371
0.76%0.68%0.52%$318,881
$311,758
$296,999
$695
$593
$470
0.86%0.76%0.63%
In offices outside the U.S.(5)
439,807
428,743
435,242
1,010
908
935
0.92
0.86
0.86
438,561
439,807
434,232
1,080
1,010
973
0.98
0.92
0.89
Total$751,565
$731,037
$721,895
$1,603
$1,415
$1,306
0.86%0.78%0.73%$757,442
$751,565
$731,231
$1,775
$1,603
$1,443
0.93%0.86%0.79%
Federal funds purchased and
securities loaned or sold under
agreements to repurchase(6)
     





      





In U.S. offices$101,623
$94,461
$103,517
$396
$282
$260
1.56%1.21%1.01%$93,167
$101,623
$99,924
$423
$396
$267
1.80%1.56%1.06%
In offices outside the U.S.(5)
59,354
54,425
57,685
280
211
267
1.89
1.57
1.86
64,897
59,354
58,060
289
280
192
1.77
1.89
1.32
Total$160,977
$148,886
$161,202
$676
$493
$527
1.68%1.34%1.31
$158,064
$160,977
$157,984
$712
$676
$459
1.79%1.68%1.16
Trading account liabilities(7)(8)
     





      





In U.S. offices$34,287
$32,215
$27,420
$81
$84
$64
0.95%1.06%0.94%$32,622
$34,287
$33,600
$104
$81
$65
1.26%0.95%0.77%
In offices outside the U.S.(5)
56,731
59,667
45,960
65
63
32
0.46
0.43
0.28
57,187
56,731
42,637
65
65
37
0.45
0.46
0.35
Total$91,018
$91,882
$73,380
$146
$147
$96
0.64%0.65%0.53%$89,809
$91,018
$76,237
$169
$146
$102
0.75%0.64%0.53%
Short-term borrowings(9)
     





     





In U.S. offices$68,486
$71,607
$54,825
$103
$85
$43
0.60%0.48%0.32%$77,211
$68,486
$61,019
$234
$103
$51
1.20%0.60%0.33%
In offices outside the U.S.(5)
23,070
24,006
10,253
99
114
66
1.72
1.93
2.59
20,928
23,070
20,285
84
99
39
1.59
1.72
0.76
Total$91,556
$95,613
$65,078
$202
$199
$109
0.88%0.84%0.67%$98,139
$91,556
$81,304
$318
$202
$90
1.29%0.88%0.44%
Long-term debt(10)
    





      





In U.S. offices$187,610
$178,656
$175,506
$1,361
$1,255
$1,009
2.91%2.85%2.31%$198,766
$187,610
$175,427
$1,377
$1,361
$1,028
2.75%2.91%2.33%
In offices outside the U.S.(5)
4,534
5,313
6,714
48
57
73
4.25
4.35
4.37
4,298
4,534
6,506
28
48
52
2.58%4.25
3.18
Total$192,144
$183,969
$182,220
$1,409
$1,312
$1,082
2.94%2.89%2.39%$203,064
$192,144
$181,933
$1,405
$1,409
$1,080
2.75%2.94%2.36%
Total interest-bearing liabilities$1,287,260
$1,251,387
$1,203,775
$4,036
$3,566
$3,120
1.26%1.16%1.04%$1,306,518
$1,287,260
$1,228,689
$4,379
$4,036
$3,174
1.33%1.26%1.03%
Demand deposits in U.S. offices$38,772
$37,748
$38,979
   $37,673
$38,772
$40,466
     
Other non-interest-bearing liabilities(7)
313,229
314,106
335,243
   318,060
313,227
328,405
    
Total liabilities$1,639,261
$1,603,241
$1,577,997
   $1,662,251
$1,639,259
$1,597,560
    
Citigroup stockholders’ equity(11)
$228,946
$226,312
$228,149
   $229,017
$228,946
$231,574
    
Noncontrolling interest1,001
1,001
1,166
   1,024
1,003
1,080
    
Total equity(11)
$229,947
$227,313
$229,315
   $230,041
$229,949
$232,654
    
Total liabilities and stockholders’ equity$1,869,208
$1,830,554
$1,807,312
   $1,892,292
$1,869,208
$1,830,214
    
Net interest revenue as a percentage of average interest-earning assets(12)
             
In U.S. offices$956,968
$948,366
$942,538
$6,777
$6,763
$6,816
2.84%2.89%2.91%$975,283
$956,968
$953,877
$7,046
$6,777
$7,092
2.87%2.84%2.96%
In offices outside the U.S.(6)
705,659
676,711
652,724
4,510
4,217
4,537
2.56
2.53
2.80
711,741
705,659
657,124
4,519
4,510
4,501
2.52
2.56
2.72%
Total$1,662,627
$1,625,077
$1,595,262
$11,287
$10,980
$11,353
2.72%2.74%2.86%$1,687,024
$1,662,627
$1,611,001
$11,565
$11,287
$11,593
2.72%2.72%2.86%
(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 $123 million, $122 million, $123 million, and $117$114 million for the three months ended September 30, 2017, June 30, 2017 March 31, 2017 and JuneSeptember 30, 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)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of ASC 210-20-45.
(7)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.


(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)Includes brokerage payables.
(10)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as these obligations are accounted for in changes in fair value recorded in Principal transactions.
(11)Includes stockholders’ equity from discontinued operations.
(12)Includes allocations for capital and funding costs based on the location of the asset.

Average Balances and Interest Rates—Assets(1)(2)(3)(4) 
Taxable Equivalent Basis
Average volumeInterest revenue% Average rateAverage volumeInterest revenue% Average rate
Six MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine Months
In millions of dollars, except rates201720162017201620172016201720162017201620172016
Assets          
Deposits with banks(5)
$160,394
$126,505
$670
$456
0.84%0.72%$165,910
$128,194
$1,156
$703
0.93%0.73%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)
           
In U.S. offices$144,243
$149,278
$840
$736
1.17
0.99
$141,723
$148,379
$1,364
$1,123
1.29%1.01%
In offices outside the U.S.(5)
103,906
81,295
649
575
1.26
1.42
105,527
83,668
983
824
1.25%1.32%
Total$248,149
$230,573
$1,489
$1,311
1.21%1.14%$247,250
$232,047
$2,347
$1,947
1.27%1.12%
Trading account assets(7)(8)
           
In U.S. offices$100,958
$106,792
$1,761
$1,923
3.52%3.62%$100,214
$104,655
$2,679
$2,835
3.57%3.62%
In offices outside the U.S.(5)
98,798
91,640
1,069
1,121
2.18
2.46
101,159
94,701
1,624
1,680
2.15%2.37%
Total$199,756
$198,432
$2,830
$3,044
2.86%3.08%$201,373
$199,356
$4,303
$4,515
2.86%3.03%
Investments          
In U.S. offices          
Taxable$222,736
$227,130
$2,120
$1,991
1.92%1.76%$224,384
$227,532
$3,258
$2,981
1.94%1.75%
Exempt from U.S. income tax18,573
19,205
393
339
4.27
3.55
18,345
19,171
574
501
4.18%3.49%
In offices outside the U.S.(5)
106,992
105,499
1,619
1,591
3.05
3.03
106,813
106,116
2,454
2,385
3.07%3.00%
Total$348,301
$351,834
$4,132
$3,921
2.39%2.24%$349,542
$352,819
$6,286
$5,867
2.40%2.22%
Loans (net of unearned income)(9)
          
In U.S. offices$368,370
$351,765
$12,665
$11,666
6.93%6.67%$369,602
$357,300
$19,315
$17,938
6.99%6.71%
In offices outside the U.S.(5)
260,464
264,680
7,529
7,873
5.83
5.98
265,060
265,586
11,560
11,847
5.83%5.96%
Total$628,834
$616,445
$20,194
$19,539
6.48%6.37%$634,662
$622,886
$30,875
$29,785
6.50%6.39%
Other interest-earning assets(10)
$58,418
$55,159
$554
$488
1.91%1.78%$59,506
$54,329
$846
$709
1.90%1.74%
Total interest-earning assets$1,643,852
$1,578,948
$29,869
$28,759
3.66%3.66%$1,658,243
$1,589,631
$45,813
$43,526
3.69%3.66%
Non-interest-earning assets(7)
$206,029
$213,496
 
 
 
 
$205,775
$215,402
 
 
 
 
Total assets$1,849,881
$1,792,444
 
 
 
 
$1,864,018
$1,805,033
 
 
 
 
(1)
Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $245$368 million and $236$350 million for the sixnine months ended JuneSeptember 30, 2017 and 2016, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest revenue excludes the impact of FIN 41 (ASC 210-20-45).
(7)
The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.
(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)Includes cash-basis loans.
(10)Includes brokerage receivables.



Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)(4) 
Taxable Equivalent Basis
Average volumeInterest expense% Average rateAverage volumeInterest expense% Average rate
Six MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine Months
In millions of dollars, except rates201720162017201620172016201720162017201620172016
Liabilities        
Deposits        
In U.S. offices(5)
$307,026
$282,151
$1,100
$687
0.72%0.49%$310,977
$287,100
$1,795
$1,157
0.77%0.54%
In offices outside the U.S.(6)
434,275
429,649
1,918
1,823
0.89
0.85
435,704
431,176
2,998
2,796
0.92%0.87%
Total$741,301
$711,800
$3,018
$2,510
0.82%0.71%$746,681
$718,276
$4,793
$3,953
0.86%0.74%
Federal funds purchased and securities loaned
or sold under agreements to repurchase(7)
        
In U.S. offices$98,042
$103,520
$678
$520
1.39%1.01%$96,417
$102,321
$1,101
$787
1.53%1.03%
In offices outside the U.S.(6)
56,890
58,539
491
509
1.74
1.75
59,559
58,379
780
701
1.75%1.60%
Total$154,932
$162,059
$1,169
$1,029
1.52%1.28%$155,976
$160,700
$1,881
$1,488
1.61%1.24%
Trading account liabilities(8)(9)
        
In U.S. offices$33,251
$25,528
$165
$116
1.00%0.91%$33,041
$28,219
$269
$181
1.09%0.86%
In offices outside the U.S.(6)
58,199
43,818
128
68
0.44
0.31
57,862
43,424
193
105
0.45%0.32%
Total$91,450
$69,346
$293
$184
0.65%0.53%$90,903
$71,643
$462
$286
0.68%0.53%
Short-term borrowings(10)
        
In U.S. offices$70,047
$55,830
$188
$72
0.54%0.26%$72,435
$57,559
$422
$123
0.78%0.29%
In offices outside the U.S.(6)
23,538
16,448
213
138
1.82
1.69
22,668
17,727
297
177
1.75%1.33%
Total$93,585
$72,278
$401
$210
0.86%0.58%$95,103
$75,286
$719
$300
1.01%0.53%
Long-term debt(11)
        
In U.S. offices$183,133
$173,968
$2,616
$2,003
2.88%2.32%$188,344
$174,454
$3,993
$3,031
2.83%2.32%
In offices outside the U.S.(6)
4,924
6,784
105
124
4.30
3.68
4,715
6,691
133
176
3.77%3.51%
Total$188,057
$180,752
$2,721
$2,127
2.92%2.37%$193,059
$181,145
$4,126
$3,207
2.86%2.36%
Total interest-bearing liabilities$1,269,325
$1,196,235
$7,602
$6,060
1.21%1.02%$1,281,722
$1,207,050
$11,981
$9,234
1.25%1.02%
Demand deposits in U.S. offices$38,260
$35,158
 
 
 
 $38,064
$36,927
 
 
 
 
Other non-interest-bearing liabilities(8)
311,877
333,652
 
 
 
 313,939
331,906
 
 
 
 
Total liabilities$1,619,462
$1,565,045
 
 
 
 $1,633,725
$1,575,883
 
 
 
 
Citigroup stockholders’ equity(12)
$229,418
$226,235
 
 
 
 $229,284
$228,014
 
 
 
 
Noncontrolling interest1,001
1,164
 
 
 
 1,009
1,136
 
 
 
 
Total equity(12)
$230,419
$227,399
 
 
 
 $230,293
$229,150
 
 
 
 
Total liabilities and stockholders’ equity$1,849,881
$1,792,444
 
 
 
 $1,864,018
$1,805,033
 
 
 
 
Net interest revenue as a percentage of average interest-earning assets            
In U.S. offices$952,667
$936,046
$13,540
$13,802
2.87%2.97%$960,206
$941,990
$20,586
$20,894
2.87%2.96%
In offices outside the U.S.(6)
691,185
642,902
8,727
8,897
2.55
2.78
698,037
647,641
13,246
13,398
2.54
2.76
Total$1,643,852
$1,578,948
$22,267
$22,699
2.73%2.89%$1,658,243
$1,589,631
$33,832
$34,292
2.73%2.88%
(1)
Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $245$368 million and $236$350 million for the sixnine months ended JuneSeptember 30, 2017 and 2016, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance fees and charges.
(6)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(7)
Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest expense excludes the impact of FIN 41 (ASC 210-20-45).
(8)
The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.
(9)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(10)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as these obligations are accounted for in changes in fair value recorded in Principal transactions.
(11)Includes stockholders' equity from discontinued operations.
(12)Includes allocations for capital and funding costs based on the location of the asset.


Analysis of Changes in Interest Revenue(1)(2)(3) 
2nd Qtr. 2017 vs. 1st Qtr. 20172nd Qtr. 2017 vs. 2nd Qtr. 20163rd Qtr. 2017 vs. 2nd Qtr. 20173rd Qtr. 2017 vs. 3rd 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)
$23
$57
$80
$61
$77
$138
$26
$85
$111
$102
$137
$239
Federal funds sold and securities borrowed or
purchased under agreements to resell
      
In U.S. offices$1
$103
$104
$(10)$120
$110
$(27)$79
$52
$(28)$165
$137
In offices outside the U.S.(4)
5
58
63
71
(17)54
13
(35)(22)61
24
85
Total$6
$161
$167
$61
$103
$164
$(14)$44
$30
$33
$189
$222
Trading account assets(5)
      
In U.S. offices$(15)$8
$(7)$(75)$(18)$(93)$(12)$53
$41
$(15)$21
$6
In offices outside the U.S.(4)
47
176
223
69
(26)43
14
(105)(91)27
(31)(4)
Total$32
$184
$216
$(6)$(44)$(50)$2
$(52)$(50)$12
$(10)$2
Investments(1)
      
In U.S. offices$12
$41
$53
$(9)$131
$122
$16
$20
$36
$(9)$176
$167
In offices outside the U.S.(4)
(3)44
41
(4)(3)(7)(2)7
5
(7)48
41
Total$9
$85
$94
$(13)$128
$115
$14
$27
$41
$(16)$224
$208
Loans (net of unearned income)(6)
      
In U.S. offices$33
$86
$119
$267
$332
$599
$47
$211
$258
$63
$315
$378
In offices outside the U.S.(4)
131
4
135
(33)(107)(140)136
63
199
101
(44)57
Total$164
$90
$254
$234
$225
$459
$183
$274
$457
$164
$271
$435
Other interest-earning assets(7)
$17
$(51)$(34)$26
$(2)$24
$7
$25
$32
$41
$30
$71
Total interest revenue$251
$526
$777
$363
$487
$850
$218
$403
$621
$336
$841
$1,177
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)Includes cash-basis loans.
(7)Includes brokerage receivables.


Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3) 
2nd Qtr. 2017 vs. 1st Qtr. 20172nd Qtr. 2017 vs. 2nd Qtr. 20163rd Qtr. 2017 vs. 2nd Qtr. 20173rd Qtr. 2017 vs. 3rd 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$16
$70
$86
$35
$187
$222
$14
$88
$102
$37
$188
$225
In offices outside the U.S.(4)
24
78
102
10
65
75
(3)73
70
10
97
107
Total$40
$148
$188
$45
$252
$297
$11
$161
$172
$47
$285
$332
Federal funds purchased and securities loaned
or sold under agreements to repurchase		        
In U.S. offices$23
$91
$114
$(5)$141
$136
$(35)$62
$27
$(19)$175
$156
In offices outside the U.S.(4)
20
49
69
8
5
13
25
(16)9
25
72
97
Total$43
$140
$183
$3
$146
$149
$(10)$46
$36
$6
$247
$253
Trading account liabilities(5)
      
In U.S. offices$5
$(8)$(3)$16
$1
$17
$(4)$27
$23
$(2)$41
$39
In offices outside the U.S.(4)
(3)5
2
9
24
33
1
(1)—
15
13
28
Total$2
$(3)$(1)$25
$25
$50
$(3)$26
$23
$13
$54
$67
Short-term borrowings(6)
      
In U.S. offices$(4)$22
$18
$13
$47
$60
$15
$116
$131
$17
$166
$183
In offices outside the U.S.(4)
(4)(11)(15)61
(28)33
(9)(6)(15)1
44
45
Total$(8)$11
$3
$74
$19
$93
$6
$110
$116
$18
$210
$228
Long-term debt      
In U.S. offices$64
$42
$106
$73
$279
$352
$79
$(63)$16
$147
$202
$349
In offices outside the U.S.(4)
(8)(1)(9)(23)(2)(25)(2)(18)(20)(16)(8)(24)
Total$56
$41
$97
$50
$277
$327
$77
$(81)$(4)$131
$194
$325
Total interest expense$133
$337
$470
$197
$719
$916
$81
$262
$343
$215
$990
$1,205
Net interest revenue$118
$189
$307
$166
$(232)$(66)$137
$141
$278
$121
$(149)$(28)
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)Includes brokerage payables.



Analysis of Changes in Interest Revenue, Interest Expense and Net Interest Revenue(1)(2)(3) 
Six Months 2017 vs. Six Months 2016Nine Months 2017 vs. Nine Months 2016
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change(2)
Average
volume
Average
rate
Net
change(2)
Deposits with banks(4)
$134
$80
$214
$236
$217
$453
Federal funds sold and securities borrowed or purchased under agreements to resell      
In U.S. offices$(26)$130
$104
$(52)$293
$241
In offices outside the U.S.(4)
147
(73)74
206
(47)159
Total$121
$57
$178
$154
$246
$400
Trading account assets(5)
      
In U.S. offices$(103)$(59)$(162)$(119)$(37)$(156)
In offices outside the U.S.(4)
83
(135)(52)110
(166)(56)
Total$(20)$(194)$(214)$(9)$(203)$(212)
Investments(1)
      
In U.S. offices$(48)$231
$183
$(57)$407
$350
In offices outside the U.S.(4)
23
5
28
16
53
69
Total$(25)$236
$211
$(41)$460
$419
Loans (net of unearned income)(6)
      
In U.S. offices$562
$437
$999
$629
$748
$1,377
In offices outside the U.S.(4)
(124)(220)(344)(23)(264)(287)
Total$438
$217
$655
$606
$484
$1,090
Other interest-earning assets$30
$36
$66
$71
$66
$137
Total interest revenue$678
$432
$1,110
$1,017
$1,270
$2,287
Deposits(7)
      
In U.S. offices$65
$348
$413
$103
$535
$638
In offices outside the U.S.(4)
20
75
95
30
172
202
Total$85
$423
$508
$133
$707
$840
Federal funds purchased and securities loaned or sold under agreements to repurchase      
In U.S. offices$(29)$187
$158
$(48)$362
$314
In offices outside the U.S.(4)
(14)(4)(18)14
65
79
Total$(43)$183
$140
$(34)$427
$393
Trading account liabilities(5)
      
In U.S. offices$38
$11
$49
$34
$54
$88
In offices outside the U.S.(4)
26
34
60
41
47
88
Total$64
$45
$109
$75
$101
$176
Short-term borrowings      
In U.S. offices$22
$94
$116
$39
$260
$299
In offices outside the U.S.(4)
63
13
76
57
63
120
Total$85
$107
$192
$96
$323
$419
Long-term debt      
In U.S. offices$110
$502
$612
$255
$707
$962
In offices outside the U.S.(4)
(38)19
(19)(55)12
(43)
Total$72
$521
$593
$200
$719
$919
Total interest expense$263
$1,279
$1,542
$470
$2,277
$2,747
Net interest revenue$415
$(847)$(432)$547
$(1,007)$(460)
(1)The taxable equivalent adjustment is based on the U.S. Federal statutory tax rate of 35% and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.


(5)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in Trading account assets and Trading account liabilities, respectively.
(6)Includes cash-basis loans.
(7)The interest expense on deposits includes the FDIC assessment and deposit insurance fees and charges of $502$936 million and $585$838 million for the sixnine months ended JuneSeptember 30, 2017 and 2016, 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 2016 Annual Report on Form 10-K.

Value at Risk
As of JuneSeptember 30, 2017, Citi estimates that the conservative features of its VAR calibration contribute an approximate 22% add-on (unchanged from March 31,June 30, 2017) 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, 2017 decreased compared to June 30, 20172017. The change was substantially unchanged compared to March 31, 2017, with changes in interest rate exposures offset by changes in credit spread exposures. Average trading and credit portfolio VAR as of June 30, 2017 slightly decreased mainly due to a reduction oflower credit spread exposures and volatilities in the hedges to the lending portfolio.markets businesses within ICG, partially offset by higher interest rate risk from increased mark-to-market hedging activity against non-trading positions.



Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
 Second Quarter First Quarter Second Quarter Third Quarter Second Quarter Third Quarter
In millions of dollarsJune 30, 20172017 AverageMarch 31, 20172017 AverageJune 30, 20162016 AverageSeptember 30, 20172017 AverageJune 30, 20172017 AverageSeptember 30, 20162016 Average
Interest rate$48
$52
$52
$48
$32
$32
$63
$63
$48
$52
$30
$34
Credit spread52
49
54
56
61
$60
43
44
52
49
73
$62
Covariance adjustment(1)
(15)(15)(17)(17)(30)(26)(28)(23)(15)(15)(28)(31)
Fully diversified interest rate and credit spread(2)
$85
$86
$89
$87
$63
$66
$78
$84
$85
$86
$75
$65
Foreign exchange23
23
16
24
26
20
26
26
23
23
16
26
Equity15
15
17
15
11
15
15
13
15
15
9
12
Commodity20
21
23
23
23
20
20
23
20
21
22
23
Covariance adjustment(1)
(53)(59)(53)(63)(59)(56)(64)(65)(53)(59)(53)(62)
Total trading VAR—all market risk factors, including general
and specific risk (excluding credit portfolios)(3)(2)
$90
$86
$92
$86
$64
$65
$75
$81
$90
$86
$69
$64
Specific risk-only component(4)(3)
$1
$1
$—
$2
$9
$9
$3
$2
$1
$1
$7
$6
Total trading VAR—general market risk factors only
(excluding credit portfolios)(3)
$89
$85
$92
$84
$55
$56
$72
$79
$89
$85
$62
$58
Incremental impact of the credit portfolio(6)(5)
$5
$10
$15
$14
$22
$23
$8
$8
$5
$10
$21
$21
Total trading and credit portfolio VAR$95
$96
$107
$100
$86
$88
$83
$89
$95
$96
$90
$85

(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 increase in the second quarter of 2017 end of period and average VaR attributable to fully diversified interest rate and credit spread year-over-year was primarily due to lower trading volumes in the prior-year period.
(3)
The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG, with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.
(4)(3)The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.
(5)(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.
(6)(5)The decrease in the secondthird quarter of 2017 end of periodend-of-period and average VaRVAR attributable to the incremental impact of the credit portfolio year-over-year and sequentially was primarily related to a reduction in the use of credit default swaps used to hedge the corporate loan portfolio.


 

The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
Second QuarterFirst QuarterSecond QuarterThird QuarterSecond QuarterThird Quarter
201720172016201720172016
In millions of dollarsLowHighLowHighLowHighLowHighLowHighLowHigh
Interest rate$33
$72
$29
$70
$26
$40
$33
$97
$33
$72
$27
$47
Credit spread47
53
51
63
56
64
38
52
47
53
55
73
Fully diversified interest rate and credit spread$67
$107
$59
$109
$60
$74
$59
$108
$67
$107
$59
$75
Foreign exchange17
28
16
35
14
29
19
38
17
28
15
46
Equity10
24
6
25
10
26
8
18
10
24
6
22
Commodity14
30
18
30
16
25
14
31
14
30
19
31
Total trading$67
$116
$61
$107
$55
$76
$58
$106
$67
$116
$53
$72
Total trading and credit portfolio78
123
75
123
79
98
67
112
78
123
72
97
Note: No covariance adjustment can be inferred from the above table as the high and low for each market factor will be from different close-of-business dates.

The following table provides the VAR for ICG, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio:
In millions of dollarsJun. 30, 2017Sept. 30, 2017
Total—all market risk factors, including
general and specific risk
$89
$73
Average—during quarter$86
$80
High—during quarter115
107
Low—during quarter65
57

Regulatory VAR Back-testing
In accordance with Basel III, Citi is required to perform back-testing to evaluate the effectiveness of its Regulatory VAR model. Regulatory VAR back-testing is the process in which the daily one-day VAR, at a 99% confidence interval, is compared to the buy-and-hold profit and loss (i.e., the profit and loss impact if the portfolio is held constant at the end of the day and re-priced the following day). Buy-and-hold profit and loss represents the daily mark-to-market profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees and commissions, intra-day trading profit and loss and changes in reserves.
Based on a 99% confidence level, Citi would expect two to three days in any one year where buy-and-hold losses exceeded the Regulatory VAR. Given the conservative calibration of Citi’s VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.
As of JuneSeptember 30, 2017, there was one back-testing exception observed for Citi’s Regulatory VAR for the prior 12 months. As previously disclosed, 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” in Citi’s 2016 Annual Report on Form 10-K.

Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by
country (excluding the U.S.) as of JuneSeptember 30, 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%24% of corporate
loans presented in the table below are to U.K. domiciled
entities (27%(24% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 81%80% of the total U.K. funded loans and 91%90% of
the total U.K. unfunded commitments were investment grade
as of JuneSeptember 30, 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 EU, see “Risk Factors—Strategic Risks” in Citigroup’s 2016 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
2Q17
Total
as of
1Q17
Total
as of
4Q16
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
3Q17
Total
as of
2Q17
Total
as of
4Q16
United Kingdom$34.3
$—
$3.3
$56.5
$11.0
$(2.1)$8.0
$0.8
$111.8
$108.6
$107.5
$35.0
$—
$3.5
$55.2
$10.6
$(2.5)$7.3
$1.1
$110.2
$111.8
$107.5
Mexico8.4
26.6
0.4
6.1
0.7
(0.6)13.5
6.2
61.3
59.1
52.4
8.9
26.6
0.4
6.8
0.7
(0.7)13.7
6.4
62.8
61.3
52.4
Singapore12.8
12.2
0.1
6.6
0.9
(0.3)8.4
0.5
41.2
39.8
36.4
14.9
12.0
0.2
5.9
0.9
(0.3)9.7
0.5
43.8
41.2
36.4
Hong Kong14.5
10.5
0.9
6.0
0.5
(0.5)6.0
1.8
39.7
40.3
35.9
15.4
10.8
1.2
6.1
1.1
(0.5)5.4
1.3
40.8
39.7
35.9
Korea2.5
19.0
0.4
3.6
1.3
(0.8)7.5
1.6
35.1
36.0
34.0
2.3
18.8
0.3
3.2
2.3
(0.9)6.7
1.5
34.2
35.1
34.0
Ireland11.5
—
0.7
15.3
0.5
—
—
0.8
28.8
28.9
24.8
India7.9
6.5
0.7
5.2
2.3
(1.1)9.8
2.1
33.4
36.2
30.9
7.0
6.6
0.6
4.7
1.5
(1.1)8.3
1.1
28.7
33.4
30.9
Ireland11.3
—
0.9
15.8
0.3
—
—
0.6
28.9
25.3
24.8
Brazil(2)
13.3
1.8
0.2
3.5
4.8
(2.8)3.2
3.3
27.3
28.9
28.5
12.6
1.8
—
3.7
5.4
(2.0)3.3
3.2
28.0
27.3
28.5
Australia4.0
10.9
—
5.8
0.9
(0.9)4.1
(1.1)23.7
23.9
22.4
4.6
10.9
—
5.7
2.2
(0.8)4.0
0.4
27.0
23.7
22.4
Germany0.1
—
—
4.2
4.2
(2.3)9.6
3.7
19.5
18.0
16.0
China6.9
4.4
0.2
1.6
1.9
(1.0)3.4
2.0
19.4
17.4
17.2
7.7
4.6
0.3
1.7
2.6
(1.0)4.0
0.9
20.8
19.4
17.2
Japan2.7
—
0.2
7.3
3.7
(1.0)4.2
1.5
18.6
18.3
18.3
2.4
0.1
0.1
2.7
5.4
(1.2)4.6
4.7
18.8
18.6
18.3
Germany0.1
—
—
4.2
4.7
(2.1)9.5
2.2
18.6
19.5
16.0
Taiwan4.6
8.6
0.1
1.1
0.8
(0.2)1.7
1.7
18.4
18.5
16.6
5.0
8.8
0.1
1.1
0.9
(0.2)1.4
1.4
18.5
18.4
16.6
Canada1.8
0.6
0.5
6.6
1.8
(0.5)4.5
1.0
16.3
15.0
17.0
2.0
0.7
0.6
6.8
1.9
(0.7)4.7
—
16.0
16.3
17.0
Poland3.3
1.8
—
3.0
0.2
(0.3)4.9
0.2
13.1
12.2
11.8
3.3
1.9
—
3.1
0.1
(0.3)5.2
0.3
13.6
13.1
11.8
Malaysia1.3
4.5
0.3
1.5
0.1
(0.2)0.7
0.8
9.0
9.1
9.3
1.4
4.6
0.3
1.6
0.1
(0.1)0.9
0.3
9.1
9.0
9.3
Thailand0.9
2.0
0.1
1.9
0.3
—
1.6
0.2
7.0
6.2
5.8
0.9
2.1
0.1
2.1
0.1
—
1.1
0.6
7.0
7.0
5.8
United Arab Emirates2.9
1.4
0.1
2.1
0.3
(0.4)—
(0.2)6.2
5.9
6.0
3.1
1.5
0.1
2.2
0.3
(0.3)—
(0.2)6.7
6.2
6.0
Indonesia1.9
1.1
0.2
1.3
0.2
(0.2)1.3
0.4
6.2
5.7
5.2
Luxembourg—
—
—
—
0.4
(0.3)5.3
0.4
5.8
5.7
5.4
0.1
—
—
—
0.6
(0.3)5.2
0.5
6.1
5.8
5.4
Indonesia1.9
1.1
0.1
1.2
—
(0.2)1.3
0.3
5.7
5.5
5.2
Russia2.1
1.0
—
1.0
0.2
(0.2)0.8
0.1
5.0
4.7
5.3
Colombia(2)
2.1
1.6
—
1.0
0.2
(0.1)0.4
0.1
5.3
5.8
5.6
1.9
1.6
—
1.0
0.3
(0.1)0.3
(0.1)4.9
5.3
5.6
Netherlands—
—
—
—
1.4
(0.7)3.7
0.5
4.9
6.8
5.1
Russia1.9
1.0
—
1.0
0.2
(0.2)0.8
—
4.7
6.0
5.3
Jersey2.8
—
—
1.3
—
—
—
—
4.1
3.8
3.7
2.9
—
—
1.6
—
—
—
—
4.5
4.1
3.7
Argentina1.9
—
—
0.1
1.2
(0.4)0.4
1.1
4.3
3.0
2.2
South Africa1.5
—
—
1.1
0.1
(0.3)1.3
0.2
3.9
3.5
3.9
1.5
—
—
1.0
0.7
(0.3)1.4
—
4.3
3.9
3.9

(1)
ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of JuneSeptember 30, 2017, private bank loans in the table above totaled $21.7$23.3 billion, concentrated in Singapore ($6.97.2 billion), Hong Kong ($5.86.5 billion) and the U.K. ($4.95.4 billion).                     
(2)
GCBloans include funded loans in Brazil and Colombia related to businesses that were transferred to Corporate/Other as of January 1, 2016 (Brazil GCB loans are recorded as HFS in Other assets on the Consolidated Balance Sheet).
(3)
Other funded includes other direct exposure such as accounts receivable, loans held-for-sale, other loans in Corporate/Other and investments accounted for under the equity method.                                        


(4)Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.            
(5)Net mark-to-market (MTM) counterparty risk on OTC derivatives and securities lending / borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.                                    
(6)Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost.                                    
(7)Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entityentity/issuer is located in that country.    



INCOME TAXES

Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—Strategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Note 9 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.
At JuneSeptember 30, 2017, Citigroup had recorded net DTAs of approximately $45.8$45.5 billion, a decrease of $0.1$0.3 billion from March 31,June 30, 2017 and $0.9$1.2 billion from December 31, 2016. The DTA reductions for the three and sixnine months ended JuneSeptember 30, 2017 were primarily driven by the generation of earnings.
The following table summarizes Citi’s net DTAs balance as of the periods presented.balance. Of Citi’s net DTAs as of JuneSeptember 30, 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 billion of the net DTA was not deducted in calculating regulatory capital pursuant to full Basel III implementation standards as of JuneSeptember 30, 2017.
Jurisdiction/ComponentDTAs balanceDTAs balance
In billions of dollarsJun. 30, 2017December 31,
2016		Sept. 30, 2017Dec. 31, 2016
Total U.S.$43.5
$44.6
$43.2
$44.6
Total foreign2.3
2.1
2.3
2.1
Total$45.8
$46.7
$45.5
$46.7


 


Effective Tax Rate
Citi’s effective tax rate for the secondthird quarter of 2017 was 31.6%31.1%, as compared with 29.9%30.8% in the secondthird quarter of 2016. The prior-year rate was lower because of certain nonrecurring items.





DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of JuneSeptember 30, 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 disclosed reportable activities pursuant to Section 219 in the first quarterand second quarters of 2017 in the First Quarter of 2017 Form 10-Q.10-Q and Second Quarter Form 10-Q, respectively.
In addition to Citi’s prior disclosure, duringDuring the secondthird quarter of 2017, Bank Handlowy w Warszawie S.A., a Citibank subsidiary located in Poland, processed three funds transfers involving the Iranian Embassy in Poland.  The value of the funds transfers was EUR 50, EUR 50, and EU 100 (approximately $60.00, $60.00 and $117.00), respectively.  In addition, a branch of Citibank N.A., located in LondonIndia, processed a funds transfer involving the Iranian EmbassyIran Consulate General in South Africa.India.  The total value of the funds transferthis payment was EUR 100INR 1,368 (approximately $112.00).  In addition, a branch of Citibank, N.A. located in the United Arab Emirates processed a funds transfer involving Bank Melli, Iran.  The value of the funds transfer was AED 2,975 (approximately $810.00)$21.00).  These payments were for passport-relatedvisa-related fees and Iran-related travel respectively, both of which are permissible under the travel exemption in the Iranian Transactions and Sanctions Regulations. 

 


 





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 rules and regulations of 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, target, illustrative, and similar expressions or future or conditional verbs such as will, should, would and could.
Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within each individual business’s discussion and analysis of its results of operations above and in Citi’s 2016 Annual Report on Form 10-K;10-K, First Quarter of 2017 Form 10-Q and Second Quarter of 2017 Form 10-Q; (ii) the factors listed and described under “Risk Factors” in Citi’s 2016 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:

Citi’s ability to address (i) the shortcomings identified by the Federal Reserve Board and FDIC as a result of their review of Citi’s 2015 annual resolution plan submission as well as (ii) the 2017 resolution plan guidance in Citi’s recent 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 uncertainties and changes 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 capital framework and the terms of and other uncertainties resulting from the U.K.’s initiation of the process to withdraw from the European Union, and the potential impact these uncertainties and changes 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 potential impact to financial institutions, including Citi, as a result of the uncertainties associated with the level and pace of any potentialchanges in interest rates or any balance sheet normalization program implemented by the Federal Reserve Board or other central banks;
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 are reduced, or if other changes are made to the U.S. corporate tax system (whether as a result of current efforts by the U.S. presidential administration and Congress or otherwise), including a potential change to a territorial system or a one-time mandatory deemed repatriation of all untaxed non-U.S. earnings at a significantly lower rate;
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 ability to achieve the expected returns on its ongoing investments in its businesses or meet its operational or financial objectives or targets, including as a result of factors that Citi cannot control;
the potential negative impact to Citi’s co-branding and private label credit card relationships as well as Citi’s results of operations or financial condition, including as a result of loss of revenues, impairment of purchased credit card relationships and contract related intangibles or other losses, due to, 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, deposits 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 electionsgeopolitical tensions in Asia and Latin America, economic growth rates in the EU,U.S. and non-U.S. jurisdictions, potential fiscal or other monetary actions or the pursuit of protectionist trade and other policies by the U.S.;
the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, sanctions or asset freezes, fraud, 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 as well as the increased compliance, regulatory and regulatorylegal 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, on Citi’s hedging strategies and results of operations;
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 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 impact to Citi from a disruption of its operational systems, including as a result of, among other things, human error, fraud or malice, accidental technological failure, electrical or telecommunication outages or failure of computer servers;
the potential impact to Citi from an increasing risk of continually evolving cybersecurity risks (includingfaced by financial institutions, including Citi, and others (such as theft of funds or theft, loss, misuse or disclosure of confidential client, customer, corporate or network information or assets)assets and other attempts by unauthorized parties to disrupt computer and network systems), and the potential impact from such risks, including, among others, reputational damage to Citi’s reputation,with clients, customers and others, lost revenues, additional costs (including credit costs) to Citi,, regulatory penalties, legal exposure and other financial losses;
the potential impact of incorrect assumptions or estimates in Citi’s 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 of ongoing implementation and interpretation of regulatory changes and requirements in the U.S. and globally, such as on Citi’s compliance risks and costs, including reputational and legal risks as well as remediation and other financial costs, such as penalties and fines;
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 focus on conduct risk and the severity of the remedies sought and potential collateral consequences to 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; and
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.
reason; and
the potential impact to Citi’s businesses, credit costs and overall results of operations and financial condition as a result of natural disasters.

Any forward-looking statements made by or on behalf of Citigroup speak only as to the date they are made, and Citi does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the date the forward-looking statements were made.


















 





























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FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS 
Consolidated Statement of Income (Unaudited)—
For the Three and SixNine Months Ended JuneSeptember 30, 2017 and 2016
9593
Consolidated Statement of Comprehensive Income(Unaudited)Income (Unaudited)—For the Three and SixNine Months Ended JuneSeptember 30, 2017 and 2016
9694
Consolidated Balance Sheet—JuneSeptember 30, 2017 (Unaudited) and December 31, 2016
9795
Consolidated Statement of Changes in Stockholders’ Equity(Unaudited)Equity (Unaudited)—For the SixNine Months Ended JuneSeptember 30, 2017 and 2016
9997
Consolidated Statement of Cash Flows (Unaudited)—
For the SixNine Months Ended JuneSeptember 30, 2017 and 2016
10199

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) 
Note 1—Basis of Presentation and Accounting Changes
103101
Note 2—Discontinued Operations and Significant Disposals
106104
Note 3—Business Segments
108106
Note 4—Interest Revenue and Expense
109107
Note 5—Commissions and Fees
110108
Note 6—Principal Transactions
110108
Note 7—Incentive Plans
111109
Note 8—Retirement Benefits
111109
Note 9—Earnings per Share
116114
Note 10—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
117115
Note 11—Brokerage Receivables and Brokerage Payables
120118
Note 12—Investments
121119
 


  
Note 13—Loans
133131
Note 14—Allowance for Credit Losses
146144
Note 15—Goodwill and Intangible Assets
148146
Note 16—Debt
150148
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
151149
Note 18—Securitizations and Variable Interest Entities
157155
Note 19—Derivatives Activities
165163
Note 20—Fair Value Measurement
175173
Note 21—Fair Value Elections
194192
Note 22—Guarantees and Commitments
198196
Note 23—Contingencies
202201
Note 24—Condensed Consolidating Financial Statements
204203




CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) Citigroup Inc. and Subsidiaries
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars, except per share amounts20172016201720162017201620172016
Revenues   
 
   
 
Interest revenue$15,201
$14,356
$29,624
$28,523
$15,821
$14,653
$45,445
$43,176
Interest expense4,036
3,120
7,602
6,060
4,379
3,174
11,981
9,234
Net interest revenue$11,165
$11,236
$22,022
$22,463
$11,442
$11,479
$33,464
$33,942
Commissions and fees$2,937
$2,725
$5,696
$5,188
$2,931
$2,644
$8,627
$7,832
Principal transactions2,562
1,816
5,584
3,656
2,170
2,238
7,754
5,894
Administration and other fiduciary fees1,003
878
1,896
1,689
1,010
862
2,906
2,551
Realized gains on sales of investments, net221
200
413
386
213
287
626
673
Other-than-temporary impairment losses on investments   
 
   
 
Gross impairment losses(20)(118)(32)(583)(15)(32)(47)(615)
Less: Impairments recognized in AOCI—
—
—
—
—
—
—
—
Net impairment losses recognized in earnings$(20)$(118)$(32)$(583)$(15)$(32)$(47)$(615)
Insurance premiums$156
$217
$325
$481
$166
$184
$491
$665
Other revenue(123)594
117
1,823
256
98
373
1,921
Total non-interest revenues$6,736
$6,312
$13,999
$12,640
$6,731
$6,281
$20,730
$18,921
Total revenues, net of interest expense$17,901
$17,548
$36,021
$35,103
$18,173
$17,760
$54,194
$52,863
Provisions for credit losses and for benefits and claims   
 
   
 
Provision for loan losses$1,666
$1,390
$3,341
$3,276
$2,146
$1,746
$5,487
$5,022
Policyholder benefits and claims23
49
53
137
28
35
81
172
Provision (release) for unfunded lending commitments28
(30)(15)41
Release for unfunded lending commitments(175)(45)(190)(4)
Total provisions for credit losses and for benefits and claims$1,717
$1,409
$3,379
$3,454
$1,999
$1,736
$5,378
$5,190
Operating expenses   
 
   
 
Compensation and benefits$5,463
$5,229
$10,997
$10,785
$5,304
$5,203
$16,301
$15,988
Premises and equipment604
642
1,224
1,293
608
624
1,832
1,917
Technology/communication1,690
1,657
3,349
3,306
1,759
1,694
5,108
5,000
Advertising and marketing432
433
805
823
417
403
1,222
1,226
Other operating2,317
2,408
4,608
4,685
2,083
2,480
6,691
7,165
Total operating expenses$10,506
$10,369
$20,983
$20,892
$10,171
$10,404
$31,154
$31,296
Income from continuing operations before income taxes$5,678
$5,770
$11,659
$10,757
$6,003
$5,620
$17,662
$16,377
Provision for income taxes1,795
1,723
3,658
3,202
1,866
1,733
5,524
4,935
Income from continuing operations$3,883
$4,047
$8,001
$7,555
$4,137
$3,887
$12,138
$11,442
Discontinued operations   
 
   
 
Income (loss) from discontinued operations$33
$(36)$5
$(39)
Provision (benefit) for income taxes12
(13)2
(14)
Income (loss) from discontinued operations, net of taxes$21
$(23)$3
$(25)
Loss from discontinued operations$(9)$(37)$(4)$(76)
Benefit for income taxes(4)(7)(2)(21)
Loss from discontinued operations, net of taxes$(5)$(30)$(2)$(55)
Net income before attribution of noncontrolling interests$3,904
$4,024
$8,004
$7,530
$4,132
$3,857
$12,136
$11,387
Noncontrolling interests32
26
42
31
(1)17
41
48
Citigroup’s net income$3,872
$3,998
$7,962
$7,499
$4,133
$3,840
$12,095
$11,339
Basic earnings per share(1)
   
 
   
 
Income from continuing operations$1.27
$1.25
$2.63
$2.36
$1.42
$1.25
$4.05
$3.60
Income (loss) from discontinued operations, net of taxes0.01
(0.01)—
(0.01)—
(0.01)—
(0.02)
Net income$1.28
$1.24
$2.63
$2.35
$1.42
$1.24
$4.05
$3.58
Weighted average common shares outstanding2,739.1
2,915.8
2,752.2
2,929.4
2,683.6
2,879.9
2,729.3
2,912.9


Diluted earnings per share(1)
   
 
   
 
Income from continuing operations$1.27
$1.25
$2.63
$2.36
$1.42
$1.25
$4.05
$3.60
Income (loss) from discontinued operations, net of taxes0.01
(0.01)—
(0.01)—
(0.01)—
(0.02)
Net income$1.28
$1.24
$2.63
$2.35
$1.42
$1.24
$4.05
$3.58
Adjusted weighted average common shares outstanding2,739.2
2,915.9
2,752.3
2,929.5
2,683.7
2,880.1
2,729.5
2,913.0
(1)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME Citigroup Inc. and Subsidiaries
(UNAUDITED)  
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20172016201720162017201620172016
Citigroup’s net income$3,872
$3,998
$7,962
$7,499
$4,133
$3,840
$12,095
$11,339
Add: Citigroup's other comprehensive income   




   




Net change in unrealized gains and losses on investment securities,
net of taxes(1)
$(27)$927
$193
$2,961
$(66)$(432)$127
$2,529
Net change in debt valuation adjustment (DVA), net of taxes(1)
(84)12
(144)205
(123)(200)(267)5
Net change in cash flow hedges, net of taxes117
151
115
468
8
(83)123
385
Benefit plans liability adjustment, net of taxes(135)(27)(147)(492)(29)12
(176)(480)
Net change in foreign currency translation adjustment, net of taxes and hedges643
(552)1,961
102
218
(375)2,179
(273)
Citigroup’s total other comprehensive income$514
$511
$1,978
$3,244
$8
$(1,078)$1,986
$2,166
Citigroup’s total comprehensive income$4,386
$4,509
$9,940
$10,743
$4,141
$2,762
$14,081
$13,505
Add: Other comprehensive income attributable to noncontrolling interests$39
$(50)70
(23)$12
$10
$82
$(13)
Add: Net income attributable to noncontrolling interests32
26
$42
$31
(1)17
41
48
Total comprehensive income$4,457
$4,485
$10,052
$10,751
$4,152
$2,789
$14,204
$13,540
(1)See Note 1 to the Consolidated Financial Statements.

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



CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries
June 30, September 30, 
2017December 31,2017December 31,
In millions of dollars(Unaudited)2016(Unaudited)2016
Assets 
 
 
 
Cash and due from banks (including segregated cash and other deposits)$20,940
$23,043
$22,604
$23,043
Deposits with banks165,142
137,451
163,505
137,451
Federal funds sold and securities borrowed or purchased under agreements to resell (including $142,831 and $133,204 as of June 30, 2017 and December 31, 2016, respectively, at fair value)234,065
236,813
Federal funds sold and securities borrowed or purchased under agreements to resell (including $156,332 and $133,204 as of September 30, 2017 and December 31, 2016, respectively, at fair value)252,608
236,813
Brokerage receivables40,487
28,887
38,076
28,887
Trading account assets (including $98,974 and $80,986 pledged to creditors at June 30, 2017 and December 31, 2016, respectively)259,606
243,925
Trading account assets (including $99,225 and $80,986 pledged to creditors at September 30, 2017 and December 31, 2016, respectively)258,907
243,925
Investments:  
Available for sale (including $8,512 and $8,239 pledged to creditors as of June 30, 2017 and December 31, 2016, respectively)293,629
299,424
Held to maturity (including $311 and $843 pledged to creditors as of June 30, 2017 and December 31, 2016, respectively)50,175
45,667
Non-marketable equity securities (including $1,384 and $1,774 at fair value as of June 30, 2017 and December 31, 2016, respectively)7,906
8,213
Available for sale (including $9,599 and $8,239 pledged to creditors as of September 30, 2017 and December 31, 2016, respectively)295,315
299,424
Held to maturity (including $301 and $843 pledged to creditors as of September 30, 2017 and December 31, 2016, respectively)51,527
45,667
Non-marketable equity securities (including $1,300 and $1,774 at fair value as of September 30, 2017 and December 31, 2016, respectively)7,832
8,213
Total investments$351,710
$353,304
$354,674
$353,304
Loans: 
 
 
 
Consumer (including $27 and $29 as of June 30, 2017 and December 31, 2016, respectively, at fair value)325,261
325,063
Corporate (including $4,189 and $3,457 as of June 30, 2017 and December 31, 2016, respectively, at fair value)319,434
299,306
Consumer (including $27 and $29 as of September 30, 2017 and December 31, 2016, respectively, at fair value)325,576
325,063
Corporate (including $4,281 and $3,457 as of September 30, 2017 and December 31, 2016, respectively, at fair value)327,607
299,306
Loans, net of unearned income$644,695
$624,369
$653,183
$624,369
Allowance for loan losses(12,025)(12,060)(12,366)(12,060)
Total loans, net$632,670
$612,309
$640,817
$612,309
Goodwill22,349
21,659
22,345
21,659
Intangible assets (other than MSRs)4,887
5,114
4,732
5,114
Mortgage servicing rights (MSRs)560
1,564
553
1,564
Other assets (including $18,993 and $15,729 as of June 30, 2017 and December 31, 2016, respectively, at fair value)131,647
128,008
Other assets (including $20,424 and $15,729 as of September 30, 2017 and December 31, 2016, respectively, at fair value)130,312
128,008
Total assets$1,864,063
$1,792,077
$1,889,133
$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.
June 30, September 30, 
2017December 31,2017December 31,
In millions of dollars(Unaudited)2016(Unaudited)2016
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
 
 
Cash and due from banks$86
$142
$107
$142
Trading account assets1,236
602
1,437
602
Investments2,932
3,636
2,584
3,636
Loans, net of unearned income 
 
 
 
Consumer53,816
53,401
52,521
53,401
Corporate19,241
20,121
19,908
20,121
Loans, net of unearned income$73,057
$73,522
$72,429
$73,522
Allowance for loan losses(1,863)(1,769)(1,943)(1,769)
Total loans, net$71,194
$71,753
$70,486
$71,753
Other assets154
158
142
158
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$75,602
$76,291
$74,756
$76,291
Statement continues on the next page.


CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
June 30, September 30, 
2017December 31,2017December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2016(Unaudited)2016
Liabilities 
 
 
 
Non-interest-bearing deposits in U.S. offices$126,253
$136,698
$127,220
$136,698
Interest-bearing deposits in U.S. offices (including $334 and $434 as of June 30, 2017 and December 31, 2016, respectively, at fair value)311,361
300,972
Interest-bearing deposits in U.S. offices (including $314 and $434 as of September 30, 2017 and December 31, 2016, respectively, at fair value)315,556
300,972
Non-interest-bearing deposits in offices outside the U.S.83,046
77,616
84,178
77,616
Interest-bearing deposits in offices outside the U.S. (including $1,006 and $778 as of June 30, 2017 and December 31, 2016, respectively, at fair value)438,083
414,120
Interest-bearing deposits in offices outside the U.S. (including $1,183 and $778 as of September 30, 2017 and December 31, 2016, respectively, at fair value)437,084
414,120
Total deposits$958,743
$929,406
$964,038
$929,406
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $44,881 and $33,663 as of June 30, 2017 and December 31, 2016, respectively, at fair value)154,780
141,821
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $45,325 and $33,663 as of September 30, 2017 and December 31, 2016, respectively, at fair value)161,282
141,821
Brokerage payables62,947
57,152
63,205
57,152
Trading account liabilities136,745
139,045
138,820
139,045
Short-term borrowings (including $4,833 and $2,700 as of June 30, 2017 and December 31, 2016, respectively, at fair value)36,519
30,701
Long-term debt (including $29,001 and $26,254 as of June 30, 2017 and December 31, 2016, respectively, at fair value)225,179
206,178
Other liabilities (including $14,335 and $10,796 as of June 30, 2017 and December 31, 2016, respectively, at fair value)58,043
61,631
Short-term borrowings (including $4,827 and $2,700 as of September 30, 2017 and December 31, 2016, respectively, at fair value)38,149
30,701
Long-term debt (including $30,826 and $26,254 as of September 30, 2017 and December 31, 2016, respectively, at fair value)232,673
206,178
Other liabilities (including $15,144 and $10,796 as of September 30, 2017 and December 31, 2016, respectively, at fair value)62,344
61,631
Total liabilities$1,632,956
$1,565,934
$1,660,511
$1,565,934
Stockholders’ equity 
 
 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of June 30, 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 June 30, 2017 and December 31, 2016
31
31
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of September 30, 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 September 30, 2017 and December 31, 2016
31
31
Additional paid-in capital107,798
108,042
107,896
108,042
Retained earnings152,178
146,477
155,174
146,477
Treasury stock, at cost: June 30, 2017—374,967,178 shares and December 31, 2016—327,090,192 shares
(19,342)(16,302)
Treasury stock, at cost: September 30, 2017—455,521,274 shares and December 31, 2016—327,090,192 shares
(24,829)(16,302)
Accumulated other comprehensive income (loss) (AOCI)(29,899)(32,381)(29,891)(32,381)
Total Citigroup stockholders’ equity$230,019
$225,120
$227,634
$225,120
Noncontrolling interest1,088
1,023
988
1,023
Total equity$231,107
$226,143
$228,622
$226,143
Total liabilities and equity$1,864,063
$1,792,077
$1,889,133
$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.
June 30, September 30, 
2017December 31,2017December 31,
In millions of dollars(Unaudited)2016(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$10,317
$10,697
$10,166
$10,697
Long-term debt28,265
23,919
28,666
23,919
Other liabilities456
1,275
396
1,275
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup
$39,038
$35,891
$39,228
$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)  
Six Months Ended June 30,Nine Months Ended September 30,
In millions of dollars, except shares in thousands2017201620172016
Preferred stock at aggregate liquidation value 
 
 
 
Balance, beginning of period$19,253
$16,718
$19,253
$16,718
Issuance of new preferred stock—
2,535
—
2,535
Balance, end of period$19,253
$19,253
$19,253
$19,253
Common stock and additional paid-in capital 
 
 
 
Balance, beginning of period$108,073
$108,319
$108,073
$108,319
Employee benefit plans(239)(516)(137)(371)
Preferred stock issuance expense—
(37)—
(37)
Other(5)(5)(9)(5)
Balance, end of period$107,829
$107,761
$107,927
$107,906
Retained earnings 
 
 
 
Balance, beginning of period$146,477
$133,841
$146,477
$133,841
Adjustment to opening balance, net of taxes(1)
(660)15
(660)15
Adjusted balance, beginning of period$145,817
$133,856
$145,817
$133,856
Citigroup’s net income7,962
7,499
12,095
11,339
Common dividends(2)
(890)(296)(1,755)(760)
Preferred dividends(621)(532)(893)(757)
Other(3)
(90)—
(90)—
Balance, end of period$152,178
$140,527
$155,174
$143,678
Treasury stock, at cost 
 
 
 
Balance, beginning of period$(16,302)$(7,677)$(16,302)$(7,677)
Employee benefit plans(4)
523
773
526
775
Treasury stock acquired(5)
(3,563)(2,634)(9,053)(5,167)
Balance, end of period$(19,342)$(9,538)$(24,829)$(12,069)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
Balance, beginning of period$(32,381)$(29,344)$(32,381)$(29,344)
Adjustment to opening balance, net of taxes(1)
504
(15)504
(15)
Adjusted balance, beginning of period$(31,877)$(29,359)$(31,877)$(29,359)
Citigroup’s total other comprehensive income (loss)1,978
3,244
1,986
2,166
Balance, end of period$(29,899)$(26,115)$(29,891)$(27,193)
Total Citigroup common stockholders’ equity$210,766
$212,635
$208,381
$212,322
Total Citigroup stockholders’ equity$230,019
$231,888
$227,634
$231,575
Noncontrolling interests 
 
 
 
Balance, beginning of period$1,023
$1,235
$1,023
$1,235
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary—
(11)(3)(11)
Transactions between Citigroup and the noncontrolling-interest shareholders6
(73)(50)(69)
Net income attributable to noncontrolling-interest shareholders42
31
41
48
Dividends paid to noncontrolling-interest shareholders—
(1)(44)(42)
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
70
(23)82
(13)
Other(53)(25)(61)(33)
Net change in noncontrolling interests$65
$(102)$(35)$(120)
Balance, end of period$1,088
$1,133
$988
$1,115
Total equity$231,107
$233,021
$228,622
$232,690

(1)See Note 1 to the Consolidated Financial Statements for additional details.
(2)Common dividends declared were $0.16 per share in the first and second quarters and $0.32 per share in the third quarter of 2017 and2017. Common dividends declared were $0.05 per share in the first and second quarters and $0.16 per share in the third quarter of 2016.
(3)
Includes the impact of ASU 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. See Note 1 to the Consolidated Financial 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 sixnine months ended JuneSeptember 30, 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)  
Six Months Ended June 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Cash flows from operating activities of continuing operations 
 
 
 
Net income before attribution of noncontrolling interests$8,004
$7,530
$12,136
$11,387
Net income attributable to noncontrolling interests42
31
41
48
Citigroup’s net income$7,962
$7,499
$12,095
$11,339
Income (loss) from discontinued operations, net of taxes3
(25)
Loss from discontinued operations, net of taxes(2)(55)
Income from continuing operations—excluding noncontrolling interests$7,959
$7,524
$12,097
$11,394
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
 
Net gains on significant disposals(1)
(19)(422)(602)(422)
Depreciation and amortization1,797
1,776
2,717
2,714
Provision for loan losses3,341
3,276
5,487
5,022
Realized gains from sales of investments(413)(386)(626)(673)
Net impairment losses on investments, goodwill and intangible assets60
583
75
616
Change in trading account assets(15,776)(21,808)(15,077)(13,396)
Change in trading account liabilities(2,300)18,795
(225)14,137
Change in brokerage receivables net of brokerage payables(5,805)(836)(3,136)(230)
Change in loans held-for-sale (HFS)(515)1,786
1,969
3,958
Change in other assets(3,343)(4,345)(4,501)(2,009)
Change in other liabilities(3,522)7,175
779
1,398
Other, net(2,975)7,949
(2,262)5,825
Total adjustments$(29,470)$13,543
$(15,402)$16,940
Net cash provided by (used in) operating activities of continuing operations$(21,511)$21,067
$(3,305)$28,334
Cash flows from investing activities of continuing operations 
 
 
 
Change in deposits with banks$(27,691)$(15,796)$(26,054)$(20,374)
Change in federal funds sold and securities borrowed or purchased under agreements to resell2,748
(9,008)(15,795)(16,370)
Change in loans(29,952)(30,170)(41,569)(42,163)
Proceeds from sales and securitizations of loans6,256
7,021
7,019
12,676
Purchases of investments(96,925)(108,359)(151,362)(155,804)
Proceeds from sales of investments56,728
66,138
89,724
99,172
Proceeds from maturities of investments47,785
33,383
67,166
52,607
Proceeds from significant disposals(1)
2,732
265
3,411
265
Capital expenditures on premises and equipment and capitalized software(1,647)(1,377)(2,502)(2,092)
Proceeds from sales of premises and equipment, subsidiaries and affiliates,
and repossessed assets
215
390
292
467
Net cash used in investing activities of continuing operations$(39,751)$(57,513)$(69,670)$(71,616)
Cash flows from financing activities of continuing operations 
 
 
 
Dividends paid$(1,504)$(828)$(2,639)$(1,517)
Issuance of preferred stock—
2,498
—
2,498
Treasury stock acquired(3,635)(2,634)(9,071)(5,167)
Stock tendered for payment of withholding taxes(401)(312)(402)(313)
Change in federal funds purchased and securities loaned or sold under agreements to repurchase12,959
11,505
19,461
6,628
Issuance of long-term debt37,679
27,142
52,293
43,464
Payments and redemptions of long-term debt(21,317)(26,855)(29,785)(40,461)
Change in deposits29,337
29,965
34,632
32,365
Change in short-term borrowings5,818
(2,671)7,448
8,448


CONSOLIDATED STATEMENT OF CASH FLOWSCitigroup Inc. and Subsidiaries Citigroup Inc. and Subsidiaries 
(UNAUDITED) (Continued)Six Months Ended June 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Net cash provided by financing activities of continuing operations$58,936
$37,810
$71,937
$45,945
Effect of exchange rate changes on cash and cash equivalents$223
$(124)$599
$(144)
Change in cash and due from banks$(2,103)$1,240
$(439)$2,519
Cash and due from banks at beginning of period23,043
20,900
23,043
20,900
Cash and due from banks at end of period$20,940
$22,140
$22,604
$23,419
Supplemental disclosure of cash flow information for continuing operations 
 
 
 
Cash paid during the period for income taxes$1,975
$2,045
$2,714
$2,855
Cash paid during the period for interest7,329
5,726
11,604
9,760
Non-cash investing activities 
 
 
 
Transfers to loans HFS from loans3,300
6,000
$3,800
$8,600
Transfers to OREO and other repossessed assets58
97
85
138

(1)    See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.




NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND ACCOUNTING CHANGES

Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of JuneSeptember 30, 2017 and for the three- and six- monthnine-month periods ended JuneSeptember 30, 2017 and 2016 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, 2016, 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 16, 2017 (2016 Annual Report on Form 10-K), and Citigroup’s Quarterly ReportReports on Form 10-Q for the quarterquarters ended March 31, 2017 (First Quarter of 2017 Form 10-Q) and June 30, 2017 (Second Quarter of 2017 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.
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

Premium Amortization on Purchased Callable Debt Securities
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which amends the amortization period for certain purchased callable debt securities held at a premium. 
The ASU requires entities to amortize premiums on debt securities by the first call date when the securities have fixed and determinable call dates and prices. The scope of the ASU includes all accounting premiums, such as purchase premiums and cumulative fair value hedge
adjustments.  The ASU does not change the accounting for discounts, which
continue to be recognized over the contractual life of a security.
For calendar-year-end entities, the ASU is effective as of January 1, 2019, but it may be early adopted in any interim or year-end period after issuance. Adoption of the ASU is on a modified retrospective basis through a cumulative effect adjustment to retained earnings as of the beginning of the year of adoption. Citi has early-adoptedearly adopted the ASU in the second quarter of 2017, with an effective date of January 1, 2017.  Adoption of the ASU primarily affectsaffected Citi’s available-for-sale (AFS) and held-to-maturity (HTM) portfolios of callable state and municipal securities. The ASU adoption resulted in a net reduction to total stockholders’ equity of $156 million (after tax), effective as of January 1, 2017.  This amount is composed of a reduction of approximately $660 million to retained earnings for the incremental amortization of purchase premiums and cumulative hedge adjustments generated under fair value hedges of these callable debt securities. This amount was partially offset by an increase to AOCIAccumulated other comprehensive income (loss) (AOCI) of $504 million related to the cumulative fair value hedge adjustments reclassified to retained earnings.earnings for AFS securities.
Financial statements for periods prior to 2017 were not subject to restatement under the provisions of this ASU.  The amount of amortization recorded in the third quarter and for the first quarter and the first halfnine months of 2017 under the provisions of the ASU is not materially different than the amountamounts that was recorded during the first quarter or would have been recorded for the first half of 2017 if the ASU had not been early adopted. For additional information, see Note 12 and Note 17 to the Consolidated Financial Statements.

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 Accumulated other comprehensive income (loss) (AOCI)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 also requires equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the investee) to be measured at fair value with changes in fair value recognized in net income, thus eliminating eligibility for the current available-for-sale category. However, Federal Reserve Bank and Federal Home Loan Bank stock as well as certain exchange seats will continue to be presented at cost.
Citi early adopted only the provisions of this ASU related to presentation of the change in fair value of liabilities for which the fair value option was elected, related


to changes in Citigroup’s own credit spreads in AOCI


effective January 1, 2016. Accordingly, as of the first quarter of 2016, these amounts are reflected as a component of AOCI, whereas these amounts were previously recognized in Citigroup’s revenues and net income. The impact of adopting this amendment resulted in a cumulative catch-up reclassification from retained earnings to AOCI of an accumulated after-tax loss of approximately $15 million at January 1, 2016. Financial statements for periods prior to 2016 were not subject to restatement under the provisions of this ASU. For additional information, see Note 17, Note 20 and Note 21 to the Consolidated Financial Statements. The Company is evaluating the effects that the other provisions of ASU 2016-01, which are effective January 1, 2018, will have on its Consolidated Financial Statements and related disclosures.

FUTURE APPLICATION OF ACCOUNTING STANDARDS

Accounting for Financial Instruments—Credit Losses
In June 2016, the FASB issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introduces a new credit loss model, the Current Expected Credit Losses model (CECL), which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.
The 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 change from existing GAAP and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the ASU will depend upon the state of the economy and the nature of Citi’s portfolios at the date of adoption. InBased on a preliminary analysis performed earlier in 2017 and the current environment at that time, the overall impact is estimated to be an approximatelyapproximate 10-20% increase in credit reserves. Moreover, there are still some implementation questions that will need to be resolved that could affect the estimated impact. The ASU will be effective for Citi as of January 1, 2020. 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 Company will adopt the guidance as of January 1, 2018 using a modified retrospective method with a cumulative-effect adjustment to opening retained earnings. While the guidance will replace most existing revenue recognition guidance in GAAP, the ASU is not applicable to financial instruments and, therefore, will not impact a majority of the Company’s revenues, including net interest income.
While in scope Based on the Company’s current interpretations of the new guidance, the Company does not expect a material change in the timing or measurement of revenues and the overall impact to net income is expected to be immaterial.
The new standard clarified the guidance 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.reporting revenue gross as a principal versus net as an agent. The Company expects the presentation of expenses associated withhas identified transactions, including underwriting activity to change fromwhere Citi is deemed the current reporting where underwriting revenue is recorded net ofprincipal, rather than the related expenses toagent, which require a gross presentation where theup of annual revenues and expenses are recorded in Other operating expenses.of approximately $0.8 billion. This change to a gross presentation will result in an equivalent increase in underwriting revenue recorded in Commissions and fees and associated underwriting expenses recorded in Other operating expenses; however, this change in presentation will not have an impact on Income from continuing operations.;however, this standard would have impacted Citi’s efficiency ratio by approximately 50 basis points for the nine months ended September 30, 2017. The Company continues to evaluate the effect that the guidance will have on other revenue streams within its scope, including the presentation of certain contract costs, as well as changes in disclosures required by the new guidance. Based on the Company’s current interpretations of the new guidance, the overall impact to net income is expected to be immaterial.

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

Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes-Intra-EntityTaxes—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 January 1, 2018. 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-GoodwillIntangibles—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.

Changes in Accounting for Pension and Postretirement (Benefit) Expense
In March 2017, the FASB issued ASU 2017-07, Compensation—Retirement Benefits (Topic 715): Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost,which changes the income statement presentation of net benefit expense and requires restating the Company’s financial statements for
each of the earlier periods presented in Citi’s annual and interim financial statements. The change in presentation is effective for annual and interim periods starting January 1, 2018. The ASU requires that only the service cost component of net benefit expense be included in the Compensation and benefits line on the income statement.  The other components of net benefit expense will be required to be presented outside of the Compensation and benefits line and will be presented in Other operating expense.  Since both of these income statement line items are part of Operating expenses, total Operating expenses will not change, nor will there be any change in Net income. This change in presentation is not expected to have a material effect on the Compensation and benefits and on Other operating lines in the income statement. The components of the net benefit expense are currently disclosed in Note 7 to the Consolidated Financial Statements.
 The new standard also changes the components of net benefit expense that are eligible for capitalization when employee costs are capitalized in connection with various activities, such as internally developed software, construction-in-progress, and loan origination costs. Prospectively from January 1, 2018, only the service cost component of net benefit expense may be capitalized.  Existing capitalized balances are not affected. The Company is currently evaluating the portion of net benefits cost that continues to be eligible for capitalization and the portion that is not eligible.

Other Potential AmendmentsHedging
In August 2017, the FASB issued ASU No. 2017-12, Targeted Improvements to Current Accounting Standards
for Hedging Activities, which will better align an entity’s risk management activities and financial reporting for hedging relationships through changes to the designation and measurement guidance for qualifying hedging relationships and the presentation of hedge results.  The FASB has issued a proposed ASU that will providemandatory effective date for calendar year-end public companies is January 1, 2019 but the amendments may be early adopted in any interim or annual period after issuance. The targeted improvements in the ASU will allow Citi increased flexibility to the accounting guidance for hedging activities.  The exposure draft contains many proposals for improving how the economic resultsstructure hedges of risk management are reflected in financial reporting. Specifically, among other improvements,fixed rate instruments and floating rate instruments.  Application of the ASU is expected to expandreduce the listamount of benchmark interest ratesineffectiveness as the revised accounting guidance will better reflect the economics of our risk management activities and will also reduce the volatility associated with foreign currency hedging.  The ASU requires the hedging instrument to be presented in the same line item as the hedged item and also increaserequires expanded disclosures. Citi is in the ability for entitiesprocess of evaluating whether to construct hedges of interest rate risk that hedge only certain cash flows of a hedged item.  If issued in its current form,early adopt the ASU is also expected to modify existing guidance related tostandard before the timing and income statement line recognition of ineffectiveness and components excluded from hedge relationships and add incremental disclosures regarding hedging activities.




mandatory effective date.


2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

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

Sale of Egg Banking plc Credit Card Business
Citi sold the Egg Banking plc credit card business in 2011. Residual items from the disposal resulted in losses from Income (loss) from discontinuedDiscontinued operations, net of taxes, of $21$5 million and $(20)$24 million for the three months ended JuneSeptember 30, 2017 and 2016, respectively, and Income (loss) from discontinued operations, net of taxes, of $3$2 million and $(22)$46 million for the sixnine months ended JuneSeptember 30, 2017 and 2016, respectively. The income recognized during the current period was related to the release of certain reserves associated with expirations of certain warranties and indemnifications.

Combined Results for Discontinued Operations
The following summarizes financial information for all Discontinued operations for which Citi continues to have minimal residual impact associated with the sold operations:
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2017201620172016
Total revenues, net of interest expense$—
$—
$—
$—
Income (loss) from discontinued operations$33
$(36)$5
$(39)
Provision (benefit) for income taxes12
(13)2
(14)
Income (loss) from discontinued operations, net of taxes$21
$(23)$3
$(25)
 Three Months Ended  September 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Total revenues, net of interest expense$—
$—
$—
$—
Loss from discontinued operations$(9)$(37)$(4)$(76)
Benefit for income taxes(4)(7)(2)(21)
Loss from discontinued operations, net of taxes$(5)$(30)$(2)$(55)

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

Significant Disposals
The following transactions during 2017 and 2016 described below were identified as significant disposals. The major classes of assets and liabilities that are 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
Effective January 1, 2016, Citi completed a novation (an arrangement that extinguishes Citi’s rights and obligations under a contract) of the Primerica 80% coinsurance agreement, which was part of Corporate/Other, to a third-party re-insurer. The novation resulted in revenues of $404 million recorded in Other revenue ($263 million after-tax) during the first quarter of 2016. Furthermore, the novation resulted in derecognition of $1.5 billion of available-for-sale securities and cash, $0.95 billion of deferred acquisition costs and $2.7 billion of insurance liabilities.

 

Exit of U.S. Mortgage Service Operations
As previously disclosed, Citigroup signed agreements during the first quarter of 2017 to effectively exit its direct U.S. mortgage servicing operations by the end of 2018 to intensify focus on originations. The exit of the mortgage servicing operations included the sale of mortgage servicing rights and execution of a subservicing agreement for the remaining Citi-owned loans and certain other mortgage servicing rights. As part of this transaction, Citi willis also transfertransferring 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 doesdid 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, during the first quarter of 2017, Citi derecognized a total of $1,162 million of servicing-related assets, including $1,046 million of mortgage servicing rights, related to approximately 750,000 Fannie Mae and Freddie Mac held loans with outstanding balances of approximately $93 billion. Excluding the loss on sale and the additional charges, income before taxes for the disposed operation was immaterial for the three and sixnine months ended JuneSeptember 30, 2017 and 2016.

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

Three Months Ended   June 30,Six Months Ended   June 30,Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,
In millions of dollars20172016201720162017201620172016
Income before taxes$—
$41
$41
$78
$—
$43
$41
$121












Sale of a Fixed Income Analytics Business and an Index BusinessesBusiness
On May 30,August 31, 2017, Citi entered into an agreement to sell itscompleted the sale of a fixed income analytics (Yield Book) and a fixed income index businessesbusiness that arewere part of Markets and Securities Services within Institutional Clients Group (ICG). The closing, which is subject to regulatory clearance and other customary closing conditions, is expected to occur in the second half of 2017 and result in a gain, recognized at the closingAs part of the transaction. As of June 30, 2017, thesale, Citi derecognized total assets of approximately $112 million, including goodwill of $72 million, while the businessesderecognized liabilities were approximately $100$18 million. The transaction generated a pretax gain on sale of $580 million including $72($355 million of goodwill, while the liabilities were not material. These assets and liabilities were classified as HFS withinafter-tax) recorded in Other assetsrevenue and Other liabilities onduring the Consolidated Balance Sheet, respectively, at June 30,third quarter of 2017.
Income before taxes for thesethe divested businesses is as follows:


Three Months Ended   June 30,Six Months Ended   June 30,Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,
In millions of dollars20172016201720162017201620172016
Income before taxes$9
$17
$19
$31
$13
$12
$31
$43







3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the Global Consumer Banking (GCB) and 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 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, see Note 3 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.
The following table presents certain information regarding the Company’s continuing operations by segment:














Three Months Ended June 30, Three Months Ended September 30, 
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
In millions of dollars, except identifiable assets in billions201720162017201620172016June 30,
2017		December 31, 2016201720162017201620172016September 30,
2017		December 31, 2016
Global Consumer Banking$8,035
$7,674
$647
$667
$1,129
$1,285
$419
$412
$8,433
$8,164
$636
$677
$1,174
$1,250
$419
$412
Institutional Clients Group9,213
8,689
1,327
1,229
2,780
2,615
1,353
1,277
9,231
8,459
1,394
1,202
3,062
2,660
1,370
1,277
Corporate/Other653
1,185
(179)(173)(26)147
92
103
509
1,137
(164)(146)(99)(23)100
103
Total$17,901
$17,548
$1,795
$1,723
$3,883
$4,047
$1,864
$1,792
$18,173
$17,760
$1,866
$1,733
$4,137
$3,887
$1,889
$1,792
(1)
Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $8.5$8.9 billion and $8.1$8.4 billion; in EMEA of $2.8$2.7 billion and $2.6$2.5 billion; in Latin America of $2.3$2.4 billion and $2.3$2.2 billion; and in Asia of $3.6$3.7 billion and $3.4$3.5 billion for the three months ended JuneSeptember 30, 2017 and 2016, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $1.8$2.2 billion and $1.4$1.8 billion; in the ICG results of $87$(164) million and $82$(90) million; and in the Corporate/Other results of $(132)$(50) million and $(98)$18 million for the three months ended JuneSeptember 30, 2017 and 2016, respectively.
Six Months Ended June 30,Nine Months Ended September 30, 2017
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
In millions of dollars201720162017201620172016201720162017201620172016
Global Consumer Banking$15,852
$15,388
$1,231
$1,301
$2,132
$2,479
$24,285
$23,552
$1,867
$1,978
$3,306
$3,729
Institutional Clients Group18,339
16,584
2,702
1,993
5,791
4,484
27,570
25,043
4,096
3,195
8,853
7,144
Corporate/Other1,830
3,131
(275)(92)78
592
2,339
4,268
(439)(238)(21)569
Total$36,021
$35,103
$3,658
$3,202
$8,001
$7,555
$54,194
$52,863
$5,524
$4,935
$12,138
$11,442
(1)
Includes total revenues, net of interest expense, in North America of $17.0$25.8 billion and $16.0$24.2 billion; in EMEA of $5.6$8.3 billion and $4.7$7.3 billion; in Latin America of $4.6$7.0 billion and $4.4$6.7 billion; and in Asia of $7.0$10.8 billion and $6.9$10.4 billion for the sixnine months ended JuneSeptember 30, 2017 and 2016, respectively. Regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $3.6$5.8 billion and $2.9$4.7 billion; in the ICG results of $(118)$(282) million and $472$382 million; and in Corporate/Other results of $(80)$(130) million and $72$90 million for the sixnine months ended JuneSeptember 30, 2017 and 2016, respectively.




4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20172016201720162017201620172016
Interest revenue      
Loan interest, including fees$10,199
$9,750
$20,146
$19,510
$10,652
$10,229
$30,798
$29,739
Deposits with banks375
237
670
456
486
247
1,156
703
Federal funds sold and securities borrowed or purchased under agreements to resell828
664
1,489
1,311
858
636
2,347
1,947
Investments, including dividends2,058
1,937
4,018
3,792
2,104
1,887
6,122
5,679
Trading account assets(1)
1,481
1,532
2,747
2,966
1,429
1,433
4,176
4,399
Other interest (2)
260
236
554
488
292
221
846
709
Total interest revenue$15,201
$14,356
$29,624
$28,523
$15,821
$14,653
$45,445
$43,176
Interest expense      
Deposits(1)(2)
$1,603
$1,306
$3,018
$2,510
$1,775
$1,443
$4,793
$3,953
Federal funds purchased and securities loaned or sold under agreements to repurchase676
527
1,169
1,029
712
459
1,881
1,488
Trading account liabilities(2)(1)
146
96
293
184
169
102
462
286
Short-term borrowings202
109
401
210
318
90
719
300
Long-term debt1,409
1,082
2,721
2,127
1,405
1,080
4,126
3,207
Total interest expense$4,036
$3,120
$7,602
$6,060
$4,379
$3,174
$11,981
$9,234
Net interest revenue$11,165
$11,236
$22,022
$22,463
$11,442
$11,479
$33,464
$33,942
Provision for loan losses1,666
1,390
3,341
3,276
2,146
1,746
5,487
5,022
Net interest revenue after provision for loan losses$9,499
$9,846
$18,681
$19,187
$9,296
$9,733
$27,977
$28,920
(1)Includes deposit insurance fees and charges of $329 million and $267 million for the three months ended June 30, 2017 and 2016, respectively, and $634 million and $502 million for the six months ended June 30, 2017 and 2016, respectively.
(2)
Interest expense on Trading account liabilities of ICG is reported as a reduction of interest revenue from Trading account assets.
(2)Includes deposit insurance fees and charges of $301 million and $336 million for the three months ended September 30, 2017 and 2016, respectively, and $936 million and $838 million for the nine months ended September 30, 2017 and 2016, 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 2016 Annual Report on Form 10-K.
The following table presents Commissions and fees revenue:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20172016201720162017201620172016
Investment banking$916
$753
$1,778
$1,327
$911
$726
$2,689
$2,053
Trading-related542
544
1,114
1,145
556
519
1,670
1,664
Trade and securities services422
386
812
792
412
384
1,224
1,176
Credit cards and bank cards364
344
675
615
406
372
1,081
987
Corporate finance(1)
238
241
407
364
171
164
578
528
Other consumer(2)
169
166
333
324
188
173
521
497
Checking-related122
104
242
220
121
140
363
360
Loan servicing88
68
174
164
80
71
254
235
Other76
119
161
237
86
95
247
332
Total commissions and fees$2,937
$2,725
$5,696
$5,188
$2,931
$2,644
$8,627
$7,832
(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 2016 Annual Report on Form 10-K.
The following table presents Principal transactions revenue:
 






Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20172016201720162017201620172016
Global Consumer Banking(1)
$142
$165
$291
$308
$149
$162
$440
$469
Institutional Clients Group2,079
1,911
4,747
3,487
1,757
2,064
6,504
5,552
Corporate/Other (1)
341
(260)546
(139)264
12
810
(127)
Total Citigroup$2,562
$1,816
$5,584
$3,656
$2,170
$2,238
$7,754
$5,894
Interest rate risks(2)
$1,411
$1,140
$3,177
$1,947
$1,120
$1,282
$4,297
$3,229
Foreign exchange risks(3)
802
402
1,390
1,015
610
466
2,000
1,481
Equity risks(4)
58
(55)246
(5)158
81
404
76
Commodity and other risks(5)
148
121
238
265
92
171
330
436
Credit products and risks(6)
143
208
533
434
190
238
723
672
Total$2,562
$1,816
$5,584
$3,656
$2,170
$2,238
$7,754
$5,894
(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.
(3)Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(4)Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(5)Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(6)Includes revenues from structured credit products.


7. INCENTIVE PLANS
 For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2016 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 2016 Annual Report on Form 10-K.

Net (Benefit) Expense
The following table summarizes the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans for Significant Plans and All Other Plans:
Three Months Ended June 30,Three Months Ended September 30,
Pension plansPostretirement benefit plansPension plansPostretirement benefit plans
U.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars2017201620172016201720162017201620172016201720162017201620172016
Qualified plans 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Benefits earned during the period$—
$—
$38
$39
$—
$—
$2
$3
$—
$1
$38
$39
$—
$—
$3
$1
Interest cost on benefit obligation128
132
74
73
8
5
25
24
124
126
76
70
9
6
27
24
Expected return on plan assets(217)(218)(76)(74)(2)(3)(22)(22)(217)(224)(77)(71)(2)(2)(24)(22)
Amortization of unrecognized 
  
 
 
 
 
 
 
  
 
 
 
 
 
Prior service benefit—
—
(1)(1)—
—
(3)(3)—
—
(1)—
—
—
(2)(1)
Net actuarial loss (gain)38
39
15
20
1
(1)9
8
Net actuarial loss43
43
15
19
—
—
8
8
Curtailment loss (1)
3
—
—
—
—
—
—
—
1
10
—
—
—
—
—
—
Settlement loss(1)
—
—
4
3
—
—
—
—
Settlement loss (gain) (1)
—
—
4
(2)—
—
—
—
Net qualified plans (benefit) expense$(48)$(47)$54
$60
$7
$1
$11
$10
$(49)$(44)$55
$55
$7
$4
$12
$10
Nonqualified plans expense$11
$9
$—
$—
$—
$—
$—
$—
$10
$12
$—
$—
$—
$—
$—
$—
Total net (benefit) expense$(37)$(38)$54
$60
$7
$1
$11
$10
$(39)$(32)$55
$55
$7
$4
$12
$10
(1)Losses (gains) due to curtailment and settlement relate to repositioning and divestiture activities.
Six Months Ended June 30,Nine Months Ended September 30,
Pension plansPostretirement benefit plansPension plansPostretirement benefit plans
U.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars2017201620172016201720162017201620172016201720162017201620172016
Qualified plans 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Benefits earned during the period$1
$1
$74
$77
$—
$—
$4
$6
$1
$2
$112
$116
$—
$—
$7
$7
Interest cost on benefit obligation260
273
145
146
14
13
49
48
384
399
221
216
20
19
76
72
Expected return on plan assets(433)(436)(146)(146)(3)(5)(43)(43)(650)(660)(223)(217)(5)(7)(67)(65)
Amortization of unrecognized



 
 
  
 
 




 
 
  
 
 
Prior service benefit—
—
(2)(1)—
—
(5)(6)—
—
(3)(1)—
—
(7)(7)
Net actuarial loss (gain)79
75
31
39
—
(1)17
16
122
118
46
58
—
(1)25
24
Curtailment loss (gain) (1)
3
—
—
(3)—
—
—
—
4
10
—
(3)—
—
—
—
Settlement loss(1)
—
—
4
4
—
—
—
—
—
—
8
2
—
—
—
—
Net qualified plans (benefit) expense$(90)$(87)$106
$116
$11
$7
$22
$21
$(139)$(131)$161
$171
$15
$11
$34
$31
Nonqualified plans expense$21
$19
$—
$—
$—
$—
$—
$—
$31
$31
$—
$—
$—
$—
$—
$—
Total net (benefit) expense$(69)$(68)$106
$116
$11
$7
$22
$21
$(108)$(100)$161
$171
$15
$11
$34
$31
(1)(Gains) lossesLosses (gains) due to curtailment and settlement relate to repositioning and divestiture activities.


Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following tables summarize the funded status and amounts recognized in the Consolidated Balance Sheet for the Company’s
Significant Plans.
Six Months Ended June 30, 2017Nine Months Ended September 30, 2017
Pension plansPostretirement benefit plansPension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in projected benefit obligation 
 
 
 
 
 
 
 
Projected benefit obligation at beginning of year$14,000
$6,522
$686
$1,141
$14,000
$6,522
$686
$1,141
Plans measured annually(28)(1,784)—
(303)(28)(1,784)—
(303)
Projected benefit obligation at beginning of year—Significant Plans$13,972
$4,738
$686
$838
$13,972
$4,738
$686
$838
First quarter activity25
802
(7)134
25
802
(7)134
Projected benefit obligation at March 31, 2017—Significant Plans$13,997
$5,540
$679
$972
Second quarter activity161
9
63
72
Projected benefit obligation at June 30, 2017—Significant Plans$14,158
$5,549
$742
$1,044
Benefits earned during the period—
22
—
2
1
22
—
2
Interest cost on benefit obligation135
62
7
22
131
64
6
23
Actuarial gain (loss)214
(58)71
22
Actuarial loss95
104
2
12
Benefits paid, net of participants’ contributions(191)(79)(15)(14)(191)(108)(14)(15)
Curtailment loss(1)
3
—
—
—
Curtailment loss (gain)(1)
1
(2)—
—
Foreign exchange impact and other—
62
—
40
(269)36
—
(6)
Projected benefit obligation at June 30, 2017—Significant Plans$14,158
$5,549
$742
$1,044
Projected benefit obligation at September 30, 2017—Significant Plans$13,926
$5,665
$736
$1,060

(1)Loss (gain) due to curtailment relates to repositioning activities.



Six Months Ended June 30, 2017Nine Months Ended September 30, 2017
Pension plansPostretirement benefit plansPension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in plan assets 
 
 
 
 
 
 
 
Plan assets at fair value at beginning of year$12,363
$6,149
$129
$1,015
$12,363
$6,149
$129
$1,015
Plans measured annually—
(1,167)—
(11)—
(1,167)—
(11)
Plan assets at fair value at beginning of year—Significant Plans$12,363
$4,982
$129
$1,004
$12,363
$4,982
$129
$1,004
First quarter activity159
903
$—
124
159
903
$—
124
Plan assets at fair value at March 31, 2017—Significant Plans
$12,522
$5,885
$129
$1,128
Second quarter activity186
(39)$(3)55
Plan assets at fair value at June 30, 2017—Significant Plans
$12,708
$5,846
$126
$1,183
Actual return on plan assets364
(45)4
23
310
95
3
24
Company contributions, net of reimbursements13
13
8
—
63
11
10
—
Plan participants’ contributions—
1
—
—
—
1
—
—
Benefits paid, net of government subsidy(191)(80)(15)(14)(191)(109)(14)(15)
Foreign exchange impact and other—
72
—
46
(269)45
—
(6)
Plan assets at fair value at June 30, 2017—Significant Plans$12,708
$5,846
$126
$1,183
Plan assets at fair value at September 30, 2017—Significant Plans$12,621
$5,889
$125
$1,186
Funded status of the Significant Plans      
Qualified plans(1)
$(720)$297
$(616)$139
$(575)$224
$(611)$126
Nonqualified plans(730)—
—
—
(730)—
—
—
Funded status of the plans at June 30, 2017—Significant Plans$(1,450)$297
$(616)$139
Funded status of the plans at September 30, 2017—Significant Plans$(1,305)$224
$(611)$126
Net amount recognized 
 
 
 
 
 
 
 
Benefit asset$—
$758
$—
$139
$—
$683
$—
$126
Benefit liability(1,450)(461)(616)—
(1,305)(459)(611)—
Net amount recognized on the balance sheet—Significant Plans$(1,450)$297
$(616)$139
$(1,305)$224
$(611)$126
Amounts recognized in AOCI
Amounts recognized in AOCI
 
 
 
Amounts recognized in AOCI 
 
 
Prior service benefit$—
$32
$—
$94
$—
$30
$—
$91
Net actuarial gain (loss)(6,821)(984)39
(403)
Net actuarial (loss) gain(6,779)(1,051)39
(406)
Net amount recognized in equity (pretax)—Significant Plans$(6,821)$(952)$39
$(309)$(6,779)$(1,021)$39
$(315)
Accumulated benefit obligation at June 30, 2017—Significant Plans$14,151
$5,280
$742
$1,044
Accumulated benefit obligation   
Qualified plans$13,193
$5,047
$736
$1,060
Nonqualified plans727
—
—
—
Accumulated benefit obligation at September 30, 2017—Significant Plans$13,920
$5,047
$736
$1,060
(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, 2017 and no minimum required funding is expected for 2017.



The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans:
In millions of dollarsThree Months Ended   June 30, 2017Six Months Ended June 30, 2017Three Months Ended 
 September 30, 2017		Nine Months Ended September 30, 2017
Beginning of period balance, net of tax(1)(2)
$(5,176)$(5,164)$(5,311)$(5,164)
Actuarial assumptions changes and plan experience(260)(508)(213)(721)
Net asset gain due to difference between actual and expected returns43
296
123
419
Net amortization56
112
59
171
Prior service cost—
(5)—
(5)
Curtailment/settlement gain(3)
7
7
5
12
Foreign exchange impact and other(64)(122)(19)(141)
Change in deferred taxes, net83
73
16
89
Change, net of tax$(135)$(147)$(29)$(176)
End of period balance, net of tax(1)(2)
$(5,311)$(5,311)$(5,340)$(5,340)
(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
Jun. 30, 2017Mar. 31, 2017Sept. 30, 2017Jun. 30, 2017
U.S. plans  
Qualified pension4.05%4.10%3.80%4.05%
Nonqualified pension3.954.003.753.95
Postretirement3.853.903.603.85
Non-U.S. plans  
Pension
0.55-10.45

0.60-11.000.65-10.900.55-10.45
Weighted average4.835.084.874.83
Postretirement9.259.659.059.25

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 endedJun. 30, 2017Mar. 31, 2017Dec. 31, 2016Sept. 30, 2017June 30,
2017		Mar. 31, 2017
U.S. plans      
Qualified pension3.80%4.05%4.10%3.75%3.80%4.05%
Nonqualified pension3.753.954.003.653.753.95
Postretirement3.603.853.903.553.603.85
Non-U.S. plans  
Pension0.65-10.900.55-10.450.60-11.000.65-10.350.65-10.900.55-10.45
Weighted average4.874.835.084.864.874.83
Postretirement9.059.259.658.959.059.25
 
Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly expense of a one-percentage-point change in the discount rate:
Three Months Ended June 30, 2017Three Months Ended September 30, 2017
In millions of dollarsOne-percentage-point increaseOne-percentage-point decreaseOne-percentage-point increaseOne-percentage-point decrease
Pension  
U.S. plans$7
$(10)$7
$(10)
Non-U.S. plans(4)7
(5)7
Postretirement  
U.S. plans—
(1)1
(1)
Non-U.S. plans(2)2
(3)3






Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first sixnine months of 2017.

The following table summarizes the Company’s actual contributions for the sixnine months ended JuneSeptember 30, 2017 and 2016, as well as estimated expected Company contributions for the remainder of 2017 and the actual contributions made in the third and fourth quartersquarter of 2016.
Pension plans Postretirement plans Pension plans Postretirement plans 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars2017201620172016201720162017201620172016201720162017201620172016
Company contributions(2) for the six months ended June 30
$26
$28
$70
$58
$19
$6
$4
$3
Company contributions(2) for the nine months ended September 30
$90
$541
$103
$58
$30
$6
$7
$4
Company contributions made or expected to be made during the remainder of the year29
528
70
68
—
—
4
6
16
15
35
68
—
—
2
5

(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 June 30,Six Months Ended   June 30,Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars20172016201720162017201620172016
U.S. plans$100
$97
$198
$193
$95
$89
$293
$281
Non-U.S. plans66
72
135
140
68
67
203
207

 












Post Employment Plans
The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:
Three Months Ended 
 June 30,		Six Months Ended 
 June 30,		Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars20172016201720162017201620172016
Service-related expense

$—
$—
$—
$—
$—
$—
$—
$—
Interest cost on benefit obligation1
1
1
2
—
—
1
2
Amortization of unrecognized















Prior service benefit(7)(8)(15)(16)(8)(7)(23)(23)
Net actuarial loss—
1
1
2
1
1
2
3
Total service-related benefit$(6)$(6)$(13)$(12)$(7)$(6)$(20)$(18)
Non-service-related expense$4
$5
$12
$13
$9
$10
$21
$23
Total net (benefit) expense$(2)$(1)$(1)$1
Total net expense$2
$4
$1
$5











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 June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions, except per-share amounts20172016201720162017201620172016
Income from continuing operations before attribution of noncontrolling interests$3,883
$4,047
$8,001
$7,555
$4,137
$3,887
$12,138
$11,442
Less: Noncontrolling interests from continuing operations32
26
42
31
(1)17
41
48
Net income from continuing operations (for EPS purposes)$3,851
$4,021
$7,959
$7,524
$4,138
$3,870
$12,097
$11,394
Income (loss) from discontinued operations, net of taxes21
(23)3
(25)(5)(30)(2)(55)
Citigroup's net income$3,872
$3,998
$7,962
$7,499
$4,133
$3,840
$12,095
$11,339
Less: Preferred dividends(1)
320
322
621
532
272
225
893
757
Net income available to common shareholders$3,552
$3,676
$7,341
$6,967
$3,861
$3,615
$11,202
$10,582
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS48
53
103
93
53
53
156
145
Net income allocated to common shareholders for basic EPS$3,504
$3,623
$7,238
$6,874
$3,808
$3,562
$11,046
$10,437
Net income allocated to common shareholders for diluted EPS3,504
3,623
$7,238
$6,874
3,808
3,562
$11,046
$10,437
Weighted-average common shares outstanding applicable to basic EPS2,739.1
2,915.8
2,752.2
2,929.4
2,683.6
2,879.9
2,729.3
2,912.9
Effect of dilutive securities(2)
   
    
 
Options(3)
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
Other employee plans—
0.1
—
0.1
Adjusted weighted-average common shares outstanding applicable to diluted EPS(4)
2,739.2
2,915.9
2,752.3
2,929.5
2,683.7
2,880.1
2,729.5
2,913.0
Basic earnings per share(5)
   
     
  
Income from continuing operations$1.27
$1.25
$2.63
$2.36
$1.42
$1.25
$4.05
$3.60
Discontinued operations0.01
(0.01)—
(0.01)—
(0.01)—
(0.02)
Net income$1.28
$1.24
$2.63
$2.35
$1.42
$1.24
$4.05
$3.58
Diluted earnings per share(5)
          
Income from continuing operations$1.27
$1.25
$2.63
$2.36
$1.42
$1.25
$4.05
$3.60
Discontinued operations0.01
(0.01)—
(0.01)—
(0.01)—
(0.02)
Net income$1.28
$1.24
$2.63
$2.35
$1.42
$1.24
$4.05
$3.58
(1)As of JuneSeptember 30, 2017, Citi estimates it will distribute preferred dividends of approximately $592$320 million during the remainder of 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 $105.61$105.27 per share for approximately 21.0 million and 25.5 million shares of Citigroup common stock, respectively. Both warrants were not included in the computation of earnings per share in the three and sixnine months ended JuneSeptember 30, 2017 and 2016 because they were anti-dilutive.
(3)During the secondthird quarters of 2017 and 2016, weighted-average options to purchase 0.8 million and 5.33.6 million shares of common stock, respectively, were outstanding, but not included in the computation of earnings per share because the weighted-average exercise prices of $204.80$206.70 and $75.43$85.92 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 2016 Annual Report on Form 10-K.
Federal funds sold and securities borrowed or purchased under agreements to resell, at their respective carrying values, consisted of the following:
In millions of dollarsJune 30,
2017		December 31, 2016September 30,
2017		December 31, 2016
Federal funds sold$—
$—
$20
$—
Securities purchased under agreements to resell128,546
131,473
139,203
131,473
Deposits paid for securities borrowed105,519
105,340
113,385
105,340
Total(1)
$234,065
$236,813
$252,608
$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 dollarsJune 30,
2017		December 31, 2016September 30,
2017		December 31, 2016
Federal funds purchased$303
$178
$388
$178
Securities sold under agreements to repurchase141,304
125,685
145,280
125,685
Deposits received for securities loaned13,173
15,958
15,614
15,958
Total(1)
$154,780
$141,821
$161,282
$141,821
(1)
The above tables do not include securities-for-securities lending transactions of $13.4$14.4 billion and $9.3 billion at JuneSeptember 30, 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 June 30, 2017As of September 30, 2017
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities purchased under agreements to resell$186,108
$57,562
$128,546
$106,230
$22,316
$207,485
$68,282
$139,203
$105,439
$33,764
Deposits paid for securities borrowed105,519
—
105,519
22,633
82,886
113,385
—
113,385
23,136
90,249
Total$291,627
$57,562
$234,065
$128,863
$105,202
$320,870
$68,282
$252,588
$128,575
$124,013



In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities sold under agreements to repurchase$198,866
$57,562
$141,304
$64,748
$76,556
$213,562
$68,282
$145,280
$67,974
$77,306
Deposits received for securities loaned13,173
—
13,173
2,936
10,237
15,614
—
15,614
4,359
11,255
Total$212,039
$57,562
$154,477
$67,684
$86,793
$229,176
$68,282
$160,894
$72,333
$88,561

 As of December 31, 2016
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities purchased under agreements to resell$176,284
$44,811
$131,473
$102,874
$28,599
Deposits paid for securities borrowed105,340
—
105,340
16,200
89,140
Total$281,624
$44,811
$236,813
$119,074
$117,739
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities sold under agreements to repurchase$170,496
$44,811
$125,685
$63,517
$62,168
Deposits received for securities loaned15,958
—
15,958
3,529
12,429
Total$186,454
$44,811
$141,643
$67,046
$74,597
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)The total of this column for each period excludes Federal funds sold/purchased. See tables above.
(3)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(4)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

The following tables present the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by remaining contractual maturity:

As of June 30, 2017As of September 30, 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$91,133
$56,163
$24,255
$27,315
$198,866
$97,624
$54,810
$23,997
$37,131
$213,562
Deposits received for securities loaned9,948
644
1,709
872
13,173
11,980
342
2,070
1,222
15,614
Total$101,081
$56,807
$25,964
$28,187
$212,039
$109,604
$55,152
$26,067
$38,353
$229,176


 As of December 31, 2016
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$79,740
$50,399
$19,396
$20,961
$170,496
Deposits received for securities loaned10,813
2,169
2,044
932
15,958
Total$90,553
$52,568
$21,440
$21,893
$186,454


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

As of June 30, 2017As of September 30, 2017
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotalRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$66,171
$—
$66,171
$67,622
$—
$67,622
State and municipal securities1,054
—
1,054
1,031
5
1,036
Foreign government securities77,916
611
78,527
92,113
221
92,334
Corporate bonds18,799
586
19,385
19,731
472
20,203
Equity securities11,419
11,330
22,749
11,910
14,301
26,211
Mortgage-backed securities14,980
—
14,980
12,590
—
12,590
Asset-backed securities5,321
—
5,321
5,373
—
5,373
Other3,206
646
3,852
3,192
615
3,807
Total$198,866
$13,173
$212,039
$213,562
$15,614
$229,176

 As of December 31, 2016
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$66,263
$—
$66,263
State and municipal securities334
—
334
Foreign government securities52,988
1,390
54,378
Corporate bonds17,164
630
17,794
Equity securities12,206
13,913
26,119
Mortgage-backed securities11,421
—
11,421
Asset-backed securities5,428
—
5,428
Other4,692
25
4,717
Total$170,496
$15,958
$186,454



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 2016 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollarsJune 30,
2017		December 31, 2016September 30,
2017		December 31, 2016
Receivables from customers$12,851
$10,374
$14,717
$10,374
Receivables from brokers, dealers, and clearing organizations27,636
18,513
23,359
18,513
Total brokerage receivables(1)
$40,487
$28,887
$38,076
$28,887
Payables to customers$38,588
$37,237
$37,935
$37,237
Payables to brokers, dealers, and clearing organizations24,359
19,915
25,270
19,915
Total brokerage payables(1)
$62,947
$57,152
$63,205
$57,152

(1)Includes brokerage receivables and payables recorded by Citi broker-dealer entities that are accounted for in accordance with the AICPA Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320.


12.   INVESTMENTS

For additional information regarding Citi’s investment portfolios, including evaluating investments for other-than-temporary impairment (OTTI), see Note 13 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.

Overview
The following table presents Citi’s investments by category:
 In millions of dollarsJune 30,
2017		December 31,
2016
 
 Securities available-for-sale (AFS)$293,629
$299,424
 
Debt securities held-to-maturity (HTM)(1)
50,175
45,667
 
Non-marketable equity securities carried at fair value(2)
1,384
1,774
 
Non-marketable equity securities carried at cost(3)
6,522
6,439
 Total investments$351,710
$353,304
 In millions of dollarsSeptember 30,
2017		December 31,
2016
 
 Securities available-for-sale (AFS)$295,315
$299,424
 
Debt securities held-to-maturity (HTM)(1)
51,527
45,667
 
Non-marketable equity securities carried at fair value(2)
1,300
1,774
 
Non-marketable equity securities carried at cost(3)
6,532
6,439
 Total investments$354,674
$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 and various clearing houses of which Citigroup is a member.

The following table presents interest and dividend income on investments:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20172016201720162017201620172016
Taxable interest$1,859
$1,759
$3,623
$3,436
$1,922
$1,717
$5,545
$5,153
Interest exempt from U.S. federal income tax141
133
283
276
129
135
412
411
Dividend income58
45
112
80
53
35
165
115
Total interest and dividend income$2,058
$1,937
$4,018
$3,792
$2,104
$1,887
$6,122
$5,679

The following table presents realized gains and losses on the sales of investments, which excludes OTTI losses:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20172016201720162017201620172016
Gross realized investment gains$258
$244
$546
$623
$293
$483
$840
$1,105
Gross realized investment losses(37)(44)(133)(237)(80)(196)(214)(432)
Net realized gains on sale of investments$221
$200
$413
$386
$213
$287
$626
$673

 




Securities Available-for-Sale
The amortized cost and fair value of AFS securities were as follows:
June 30, 2017December 31, 2016September 30, 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
Securities AFS      
Mortgage-backed securities(1)
      
U.S. government-sponsored agency guaranteed$43,351
$246
$399
$43,198
$38,663
$248
$506
$38,405
$42,422
$223
$331
$42,314
$38,663
$248
$506
$38,405
Prime1
—
—
1
2
—
—
2
1
—
—
1
2
—
—
2
Alt-A—
—
—
—
43
7
—
50
—
—
—
—
43
7
—
50
Non-U.S. residential3,154
14
5
3,163
3,852
13
7
3,858
2,984
16
9
2,991
3,852
13
7
3,858
Commercial357
1
1
357
357
2
1
358
345
1
2
344
357
2
1
358
Total mortgage-backed securities$46,863
$261
$405
$46,719
$42,917
$270
$514
$42,673
$45,752
$240
$342
$45,650
$42,917
$270
$514
$42,673
U.S. Treasury and federal agency securities      
U.S. Treasury$102,340
$414
$359
$102,395
$113,606
$629
$452
$113,783
$107,696
$283
$408
$107,571
$113,606
$629
$452
$113,783
Agency obligations10,240
24
61
10,203
9,952
21
85
9,888
10,803
17
65
10,755
9,952
21
85
9,888
Total U.S. Treasury and federal agency securities$112,580
$438
$420
$112,598
$123,558
$650
$537
$123,671
$118,499
$300
$473
$118,326
$123,558
$650
$537
$123,671
State and municipal(2)
$9,700
$142
$303
$9,539
$10,797
$80
$757
$10,120
$9,335
$146
$291
$9,190
$10,797
$80
$757
$10,120
Foreign government101,669
514
401
101,782
98,112
590
554
98,148
100,625
526
404
100,747
98,112
590
554
98,148
Corporate16,111
93
101
16,103
17,195
105
176
17,124
15,459
82
82
15,459
17,195
105
176
17,124
Asset-backed securities(1)
6,020
10
6
6,024
6,810
6
22
6,794
5,279
15
3
5,291
6,810
6
22
6,794
Other debt securities431
—
—
431
503
—
—
503
348
—
—
348
503
—
—
503
Total debt securities AFS$293,374
$1,458
$1,636
$293,196
$299,892
$1,701
$2,560
$299,033
$295,297
$1,309
$1,595
$295,011
$299,892
$1,701
$2,560
$299,033
Marketable equity securities AFS$414
$25
$6
$433
$377
$20
$6
$391
$284
$23
$3
$304
$377
$20
$6
$391
Total securities AFS$293,788
$1,483
$1,642
$293,629
$300,269
$1,721
$2,566
$299,424
$295,581
$1,332
$1,598
$295,315
$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.
(2)
In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities.  Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of purchase premiums and cumulative fair value hedge adjustments on callable state and municipal debt securities.  For additional information, see Note 1 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
June 30, 2017   
September 30, 2017   
Securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$26,236
$332
$2,253
$67
$28,489
$399
$24,545
$275
$2,631
$56
$27,176
$331
Non-U.S. residential1,243
4
36
1
1,279
5
1,267
8
28
1
1,295
9
Commercial84
1
37
—
121
1
111
1
42
1
153
2
Total mortgage-backed securities$27,563
$337
$2,326
$68
$29,889
$405
$25,923
$284
$2,701
$58
$28,624
$342
U.S. Treasury and federal agency securities      
U.S. Treasury$37,721
$250
$4,592
$109
$42,313
$359
$50,362
$367
$4,392
$41
$54,754
$408
Agency obligations6,345
60
106
1
6,451
61
6,884
46
1,231
19
8,115
65
Total U.S. Treasury and federal agency securities$44,066
$310
$4,698
$110
$48,764
$420
$57,246
$413
$5,623
$60
$62,869
$473
State and municipal$506
$17
$1,735
$286
$2,241
$303
$430
$13
$1,669
$278
$2,099
$291
Foreign government37,764
172
11,189
229
48,953
401
40,112
202
9,462
202
49,574
404
Corporate5,965
87
553
14
6,518
101
6,330
65
696
17
7,026
82
Asset-backed securities1,045
1
938
5
1,983
6
1,148
3
207
—
1,355
3
Other debt securities29
—
—
—
29
—
—
—
—
—
—
—
Marketable equity securities AFS16
2
54
4
70
6
13
2
11
1
24
3
Total securities AFS$116,954
$926
$21,493
$716
$138,447
$1,642
$131,202
$982
$20,369
$616
$151,571
$1,598
December 31, 2016 
 
 
 
 
 
 
 
 
 
 
 
Securities AFS 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed$23,534
$436
$2,236
$70
$25,770
$506
$23,534
$436
$2,236
$70
$25,770
$506
Prime1
—
—
—
1
—
1
—
—
—
1
—
Non-U.S. residential486
—
1,276
7
1,762
7
486
—
1,276
7
1,762
7
Commercial75
1
58
—
133
1
75
1
58
—
133
1
Total mortgage-backed securities$24,096
$437
$3,570
$77
$27,666
$514
$24,096
$437
$3,570
$77
$27,666
$514
U.S. Treasury and federal agency securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury$44,342
$445
$1,335
$7
$45,677
$452
$44,342
$445
$1,335
$7
$45,677
$452
Agency obligations6,552
83
250
2
6,802
85
6,552
83
250
2
6,802
85
Total U.S. Treasury and federal agency securities$50,894
$528
$1,585
$9
$52,479
$537
$50,894
$528
$1,585
$9
$52,479
$537
State and municipal$1,616
$55
$3,116
$702
$4,732
$757
$1,616
$55
$3,116
$702
$4,732
$757
Foreign government38,226
243
8,973
311
47,199
554
38,226
243
8,973
311
47,199
554
Corporate7,011
129
1,877
47
8,888
176
7,011
129
1,877
47
8,888
176
Asset-backed securities411
—
3,213
22
3,624
22
411
—
3,213
22
3,624
22
Other debt securities5
—
—
—
5
—
5
—
—
—
5
—
Marketable equity securities AFS19
2
24
4
43
6
19
2
24
4
43
6
Total securities AFS$122,278
$1,394
$22,358
$1,172
$144,636
$2,566
$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:
June 30, 2017December 31, 2016September 30, 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$96
$96
$132
$132
$61
$61
$132
$132
After 1 but within 5 years812
814
736
738
1,340
1,340
736
738
After 5 but within 10 years1,733
1,730
2,279
2,265
1,469
1,466
2,279
2,265
After 10 years(2)
44,222
44,079
39,770
39,538
42,882
42,783
39,770
39,538
Total$46,863
$46,719
$42,917
$42,673
$45,752
$45,650
$42,917
$42,673
U.S. Treasury and federal agency securities      
Due within 1 year$3,183
$3,165
$4,945
$4,945
$3,549
$3,539
$4,945
$4,945
After 1 but within 5 years103,151
103,156
101,369
101,323
109,477
109,286
101,369
101,323
After 5 but within 10 years6,211
6,240
17,153
17,314
5,473
5,501
17,153
17,314
After 10 years(2)
35
37
91
89
—
—
91
89
Total$112,580
$112,598
$123,558
$123,671
$118,499
$118,326
$123,558
$123,671
State and municipal      
Due within 1 year$2,217
$2,217
$2,093
$2,092
$2,036
$2,036
$2,093
$2,092
After 1 but within 5 years2,393
2,396
2,668
2,662
2,412
2,416
2,668
2,662
After 5 but within 10 years464
478
335
334
493
508
335
334
After 10 years(2)
4,626
4,448
5,701
5,032
4,394
4,230
5,701
5,032
Total$9,700
$9,539
$10,797
$10,120
$9,335
$9,190
$10,797
$10,120
Foreign government      
Due within 1 year$31,792
$31,800
$32,540
$32,547
$32,095
$32,097
$32,540
$32,547
After 1 but within 5 years54,028
53,507
51,008
50,881
52,519
52,362
51,008
50,881
After 5 but within 10 years13,457
13,944
12,388
12,440
13,531
13,690
12,388
12,440
After 10 years(2)
2,392
2,531
2,176
2,280
2,480
2,598
2,176
2,280
Total$101,669
$101,782
$98,112
$98,148
$100,625
$100,747
$98,112
$98,148
All other(3)
      
Due within 1 year$3,794
$3,688
$2,629
$2,628
$3,585
$3,583
$2,629
$2,628
After 1 but within 5 years10,380
10,396
12,339
12,334
9,799
9,818
12,339
12,334
After 5 but within 10 years5,760
5,865
6,566
6,528
5,581
5,585
6,566
6,528
After 10 years(2)
2,628
2,609
2,974
2,931
2,121
2,112
2,974
2,931
Total$22,562
$22,558
$24,508
$24,421
$21,086
$21,098
$24,508
$24,421
Total debt securities AFS$293,374
$293,196
$299,892
$299,033
$295,297
$295,011
$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
June 30, 2017    
September 30, 2017September 30, 2017    
Debt securities held-to-maturity          
Mortgage-backed securities(3)
          
U.S. government agency guaranteed$24,044
$25
$24,069
$77
$(113)$24,033
$23,683
$26
$23,709
$104
$(78)$23,735
Prime15
—
15
3
—
18
13
—
13
4
—
17
Alt-A279
(18)261
94
(1)354
256
(11)245
97
—
342
Non-U.S. residential1,940
(47)1,893
64
—
1,957
1,932
(47)1,885
58
—
1,943
Commercial104
—
104
—
—
104
217
—
217
—
—
217
Total mortgage-backed securities$26,382
$(40)$26,342
$238
$(114)$26,466
$26,101
$(32)$26,069
$263
$(78)$26,254
State and municipal(4)
$8,830
$(31)$8,799
$310
$(132)$8,977
$8,588
$(30)$8,558
$338
$(90)$8,806
Foreign government588
—
588
—
(16)572
584
—
584
—
(14)570
Asset-backed securities(3)
14,451
(5)14,446
67
(5)14,508
16,286
(5)16,281
94
(10)16,365
Other debt securities35
—
35
—
—
35
Total debt securities held-to-maturity$50,251
$(76)$50,175
$615
$(267)$50,523
$51,594
$(67)$51,527
$695
$(192)$52,030
December 31, 2016  
 
 
 
 
  
 
 
 
 
Debt securities held-to-maturity 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities(3)
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government agency guaranteed$22,462
$33
$22,495
$47
$(186)$22,356
$22,462
$33
$22,495
$47
$(186)$22,356
Prime31
(7)24
10
(1)33
31
(7)24
10
(1)33
Alt-A314
(27)287
69
(1)355
314
(27)287
69
(1)355
Non-U.S. residential1,871
(47)1,824
49
—
1,873
1,871
(47)1,824
49
—
1,873
Commercial14
—
14
—
—
14
14
—
14
—
—
14
Total mortgage-backed securities$24,692
$(48)$24,644
$175
$(188)$24,631
$24,692
$(48)$24,644
$175
$(188)$24,631
State and municipal$9,025
$(442)$8,583
$129
$(238)$8,474
$9,025
$(442)$8,583
$129
$(238)$8,474
Foreign government1,339
—
1,339
—
(26)1,313
1,339
—
1,339
—
(26)1,313
Asset-backed securities(3)
11,107
(6)11,101
41
(5)11,137
11,107
(6)11,101
41
(5)11,137
Total debt securities held-to-maturity(5)
$46,163
$(496)$45,667
$345
$(457)$45,555
$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)
In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities.  Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of purchase premiums and cumulative fair value hedge adjustments on callable state and municipal debt securities.  For additional information, see Note 1 to the Consolidated Financial Statements.
(5)During the fourth quarter of 2016, securities with a total fair value of approximately $5.8 billion were transferred from AFS to HTM, composed of $5 billion of U.S. government agency mortgage-backed securities and $830 million of municipal securities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call, in part, in order to reduce the impact of price volatility on AOCI and certain capital measures under Basel III. While these securities were transferred to HTM at fair value as of the transfer date, no subsequent changes in value may be recorded, other than in connection with the recognition of any subsequent other-than-temporary impairment and the amortization of differences between the carrying values at the transfer date and the par values of each security as an adjustment of yield 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
June 30, 2017     
September 30, 2017     
Debt securities held-to-maturity          
Mortgage-backed securities$35
$1
$11,533
$113
$11,568
$114
$47
$—
$10,147
$78
$10,194
$78
State and municipal629
43
735
89
1,364
132
242
6
832
84
1,074
90
Foreign government572
16
—
—
572
16
570
14
—
—
570
14
Asset-backed securities54
1
2,810
4
2,864
5
55
2
2,563
8
2,618
10
Total debt securities held-to-maturity$1,290
$61
$15,078
$206
$16,368
$267
$914
$22
$13,542
$170
$14,456
$192
December 31, 2016          
Debt securities held-to-maturity          
Mortgage-backed securities$17
$—
$17,176
$188
$17,193
$188
$17
$—
$17,176
$188
$17,193
$188
State and municipal2,200
58
1,210
180
3,410
238
2,200
58
1,210
180
3,410
238
Foreign government1,313
26
—
—
1,313
26
1,313
26
—
—
1,313
26
Asset-backed securities2
—
2,503
5
2,505
5
2
—
2,503
5
2,505
5
Total debt securities held-to-maturity$3,532
$84
$20,889
$373
$24,421
$457
$3,532
$84
$20,889
$373
$24,421
$457
Note: Excluded from the gross unrecognized losses presented in the table above are $(76)$(67) million and $(496) million of net unrealized losses recorded in AOCI as of JuneSeptember 30, 2017 and December 31, 2016, respectively, primarily related to the difference between the amortized cost and carrying value of HTM securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at JuneSeptember 30, 2017 and December 31, 2016.


The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
June 30, 2017December 31, 2016September 30, 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 years735
743
760
766
737
743
760
766
After 5 but within 10 years51
52
54
55
123
124
54
55
After 10 years(1)
25,556
25,671
23,830
23,810
25,209
25,387
23,830
23,810
Total$26,342
$26,466
$24,644
$24,631
$26,069
$26,254
$24,644
$24,631
State and municipal      
Due within 1 year$463
$472
$406
$406
$227
$228
$406
$406
After 1 but within 5 years145
152
112
110
166
176
112
110
After 5 but within 10 years372
385
363
367
458
474
363
367
After 10 years(1)
7,819
7,968
7,702
7,591
7,707
7,928
7,702
7,591
Total$8,799
$8,977
$8,583
$8,474
$8,558
$8,806
$8,583
$8,474
Foreign government      
Due within 1 year$138
$138
$824
$818
$413
$413
$824
$818
After 1 but within 5 years450
434
515
495
171
157
515
495
After 5 but within 10 years—
—
—
—
—
—
—
—
After 10 years(1)
—
—
—
—
—
—
—
—
Total$588
$572
$1,339
$1,313
$584
$570
$1,339
$1,313
All other(2)
      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years—
—
—
—
35
35
—
—
After 5 but within 10 years468
469
513
514
1,146
1,148
513
514
After 10 years(1)
13,978
14,039
10,588
10,623
15,135
15,217
10,588
10,623
Total$14,446
$14,508
$11,101
$11,137
$16,316
$16,400
$11,101
$11,137
Total debt securities held-to-maturity$50,175
$50,523
$45,667
$45,555
$51,527
$52,030
$45,667
$45,555
(1)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(2)Includes corporate and asset-backed securities.




Evaluating Investments for Other-Than-Temporary Impairment

Overview
The Company conducts periodic reviews of all securities with unrealized losses to evaluate whether the impairment is other-than-temporary.
An unrealized loss exists when the current fair value of an individual security is less than its amortized cost basis. Unrealized losses that are determined to be temporary in nature are recorded, net of tax, in AOCI for AFS securities. Losses related to HTM securities generally are not recorded, as these investments are carried at adjusted amortized cost basis. However, for HTM securities with credit-related impairment, the credit loss is recognized in earnings as OTTI and any difference between the cost basis adjusted for the OTTI and fair value is recognized in AOCI and amortized as an adjustment of yield over the remaining contractual life of the security. For securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any impairment recognized in earnings.
Regardless of the classification of the securities as AFS or HTM, the Company assesses each position with an unrealized loss for OTTI. Factors considered in determining whether a loss is temporary include:

the length of time and the extent to which fair value has been below cost;
the severity of the impairment;
the cause of the impairment and the financial condition and near-term prospects of the issuer;
activity in the market of the issuer that may indicate adverse credit conditions; and
the Company’s ability and intent to hold the investment for a period of time sufficient to allow for any anticipated recovery.

The Company’s review for impairment generally entails:

identification and evaluation of impaired investments;
analysis of individual investments that have fair values less than amortized cost, including consideration of the length of time the investment has been in an unrealized loss position and the expected recovery period;
consideration of evidential matter, including an evaluation of factors or triggers that could cause individual investments to qualify as having other-than-temporary impairment and those that would not support other-than-temporary impairment; and
documentation of the results of these analyses, as required under business policies.

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

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

the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;
the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and
the length of time and extent to which fair value has been less than the carrying value.


The sections below describe the Company’s process for identifying credit-related impairments for security types that have the most significant unrealized losses as of JuneSeptember 30, 2017.

Mortgage-Backed Securities
For U.S. mortgage-backed securities (and in particular for Alt-A and other mortgage-backed securities that have significant unrealized losses as a percentage of amortized cost), credit impairment is assessed using a cash flow model that estimates the principal and interest cash flows on the underlying mortgages using the security-specific collateral and transaction structure. The model distributes the estimated cash flows to the various tranches of securities, considering the transaction structure and any subordination and credit enhancements that exist in that structure. The cash flow model incorporates actual cash flows on the mortgage-backed securities through the current period and then estimates the remaining cash flows using a number of assumptions, including default rates, prepayment rates, recovery rates (on foreclosed properties) and loss severity rates (on non-agency mortgage-backed securities).
Management develops specific assumptions using market data, internal estimates and estimates published by rating agencies and other third-party sources. Default rates are projected by considering current underlying mortgage loan performance, generally assuming the default of (i) 10% of current loans, (ii) 25% of 30–59 day delinquent loans, (iii) 70% of 60–90 day delinquent loans and (iv) 100% of 91+ day delinquent loans. These estimates are extrapolated along a default timing curve to estimate the total lifetime pool default
rate. Other assumptions contemplate the actual collateral
attributes, including geographic concentrations, rating actions and current market prices.
Cash flow projections are developed using different stress test scenarios. Management evaluates the results of those stress tests (including the severity of any cash shortfall indicated and the likelihood of the stress scenarios actually occurring based on the underlying pool’s characteristics and performance) to assess whether management expects to recover the amortized cost basis of the security. If cash flow projections indicate that the Company does not expect to recover its amortized cost basis, the Company recognizes the estimated credit loss in earnings.

State and Municipal Securities
The process for identifying credit impairments in Citigroup’s AFS and HTM state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings.  Citigroup monitors the bond issuers and any insurers providing default protection in the form of financial guarantee insurance.  The average external credit rating, ignoring any insurance, is Aa3/AA-.  In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.
For state and municipal bonds with unrealized losses that Citigroup plans to sell, or would be more-likely-than-not required to sell, the full impairment is recognized in earnings.

Recognition and Measurement of OTTI
The following tables present total OTTI recognized in earnings:
OTTI on Investments and Other assetsThree Months Ended   June 30, 2017Six Months Ended     June 30, 2017Three Months Ended 
 September 30, 2017		Nine Months Ended  
  September 30, 2017
In millions of dollars
AFS(1)
HTMOther
assets		Total
AFS(1)(2)
HTM
Other
Assets
Total
AFS(1)
HTMOther
assets		Total
AFS(1)
HTM
Other
Assets
Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:            
Total OTTI losses recognized during the period$—
$—
$—
$—
$—
$—
$—
$—
$2
$—
$—
$2
$2
$—
$—
$2
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
$—
$—
$—
$—
$2
$—
$—
$2
$2
$—
$—
$2
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise20
—
—
20
31
1
—
32
12
1
—
13
43
2
—
45
Total impairment losses recognized in earnings$20
$—
$—
$20
$31
$1
$—
$32
$14
$1
$—
$15
$45
$2
$—
$47
(1)Includes OTTI on non-marketable equity securities.




OTTI on Investments and Other assetsThree months ended    June 30, 2016Six Months Ended    June 30, 2016Three months ended 
  September 30, 2016		Nine Months Ended 
  September 30, 2016
In millions of dollars
AFS(1)
HTMOther
assets		Total
AFS(1)(2)
HTM
Other
assets(3)
Total
AFS(1)
HTMOther
assets		Total
AFS(1)(2)
HTM
Other
assets(3)
Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:            
Total OTTI losses recognized during the period$2
$1
$—
$3
$3
$1
$—
$4
$—
$—
$—
$—
$3
$1
$—
$4
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$2
$1
$—
$3
$3
$1
$—
$4
$—
$—
$—
$—
$3
$1
$—
$4
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses28
17
70
115
223
24
332
579
20
12
—
32
243
36
332
611
Total impairment losses recognized in earnings$30
$18
$70
$118
$226
$25
$332
$583
$20
$12
$—
$32
$246
$37
$332
$615

(1)Includes OTTI on non-marketable equity securities.
(2)Includes a $160 million impairment related to AFS securities affected by changes in the Venezuela exchange rate during the sixnine months ended JuneSeptember 30, 2016.
(3)The impairment charge is related to the carrying value of an equity investment.

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

Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsMar. 31, 2017 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Reductions due to
credit-impaired
securities sold,
transferred or
matured		June 30, 2017 balanceJun. 30, 2017 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, 2017 balance
AFS debt securities      
Mortgage-backed securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal4
—
—
—
4
4
—
—
—
4
Foreign government securities—
—
—
—
—
—
—
—
—
—
Corporate4
—
—
—
4
4
—
—
—
4
All other debt securities22
—
—
(22)—
—
—
2
—
2
Total OTTI credit losses recognized for AFS debt securities$30
$—
$—
$(22)$8
$8
$—
$2
$—
$10
HTM debt securities        
Mortgage-backed securities(1)
$97
$—
$—
$—
$97
$97
$—
$—
$—
$97
State and municipal3
—
—
—
3
3
—
—
—
3
Total OTTI credit losses recognized for HTM debt securities$100
$—
$—
$—
$100
$100
$—
$—
$—
$100
(1)Primarily consists of Alt-A securities.



Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsMar. 31, 2016 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Reductions due to
credit-impaired
securities sold,
transferred or
matured		June 30, 2016 balanceJun. 30, 2016 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Reductions due to
credit-impaired
securities sold,
transferred or
matured		September 30, 2016 balance
AFS debt securities      
Mortgage-backed securities$—
$1
$—
$(1)$—
$—
$—
$—
$—
$—
State and municipal4
—
—
—
4
4
—
—
—
4
Foreign government securities5
—
—
—
5
5
—
—
(5)—
Corporate7
—
2
(2)7
7
—
—
(1)6
All other debt securities43
—
—
—
43
43
—
—
(20)23
Total OTTI credit losses recognized for AFS debt securities$59
$1
$2
$(3)$59
$59
$—
$—
$(26)$33
HTM debt securities        
Mortgage-backed securities(1)
$132
$—
$—
$(24)$108
$108
$—
$—
$(2)$106
State and municipal4
1
—
(1)4
4
—
—
—
4
Total OTTI credit losses recognized for HTM debt securities$136
$1
$—
$(25)$112
$112
$—
$—
$(2)$110
(1)Primarily consists of Alt-A securities.

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

Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsDec. 31, 2016 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Reductions due to
credit-impaired
securities sold,
transferred or
matured		June 30, 2017 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		September 30, 2017 balance
AFS debt securities      
Mortgage-backed securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal4
—
—
—
4
4
—
—
—
4
Foreign government securities—
—
—
—
—
—
—
—
—
—
Corporate5
—
—
(1)4
5
—
—
(1)4
All other debt securities22
—
—
(22)—
22
—
2
(22)2
Total OTTI credit losses recognized for AFS debt securities$31
$—
$—
$(23)$8
$31
$—
$2
$(23)$10
HTM debt securities        
Mortgage-backed securities(1)
$101
$—
$—
$(4)$97
$101
$—
$—
$(4)$97
State and municipal3
—
—
—
3
3
—
—
—
3
Total OTTI credit losses recognized for HTM debt securities$104
$—
$—
$(4)$100
$104
$—
$—
$(4)$100
(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, 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		Jun. 30, 2016 balanceDec. 31, 2015 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Reductions due to
credit-impaired
securities sold,
transferred or
matured		September 30, 2016 balance
AFS debt securities      
Mortgage-backed securities$—
$1
$—
$(1)$—
$—
$1
$—
$(1)$—
State and municipal12
—
—
(8)4
12
—
—
(8)4
Foreign government securities5
—
—
—
5
5
—
—
(5)—
Corporate9
1
—
(3)7
9
1
2
(6)6
All other debt securities47
—
—
(4)43
47
—
—
(24)23
Total OTTI credit losses recognized for AFS debt securities$73
$2
$—
$(16)$59
$73
$2
$2
$(44)$33
HTM debt securities        
Mortgage-backed securities(1)
$132
$—
$—
$(24)$108
$132
$—
$—
$(26)$106
State and municipal4
1
—
(1)4
4
1
—
(1)4
Total OTTI credit losses recognized for HTM debt securities$136
$1
$—
$(25)$112
$136
$1
$—
$(27)$110
(1)Primarily consists of Alt-A securities.

Investments in Alternative Investment Funds That Calculate Net Asset Value
The Company holds investments in certain alternative investment funds that calculate net asset value (NAV), or its equivalent, including hedge funds, private equity funds, funds of funds and real estate funds, as provided by third-party asset managers. Investments in such funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV of the Company’s ownership interest in the funds. Some of these investments are in “covered funds” for purposes of the Volcker
 
Rule, which prohibits certain proprietary investment activities and limits the ownership of, and relationships with, covered funds. On April 21, 2017, Citi’s request for extension of the permitted holding period under the Volcker Rule for certain of its investments in illiquid funds was approved, allowing the Company to hold such investments until the 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 dollarsJune 30,
2017		December 31, 2016June 30,
2017		December 31, 2016 September 30,
2017		December 31, 2016September 30,
2017		December 31, 2016 
Hedge funds$1
$4
$—
$—
Generally quarterly10–95 days$2
$4
$—
$—
Generally quarterly10–95 days
Private equity funds(1)(2)
374
348
82
82
—369
348
82
82
—
Real estate funds (2)(3)
41
56
21
20
—34
56
23
20
—
Total$416
$408
$103
$102
—$405
$408
$105
$102
—
(1)Private equity funds include funds that invest in infrastructure, emerging markets and venture capital.
(2)With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.
(3)Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.


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 14 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.

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

In millions of dollarsJune 30, 2017December 31, 2016September 30, 2017December 31, 2016
In U.S. offices  
Mortgage and real estate(1)
$69,022
$72,957
$67,131
$72,957
Installment, revolving credit and other3,190
3,395
3,191
3,395
Cards130,181
132,654
131,476
132,654
Commercial and industrial7,404
7,159
7,619
7,159
$209,797
$216,165
$209,417
$216,165
In offices outside the U.S.    
Mortgage and real estate(1)
$43,821
$42,803
$43,723
$42,803
Installment, revolving credit and other26,480
24,887
26,153
24,887
Cards25,376
23,783
25,443
23,783
Commercial and industrial18,956
16,568
20,015
16,568
Lease financing81
81
77
81
$114,714
$108,122
$115,411
$108,122
Total consumer loans$324,511
$324,287
$324,828
$324,287
Net unearned income$750
$776
$748
776
Consumer loans, net of unearned income$325,261
$325,063
$325,576
$325,063

(1)Loans secured primarily by real estate.

The Company sold and/or reclassified to held-for-sale $0.6$0.4 billion and $2.8$3.2 billion, $2.1$1.3 billion and $4.7$6.0 billion of consumer loans during the three and sixnine months ended JuneSeptember 30, 2017 and 2016, respectively.

 










Consumer Loan Delinquency and Non-Accrual Details at JuneSeptember 30, 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)
$49,255
$438
$260
$1,301
$51,254
$654
$1,035
$48,090
$563
$286
$1,279
$50,218
$724
$985
Home equity loans(6)(7)
15,862
213
373
—
16,448
796
—
15,004
223
362
—
15,589
766
—
Credit cards128,173
1,349
1,352
—
130,874
—
1,352
129,261
1,541
1,440
—
132,242
—
1,440
Installment and other3,475
42
14
—
3,531
19
—
3,456
42
15
—
3,513
21
—
Commercial banking9,149
8
46
—
9,203
285
11
9,294
38
52
—
9,384
210
11
Total$205,914
$2,050
$2,045
$1,301
$211,310
$1,754
$2,398
$205,105
$2,407
$2,155
$1,279
$210,946
$1,721
$2,436
In offices outside North America      
Residential first mortgages(5)
$36,813
$227
$157
$—
$37,197
$412
$—
$36,796
$225
$153
$—
$37,174
$400
$—
Credit cards23,985
418
370
—
24,773
313
254
24,109
433
366
—
24,908
322
251
Installment and other24,760
281
128
—
25,169
165
—
25,207
283
124
—
25,614
164
—
Commercial banking26,650
76
84
—
26,810
204
—
26,788
58
86
—
26,932
176
—
Total$112,208
$1,002
$739
$—
$113,949
$1,094
$254
$112,900
$999
$729
$—
$114,628
$1,062
$251
Total GCB and Corporate/Other consumer
$318,122
$3,052
$2,784
$1,301
$325,259
$2,848
$2,652
$318,005
$3,406
$2,884
$1,279
$325,574
$2,783
$2,687
Other(8)
2
—
—
—
2
—
—
2
—
—
—
2
—
—
Total Citigroup$318,124
$3,052
$2,784
$1,301
$325,261
$2,848
$2,652
$318,007
$3,406
$2,884
$1,279
$325,576
$2,783
$2,687
(1)Loans less than 30 days past due are presented as current.
(2)Includes $27 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 $1.0 billion.
(5)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(6)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(7)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(8)
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in 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 banking8,876
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 banking23,054
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.
(8)
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Corporate/Other consumer credit metrics.

Consumer Credit Scores (FICO)
The following tables provide details on the FICO scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables (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)
June 30, 2017September 30, 2017
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$2,392
$2,195
$43,056
$2,275
$2,053
$42,682
Home equity loans1,542
1,248
13,263
1,432
1,166
12,622
Credit cards8,227
11,120
108,311
8,699
11,325
108,809
Installment and other261
253
2,448
270
252
2,414
Total$12,422
$14,816
$167,078
$12,676
$14,796
$166,527
 

FICO score distribution in U.S. portfolio(1)(2)
December 31, 2016

In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$2,744
$2,422
$44,279
Home equity loans1,750
1,418
14,743
Credit cards8,310
11,320
110,522
Installment and other284
271
2,601
Total$13,088
$15,431
$172,145
(1)Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (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 for Citi’s U.S. consumer mortgage portfolios. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.
LTV distribution in U.S. portfolio(1)(2)
June 30, 2017September 30, 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$44,740
$2,820
$262
$44,253
$2,658
$262
Home equity loans12,177
2,856
937
11,808
2,397
928
Total$56,917
$5,676
$1,199
$56,061
$5,055
$1,190
LTV distribution in U.S. portfolio(1)(2)
December 31, 2016
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$45,849
$3,467
$324
Home equity loans12,869
3,653
1,305
Total$58,718
$7,120
$1,629
(1)Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where LTV was not available. Such amounts are not material.



Impaired Consumer Loans

The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
 Three Months Ended   June 30,Six Months Ended June 30, Three Months Ended 
 September 30,		Nine Months Ended September 30,
Balance at June 30, 20172017201620172016Balance at September 30, 20172017201620172016
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value (4)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value (4)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Mortgage and real estate          
Residential first mortgages$3,174
$3,468
$341
$3,727
$32
$43
$68
$104
$2,938
$3,161
$289
$3,383
$29
$31
$97
$135
Home equity loans1,183
1,666
235
1,253
7
9
15
18
1,169
1,636
219
1,217
7
8
21
26
Credit cards1,782
1,816
570
1,796
36
39
73
80
1,819
1,852
603
1,793
37
42
110
122
Installment and other           
Individual installment and other410
431
180
434
5
7
13
14
429
456
177
421
5
8
18
22
Commercial banking473
700
115
521
8
2
14
4
402
657
49
474
4
7
18
11
Total$7,022
$8,081
$1,441
$7,731
$88
$100
$183
$220
$6,757
$7,762
$1,337
$7,288
$82
$96
$264
$316
(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)$648622 million of residential first mortgages, $382$376 million of home equity loans and $83$88 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, 2016
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Mortgage and real estate    
Residential first mortgages$3,786
$4,157
$540
$4,632
Home equity loans1,298
1,824
189
1,326
Credit cards1,747
1,781
566
1,831
Installment and other    
Individual installment and other455
481
215
475
Commercial banking513
744
98
538
Total$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)$740 million of residential first mortgages, $406 million of home equity loans and $97 million of commercial market loans do not have a specific allowance.
(3)
Included in the Allowance for loan losses.
(4)Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.





Consumer Troubled Debt Restructurings
At and for the three months ended June 30, 2017At and for the three months ended September 30, 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		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 mortgages806
$116
$1
$—
$1
1%1,400
$199
$1
$—
$—
—%
Home equity loans677
58
5
—
—
2
830
70
5
—
—
1
Credit cards53,080
203
—
—
—
17
59,285
225
—
—
—
17
Installment and other revolving250
2
—
—
—
5
299
2
—
—
—
6
Commercial banking(6)
30
43
—
—
—
—
33
59
—
—
—
—
Total(8)
54,843
$422
$6
$—
$1


61,847
$555
$6
$—
$—


International      
Residential first mortgages755
$28
$—
$—
$—
—%703
$25
$—
$—
$—
—%
Credit cards28,551
98
—
—
2
12
28,254
103
—
—
2
11
Installment and other revolving11,622
64
—
—
2
9
11,725
70
—
—
3
11
Commercial banking(6)
53
6
—
—
—
—
97
11
—
—
—
—
Total(8)
40,981
$196
$—
$—
$4


40,779
$209
$—
$—
$5


At and for the three months ended June 30, 2016At and for the three months ended September 30, 2016
In millions of dollars except number of loans 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 mortgages1,346
$205
$1
$—
$1
1%1,165
$165
$1
$—
$1
1%
Home equity loans814
30
—
—
—
3
1,117
61
—
—
—
2
Credit cards42,792
164
—
—
—
17
51,260
199
—
—
—
18
Installment and other revolving1,381
12
—
—
—
14
1,421
12
—
—
—
14
Commercial banking(6)
41
6
—
—
—
—
30
36
—
—
—
—
Total(8)
46,374
$417
$1
$—
$1
 
54,993
$473
$1
$—
$1
 
International      
Residential first mortgages613
$23
$—
$—
$—
1%973
$24
$—
$—
$—
—%
Credit cards28,628
90
—
—
2
12
28,530
94
—
—
2
12
Installment and other revolving11,198
58
—
—
2
7
12,283
69
—
—
2
8
Commercial banking(6)
42
20
—
—
—
—
44
39
—
—
—
—
Total(8)
40,481
$191
$—
$—
$4
 
41,830
$226
$—
$—
$4
 

(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $15$12 million of residential first mortgages and $5 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended JuneSeptember 30, 2017. These amounts include $11$7 million of residential first mortgages and $4$5 million of home equity loans that were newly classified as TDRs in the three months ended JuneSeptember 30, 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 $21$17 million of residential first mortgages and $4$5 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended JuneSeptember 30, 2016. These amounts include $13$11 million of residential first mortgages and $4$5 million of home equity loans that were newly classified as TDRs in the three months ended JuneSeptember 30, 2016, based on previously received OCC guidance.
(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.



At and for the six months ended June 30, 2017At and for the nine months ended September 30, 2017
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
Number of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages1,772
$246
$4
$—
$1
1 %3,172
$445
$5
$—
$2
1%
Home equity loans1,356
114
8
—
—
1
2,186
185
13
—
—
1
Credit cards112,417
433
—
—
—
17
171,702
659
—
—
—
17
Installment and other revolving471
4
—
—
—
5
770
6
—
—
—
5
Commercial banking(6)
56
48
—
—
—
—
89
107
—
—
—
—
Total(8)
116,072
$845
$12
$—
$1


177,919
$1,402
$18
$—
$2


International      
Residential first mortgages1,368
$54
$—
$—
$—
— %2,071
$80
$—
$—
$—
—%
Credit cards53,788
183
—
—
4
13
82,042
286
—
—
6
12
Installment and other revolving22,929
124
—
—
6
7
34,654
194
—
—
9
9
Commercial banking(6)
85
19
—
—
—
(1)182
30
—
—
—
—
Total(8)
78,170
$380
$—
$—
$10


118,949
$590
$—
$—
$15


At and for the six months ended June 30, 2016At and for the nine months ended September 30, 2016
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(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 mortgages2,814
$417
$3
$—
$2
1%3,979
$582
$4
$—
$3
1%
Home equity loans1,672
60
—
—
—
3
2,789
121
1
—
—
2
Credit cards91,901
353
—
—
—
17
143,161
552
—
—
—
17
Installment and other revolving2,766
24
—
—
—
14
4,187
35
—
—
—
14
Commercial banking(6)
64
11
—
—
—
—
94
47
—
—
—
—
Total(8)
99,217
$865
$3
$—
$2
 154,210
$1,337
$5
$—
$3
 
International      
Residential first mortgages1,032
$38
$—
$—
$—
1%2,005
$62
$—
$—
$—
—%
Credit cards80,835
213
—
—
4
12
109,365
307
—
—
7
12
Installment and other revolving32,842
140
—
—
4
7
45,125
208
—
—
6
7
Commercial banking(6)
73
52
—
—
—
—
117
90
—
—
—
—
Total(8)
114,782
$443
$—
$—
$8
 156,612
$667
$—
$—
$13
 

(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $30$42 million of residential first mortgages and $11$16 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the sixnine months ended JuneSeptember 30, 2017. These amounts include $21$28 million of residential first mortgages and $10$14 million of home equity loans that were newly classified as TDRs in the sixnine months ended JuneSeptember 30, 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 $41$58 million of residential first mortgages and $10$15 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the sixnine months ended JuneSeptember 30, 2016. These amounts include $26$38 million of residential first mortgages and $9$14 million of home equity loans that were newly classified as TDRs in the sixnine months ended JuneSeptember 30, 2016, based on previously received OCC guidance.
(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.



The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20172016201720162017201620172016
North America   
Residential first mortgages$48
$52
$99
$139
$57
$49
$156
$188
Home equity loans8
6
17
14
8
6
25
20
Credit cards57
46
109
95
54
43
163
139
Installment and other revolving1
2
1
4
1
3
2
7
Commercial banking1
1
2
2
—
12
2
14
Total$115
$107
$228
$254
$120
$113
$348
$368
International  
Residential first mortgages$3
$3
$5
$6
$3
$3
$8
$9
Credit cards46
37
88
73
48
41
136
115
Installment and other revolving23
24
46
47
25
24
71
70
Commercial banking—
6
—
15
—
21
—
36
Total$72
$70
$139
$141
$76
$89
$215
$230
Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information by corporate loan type:
In millions of dollarsJune 30,
2017		December 31,
2016		September 30,
2017		December 31,
2016
In U.S. offices  
Commercial and industrial$50,341
$49,586
$51,679
$49,586
Financial institutions36,953
35,517
37,203
35,517
Mortgage and real estate(1)
42,041
38,691
43,274
38,691
Installment, revolving credit and other31,611
34,501
32,464
34,501
Lease financing1,467
1,518
1,493
1,518
$162,413
$159,813
$166,113
$159,813
In offices outside the U.S.    
Commercial and industrial$91,131
$81,882
$93,107
$81,882
Financial institutions34,844
26,886
33,050
26,886
Mortgage and real estate(1)
6,783
5,363
6,383
5,363
Installment, revolving credit and other19,200
19,965
23,830
19,965
Lease financing234
251
216
251
Governments and official institutions5,518
5,850
5,628
5,850
$157,710
$140,197
$162,214
$140,197
Total corporate loans$320,123
$300,010
$328,327
$300,010
Net unearned income$(689)$(704)$(720)$(704)
Corporate loans, net of unearned income$319,434
$299,306
$327,607
$299,306
(1)Loans secured primarily by real estate.
 

The Company sold and/or reclassified to held-for-sale $0$0.1 billion and $0.5$0.6 billion of corporate loans during the three and sixnine months ended JuneSeptember 30, 2017, respectively, and $0.8$1.3 billion and $1.3$2.6 billion during the three and sixnine months ended JuneSeptember 30, 2016, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and sixnine months ended JuneSeptember 30, 2017 or 2016.




Corporate Loan Delinquency and Non-Accrual Details at JuneSeptember 30, 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$233
$78
$311
$1,521
$136,229
$138,061
$208
$58
$266
$1,468
$139,508
$141,242
Financial institutions438
39
477
232
70,355
71,064
348
1
349
224
69,232
69,805
Mortgage and real estate146
12
158
186
48,462
48,806
280
9
289
169
49,176
49,634
Leases59
8
67
63
1,571
1,701
31
18
49
60
1,590
1,699
Other87
15
102
96
55,415
55,613
402
30
432
133
60,381
60,946
Loans at fair value









4,189










4,281
Purchased distressed loans









—










—
Total$963
$152
$1,115
$2,098
$312,032
$319,434
$1,269
$116
$1,385
$2,054
$319,887
$327,607

Corporate Loan Delinquency and Non-Accrual Details at December 31, 2016
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans (4)
Commercial and industrial$143
$52
$195
$1,909
$127,012
$129,116
Financial institutions119
2
121
185
61,254
61,560
Mortgage and real estate148
137
285
139
43,607
44,031
Leases27
8
35
56
1,678
1,769
Other349
12
361
132
58,880
59,373
Loans at fair value









3,457
Purchased distressed loans









—
Total$786
$211
$997
$2,421
$292,431
$299,306
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Non-accrual loans generally include those loans that are ≥ 90 days past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful.
(3)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 dollarsJune 30,
2017		December 31,
2016		September 30,
2017		December 31,
2016
Investment grade(2)
  
Commercial and industrial$94,073
$85,369
$100,024
$87,201
Financial institutions56,572
49,915
58,666
50,597
Mortgage and real estate22,413
18,718
22,102
18,718
Leases1,104
1,303
1,117
1,303
Other48,691
51,930
55,231
52,828
Total investment grade$222,853
$207,235
$237,140
$210,647
Non-investment grade(2)
  
Accrual  
Commercial and industrial$42,463
$41,838
$39,750
$39,874
Financial institutions14,260
11,459
10,916
10,873
Mortgage and real estate1,952
1,821
2,256
1,821
Leases534
410
522
410
Other6,827
7,312
5,580
6,450
Non-accrual  
Commercial and industrial1,521
1,909
1,468
1,909
Financial institutions232
185
224
185
Mortgage and real estate186
139
169
139
Leases63
56
60
56
Other96
132
133
132
Total non-investment grade$68,134
$65,261
$61,078
$61,849
Non-rated private bank loans managed on a delinquency basis(2)
$24,258
$23,353
$25,108
$23,353
Loans at fair value4,189
3,457
4,281
3,457
Corporate loans, net of unearned income$319,434
$299,306
$327,607
$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 loan type and interest income recognized on non-accrual corporate loans:
June 30, 2017Three Months Ended   June 30, 2017Six Months Ended   June 30, 2017September 30, 2017Three Months Ended 
 September 30, 2017		Nine Months Ended 
 September 30, 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)
Interest income recognized(3)
Non-accrual corporate loans        
Commercial and industrial$1,521
$1,739
$300
$1,766
$8
$10
$1,468
$1,682
$336
$1,648
$10
$20
Financial institutions232
238
36
227
—
—
224
340
27
236
—
—
Mortgage and real estate186
304
9
169
9
9
169
293
9
169
—
9
Lease financing63
63
4
61
—
—
60
60
4
62
—
—
Other96
248
5
96
—
—
133
240
1
115
1
1
Total non-accrual corporate loans$2,098
$2,592
$354
$2,319
$17
$19
$2,054
$2,615
$377
$2,230
$11
$30
 December 31, 2016
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Non-accrual corporate loans    
Commercial and industrial$1,909
$2,259
$362
$1,919
Financial institutions185
192
16
183
Mortgage and real estate139
250
10
174
Lease financing56
56
4
44
Other132
197
—
87
Total non-accrual corporate loans$2,421
$2,954
$392
$2,407
June 30, 2017December 31, 2016September 30, 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$979
$300
$1,343
$362
$919
$336
$1,343
$362
Financial institutions83
36
45
16
58
27
45
16
Mortgage and real estate39
9
41
10
34
9
41
10
Lease financing50
4
55
4
48
4
55
4
Other4
5
1
—
3
1
1
—
Total non-accrual corporate loans with specific allowance$1,155
$354
$1,485
$392
$1,062
$377
$1,485
$392
Non-accrual corporate loans without specific allowance      
Commercial and industrial$542
 
$566
 
$549
 
$566
 
Financial institutions149
 
140
 
166
 
140
 
Mortgage and real estate147
 
98
 
135
 
98
 
Lease financing13
 
1
 
12
 
1
 
Other92
 
131
 
130
 
131
 
Total non-accrual corporate loans without specific allowance$943
N/A
$936
N/A
$992
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-monthnine-month periods ended JuneSeptember 30, 2016 was $12$10 million and $25$36 million.



Corporate Troubled Debt Restructurings

At and for the three months ended JuneSeptember 30, 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
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$233
$32
$—
$201
$175
$99
$—
$76
Mortgage and real estate3
—
—
3
14
—
—
14
Total$236
$32
$—
$204
$189
$99
$—
$90
At and for the three months ended JuneSeptember 30, 2016:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$105
$73
$32
$—
$112
$103
$2
$7
Financial institutions10
10
—
—
Mortgage and real estate1
—
—
1
2
1
—
1
Other142
—
142
—
Total$248
$73
$174
$1
$124
$114
$2
$8
At and for the sixnine months ended JuneSeptember 30, 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
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$288
$32
$—
$256
$463
$131
$—
$332
Financial institutions15
—
—
15
15
—
—
15
Mortgage and real estate4
—
—
4
18
—
—
18
Total$307
$32
$—
$275
$496
$131
$—
$365
At and for the sixnine months ended JuneSeptember 30, 2016:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$203
$73
$32
$98
$316
$176
$34
$106
Financial institutions10
10
—
—
Mortgage and real estate5
—
—
5
7
1
—
6
Other142
—
142
—
142
—
142
—
Total$350
$73
$174
$103
$475
$187
$176
$112
(1)TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans.  Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(2)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.







The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
In millions of dollarsTDR balances at June 30, 2017
TDR loans in payment default during the three months ended
June 30, 2017
TDR loans in payment default six months ended
June 30, 2017
TDR balances at
June 30, 2016
TDR loans in payment default during the three months ended
June 30, 2016
TDR loans in payment default during the six months ended
June 30, 2016		TDR balances at September 30, 2017
TDR loans in payment default during the three months ended
September 30, 2017
TDR loans in payment default nine months ended September 30, 2017
TDR balances at
September 30, 2016
TDR loans in payment default during the three months ended
September 30, 2016
TDR loans in payment default during the nine months ended
September 30, 2016
Commercial and industrial$591
$3
$12
$323
$7
$7
$686
$—
$12
$394
$—
$7
Loans to financial institutions24
—
3
—
—
—
24
—
3
10
—
—
Mortgage and real estate74
—
—
130
—
—
84
—
—
80
—
—
Other166
—
—
288
—
—
155
—
—
291
—
—
Total(1)
$855
$3
$15
$741
$7
$7
$949
$—
$15
$775
$—
$7

(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 June 30,Six Months Ended   June 30,Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars20172016201720162017201620172016
Allowance for loan losses at beginning of period$12,030
$12,712
$12,060
$12,626
$12,025
$12,304
$12,060
$12,626
Gross credit losses(2,130)(2,048)(4,274)(4,191)(2,120)(1,948)(6,394)(6,139)
Gross recoveries(1)
420
432
855
851
343
423
1,198
1,274
Net credit losses (NCLs)$(1,710)$(1,616)$(3,419)$(3,340)$(1,777)$(1,525)$(5,196)$(4,865)
NCLs$1,710
$1,616
$3,419
$3,340
$1,777
$1,525
$5,196
$4,865
Net reserve builds (releases)67
(90)47
(48)
Net reserve builds419
258
466
210
Net specific reserve releases(111)(136)(125)(16)(50)(37)(175)(53)
Total provision for loan losses$1,666
$1,390
$3,341
$3,276
$2,146
$1,746
$5,487
$5,022
Other, net (see table below)39
(182)43
(258)(28)(86)15
(344)
Allowance for loan losses at end of period$12,025
$12,304
$12,025
$12,304
$12,366
$12,439
$12,366
$12,439
Allowance for credit losses on unfunded lending commitments at beginning of period$1,377
$1,473
$1,418
$1,402
$1,406
$1,432
$1,418
$1,402
Provision (release) for unfunded lending commitments28
(30)(15)41
Release for unfunded lending commitments(175)(45)(190)(4)
Other, net1
(11)3
(11)1
1
4
(10)
Allowance for credit losses on unfunded lending commitments at end of period(2)
$1,406
$1,432
$1,406
$1,432
$1,232
$1,388
$1,232
$1,388
Total allowance for loans, leases and unfunded lending commitments$13,431
$13,736
$13,431
$13,736
$13,598
$13,827
$13,598
$13,827

(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)
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 June 30,Six Months Ended   June 30,Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars20172016201720162017201620172016
Sales or transfers of various consumer loan portfolios to held-for-sale      
Transfer of real estate loan portfolios$(19)$(24)$(56)$(53)$(28)$(50)$(84)$(103)
Transfer of other loan portfolios—
(77)(124)(196)(6)(8)(130)(204)
Sales or transfers of various consumer loan portfolios to held-for-sale$(19)$(101)$(180)$(249)$(34)$(58)$(214)$(307)
FX translation, consumer50
(75)214
(12)7
(46)221
(58)
Other8
(6)9
3
(1)18
8
21
Other, net$39
$(182)$43
$(258)$(28)$(86)$15
$(344)


Allowance for Credit Losses and Investment in Loans
Three Months EndedThree Months Ended
June 30, 2017June 30, 2016September 30, 2017September 30, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,535
$9,495
$12,030
$2,905
$9,807
$12,712
$2,510
$9,515
$12,025
$2,872
$9,432
$12,304
Charge-offs(96)(2,034)(2,130)(157)(1,891)(2,048)(49)(2,071)(2,120)(63)(1,885)(1,948)
Recoveries19
401
420
16
416
432
6
337
343
23
400
423
Replenishment of net charge-offs77
1,633
1,710
141
1,475
1,616
43
1,734
1,777
40
1,485
1,525
Net reserve builds (releases)(4)71
67
(16)(74)(90)(60)479
419
(110)368
258
Net specific reserve releases(27)(84)(111)(11)(125)(136)
Net specific reserve builds (releases)21
(71)(50)(1)(36)(37)
Other6
33
39
(6)(176)(182)3
(31)(28)5
(91)(86)
Ending balance$2,510
$9,515
$12,025
$2,872
$9,432
$12,304
$2,474
$9,892
$12,366
$2,766
$9,673
$12,439




Six Months EndedNine Months Ended
June 30, 2017June 30, 2016September 30, 2017September 30, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,702
$9,358
$12,060
$2,791
$9,835
$12,626
$2,702
$9,358
$12,060
$2,791
$9,835
$12,626
Charge-offs(199)(4,075)(4,274)(381)(3,810)(4,191)(248)(6,146)(6,394)(445)(5,694)(6,139)
Recoveries85
770
855
30
821
851
91
1,107
1,198
52
1,222
1,274
Replenishment of net charge-offs114
3,305
3,419
351
2,989
3,340
157
5,039
5,196
393
4,472
4,865
Net reserve builds (releases)(170)217
47
(12)(36)(48)(230)696
466
(122)332
210
Net specific reserve builds (releases)(39)(86)(125)90
(106)(16)(18)(157)(175)89
(142)(53)
Other17
26
43
3
(261)(258)20
(5)15
8
(352)(344)
Ending balance$2,510
$9,515
$12,025
$2,872
$9,432
$12,304
$2,474
$9,892
$12,366
$2,766
$9,673
$12,439

June 30, 2017December 31, 2016September 30, 2017December 31, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
    
 
 
   
Collectively evaluated in accordance with ASC 450$2,156
$8,069
$10,225
$2,310
$7,744
$10,054
$2,098
$8,550
$10,648
$2,310
$7,744
$10,054
Individually evaluated in accordance with ASC 310-10-35354
1,441
1,795
392
1,608
2,000
376
1,337
1,713
392
1,608
2,000
Purchased credit-impaired in accordance with ASC 310-30—
5
5
—
6
6
—
5
5
—
6
6
Total allowance for loan losses$2,510
$9,515
$12,025
$2,702
$9,358
$12,060
$2,474
$9,892
$12,366
$2,702
$9,358
$12,060
Loans, net of unearned income     

     

Collectively evaluated in accordance with ASC 450$313,092
$318,029
$631,121
$293,294
$317,048
$610,342
$321,239
$318,615
$639,854
$293,294
$317,048
$610,342
Individually evaluated in accordance with ASC 310-10-352,153
7,022
9,175
2,555
7,799
10,354
2,087
6,757
8,844
2,555
7,799
10,354
Purchased credit-impaired in accordance with ASC 310-30—
183
183
—
187
187
—
177
177
—
187
187
Held at fair value4,189
27
4,216
3,457
29
3,486
4,281
27
4,308
3,457
29
3,486
Total loans, net of unearned income$319,434
$325,261
$644,695
$299,306
$325,063
$624,369
$327,607
$325,576
$653,183
$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 16 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.

Goodwill
The changes in Goodwill were as follows:
In millions of dollars  
Balance, December 31, 2016$21,659
$21,659
Foreign exchange translation and other$634
$634
Impairment of goodwill(1)(28)(28)
Balance at March 31, 2017$22,265
$22,265
Foreign exchange translation and other$156
$156
Impairment of goodwill—
—
Divestitures (1)(2)
(72)(72)
Balance at June 30, 2017$22,349
$22,349
Foreign exchange translation and other

$(4)
Balance at September 30, 2017$22,345

(1)
Full impairment of the allocated goodwill related to the transferred mortgage servicing business upon transfer from North America GCB to Citi Holdings—REL effective January 1, 2017.
(2)Goodwill allocated to the sale of the Fixed Income Analytics and Index businesses.businesses classified as held-for-sale during the second quarter of 2017. The sale was completed during the third quarter of 2017. See Note 2 to the Consolidated Financial Statements.
 
Citi performs its annual impairment test every third quarterFor additional information on transfer of goodwill and between annual tests (referred to as interim tests) if there are certain triggering events. Resultsresults of interim testing performed during the first half of 2017, are summarized below.see Note 15 in Citi’s Second Quarter of 2017 Form 10-Q.
Effective JanuaryThe Company performed its annual goodwill impairment test as of July 1, 2017,2017. The fair values of the mortgage servicing business inCompany’s reporting units exceeded their carrying values and did not indicate a risk of impairment, except for NorthCiti Holdings—Consumer Latin America GCB was reorganized and is now reported as part of Corporate/Other. Goodwill was allocated to the transferred business based on its relative fair value to the legacy North America GCB reporting unit. An interim test was performed under both the legacy and new reporting structures, which resulted in full 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, due to prior period indications that the fair value of the Citi Holdings—Consumer Latin America reporting unit only marginally exceeded its carrying value, updated interim tests were performed during the first and second quarters of 2017, with a minimal change in results.value. 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 JuneSeptember 30, 2017 was 103%.
There were no other triggering events identified during the secondthird quarter of 2017. The fair values of all other reporting units with goodwill balances exceeded their carrying values and did not indicate a risk of impairment based on the most recent valuations.







The following table shows reporting units with goodwill balances as of JuneSeptember 30, 2017 and the fair value as a percentage of allocated book value as of the latest2017 annual goodwill impairment test(1):test:

In millions of dollars    
Reporting unitGoodwillFair value as a % of allocated book valueGoodwillFair value as a % of allocated book value
North America Global Consumer Banking$6,732
148%$6,732
157%
Asia Global Consumer Banking
4,900
157
4,893
143
Latin America Global Consumer Banking1,178
180
1,174
191
ICG—Banking
2,998
194
2,986
268
ICG—Markets and Securities Services
6,525
115
6,544
132
Citi Holdings—Consumer Latin America(2)(1)
16
103
16
103
Total as of June 30, 2017$22,349


Total as of September 30, 2017$22,345



(1)
As of July 1, 2016 for all reporting units, except for Citi Holdings—Consumer Latin America which is as of June 30, 2017.
(2)
All Citi Holdings reporting units are presented in the Corporate/Other segment beginning in the first quarter of 2017.










Intangible Assets
The components of intangible assets were as follows:
June 30, 2017December 31, 2016September 30, 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$5,376
$3,757
$1,619
$8,215
$6,549
$1,666
$5,377
$3,798
$1,579
$8,215
$6,549
$1,666
Credit card contract related intangibles(1)
5,043
2,258
2,785
5,149
2,177
2,972
5,045
2,357
2,688
5,149
2,177
2,972
Core deposit intangibles671
651
20
801
771
30
670
656
14
801
771
30
Other customer relationships464
265
199
474
272
202
462
269
193
474
272
202
Present value of future profits35
31
4
31
27
4
35
31
4
31
27
4
Indefinite-lived intangible assets235
—
235
210
—
210
232
—
232
210
—
210
Other150
125
25
504
474
30
113
91
22
504
474
30
Intangible assets (excluding MSRs)$11,974
$7,087
$4,887
$15,384
$10,270
$5,114
$11,934
$7,202
$4,732
$15,384
$10,270
$5,114
Mortgage servicing rights (MSRs)(2)
560
—
560
1,564
—
1,564
553
—
553
1,564
—
1,564
Total intangible assets$12,534
$7,087
$5,447
$16,948
$10,270
$6,678
$12,487
$7,202
$5,285
$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,
2016
Acquisitions/
divestitures
AmortizationFX translation and otherJune 30,
2017		December 31,
2016
Acquisitions/
divestitures
AmortizationFX translation and otherSeptember 30,
2017
Purchased credit card relationships$1,666
$20
$(68)$1
$1,619
$1,666
$20
$(109)$2
$1,579
Credit card contract related intangibles(1)
2,972
9
(196)—
2,785
2,972
9
(295)2
2,688
Core deposit intangibles30
—
(12)2
20
30
—
(18)2
14
Other customer relationships202
—
(12)9
199
202
—
(17)8
193
Present value of future profits4
—
—
—
4
4
—
—
—
4
Indefinite-lived intangible assets210
—
—
25
235
210
—
—
22
232
Other30
(14)(5)14
25
30
(14)(11)17
22
Intangible assets (excluding MSRs)$5,114
$15
$(293)$51
$4,887
$5,114
$15
$(450)$53
$4,732
Mortgage servicing rights (MSRs)(2)
1,564
 560
1,564
 553
Total intangible assets$6,678
 $5,447
$6,678
 $5,285
(1)Primarily reflects contract-related intangibles associated with the American Airlines, Sears, The Home Depot, Costco and AT&T credit card program agreements, which represented 97% of the aggregate net carrying amount at JuneSeptember 30, 2017 and December 31, 2016.
(2)For additional information on Citi’s MSRs, including the rollforward for the sixnine months ended JuneSeptember 30, 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 17 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.

Short-Term Borrowings
In millions of dollarsJune 30,
2017		December 31,
2016		September 30,
2017		December 31,
2016
Commercial paper$9,977
$9,989
$10,033
$9,989
Other borrowings(1)
26,542
20,712
28,116
20,712
Total$36,519
$30,701
$38,149
$30,701

(1)Includes borrowings from Federal Home Loan Banks and other market participants. At JuneSeptember 30, 2017 and December 31, 2016, collateralized short-term advances from the Federal Home Loan Banks were $15.3$16.6 billion and $12.0 billion, respectively.

 

Long-Term Debt
In millions of dollarsJune 30,
2017		December 31, 2016September 30,
2017		December 31, 2016
Citigroup Inc.(1)
$147,257
$147,333
$151,914
$147,333
Bank(2)
60,234
49,454
62,078
49,454
Broker-dealer(3)
17,688
9,391
Broker-dealer and other(3)
18,681
9,391
Total$225,179
$206,178
$232,673
$206,178

(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At JuneSeptember 30, 2017 and December 31, 2016, collateralized long-term advances from the Federal Home Loan Banks were $20.3$19.8 billion and $21.6 billion, respectively.
(3)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.

Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.7 billion at both JuneSeptember 30, 2017 and December 31, 2016.


The following table summarizes Citi’s outstanding trust preferred securities at JuneSeptember 30, 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
3 mo LIBOR + 88.75 bps
50
130
June 28, 2067June 28, 2017June 200799,901
134
3 mo LIBOR + 88.75 bps
50
134
June 28, 2067June 28, 2017
Total obligated  
$2,570
  $2,576
   
$2,574
  $2,580
 

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) (AOCI)
Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:
Three Months Ended JuneSeptember 30, 2017
In millions of dollarsNet
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Accumulated
other
comprehensive income (loss)
Balance, March 31, 2017$(75)$(412)$(562)$(5,176)$(24,188)$(30,413)
Balance, June 30, 2017$(102)$(496)$(445)$(5,311)$(23,545)$(29,899)
Other comprehensive income before reclassifications101
(79)62
(173)643
554
60
(125)(27)(71)218
55
Increase (decrease) due to amounts reclassified from AOCI(128)(5)55
38
—
(40)(126)2
35
42
—
(47)
Change, net of taxes$(27)$(84)$117
$(135)$643
$514
$(66)$(123)$8
$(29)$218
$8
Balance at June 30, 2017$(102)$(496)$(445)$(5,311)$(23,545)$(29,899)
Balance at September 30, 2017$(168)$(619)$(437)$(5,340)$(23,327)$(29,891)
SixNine Months Ended JuneSeptember 30, 2017
In millions of dollarsNet
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2016$(799)$(352)$(560)$(5,164)$(25,506)$(32,381)$(799)$(352)$(560)$(5,164)$(25,506)$(32,381)
Adjustment to opening balance, net of taxes(4)
504
—
—
—
—
504
504
—
—
—
—
504
Adjusted balance, beginning of period$(295)$(352)$(560)$(5,164)$(25,506)$(31,877)$(295)$(352)$(560)$(5,164)$(25,506)$(31,877)
Other comprehensive income before reclassifications435
(134)86
(222)2,108
2,273
495
(259)59
(293)2,326
2,328
Increase (decrease) due to amounts reclassified from AOCI(242)(10)29
75
(147)(295)(368)(8)64
117
(147)(342)
Change, net of taxes
$193
$(144)$115
$(147)$1,961
$1,978
$127
$(267)$123
$(176)$2,179
$1,986
Balance at June 30, 2017$(102)$(496)$(445)$(5,311)$(23,545)$(29,899)
Balance at September 30, 2017$(168)$(619)$(437)$(5,340)$(23,327)$(29,891)


Three Months Ended JuneSeptember 30, 2016
In millions of dollarsNet
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit
plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit
plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Accumulated
other
comprehensive income (loss)
Balance, March 31, 2016$1,127
$178
$(300)$(5,581)$(22,050)$(26,626)
Balance, June 30, 2016$2,054
$190
$(149)$(5,608)$(22,602)$(26,115)
Other comprehensive income before reclassifications1,025
16
115
(66)(552)538
(270)(197)(136)(28)(375)(1,006)
Increase (decrease) due to amounts reclassified from AOCI(98)(4)36
39
—
(27)(162)(3)53
40
—
(72)
Change, net of taxes
$927
$12
$151
$(27)$(552)$511
$(432)$(200)$(83)$12
$(375)$(1,078)
Balance, June 30, 2016$2,054
$190
$(149)$(5,608)$(22,602)$(26,115)
Balance, September 30, 2016$1,622
$(10)$(232)$(5,596)$(22,977)$(27,193)
SixNine Months Ended JuneSeptember 30, 2016
In millions of dollarsNet
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2015$(907)$—
$(617)$(5,116)$(22,704)$(29,344)$(907)$—
$(617)$(5,116)$(22,704)$(29,344)
Adjustment to opening balance, net of taxes (5)
—
(15)—
—
—
(15)—
(15)—
—
—
(15)
Adjusted balance, beginning of period$(907)$(15)$(617)$(5,116)$(22,704)$(29,359)$(907)$(15)$(617)$(5,116)$(22,704)$(29,359)
Other comprehensive income before reclassifications3,051
208
406
(566)102
3,201
2,781
11
270
(594)(273)2,195
Increase (decrease) due to amounts reclassified from AOCI(90)(3)62
74
—
43
(252)(6)115
114
—
(29)
Change, net of taxes$2,961
$205
$468
$(492)$102
$3,244
$2,529
$5
$385
$(480)$(273)$2,166
Balance, June 30, 2016$2,054
$190
$(149)$(5,608)$(22,602)$(26,115)
Balance, September 30, 2016$1,622
$(10)$(232)$(5,596)$(22,977)$(27,193)
(1)Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(2)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s Significant pension and postretirement plans, annual actuarial valuations of all other plans, and amortization of amounts previously recognized in other comprehensive income.
(3)Primarily reflects the movements in (by order of impact) the MexicanEuro, British pound, Chilean peso, Euro, and Polish zloty against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended June 30, 2017. Primarily reflects the movements in (by order of impact) the Japanese yen, euro, and Brazilian real against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended JuneSeptember 30, 2017. Primarily reflects the movements in (by order of impact) the Mexican peso, Euro, Korean won, and Polish zloty against the U.S. dollar, and changes in related tax effects and hedges for the quarter nine months ended September 30, 2017. Primarily reflects the movements in (by order of impact) the Mexican peso, Korean won, Japanese yen, and Australian dollar for the quarter ended September 30, 2016. Primarily reflects the movements in (by order of impact) the Mexican peso, Japanese yen, Brazilian real and Korean won against the U.S. dollar, and changes in related tax effects and hedges for the quarter and nine months ended September 30, 2016.
(4)
In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities.  Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of cumulative fair value hedge adjustments on callable state and municipal debt securities.  For additional information, see Note 1 to the Consolidated Financial Statements.
(5)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.



The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three Months Ended JuneSeptember 30, 2017
In millions of dollarsPretaxTax effectAfter-taxPretaxTax effectAfter-tax
Balance, March 31, 2017$(39,514)$9,101
$(30,413)
Balance, June 30, 2017$(39,106)$9,207
$(29,899)
Change in net unrealized gains (losses) on investment securities(45)18
(27)(107)41
(66)
Debt valuation adjustment (DVA)(132)48
(84)(195)72
(123)
Cash flow hedges185
(68)117
12
(4)8
Benefit plans(219)84
(135)(45)16
(29)
Foreign currency translation adjustment619
24
643
285
(67)218
Change$408
$106
$514
$(50)$58
$8
Balance, June 30, 2017$(39,106)$9,207
$(29,899)
Balance, September 30, 2017$(39,156)$9,265
$(29,891)

SixNine Months Ended JuneSeptember 30, 2017
In millions of dollarsPretaxTax effectAfter-taxPretaxTax effectAfter-tax
Balance, December 31, 2016$(42,035)$9,654
$(32,381)$(42,035)$9,654
$(32,381)
Adjustment to opening balance (1)
803
(299)504
803
(299)504
Adjusted balance, beginning of period$(41,232)$9,355
$(31,877)$(41,232)$9,355
$(31,877)
Change in net unrealized gains (losses) on investment securities301
(108)193
194
(67)127
Debt valuation adjustment (DVA)(227)83
(144)(422)155
(267)
Cash flow hedges186
(71)115
198
(75)123
Benefit plans(221)74
(147)(266)90
(176)
Foreign currency translation adjustment2,087
(126)1,961
2,372
(193)2,179
Change$2,126
$(148)$1,978
$2,076
$(90)$1,986
Balance, June 30, 2017$(39,106)$9,207
$(29,899)
Balance, September 30, 2017$(39,156)$9,265
$(29,891)
(1)
In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities.  Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of cumulative fair value hedge adjustments on callable state and municipal debt securities.  For additional information, see Note 1 to the Consolidated Financial Statements.



Three Months Ended JuneSeptember 30, 2016
In millions of dollarsPretaxTax effectAfter-taxPretaxTax effectAfter-tax
Balance, March 31, 2016$(34,668)$8,042
$(26,626)
Balance, June 30, 2016$(33,714)$7,599
$(26,115)
Change in net unrealized gains (losses) on investment securities1,482
(555)927
(686)254
(432)
Debt valuation adjustment (DVA)20
(8)12
(319)119
(200)
Cash flow hedges257
(106)151
(131)48
(83)
Benefit plans(31)4
(27)11
1
12
Foreign currency translation adjustment(774)222
(552)(313)(62)(375)
Change$954
$(443)$511
$(1,438)$360
$(1,078)
Balance, June 30, 2016$(33,714)$7,599
$(26,115)
Balance, September 30, 2016$(35,152)$7,959
$(27,193)

SixNine Months Ended JuneSeptember 30, 2016
In millions of dollarsPretaxTax effectAfter-taxPretaxTax effectAfter-tax
Balance, December 31, 2015$(38,440)$9,096
$(29,344)$(38,440)$9,096
$(29,344)
Adjustment to opening balance (1)
(26)11
(15)(26)11
(15)
Adjusted balance, beginning of period$(38,466)$9,107
$(29,359)$(38,466)$9,107
$(29,359)
Change in net unrealized gains (losses) on investment securities4,706
(1,745)2,961
4,020
(1,491)2,529
Debt valuation adjustment (DVA)327
(122)205
8
(3)5
Cash flow hedges739
(271)468
607
(222)385
Benefit plans(758)266
(492)(747)267
(480)
Foreign currency translation adjustment(262)364
102
(574)301
(273)
Change$4,752
$(1,508)$3,244
$3,314
$(1,148)$2,166
Balance, June 30, 2016$(33,714)$7,599
$(26,115)
Balance, September 30, 2016$(35,152)$7,959
$(27,193)
(1)Represents the $15($15) million adjustment related to the initial adoption of ASU 2016-01. See Note 1 to the Consolidated Financial Statements.


The Company recognized pretax gain (loss) related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows:
Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of IncomeIncrease (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2017201720172017
Realized (gains) losses on sales of investments$(221)$(413)$(213)$(626)
OTTI gross impairment losses20
32
15
47
Subtotal, pretax$(201)$(381)$(198)$(579)
Tax effect73
139
72
211
Net realized (gains) losses on investment securities, after-tax(1)
$(128)$(242)$(126)$(368)
Realized DVA (gains) losses on fair value option liabilities$(8)$(16)$3
$(13)
Subtotal, pretax$(8)$(16)$3
$(13)
Tax effect3
6
(1)5
Net realized debt valuation adjustment, after-tax$(5)$(10)$2
$(8)
Interest rate contracts$90
$46
$48
$94
Foreign exchange contracts(2)1
7
8
Subtotal, pretax$88
$47
$55
$102
Tax effect(33)(18)(20)(38)
Amortization of cash flow hedges, after-tax(2)
$55
$29
$35
$64
Amortization of unrecognized    
Prior service cost (benefit)$(12)$(22)$(10)$(32)
Net actuarial loss66
133
70
203
Curtailment/settlement impact(3)
7
7
5
12
Subtotal, pretax$61
$118
$65
$183
Tax effect(23)(43)(23)(66)
Amortization of benefit plans, after-tax(3)
$38
$75
$42
$117
Foreign currency translation adjustment$—
$(232)$—
$(232)
Tax effect—
85
—
85
Foreign currency translation adjustment$—
$(147)$—
$(147)
Total amounts reclassified out of AOCI, pretax$(60)$(464)$(75)$(539)
Total tax effect20
169
28
197
Total amounts reclassified out of AOCI, after-tax$(40)$(295)$(47)$(342)
(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 reclassified to the Consolidated Statement of Income as follows:
Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of IncomeIncrease (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2016201620162016
Realized (gains) losses on sales of investments$(200)$(386)$(287)$(673)
OTTI gross impairment losses48
251
32
283
Subtotal, pretax$(152)$(135)$(255)$(390)
Tax effect54
45
93
138
Net realized (gains) losses on investment securities, after-tax(1)
$(98)$(90)$(162)$(252)
Realized DVA (gains) losses on fair value option liabilities$(6)$(5)$(5)$(10)
Subtotal, pretax$(6)$(5)$(5)$(10)
Tax effect$2
$2
$2
$4
Net realized debt valuation adjustment, after-tax$(4)$(3)$(3)$(6)
Interest rate contracts$41
$57
$39
$96
Foreign exchange contracts17
43
46
89
Subtotal, pretax$58
$100
$85
$185
Tax effect(22)(38)(32)(70)
Amortization of cash flow hedges, after-tax(2)
$36
$62
$53
$115
Amortization of unrecognized    
Prior service cost (benefit)$(11)$(21)$(10)$(31)
Net actuarial loss69
135
73
208
Curtailment/settlement impact(3)
3
1
8
9
Subtotal, pretax$61
$115
$71
$186
Tax effect(22)(41)(31)(72)
Amortization of benefit plans, after-tax(3)
$39
$74
$40
$114
Foreign currency translation adjustment$—
$—
$—
$—
Total amounts reclassified out of AOCI, pretax$(39)$75
$(104)$(29)
Total tax effect12
(32)32
—
Total amounts reclassified out of AOCI, after-tax$(27)$43
$(72)$(29)

(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 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 Note 21 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 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 June 30, 2017 As of September 30, 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$51,092
$51,092
$—
$—
$—
$—
$—
$—
$49,739
$49,739
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
    
U.S. agency-sponsored(5)
117,756
—
117,756
2,983
—
—
25
3,008
116,257
—
116,257
2,528
—
—
63
2,591
Non-agency-sponsored23,432
976
22,456
228
38
—
1
267
21,123
932
20,191
280
36
—
1
317
Citi-administered asset-backed commercial paper conduits (ABCP)18,762
18,762
—
—
—
—
—
—
19,298
19,298
—
—
—
—
—
—
Collateralized loan obligations (CLOs)18,464
—
18,464
5,206
—
—
38
5,244
19,182
—
19,182
5,690
—
—
9
5,699
Asset-based financing50,601
689
49,912
15,993
618
4,881
—
21,492
51,393
672
50,721
15,412
599
5,016
—
21,027
Municipal securities tender option bond trusts (TOBs)6,695
2,290
4,405
—
—
2,939
—
2,939
6,777
2,178
4,599
13
—
3,063
—
3,076
Municipal investments18,644
13
18,631
2,572
3,835
2,554
—
8,961
17,830
11
17,819
2,627
3,855
2,345
—
8,827
Client intermediation2,697
929
1,768
1,020
—
484
2
1,506
2,664
1,131
1,533
782
—
491
6
1,279
Investment funds2,158
815
1,343
32
8
15
4
59
2,058
762
1,296
28
8
15
2
53
Other908
36
872
120
9
67
44
240
943
33
910
133
9
38
47
227
Total$311,209
$75,602
$235,607
$28,154
$4,508
$10,940
$114
$43,716
$307,264
$74,756
$232,508
$27,493
$4,507
$10,968
$128
$43,096
 As of December 31, 2016
    
Maximum exposure to loss in significant unconsolidated VIEs(1)
    
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$50,171
$50,171
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
        
U.S. agency-sponsored214,458
—
214,458
3,852
—
—
78
3,930
Non-agency-sponsored15,965
1,092
14,873
312
35
—
1
348
Citi-administered asset-backed commercial paper conduits (ABCP)19,693
19,693
—
—
—
—
—
—
Collateralized loan obligations (CLOs)18,886
—
18,886
5,128
—
—
62
5,190
Asset-based financing53,168
733
52,435
16,553
475
4,915
—
21,943
Municipal securities tender option bond trusts (TOBs)7,070
2,843
4,227
40
—
2,842
—
2,882
Municipal investments17,679
14
17,665
2,441
3,578
2,580
—
8,599
Client intermediation515
371
144
49
—
—
3
52
Investment funds2,788
767
2,021
32
120
27
3
182
Other1,429
607
822
116
11
58
43
228
Total$401,822
$76,291
$325,531
$28,523
$4,219
$10,422
$190
$43,354

(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)Included on Citigroup’s JuneSeptember 30, 2017 and December 31, 2016 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)See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs.


The previous tables do not include:

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 12 and 20 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 $9 billion and $10 billion at JuneSeptember 30, 2017 and December 31, 2016, respectively;
certain representations and warranties exposures in Citigroup residential mortgage securitizations, where the original mortgage loan balances are no longer outstanding; and
VIEs such as trust preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.

 

The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., loan or security) and the Company’s standard accounting policies for the asset type and line of business.
The asset balances for unconsolidated VIEs where the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, unless fair value information is readily available to the Company.
The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company, or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.


Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:
June 30, 2017December 31, 2016September 30, 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$—
$4,881
$5
$4,910
$—
$5,016
$5
$4,910
Municipal securities tender option bond trusts (TOBs)2,939
—
2,842
—
3,063
—
2,842
—
Municipal investments—
2,554
—
2,580
—
2,345
—
2,580
Client intermediation—
484
—
—
—
491
—
—
Investment funds—
15
—
27
—
15
—
27
Other—
67
—
58
—
38
—
58
Total funding commitments$2,939
$8,001
$2,847
$7,575
$3,063
$7,905
$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 dollarsJune 30, 2017December 31, 2016September 30, 2017December 31, 2016
Cash$0.1
$0.1
$0.1
$0.1
Trading account assets8.9
8.0
8.6
8.0
Investments4.6
4.4
4.7
4.4
Total loans, net of allowance18.7
18.8
18.2
18.8
Other0.5
1.5
0.5
1.5
Total assets$32.8
$32.8
$32.1
$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 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 dollarsJune 30, 2017December 31, 2016September 30, 2017December 31, 2016
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$27.5
$22.7
$28.0
$22.7
Retained by Citigroup as trust-issued securities9.0
7.4
9.2
7.4
Retained by Citigroup via non-certificated interests14.5
20.6
12.5
20.6
Total$51.0
$50.7
$49.7
$50.7

The following tables summarize selected cash flow information related to Citigroup’s credit card securitizations:
Three Months Ended June 30,Three Months Ended September 30,
In billions of dollars2017201620172016
Proceeds from new securitizations$5.1
$—
$2.2
$—
Pay down of maturing notes(0.8)(1.3)(1.8)(2.8)
Six Months Ended June 30,Nine Months Ended September 30,
In billions of dollars2017201620172016
Proceeds from new securitizations$7.6
$—
$9.8
$—
Pay down of maturing notes(2.8)(3.5)(4.6)(6.3)

Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 2.8 years as of JuneSeptember 30, 2017 and 2.6 years as of December 31, 2016.

 

In billions of dollarsJune 30, 2017Dec. 31, 2016Sept. 30, 2017Dec. 31, 2016
Term notes issued to third parties$26.5
$21.7
$27.0
$21.7
Term notes retained by Citigroup affiliates7.1
5.5
7.3
5.5
Total Master Trust liabilities$33.6
$27.2
$34.3
$27.2

Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.41.1 years as of JuneSeptember 30, 2017 and 1.9 years as of December 31, 2016.
In billions of dollarsJune 30, 2017Dec. 31, 2016Sept. 30, 2017Dec. 31, 2016
Term notes issued to third parties$1.0
$1.0
$1.0
$1.0
Term notes retained by Citigroup affiliates1.9
1.9
1.9
1.9
Total Omni Trust liabilities$2.9
$2.9
$2.9
$2.9


Mortgage Securitizations
The following table summarizes selected cash flow information related to Citigroup mortgage securitizations:
Three Months Ended June 30,Three Months Ended September 30,
2017201620172016
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
Proceeds from new securitizations$7.0
$1.4
$10.3
$2.3
$11.7
$4.1
$11.7
$1.4
Contractual servicing fees received0.1
—
0.1
—
0.1
—
0.1
—
Six Months Ended June 30,Nine Months Ended September 30,
2017201620172016
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
Proceeds from new securitizations$14.2
$2.8
$20.9
$6.5
$25.9
$6.9
$32.5
$8.0
Contractual servicing fees received0.1
—
0.2
—
0.2
—
0.3
—

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

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $18$14 million and $47$61 million for the three and sixnine months ended JuneSeptember 30, 2017, respectively. For the three and sixnine months ended JuneSeptember 30, 2017, gains recognized on the securitization of non-agency sponsored mortgages were $26$29 million and $46$75 million, respectively.

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

Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
 Three Months Ended JuneSeptember 30, 2017
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate2.5%2.0% to 14.0%13.2%
—
—
   Weighted average discount rate7.68.5%—
—
Constant prepayment rate6.5%6.6% to 16.1%31.6%
—
—
   Weighted average constant prepayment rate10.6%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life4.92.5 to 14.510.5 years
—
—

 Three Months Ended JuneSeptember 30, 2016
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.8%1.5% to 11.5%13.0%
—
—
   Weighted average discount rate9.110.0%—
—
Constant prepayment rate8.6%7.7% to 26.8%30.9%
—
—
   Weighted average constant prepayment rate13.313.7%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life0.52.0 to 11.49.8 years
—
—





 SixNine Months Ended JuneSeptember 30, 2017
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate2.4%2.0% to 19.9%
—
—
   Weighted average discount rate9.59.1%—
—
Constant prepayment rate3.8% to 16.1%31.6%
—
—
   Weighted average constant prepayment rate9.19.6%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life4.92.5 to 14.5 years
—
—

 SixNine Months Ended JuneSeptember 30, 2016
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.8% to 11.5%13.0%
—
—
   Weighted average discount rate8.79.1%—
—
Constant prepayment rate8.6%7.7% to 26.8%30.9%
—
—
   Weighted average constant prepayment rate12.512.8%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life0.5 to 17.5 years
—
—

Note: Citi held no retained interests in non-agency-sponsored mortgages securitized during the three and six months ended June 30, 2017 and 2016.
(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.

The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests.
The key assumptions used to value retained interests, and the sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions, are set forth in the tables
 
below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.
June 30, 2017September 30, 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 rate0.1% to 60.3%
0.0% to 11.6%
5.6% to 20.9%
0.0% to 82.4%
0.0% to 5.1%
4.8% to 33.9%
Weighted average discount rate6.9%1.6%11.8%7.9%1.0%9.7%
Constant prepayment rate7.0% to 21.0%
8.9% to 13.8%
0.5% to 20.1%
7.4% to 31.6%
8.9% to 13.9%
0.5% to 13.1%
Weighted average constant prepayment rate11.6%12.3%9.6%12.3%12.9%7.0%
Anticipated net credit losses(2)
   NM
0.4% to 50.2%
35.7% to 60.3%
   NM
0.3% to 50.2%
35.1% to 52.1%
Weighted average anticipated net credit losses   NM
17.0%46.6%   NM
12.2%43.2%
Weighted average life0.1 to 28.3 years
5.2 to 17.4 years
0.7 to 10.8 years
0.4 to 28.0 years
5.2 to 15.1 years
0.4 to 18.8 years



 December 31, 2016
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.7% to 28.2%
0.0% to 8.1%
5.1% to 26.4%
   Weighted average discount rate9.0%2.1%13.1%
Constant prepayment rate6.8% to 22.8%
4.2% to 14.7%
0.5% to 37.5%
   Weighted average constant prepayment rate10.2%11.0%10.8%
Anticipated net credit losses(2)
   NM
0.5% to 85.6%
8.0% to 63.7%
   Weighted average anticipated net credit losses   NM
31.4%48.3%
Weighted average life0.2 to 28.8 years
5.0 to 8.5 years
1.2 to 12.1 years

(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.
June 30, 2017September 30, 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$1,895
$13
$153
$1,529
$156
$189
Discount rates  
Adverse change of 10%$(52)$(3)$(6)$(45)$(3)$(4)
Adverse change of 20%(102)(7)(12)(87)(6)(8)
Constant prepayment rate  
Adverse change of 10%(39)(1)(3)(42)(1)(1)
Adverse change of 20%(80)(2)(6)(87)(2)(3)
Anticipated net credit losses  
Adverse change of 10%NM
(4)(1)NM
(4)(1)
Adverse change of 20%NM
(9)(1)NM
(8)(1)

 December 31, 2016
  
Non-agency-sponsored mortgages(1)
In millions of dollarsU.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests$2,258
$26
$161
Discount rates   
   Adverse change of 10%$(71)$(7)$(8)
   Adverse change of 20%(138)(14)(16)
Constant prepayment rate   
   Adverse change of 10%(80)(2)(4)
   Adverse change of 20%(160)(3)(8)
Anticipated net credit losses   
   Adverse change of 10%NM
(7)(1)
   Adverse change of 20%NM
(14)(2)

(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.



Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $560$553 million and $1.3 billion at JuneSeptember 30, 2017 and 2016, respectively. The MSRs correspond to principal loan balances of $135$68 billion and $186$173 billion as of JuneSeptember 30, 2017 and 2016, respectively. The following table summarizes the changes in capitalized MSRs:
Three Months Ended June 30,Three Months Ended September 30,
In millions of dollars2017201620172016
Balance, as of March 31$567
$1,524
Balance, as of June 30$560
$1,324
Originations21
35
19
43
Changes in fair value of MSRs due to changes in inputs and assumptions(11)(137)(6)13
Other changes(1)
(17)(98)(20)(78)
Sale of MSRs(2)
—
—
—
(32)
Balance, as of June 30$560
$1,324
Balance, as of September 30$553
$1,270

Six Months Ended June 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Balance, beginning of year$1,564
$1,781
$1,564
$1,781
Originations56
68
75
111
Changes in fair value of MSRs due to changes in inputs and assumptions56
(362)50
(349)
Other changes(1)
(70)(177)(90)(255)
Sale of MSRs(2)
(1,046)14
(1,046)(18)
Balance, as of June 30$560
$1,324
Balance, as of September 30$553
$1,270

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

The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20172016201720162017201620172016
Servicing fees$65
$126
$171
$254
$65
$117
$236
$371
Late fees3
4
6
8
2
3
8
11
Ancillary fees4
4
8
9
3
4
11
13
Total MSR fees$72
$134
$185
$271
$70
$124
$255
$395

In the Consolidated Statement of Income these fees are primarily classified as Commissions and fees and changes in MSR fair values are classified as Other revenue.

 
Re-securitizations
The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private-label) securities to re-securitization entities during the three and sixnine months ended JuneSeptember 30, 2017 and 2016. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of JuneSeptember 30, 2017, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $112$75 million (all related to re-securitization transactions executed prior to 2017), which has been recorded in Trading account assets. Of this amount, substantially all was related to subordinated beneficial interests. As of December 31, 2016, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $126 million (all related to re-securitization transactions executed prior to 2016). Of this amount, substantially all was related to subordinated beneficial interests. The original par value of private-label re-securitization transactions in which Citi holds a retained interest as of JuneSeptember 30, 2017 and December 31, 2016 was approximately $1.1 billion$954 million and $1.3 billion, respectively.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the three and sixnine months ended JuneSeptember 30, 2017, Citi transferred agency securities with a fair value of approximately $5.6$9.9 billion and $10.1$20.0 billion, respectively, to re-securitization entities compared to approximately $6.9$7.1 billion and $14.2$21.3 billion for the three and sixnine months ended JuneSeptember 30, 2016.
As of JuneSeptember 30, 2017, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.5$2.0 billion (including $1.0 billion$713 million related to re-securitization transactions executed in 2017) compared to $2.3 billion as of December 31, 2016 (including $741 million related to re-securitization transactions executed in 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 JuneSeptember 30, 2017 and December 31, 2016 was approximately $68.9$67.6 billion and $71.8 billion, respectively.
As of JuneSeptember 30, 2017 and December 31, 2016, the Company did not consolidate any private-label or agency re-securitization entities.



Citi-Administered Asset-Backed Commercial Paper Conduits
At JuneSeptember 30, 2017 and December 31, 2016, the commercial paper conduits administered by Citi had approximately $18.8$19.3 billion and $19.7 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $14.2$14.3 billion and $12.8 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At JuneSeptember 30, 2017 and December 31, 2016, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 53 and 55 days.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 JuneSeptember 30, 2017 and December 31, 2016, respectively.2016. The net result across multi-seller conduits administered by the Company 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 JuneSeptember 30, 2017 and December 31, 2016, the Company owned $9.0$9.3 billion and $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
The following table summarizes selected cash flow information related to Citigroup CLOs:
Three Months Ended June 30,Three Months Ended September 30,
In billions of dollars2017201620172016
Proceeds from new securitizations$1.1
$2.0
$1.1
$1.8
Six Months Ended June 30,Nine Months Ended September 30,
In billions of dollars2017201620172016
Proceeds from new securitizations$1.4
$2.0
$2.5
$3.8

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

JuneSept. 30, 2017Dec. 31, 2016
Discount rate   1.1% to 1.7%1.6%1.3% to 1.7%
In millions of dollarsJune 30, 2017Dec. 31, 2016Sept. 30, 2017Dec. 31, 2016
Carrying value of retained interests$3,969
$4,261
$3,883
$4,261
Discount rates  
Adverse change of 10%$(27)$(30)$(25)$(30)
Adverse change of 20%(53)(62)(51)(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.
June 30, 2017September 30, 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$9,084
$2,953
$8,971
$3,068
Corporate loans3,242
1,872
2,763
1,706
Hedge funds and equities419
58
499
59
Airplanes, ships and other assets37,167
16,609
38,488
16,194
Total$49,912
$21,492
$50,721
$21,027
 December 31, 2016
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$8,784
$2,368
Corporate loans4,051
2,684
Hedge funds and equities370
54
Airplanes, ships and other assets39,230
16,837
Total$52,435
$21,943

Municipal Securities Tender Option Bond (TOB) Trusts
At JuneSeptember 30, 2017 none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company. Atand December 31, 2016, approximately $56 million and $82 million, respectively, of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At JuneSeptember 30, 2017 and December 31, 2016, liquidity agreements provided with respect to customer TOB trusts totaled $2.9$3.1 billion and $2.9 billion, respectively, of which $2.0 billion and $2.1 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 $6.0$6.1 billion and $7.4 billion as of JuneSeptember 30, 2017 and December 31, 2016, respectively. 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 three and sixnine months ended JuneSeptember 30, 2017 totaled approximately $0.2 billion and $0.70.9 billion, respectively, compared to $0.8$0.5 billion and $1.4$1.9 billion for the three and sixnine months ended JuneSeptember 30, 2016.


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 22 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.
Information pertaining to Citigroup’s derivative activities, based on notional amounts, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete and accurate measure of Citi’s exposure to derivative transactions. Rather, Citi’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades. For example, if Citi enters into a receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk. Aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors.

 




























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

Trading derivatives
Management hedges(3)

Trading derivatives
Management hedges(3)
In millions of dollarsJune 30,
2017		December 31,
2016		June 30,
2017		December 31,
2016		June 30,
2017		December 31,
2016		September 30,
2017		December 31,
2016		September 30,
2017		December 31,
2016		September 30,
2017		December 31,
2016
Interest rate contracts          
Swaps$185,341
$151,331
$22,079,797
$19,145,250
$53,242
$47,324
$186,553
$151,331
$20,878,378
$19,145,250
$38,964
$47,324
Futures and forwards15
97
8,025,915
6,864,276
14,447
30,834
—
97
6,926,108
6,864,276
13,504
30,834
Written options—


3,433,889
2,921,070
1,822
4,759
—


3,446,771
2,921,070
2,659
4,759
Purchased options—
—
3,329,915
2,768,528
2,330
7,320
—
—
3,195,655
2,768,528
3,580
7,320
Total interest rate contract notionals$185,356
$151,428
$36,869,516
$31,699,124
$71,841
$90,237
$186,553
$151,428
$34,446,912
$31,699,124
$58,707
$90,237
Foreign exchange contracts            
Swaps$37,395
$19,042
$6,407,798
$5,492,145
$26,221
$22,676
$35,431
$19,042
$6,870,504
$5,492,145
$27,052
$22,676
Futures, forwards and spot35,815
56,964
4,302,684
3,251,132
5,730
3,419
38,100
56,964
4,658,973
3,251,132
5,153
3,419
Written options1,447
—
1,375,250
1,194,325
—
—
4,027
—
1,466,308
1,194,325
—
—
Purchased options6,672
—
1,383,864
1,215,961
—
—
6,697
—
1,507,896
1,215,961
—
—
Total foreign exchange contract notionals$81,329
$76,006
$13,469,596
$11,153,563
$31,951
$26,095
$84,255
$76,006
$14,503,681
$11,153,563
$32,205
$26,095
Equity contracts            
Swaps$—
$—
$197,046
$192,366
$—
$—
$—
$—
$219,056
$192,366
$—
$—
Futures and forwards—
—
46,582
37,557
—
—
—
—
57,541
37,557
—
—
Written options—
—
370,016
304,579
—
—
—
—
410,746
304,579
—
—
Purchased options—
—
324,314
266,070
—
—
—
—
336,586
266,070
—
—
Total equity contract notionals$—
$—
$937,958
$800,572
$—
$—
$—
$—
$1,023,929
$800,572
$—
$—
Commodity and other contracts            
Swaps$—
$—
$68,690
$70,774
$—
$—
$—
$—
$81,208
$70,774
$—
$—
Futures and forwards156
182
153,554
142,530
—
—
139
182
158,757
142,530
—
—
Written options—
—
69,294
74,627
—
—
—
—
76,663
74,627
—
—
Purchased options—
—
68,098
69,629
—
—
—
—
74,620
69,629
—
—
Total commodity and other contract notionals$156
$182
$359,636
$357,560
$—
$—
$139
$182
$391,248
$357,560
$—
$—
Credit derivatives(4)
            
Protection sold$—
$—
$845,028
$859,420
$64
$—
$—
$—
$872,476
$859,420
$98
$—
Protection purchased—
—
856,947
883,003
14,103
19,470
—
—
900,866
883,003
13,201
19,470
Total credit derivatives$—
$—
$1,701,975
$1,742,423
$14,167
$19,470
$—
$—
$1,773,342
$1,742,423
$13,299
$19,470
Total derivative notionals$266,841
$227,616
$53,338,681
$45,753,242
$117,959
$135,802
$270,947
$227,616
$52,139,112
$45,753,242
$104,211
$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 $1,297$63 million and $1,825 million at JuneSeptember 30, 2017 and December 31, 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 JuneSeptember 30, 2017 and December 31, 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 September 30, 2017 reflects rule changes adopted by clearing organizations that require or allow entities to elect to treat derivative assets, liabilities and the related variation margin as settlement of the related derivative fair values for legal and accounting purposes, as
opposed to presenting gross derivative assets and liabilities that are subject to collateral, whereby the counterparties would record a related collateral payable or receivable.  As a result, the table for September 30, 2017 reflects a reduction of approximately $100 billion of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now settled and not subject to collateral.  The table for December 31, 2016 presents derivative assets and liabilities as gross amounts subject to variation margin collateral that were netted under enforceable master netting agreements. Therefore the net presentation of the affected items on the consolidated balance sheet is consistent for all periods. The tables also present amounts that are not permitted to be offset, such as security collateral or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.


Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at June 30, 2017
Derivatives classified
in Trading account
assets / liabilities(1)(2)(3)
Derivatives classified
in Other
assets / liabilities(2)(3)
In millions of dollars at September 30, 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$4,089
$271
$1,270
$20
$440
$107
$1,291
$30
Cleared330
1,757
34
73
29
29
35
69
Interest rate contracts$4,419
$2,028
$1,304
$93
$469
$136
$1,326
$99
Over-the-counter$1,058
$795
$411
$384
$936
$676
$771
$147
Foreign exchange contracts$1,058
$795
$411
$384
$936
$676
$771
$147
Total derivatives instruments designated as ASC 815 hedges$5,477
$2,823
$1,715
$477
$1,405
$812
$2,097
$246
Derivatives instruments not designated as ASC 815 hedges





Over-the-counter$212,052
$193,609
$38
$1
$200,554
$179,000
$35
$1
Cleared88,092
94,441
101
138
6,843
8,520
73
105
Exchange traded137
116
—
—
116
93
—
—
Interest rate contracts$300,281
$288,166
$139
$139
$207,513
$187,613
$108
$106
Over-the-counter$142,009
$143,455
$—
$—
$130,399
$129,096
$—
$—
Cleared2,667
2,611
—
—
3,180
3,312
—
—
Exchange traded81
76
—
—
58
52
—
—
Foreign exchange contracts$144,757
$146,142
$—
$—
$133,637
$132,460
$—
$—
Over-the-counter$16,262
$20,994
$—
$—
$18,736
$24,317
$—
$—
Cleared21
12
—
—
16
20
—
—
Exchange traded7,885
7,998
—
—
8,532
8,179
—
—
Equity contracts$24,168
$29,004
$—
$—
$27,284
$32,516
$—
$—
Over-the-counter$9,506
$11,894
$—
$—
$11,444
$14,541
$—
$—
Exchange traded642
647
—
—
745
703
—
—
Commodity and other contracts$10,148
$12,541
$—
$—
$12,189
$15,244
$—
$—
Over-the-counter$16,325
$17,190
$49
$58
$15,169
$15,592
$23
$68
Cleared7,575
7,906
32
292
8,042
9,593
22
297
Credit derivatives(4)
$23,900
$25,096
$81
$350
$23,211
$25,185
$45
$365
Total derivatives instruments not designated as ASC 815 hedges$503,254
$500,949
$220
$489
$403,834
$393,018
$153
$471
Total derivatives$508,731
$503,772
$1,935
$966
$405,239
$393,830
$2,250
$717
Cash collateral paid/received(5)(6)
$12,540
$14,227
$—
$43
$13,991
$15,848
$—
$9
Less: Netting agreements(7)
(424,492)(424,492)—
—
(325,424)(325,424)—
—
Less: Netting cash collateral received/paid(8)
(38,743)(42,570)(993)(56)(37,876)(32,390)(1,005)(17)
Net receivables/payables included on the Consolidated Balance Sheet(9)
$58,036
$50,937
$942
$953
$55,930
$51,864
$1,245
$709
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(657)$(55)$—
$—
$(861)$(61)$—
$—
Less: Non-cash collateral received/paid(11,359)(8,039)(295)—
(11,864)(9,798)(294)—
Total net receivables/payables(9)
$46,020
$42,843
$647
$953
$43,205
$42,005
$951
$709
(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 $5,801$5,076 million related to protection purchased and $18,099$18,180 million related to protection sold as of JuneSeptember 30, 2017. The credit derivatives trading liabilities comprise $19,400$20,616 million related to protection purchased and $5,696$4,934 million related to protection sold as of JuneSeptember 30, 2017.
(5)For the trading account assets/liabilities, reflects the net amount of the $55,110$46,381 million and $52,970$53,724 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $42,570$32,390 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $38,743$37,876 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 $56$17 million of gross cash collateral paid, of which $56$17 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 $1,036$1,014 million of gross cash collateral received, of which $993$1,005 million is netted against non-trading derivative positions within Other assets.
(7)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $321$301 billion, $95$15 billion and $8$9 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(8)Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.
(9)The net receivables/payables include approximately $4$5 billion of derivative asset and $7$6 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

In millions of dollars at December 31, 2016
Derivatives classified in Trading
account assets / liabilities(1)(2)(3)
Derivatives classified in Other assets / liabilities(2)(3)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$716
$171
$1,927
$22
Cleared3,530
2,154
47
82
Interest rate contracts$4,246
$2,325
$1,974
$104
Over-the-counter$2,494
$393
$747
$645
Foreign exchange contracts$2,494
$393
$747
$645
Total 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$244,072
$221,534
$225
$5
Cleared120,920
130,855
240
349
Exchange traded87
47
—
—
Interest rate contracts$365,079
$352,436
$465
$354
Over-the-counter$182,659
$186,867
$—
$60
Cleared482
470
—
—
Exchange traded27
31
—
—
Foreign exchange contracts$183,168
$187,368
$—
$60
Over-the-counter$15,625
$19,119
$—
$—
Cleared1
21
—
—
Exchange traded8,484
7,376
—
—
Equity contracts$24,110
$26,516
$—
$—
Over-the-counter$13,046
$14,234
$—
$—
Exchange traded719
798
—
—
Commodity and other contracts$13,765
$15,032
$—
$—
Over-the-counter$19,033
$19,563
$159
$78
Cleared5,582
5,874
47
310
Credit derivatives(4)
$24,615
$25,437
$206
$388
Total derivatives instruments not designated as ASC 815 hedges$610,737
$606,789
$671
$802
Total derivatives$617,477
$609,507
$3,392
$1,551
Cash collateral paid/received(5)(6)
$11,188
$15,731
$8
$1
Less: Netting agreements(7)
(519,000)(519,000)—
—
Less: Netting cash collateral received/paid(8)
(45,912)(49,811)(1,345)(53)
Net receivables/payables included on the Consolidated Balance Sheet(9)
$63,753
$56,427
$2,055
$1,499
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet    
Less: Cash collateral received/paid$(819)$(19)$—
$—
Less: Non-cash collateral received/paid(11,767)(5,883)(530)—
Total net receivables/payables(9)
$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 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 $8,871 million related to protection purchased and $15,744 million related to protection sold as of December 31, 2016. The credit derivatives trading liabilities comprise $16,722 million related to protection purchased and $8,715 million related to protection sold as of December 31, 2016.
(5)For the trading account assets/liabilities, reflects the net amount of the $60,999 million and $61,643 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $49,811 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $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 gross cash collateral paid, of which $53 million is netted against non-trading derivative positions within Other liabilities. For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $1,346 million of gross cash collateral received, of which $1,345 million is netted against 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 $383 billion, $128 billion and $8 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(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 $7 billion of derivative asset and $9 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.


For the three and sixnine months ended JuneSeptember 30, 2017 and 2016, 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 how these portfolios are risk managed.
The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains/losses on the economically hedged items to the extent such amounts are also recorded in Other revenue.
Gains (losses) included in
Other revenue
Gains (losses) included in
Other revenue

Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20172016201720162017201620172016
Interest rate contracts$11
$11
$(34)$26
$(9)$(28)$(44)$(2)
Foreign exchange23
11
26
15
—
11
26
26
Credit derivatives(80)(348)(343)(562)(109)(399)(452)(960)
Total Citigroup$(46)$(326)$(351)$(521)$(118)$(416)$(470)$(936)
 







Fair Value Hedges
The following table summarizes the gains (losses) on the Company’s fair value hedges:
Gains (losses) on fair value hedges(1)
Gains (losses) on fair value hedges(1)
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20172016201720162017201620172016
Gain (loss) on the derivatives in designated and qualifying fair value hedges      
Interest rate contracts$(71)$1,082
$(376)$3,197
$(194)$(450)$(570)$2,747
Foreign exchange contracts(555)(397)(637)(1,758)(166)(602)(803)(2,360)
Commodity contracts(11)89
(9)438
(11)(57)(20)381
Total gain (loss) on the derivatives in designated and qualifying fair value hedges$(637)$774
$(1,022)$1,877
$(371)$(1,109)$(1,393)$768
Gain (loss) on the hedged item in designated and qualifying fair value hedges      
Interest rate hedges$47
$(1,053)$343
$(3,143)$189
$442
$532
$(2,701)
Foreign exchange hedges570
454
766
1,761
144
664
910
2,425
Commodity hedges11
(89)10
(433)12
59
22
(374)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$628
$(688)$1,119
$(1,815)$345
$1,165
$1,464
$(650)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges      
Interest rate hedges$(16)$32
$(26)$59
$(5)$(11)$(31)$48
Foreign exchange hedges(13)25
49
(50)(17)(3)32
(53)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges$(29)$57
$23
$9
$(22)$(14)$1
$(5)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges      
Interest rate contracts$(8)$(3)$(7)$(5)$—
$3
$(7)$(2)
Foreign exchange contracts(2)
28
32
80
53
(5)65
75
118
Commodity hedges—
—
1
5
1
2
2
7
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges$20
$29
$74
$53
$(4)$70
$70
$123
(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 sixnine months ended JuneSeptember 30, 2017 and 2016 is not significant. The pretax change in AOCI from cash flow hedges is presented below:

Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20172016201720162017201620172016
Effective portion of cash flow hedges included in AOCI      
Interest rate contracts$97
$220
$139
$635
$(36)$(187)$103
$448
Foreign exchange contracts—
(21)—
3
(7)(29)(7)(26)
Total effective portion of cash flow hedges included in AOCI$97
$199
$139
$638
$(43)$(216)$96
$422
Effective portion of cash flow hedges reclassified from AOCI to earnings

 

 
Interest rate contracts$(90)$(41)$(46)$(57)$(48)$(39)$(94)$(96)
Foreign exchange contracts2
(17)(1)(43)(7)(46)(8)(89)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)
$(88)$(58)$(47)$(100)$(55)$(85)$(102)$(185)
(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 remain 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 gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of JuneSeptember 30, 2017 is approximately $(199)$(277) 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 $(32)$(245) million and $(1,748)$(1,993) million for the three and sixnine months ended JuneSeptember 30, 2017 and $(47)$(371) million and $(1,420)$(1,791) million for the three and sixnine months ended JuneSeptember 30, 2016, respectively.
 






The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
Fair valuesNotionalsFair valuesNotionals
In millions of dollars at June 30, 2017
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at September 30, 2017
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty





Banks$10,015
$9,077
$336,802
$352,533
$9,114
$8,454
$320,482
$338,723
Broker-dealers3,030
3,252
91,096
100,526
2,882
2,805
89,352
100,408
Non-financial68
78
3,798
1,561
28
93
2,154
1,501
Insurance and other financial institutions10,868
13,039
439,354
390,472
11,232
14,198
502,079
431,942
Total by industry/counterparty$23,981
$25,446
$871,050
$845,092
$23,256
$25,550
$914,067
$872,574
By instrument





Credit default swaps and options$23,582
$23,970
$844,661
$835,627
$23,013
$24,365
$890,913
$862,753
Total return swaps and other399
1,476
26,389
9,465
243
1,185
23,154
9,821
Total by instrument$23,981
$25,446
$871,050
$845,092
$23,256
$25,550
$914,067
$872,574
By rating





Investment grade$10,740
$10,839
$654,355
$642,096
$13,045
$13,758
$696,474
$665,764
Non-investment grade13,241
14,607
216,695
202,996
10,211
11,792
217,593
206,810
Total by rating$23,981
$25,446
$871,050
$845,092
$23,256
$25,550
$914,067
$872,574
By maturity





Within 1 year$3,234
$4,172
$282,692
$281,166
$2,520
$3,225
$279,201
$267,863
From 1 to 5 years18,284
18,452
539,944
522,198
17,459
18,823
547,675
522,437
After 5 years2,463
2,822
48,414
41,728
3,277
3,502
87,191
82,274
Total by maturity$23,981
$25,446
$871,050
$845,092
$23,256
$25,550
$914,067
$872,574

(1)The fair value amount receivable is composed of $5,882$5,076 million under protection purchased and $18,099$18,180 million under protection sold.
(2)The fair value amount payable is composed of $19,750$20,616 million under protection purchased and $5,696$4,934 million under protection sold.
 Fair valuesNotionals
In millions of dollars at December 31, 2016
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty



Banks$11,895
$10,930
$407,992
$414,720
Broker-dealers3,536
3,952
115,013
119,810
Non-financial82
99
4,014
2,061
Insurance and other financial institutions9,308
10,844
375,454
322,829
Total by industry/counterparty$24,821
$25,825
$902,473
$859,420
By instrument



Credit default swaps and options$24,502
$24,631
$883,719
$852,900
Total return swaps and other319
1,194
18,754
6,520
Total by instrument$24,821
$25,825
$902,473
$859,420
By rating



Investment grade$9,605
$9,995
$675,138
$648,247
Non-investment grade15,216
15,830
227,335
211,173
Total by rating$24,821
$25,825
$902,473
$859,420
By maturity



Within 1 year$4,113
$4,841
$293,059
$287,262
From 1 to 5 years17,735
17,986
551,155
523,371
After 5 years2,973
2,998
58,259
48,787
Total by maturity$24,821
$25,825
$902,473
$859,420



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


Credit-Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates. The fair value (excluding CVA) of all derivative instruments with credit-risk-related contingent features that were in a net liability position at both JuneSeptember 30, 2017 and December 31, 2016 was $32$28 billion and $26 billion, respectively. The Company posted $28$25 billion and $26 billion as collateral for this exposure in the normal course of business as of JuneSeptember 30, 2017 and December 31, 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 JuneSeptember 30, 2017, the Company could be required to post an additional $0.7$1.2 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 $0.3 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.0$1.5 billion.

Derivatives Accompanied by Financial Asset Transfers
For transfers of financial assets accounted for as a sale by the Company, where the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed in contemplation of the initial sale with the same counterparty and still outstanding as of JuneSeptember 30, 2017, both the asset carrying amounts derecognized and gross cash proceeds received as of the date of derecognition were $2.1$2.4 billion. At JuneSeptember 30, 2017, the fair value of these previously derecognized assets was $2.3$2.4 billion. The fair value of the total return swaps was $14$28 million, recorded as gross derivative assets, and $28$47 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 24 to the Consolidated Financial Statements in Citi’s 2016 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 JuneSeptember 30, 2017 and December 31, 2016:
Credit and funding valuation adjustments
contra-liability (contra-asset)
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsJune 30,
2017		December 31,
2016		September 30,
2017		December 31,
2016
Counterparty CVA$(1,128)$(1,488)$(1,114)$(1,488)
Asset FVA(457)(536)(462)(536)
Citigroup (own-credit) CVA322
459
318
459
Liability FVA68
62
51
62
Total CVA—derivative instruments(1)
$(1,195)$(1,503)$(1,207)$(1,503)

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

The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
Credit/funding/debt valuation
adjustments gain (loss)
Credit/funding/debt valuation
adjustments gain (loss)
Three Months Ended June 30,Six Months Ended   June 30,Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars20172016201720162017201620172016
Counterparty CVA$80
$15
$170
$(93)$27
$112
$197
$19
Asset FVA(13)(15)79
(95)(5)37
74
(59)
Own-credit CVA(53)(10)(125)124
(2)(60)(127)65
Liability FVA16
18
6
48
(16)(59)(10)(11)
Total CVA—derivative instruments$30
$8
$130
$(16)$4
$30
$134
$14
DVA related to own FVO liabilities (1)
$(132)$20
$(227)$327
$(195)$(319)$(422)$8
Total CVA and DVA(2)
$(102)$28
$(97)$311
$(191)$(289)$(288)$22

(1)See Note 1 and Note 17 to the Consolidated Financial Statements.
(2)FVA is included with CVA for presentation purposes.





Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at JuneSeptember 30, 2017 and December 31, 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 June 30, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at September 30, 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$—
$177,380
$1,002
$178,382
$(35,551)$142,831
$—
$205,951
$664
$206,615
$(50,283)$156,332
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
24,863
204
25,067
—
25,067
—
21,991
309
22,300
—
22,300
Residential—
408
327
735
—
735
—
529
351
880
—
880
Commercial—
1,053
318
1,371
—
1,371
—
1,061
112
1,173
—
1,173
Total trading mortgage-backed securities$—
$26,324
$849
$27,173
$—
$27,173
$—
$23,581
$772
$24,353
$—
$24,353
U.S. Treasury and federal agency securities$20,339
$2,843
$—
$23,182
$—
$23,182
$22,398
$2,999
$—
$25,397
$—
$25,397
State and municipal—
3,297
284
3,581
—
3,581
—
2,429
270
2,699
—
2,699
Foreign government45,450
21,855
108
67,413
—
67,413
45,503
18,525
95
64,123
—
64,123
Corporate481
14,848
401
15,730
—
15,730
247
14,924
391
15,562
—
15,562
Equity securities42,333
6,133
240
48,706
—
48,706
47,941
7,427
236
55,604
—
55,604
Asset-backed securities—
2,098
1,570
3,668
—
3,668
—
1,347
1,704
3,051
—
3,051
Other trading assets(3)
9
10,305
1,803
12,117
—
12,117
3
10,034
2,151
12,188
—
12,188
Total trading non-derivative assets$108,612
$87,703
$5,255
$201,570
$—
$201,570
$116,092
$81,266
$5,619
$202,977
$—
$202,977
Trading derivatives
  
  
Interest rate contracts$149
$302,851
$1,700
$304,700
  $147
$206,086
$1,749
$207,982
  
Foreign exchange contracts38
145,190
587
145,815
  42
133,963
568
134,573
  
Equity contracts1,735
21,748
685
24,168
  2,110
24,606
568
27,284
  
Commodity contracts192
9,456
500
10,148
  280
11,598
311
12,189
  
Credit derivatives—
22,457
1,443
23,900
  —
22,113
1,098
23,211
  
Total trading derivatives$2,114
$501,702
$4,915
$508,731
  $2,579
$398,366
$4,294
$405,239
  
Cash collateral paid(4)
 $12,540
   $13,991
  
Netting agreements $(424,492)  $(325,424) 
Netting of cash collateral received (38,743)  (37,876) 
Total trading derivatives$2,114
$501,702
$4,915
$521,271
$(463,235)$58,036
$2,579
$398,366
$4,294
$419,230
$(363,300)$55,930
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$43,148
$50
$43,198
$—
$43,198
$—
$42,257
$57
$42,314
$—
$42,314
Residential—
3,164
—
3,164
—
3,164
—
2,992
—
2,992
—
2,992
Commercial—
357
—
357
—
357
—
341
3
344
—
344
Total investment mortgage-backed securities$—
$46,669
$50
$46,719
$—
$46,719
$—
$45,590
$60
$45,650
$—
$45,650
U.S. Treasury and federal agency securities$101,118
$11,479
$1
$112,598
$—
$112,598
$107,085
$11,241
$—
$118,326
$—
$118,326
State and municipal—
8,254
1,285
9,539
—
9,539
—
7,918
1,272
9,190
—
9,190
Foreign government56,320
45,104
358
101,782
—
101,782
58,869
41,577
301
100,747
—
100,747
Corporate2,045
13,902
156
16,103
—
16,103
2,342
12,997
120
15,459
—
15,459
Equity securities357
67
9
433
—
433
287
14
3
304
—
304
Asset-backed securities—
4,996
1,028
6,024
—
6,024
—
4,461
830
5,291
—
5,291
Other debt securities—
421
10
431
—
431
—
338
10
348
—
348
Non-marketable equity securities(5)
—
29
939
968
—
968
—
66
829
895
—
895
Total investments$159,840
$130,921
$3,836
$294,597
$—
$294,597
$168,583
$124,202
$3,425
$296,210
$—
$296,210
Table continues on the next page.


In millions of dollars at June 30, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at September 30, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$3,639
$577
$4,216
$—
$4,216
$—
$3,764
$544
$4,308
$—
$4,308
Mortgage servicing rights—
—
560
560
—
560
—
—
553
553
—
553
Non-trading derivatives and other financial assets measured on a recurring basis, gross$13,382
$6,587
$17
$19,986
  $14,434
$6,981
$14
$21,429
  
Cash collateral paid(6)
 —
   —
  
Netting of cash collateral received $(993)  $(1,005) 
Non-trading derivatives and other financial assets measured on a recurring basis$13,382
$6,587
$17
$19,986
$(993)$18,993
$14,434
$6,981
$14
$21,429
$(1,005)$20,424
Total assets$283,948
$907,932
$16,162
$1,220,582
$(499,779)$720,803
$301,688
$820,530
$15,113
$1,151,322
$(414,588)$736,734
Total as a percentage of gross assets(7)
23.5%75.2%1.3%





26.5%72.1%1.3%





Liabilities    
Interest-bearing deposits$—
$1,040
$300
$1,340
$—
$1,340
$—
$1,197
$300
$1,497
$—
$1,497
Federal funds purchased and securities loaned or sold under agreements to repurchase—
79,625
807
80,432
(35,551)44,881
—
94,843
765
95,608
(50,283)45,325
Trading account liabilities    
Securities sold, not yet purchased72,044
10,339
1,143
83,526
—
83,526
73,549
9,688
684
83,921
—
83,921
Other trading liabilities—
2,282
—
2,282
—
2,282
—
3,035
—
3,035
—
3,035
Total trading liabilities$72,044
$12,621
$1,143
$85,808
$—
$85,808
$73,549
$12,723
$684
$86,956
$—
$86,956
Trading derivatives    
Interest rate contracts$161
$288,045
$1,988
$290,194
  $118
$185,681
$1,950
$187,749
  
Foreign exchange contracts15
146,519
403
146,937
  50
132,666
420
133,136
  
Equity contracts1,725
24,947
2,332
29,004
  2,116
27,984
2,416
32,516
  
Commodity contracts120
9,897
2,524
12,541
  166
12,428
2,650
15,244
  
Credit derivatives—
22,314
2,782
25,096
  —
23,146
2,039
25,185
  
Total trading derivatives$2,021
$491,722
$10,029
$503,772
  $2,450
$381,905
$9,475
$393,830
  
Cash collateral received(8)
 $14,227
   $15,848
  
Netting agreements $(424,492)  $(325,424) 
Netting of cash collateral paid (42,570)  (32,390) 
Total trading derivatives$2,021
$491,722
$10,029
$517,999
$(467,062)$50,937
$2,450
$381,905
$9,475
$409,678
$(357,814)$51,864
Short-term borrowings$—
$4,804
$29
$4,833
$—
$4,833
$—
$4,771
$56
$4,827
$—
$4,827
Long-term debt—
17,170
11,831
29,001
—
29,001
—
19,505
11,321
30,826
—
30,826
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$13,382
$964
$2
$14,348
  $14,434
$716
$2
$15,152
  
Cash collateral received(9)
 43
   9
  
Netting of cash collateral paid $(56)  $(17) 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$13,382
$964
$2
$14,391
$(56)$14,335
$14,434
$716
$2
$15,161
$(17)$15,144
Total liabilities$87,447
$607,946
$24,141
$733,804
$(502,669)$231,135
$90,433
$515,660
$22,603
$644,553
$(408,114)$236,439
Total as a percentage of gross liabilities(7)
12.2%84.5%3.4%  14.4%82.0%3.6%  

(1)
For the three and sixnine months ended JuneSeptember 30, 2017, the Company transferred assets of approximately $1.9$0.6 billion and $2.9$3.6 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. During the three and sixnine months ended JuneSeptember 30, 2017, the Company transferred assets of approximately $0.9 billion and $2.3$3.1 billion from Level 2 to Level 1, primarily related to foreign government bonds traded with sufficient frequency to constitute an active market. There were no material transfersFor the three and nine months ended September 30, 2017, the Company transferred liabilities of liabilitiesapproximately $0.2 billion and $0.3 billion from Level 1 to 2 duringLevel 2. During the three and nine months ended June 30, 2017. During the six months ended JuneSeptember 30, 2017, the Company transferred liabilities of approximately $0.1 billion from Level 1 to Level 2. There were no material transfers of liabilities from Level 2 to Level 1 during the three months ended June 30, 2017. During the six months ended June 30, 2017, the Company transferred liabilities of approximately $0.1and $0.2 billion from Level 2 to Level 1.
(2)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)Includes positions related to investments in unallocated precious metals, as discussed in Note 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 $55,110$46,381 million gross cash collateral paid, of which $42,570$32,390 million was used to offset trading derivative liabilities.
(5)
Amounts exclude $0.4 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(6)Reflects the net amount of $56$17 million of gross cash collateral paid, all of which $56 million was used to offset non-trading derivative liabilities.


(7)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.


(8)Reflects the net amount $52,970$53,724 million of gross cash collateral received, of which $38,743$37,876 million was used to offset trading derivative assets.
(9)Reflects the net amount of $1,036$1,014 million of gross cash collateral received, of which $993$1,005 million was used to offset non-trading derivative assets.

Fair Value Levels
In millions of dollars at December 31, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$172,394
$1,496
$173,890
$(40,686)$133,204
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed—
22,718
176
22,894
—
22,894
Residential—
291
399
690
—
690
Commercial—
1,000
206
1,206
—
1,206
Total trading mortgage-backed securities$—
$24,009
$781
$24,790
$—
$24,790
U.S. Treasury and federal agency securities$16,368
$4,811
$1
$21,180
$—
$21,180
State and municipal—
3,780
296
4,076
—
4,076
Foreign government32,164
17,492
40
49,696
—
49,696
Corporate424
14,199
324
14,947
—
14,947
Equity securities45,056
5,260
127
50,443
—
50,443
Asset-backed securities—
892
1,868
2,760
—
2,760
Other trading assets(3)
—
9,466
2,814
12,280
—
12,280
Total trading non-derivative assets$94,012
$79,909
$6,251
$180,172
$—
$180,172
Trading derivatives      
Interest rate contracts$105
$366,995
$2,225
$369,325
  
Foreign exchange contracts53
184,776
833
185,662
  
Equity contracts2,306
21,209
595
24,110
  
Commodity contracts261
12,999
505
13,765
  
Credit derivatives—
23,021
1,594
24,615
  
Total trading derivatives$2,725
$609,000
$5,752
$617,477
  
Cash collateral paid(4)
   $11,188
  
Netting agreements    $(519,000) 
Netting of cash collateral received    (45,912) 
Total trading derivatives$2,725
$609,000
$5,752
$628,665
$(564,912)$63,753
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$—
$38,304
$101
$38,405
$—
$38,405
Residential—
3,860
50
3,910
—
3,910
Commercial—
358
—
358
—
358
Total investment mortgage-backed securities$—
$42,522
$151
$42,673
$—
$42,673
U.S. Treasury and federal agency securities$112,916
$10,753
$2
$123,671
$—
$123,671
State and municipal—
8,909
1,211
10,120
—
10,120
Foreign government54,028
43,934
186
98,148
—
98,148
Corporate3,215
13,598
311
17,124
—
17,124
Equity securities336
46
9
391
—
391
Asset-backed securities—
6,134
660
6,794
—
6,794
Other debt securities—
503
—
503
—
503
Non-marketable equity securities(5)
—
35
1,331
1,366
—
1,366
Total investments$170,495
$126,434
$3,861
$300,790
$—
$300,790
Table continues on the next page.


In millions of dollars at December 31, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$2,918
$568
$3,486
$—
$3,486
Mortgage servicing rights—
—
1,564
1,564
—
1,564
Non-trading derivatives and other financial assets measured on a recurring basis, gross$9,300
$7,732
$34
$17,066
  
Cash collateral paid(6)
   8
  
Netting of cash collateral received    $(1,345) 
Non-trading derivatives and other financial assets measured on a recurring basis$9,300
$7,732
$34
$17,074
$(1,345)$15,729
Total assets$276,532
$998,387
$19,526
$1,305,641
$(606,943)$698,698
Total as a percentage of gross assets(7)
21.4%77.1%1.5%   
Liabilities      
Interest-bearing deposits$—
$919
$293
$1,212
$—
$1,212
Federal funds purchased and securities loaned or sold under agreements to repurchase—
73,500
849
74,349
(40,686)33,663
Trading account liabilities      
Securities sold, not yet purchased67,429
12,184
1,177
80,790
—
80,790
Other trading liabilities—
1,827
1
1,828
—
1,828
Total trading liabilities$67,429
$14,011
$1,178
$82,618
$—
$82,618
Trading account derivatives      
Interest rate contracts$107
$351,766
$2,888
$354,761
  
Foreign exchange contracts13
187,328
420
187,761
  
Equity contracts2,245
22,119
2,152
26,516
  
Commodity contracts196
12,386
2,450
15,032
  
Credit derivatives—
22,842
2,595
25,437
  
Total trading derivatives$2,561
$596,441
$10,505
$609,507
  
Cash collateral received(8)
   $15,731
  
Netting agreements    $(519,000) 
Netting of cash collateral paid    (49,811) 
Total trading derivatives$2,561
$596,441
$10,505
$625,238
$(568,811)$56,427
Short-term borrowings$—
$2,658
$42
$2,700
$—
$2,700
Long-term debt—
16,510
9,744
26,254
—
26,254
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$9,300
$1,540
$8
$10,848
  
Cash collateral received(9)
   1
  
Netting of cash collateral paid    $(53) 
Non-trading derivatives and other financial liabilities measured on a recurring basis$9,300
$1,540
$8
$10,849
$(53)$10,796
Total liabilities$79,290
$705,579
$22,619
$823,220
$(609,550)$213,670
Total as a percentage of gross liabilities(7)
9.8%87.4%2.8%   

(1)In 2016, the Company transferred assets of approximately $2.6 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. In 2016, the Company transferred assets of approximately $4.0 billion from Level 2 to Level 1, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. In 2016, the Company transferred liabilities of approximately $0.4 billion from Level 2 to Level 1. In 2016, the Company transferred liabilities of approximately $0.3 billion from Level 1 to Level 2.
(2)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)Includes positions related to investments in unallocated precious metals, as discussed in Note 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 $60,999 million of gross cash collateral paid, of which $49,811 million was used to offset trading derivative liabilities.
(5)
Amounts exclude $0.4 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(6)
Reflects the net amount of $61 million of gross cash collateral paid, of which $53 million was used to offset non-trading derivative liabilities.
(7)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(8)Reflects the net amount of $61,643 million of gross cash collateral received, of which $45,912 million was used to offset trading derivative assets.
(9)Reflects the net amount of $1,346 million of gross cash collateral received, of which $1,345 million was used to offset non-trading derivative assets.


Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the three and sixnine months ended JuneSeptember 30, 2017 and 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 dollarsMar. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2017Jun. 30, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2017
Assets      
Federal funds sold and
securities borrowed or
purchased under
agreements to resell
$1,187
$54
$—
$—
$(239)$—
$—
$—
$—
$1,002
$—
$1,002
$(338)$—
$—
$—
$—
$—
$—
$—
$664
$(338)
Trading non-derivative assets      
Trading mortgage-
backed securities
      
U.S. government-sponsored agency guaranteed271
(1)—
29
(48)103
—
(150)—
204
—
204
—
—
75
(21)174
—
(123)—
309
—
Residential368
22
—
30
(20)16
—
(89)—
327
19
327
24
—
41
(9)39
—
(71)—
351
12
Commercial266
5
—
27
(16)244
—
(208)—
318
(3)318
10
—
22
(17)11
—
(232)—
112
5
Total trading mortgage-
backed securities
$905
$26
$—
$86
$(84)$363
$—
$(447)$—
$849
$16
$849
$34
$—
$138
$(47)$224
$—
$(426)$—
$772
$17
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal270
3
—
22
(1)7
—
(17)—
284
(1)284
(2)—
—
—
49
—
(61)—
270
(1)
Foreign government126
3
—
6
(77)83
—
(33)—
108
1
108
(5)—
4
(114)161
—
(59)—
95
(2)
Corporate296
124
—
89
(21)158
—
(245)—
401
132
401
105
—
16
(11)148
—
(268)—
391
103
Equity securities110
14
—
130
(1)2
—
(15)—
240
13
240
183
—
3
(41)29
—
(178)—
236
6
Asset-backed securities1,941
(23)—
3
(65)313
—
(599)—
1,570
(19)1,570
114
—
5
(6)481
—
(460)—
1,704
26
Other trading assets1,888
(43)—
222
(243)366
—
(383)(4)1,803
(17)1,803
(38)—
38
(607)1,349
4
(394)(4)2,151
29
Total trading non-
derivative assets
$5,537
$104
$—
$558
$(492)$1,292
$—
$(1,740)$(4)$5,255
$125
$5,255
$391
$—
$204
$(826)$2,441
$4
$(1,846)$(4)$5,619
$178
Trading derivatives, net(4)
      
Interest rate contracts$(773)$(155)$—
$10
$632
$59
$—
$(92)$31
$(288)$(60)$(288)$196
$—
$4
$(4)$25
$—
$(20)$(114)$(201)$120
Foreign exchange contracts48
93
—
(2)(39)4
—
(2)82
184
88
184
(92)—
1
(4)(6)—
(3)68
148
(92)
Equity contracts(1,524)(101)—
18
42
64
—
(113)(33)(1,647)(158)(1,647)201
—
(52)(34)31
—
(126)(221)(1,848)(10)
Commodity contracts(2,074)(153)—
12
51
—
—
—
140
(2,024)(152)(2,024)(248)—
(29)(10)—
—
(3)(25)(2,339)(255)
Credit derivatives(1,123)(293)—
(44)(16)(2)—
2
137
(1,339)(325)(1,339)(150)—
25
115
7
—
—
401
(941)(185)
Total trading derivatives,
net(4)
$(5,446)$(609)$—
$(6)$670
$125
$—
$(205)$357
$(5,114)$(607)$(5,114)$(93)$—
$(51)$63
$57
$—
$(152)$109
$(5,181)$(422)
Table continues on the next page.









 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar.31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2017Jun. 30, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2017
Investments  
Mortgage-backed securities  
U.S. government-sponsored agency guaranteed$55
$—
$1
$—
$(6)$—
$—
$—
$—
$50
$—
$50
$—
$12
$—
$(5)$—
$—
$—
$—
$57
$28
Residential—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Commercial—
—
—
—
—
—
—
—
—
—
—
—
—
—
3
—
—
—
—
—
3
—
Total investment mortgage-backed securities$55
$—
$1
$—
$(6)$—
$—
$—
$—
$50
$—
$50
$—
$12
$3
$(5)$—
$—
$—
$—
$60
$28
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$—
$—
$1
$—
$1
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
State and municipal1,233
—
27
12
(3)22
—
(6)—
1,285
28
1,285
—
(2)21
(3)16
—
(45)—
1,272
17
Foreign government235
—
10
—
(1)191
—
(77)—
358
7
358
—
(58)—
(18)122
—
(103)—
301
(7)
Corporate339
—
(137)5
—
92
—
(143)—
156
9
156
—
146
10
(2)41
—
(231)—
120
—
Equity securities9
—
—
—
—
—
—
—
—
9
—
9
—
(1)—
—
—
—
(5)—
3
—
Asset-backed securities712
—
173
4
(13)334
—
(182)—
1,028
171
1,028
—
(280)2
(7)504
—
(417)—
830
(134)
Other debt securities—
—
—
—
—
10
—
—
—
10
—
10
—
—
—
—
—
—
—
—
10
—
Non-marketable equity securities1,082
—
31
2
—
1
—
(154)(23)939
66
939
—
(61)—
—
1
—
(1)(49)829
(18)
Total investments$3,666
$—
$105
$23
$(23)$650
$—
$(562)$(23)$3,836
$281
$3,836
$—
$(244)$36
$(35)$684
$—
$(803)$(49)$3,425
$(114)
Loans$580
$—
$(12)$15
$—
$30
$—
$(33)$(3)$577
$42
$577
$—
$73
$—
$—
$131
$—
$(236)$(1)$544
$264
Mortgage servicing rights$567
$—
$(11)$—
$—
$—
$21
$—
$(17)$560
$3
560
—
(6)—
—
—
19
—
(20)553
3
Other financial assets measured on a recurring basis$27
$—
$29
$—
$(7)$—
$27
$(4)$(55)$17
$26
17
—
13
—
—
1
43
(4)(56)14
17
Liabilities

Interest-bearing deposits$302
$—
$—
$20
$—
$—
$—
$—
$(22)$300
$5
$300
$—
$(2)$—
$—
$—
$—
$—
$(2)$300
$6
Federal funds purchased and securities loaned or sold under agreements to repurchase809
2
—
—
—
—
—
—
—
807
2
807
(1)—
—
—
—
—
—
(43)765
4
Trading account liabilities

Securities sold, not yet purchased1,151
(60)—
2
(29)—
—
76
(117)1,143
5
1,143
496
—
5
(10)—
—
88
(46)684
24
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings60
40
—
1
—
—
8
—
—
29
11
29
(13)—
3
(1)—
12
—
—
56
7
Long-term debt10,176
(618)—
321
(558)—
1,353
—
(79)11,831
(73)11,831
1,057
—
181
(490)—
419
—
437
11,321
716
Other financial liabilities measured on a recurring basis4
—
2
—
—
—
1
—
(1)2
2
2
—
—
—
—
—
1
—
(1)2
(1)

(1)
Changes in fair value for available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at JuneSeptember 30, 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 dollarsDec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2017Dec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2017
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$1,496
$(2)$—
$—
$(491)$—
$—
$—
$(1)$1,002
$—
$1,496
$(340)$—
$—
$(491)$—
$—
$—
$(1)$664
$—
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed176
4
—
79
(65)264
—
(254)—
204
1
176
4
—
154
(86)438
—
(377)—
309
1
Residential399
37
—
47
(49)66
—
(173)—
327
29
399
61
—
88
(58)105
—
(244)—
351
35
Commercial206
(3)—
44
(29)434
—
(334)—
318
(10)206
7
—
66
(46)445
—
(566)—
112
(5)
Total trading mortgage-backed securities$781
$38
$—
$170
$(143)$764
$—
$(761)$—
$849
$20
$781
$72
$—
$308
$(190)$988
$—
$(1,187)$—
$772
$31
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
$1
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
State and municipal296
5
—
24
(48)88
—
(81)—
284
2
296
3
—
24
(48)137
—
(142)—
270
(1)
Foreign government40
7
—
84
(90)127
—
(60)—
108
8
40
2
—
88
(204)288
—
(119)—
95
(1)
Corporate324
215
—
116
(73)276
—
(457)—
401
177
324
320
—
132
(84)424
—
(725)—
391
167
Equity securities127
29
—
132
(13)9
—
(44)—
240
21
127
212
—
135
(54)38
—
(222)—
236
20
Asset-backed securities1,868
137
—
23
(81)704
—
(1,081)—
1,570
52
1,868
251
—
28
(87)1,185
—
(1,541)—
1,704
34
Other trading assets2,814
(50)—
432
(774)653
1
(1,258)(15)1,803
(38)2,814
(88)—
470
(1,381)2,002
5
(1,652)(19)2,151
29
Total trading non-derivative assets$6,251
$381
$—
$981
$(1,222)$2,621
$1
$(3,743)$(15)$5,255
$242
$6,251
$772
$—
$1,185
$(2,048)$5,062
$5
$(5,589)$(19)$5,619
$279
Trading derivatives, net(4)
      
Interest rate contracts$(663)$(192)$—
$(28)$651
$65
$—
$(205)$84
$(288)$(12)$(663)$4
$—
$(24)$647
$90
$—
$(225)$(30)$(201)$65
Foreign exchange contracts413
(297)—
53
(59)38
—
(34)70
184
43
413
(389)—
54
(63)32
—
(37)138
148
(134)
Equity contracts(1,557)(103)—
18
26
149
—
(137)(43)(1,647)(139)(1,557)98
—
(34)(8)180
—
(263)(264)(1,848)(22)
Commodity contracts(1,945)(328)—
58
49
—
—
—
142
(2,024)(358)(1,945)(576)—
29
39
—
—
(3)117
(2,339)(255)
Credit derivatives(1,001)(385)—
(68)(24)(2)—
2
139
(1,339)(745)(1,001)(535)—
(43)91
5
—
2
540
(941)(197)
Total trading derivatives, net(4)
$(4,753)$(1,305)$—
$33
$643
$250
$—
$(374)$392
$(5,114)$(1,211)$(4,753)$(1,398)$—
$(18)$706
$307
$—
$(526)$501
$(5,181)$(543)
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$101
$—
$3
$1
$(55)$—
$—
$—
$—
$50
$2
$101
$—
$15
$1
$(60)$—
$—
$—
$—
$57
$30
Residential50
—
2
—
(47)—
—
(5)—
—
—
50
—
2
—
(47)—
—
(5)—
—
—
Commercial—
—
—
—
—
8
—
(8)—
—
—
—
—
—
3
—
8
—
(8)—
3
—
Total investment mortgage-backed securities$151
$—
$5
$1
$(102)$8
$—
$(13)$—
$50
$2
$151
$—
$17
$4
$(107)$8
$—
$(13)$—
$60
$30
U.S. Treasury and federal agency securities$2
$—
$—
$—
$—
$—
$—
$(1)$—
$1
$—
$2
$—
$—
$—
$—
$—
$—
$(2)$—
$—
$—
State and municipal1,211
—
39
49
(33)76
—
(57)—
1,285
35
1,211
—
37
70
(36)92
—
(102)—
1,272
35
Foreign government186
—
11
2
(19)333
—
(155)—
358
7
186
—
(47)2
(37)455
—
(258)—
301
(5)
Corporate311
—
(135)64
(4)183
—
(263)—
156
9
311
—
11
74
(6)224
—
(494)—
120
—
Equity securities9
—
—
—
—
—
—
—
—
9
—
9
—
(1)—
—
—
—
(5)—
3
—
Asset-backed securities660
—
182
21
(13)360
—
(182)—
1,028
171
660
—
(98)23
(20)864
—
(599)—
830
(134)
Other debt securities—
—
—
—
—
21
—
(11)—
10
—
—
—
—
—
—
21
—
(11)—
10
—
Non-marketable equity securities1,331
—
(63)2
—
9
—
(227)(113)939
79
1,331
—
(124)2
—
10
—
(228)(162)829
49
Total investments$3,861
$—
$39
$139
$(171)$990
$—
$(909)$(113)$3,836
$303
$3,861
$—
$(205)$175
$(206)$1,674
$—
$(1,712)$(162)$3,425
$(25)
Table continues on the next page.


 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, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2017Dec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2017
Loans$568
$—
$(16)$80
$(16)$42
$—
$(76)$(5)$577
$58
$568
$—
$57
$80
$(16)$173
$—
$(312)$(6)$544
$266
Mortgage servicing rights1,564
—
56
—
—
—
56
(1,046)(70)560
(40)1,564
—
50
—
—
—
75
(1,046)(90)553
(40)
Other financial assets measured on a recurring basis34
—
(160)3
(8)—
260
(4)(108)17
(184)34
—
(147)3
(8)1
303
(8)(164)14
(68)
Liabilities      
Interest-bearing deposits$293
$—
$11
$40
$—
$—
$—
$—
$(22)$300
$31
$293
$—
$9
$40
$—
$—
$—
$—
$(24)$300
$6
Federal funds purchased and securities loaned or sold under agreements to repurchase849
8
—
—
—
—
—
—
(34)807
8
849
7
—
—
—
—
—
—
(77)765
4
Trading account liabilities      
Securities sold, not yet purchased1,177
(6)—
13
(43)—
—
177
(187)1,143
(3)1,177
490
—
18
(53)—
—
265
(233)684
24
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings42
31
—
1
—
—
19
—
(2)29
5
42
18
—
4
(1)—
31
—
(2)56
7
Long-term debt9,744
(601)—
521
(967)—
2,282
—
(350)11,831
(747)9,744
456
—
702
(1,457)—
2,701
—
87
11,321
708
Other financial liabilities measured on a recurring basis8
—
—
—
—
(1)2
—
(7)2
—
8
—
—
—
—
—
3
(1)(8)2
(1)
(1)
Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at JuneSeptember 30, 2016.2017.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016Jun. 30, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2016
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$1,909
$(62)$—
$—
$(28)$—
$—
$—
$—
$1,819
$(54)$1,819
$(6)$—
$���
$—
$5
$—
$—
$(505)$1,313
$(3)
Trading non-derivative assets                          
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed1,039
—
—
83
(362)405
—
(443)8
730
—
730
1
—
67
(387)96
—
(286)7
228
—
Residential1,192
(61)—
25
(44)46
—
(351)(6)801
(72)801
116
—
5
(66)18
—
(433)—
441
(58)
Commercial581
4
—
123
(75)107
—
(350)—
390
(5)390
2
—
1
(107)309
—
(151)—
444
6
Total trading mortgage-backed securities$2,812
$(57)$—
$231
$(481)$558
$—
$(1,144)$2
$1,921
$(77)$1,921
$119
$—
$73
$(560)$423
$—
$(870)$7
$1,113
$(52)
U.S. Treasury and federal agency securities$3
$—
$—
$—
$—
$—
$—
$—
$—
$3
$—
$3
$—
$—
$—
$—
$—
$—
$(2)$—
$1
$—
State and municipal209
1
—
5
(57)65
—
(106)—
117
(2)117
18
—
118
(37)56
—
(115)—
157
(1)
Foreign government219
(7)—
—
(13)34
—
(152)—
81
(2)81
(19)—
—
—
24
—
(23)—
63
1
Corporate477
272
—
35
(60)165
—
(479)(5)405
77
405
39
—
49
(26)414
—
(208)12
685
(31)
Equity securities3,755
(491)—
174
(26)670
—
(112)—
3,970
(438)3,970
348
—
12
(811)102
—
(61)—
3,560
(371)
Asset-backed securities2,814
6
—
40
(181)694
—
(703)—
2,670
5
2,670
47
—
38
(42)783
—
(747)—
2,749
(58)
Other trading assets2,574
(89)—
680
(869)1,074
(13)(509)(9)2,839
(125)2,839
12
—
296
(897)966
9
(628)(17)2,580
(63)
Total trading non-derivative assets$12,863
$(365)$—
$1,165
$(1,687)$3,260
$(13)$(3,205)$(12)$12,006
$(562)$12,006
$564
$—
$586
$(2,373)$2,768
$9
$(2,654)$2
$10,908
$(575)
Trading derivatives, net(4)
      
Interest rate contracts$(755)$182
$—
$144
$(51)$137
$(18)$(100)$87
$(374)$136
$(374)$(82)$—
$(59)$77
$5
$—
$(37)$(93)$(563)$(143)
Foreign exchange contracts295
(324)—
1
(90)89
—
(52)52
(29)(428)(29)10
—
69
(13)52
—
(50)50
89
149
Equity contracts(876)76
—
(11)(284)22
38
(12)(24)(1,071)108
(1,071)29
—
14
123
17
—
(28)(51)(967)(189)
Commodity contracts(1,949)(139)—
3
(36)356
—
(352)100
(2,017)(122)(2,017)(76)—
(379)74
3
—
5
91
(2,299)(285)
Credit derivatives(321)(637)—
(33)(52)41
—
—
248
(754)(603)(754)(651)—
32
26
(4)—
(35)367
(1,019)450
Total trading derivatives, net(4)
$(3,606)$(842)$—
$104
$(513)$645
$20
$(516)$463
$(4,245)$(909)$(4,245)$(770)$—
$(323)$287
$73
$—
$(145)$364
$(4,759)$(18)
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$111
$—
$6
$5
$(23)$1
$—
$(6)$—
$94
$1
$94
$—
$(4)$3
$(10)$6
$—
$—
$—
$89
$(1)
Residential—
—
—
—
—
25
—
—
—
25
—
25
—
1
49
—
1
—
(23)—
53
—
Commercial3
—
—
3
(1)—
—
—
—
5
—
5
—
(1)—
(4)—
—
—
—
—
—
Total investment mortgage-backed securities$114
$—
$6
$8
$(24)$26
$—
$(6)$—
$124
$1
$124
$—
$(4)$52
$(14)$7
$—
$(23)$—
$142
$(1)
U.S. Treasury and federal agency securities$3
$—
$—
$—
$—
$—
$—
$—
$—
$3
$—
$3
$—
$—
$—
$—
$—
$—
$(1)$—
$2
$—
State and municipal2,098
—
127
130
(374)89
—
(54)—
2,016
99
2,016
—
(54)5
(338)60
—
(33)—
1,656
40
Foreign government175
—
17
—
—
41
—
(89)(3)141
—
141
—
(14)5
—
42
—
(29)—
145
(5)
Corporate498
—
31
—
(8)93
—
(154)—
460
(5)460
—
42
1
(18)412
—
(8)(365)524
(1)
Equity securities126
—
—
2
—
—
—
—
—
128
—
128
—
11
—
—
—
—
(129)—
10
—
Asset-backed securities701
—
61
—
(22)72
—
(215)—
597
51
597
—
(88)3
(25)121
—
(7)81
682
88
Other debt securities—
—
—
—
—
5
—
—
—
5
—
5
—
—
10
—
1
—
(5)—
11
—
Non-marketable equity securities1,165
—
26
13
—
6
—
—
(71)1,139
26
1,139
—
54
53
(23)1
—
(14)(29)1,181
(9)
Total investments$4,880
$—
$268
$153
$(428)$332
$—
$(518)$(74)$4,613
$172
$4,613
$—
$(53)$129
$(418)$644
$—
$(249)$(313)$4,353
$112


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016Jun. 30, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2016
Loans$1,723
$—
$19
$—
$—
$211
$58
$(297)$(480)$1,234
$(34)$1,234
$—
$89
$24
$(196)$93
$—
$(137)$(25)$1,082
$(179)
Mortgage servicing rights1,524
—
(137)—
—
—
35
—
(98)1,324
(154)1,324
—
13
—
—
—
43
(32)(78)1,270
15
Other financial assets measured on a recurring basis57
—
16
37
(2)—
67
(4)(60)111
(61)111
—
31
1
(41)1
72
(4)(105)66
(69)
Liabilities      
Interest-bearing deposits$191
$—
$39
$318
$—
$—
$1
$—
$(38)$433
$39
$433
$—
$41
$—
$(100)$—
$—
$—
$(32)$260
$42
Federal funds purchased and securities loaned or sold under agreements to repurchase1,238
4
—
—
—
—
—
—
(127)1,107
4
1,107
10
—
—
(150)—
—
11
(35)923
8
Trading account liabilities      
Securities sold, not yet purchased118
(11)—
38
(18)(61)(41)34
(69)12
(30)12
(30)—
21
(42)(9)—
142
5
159
(30)
Other Trading Liabilities—
—
—
1
—
—
—
—
—
1
—
Short-term borrowings46
(24)—
12
—
—
7
—
(36)53
(15)53
(9)—
1
(32)—
15
—
(14)32
2
Long-term debt8,736
(48)—
712
(756)—
990
61
(653)9,138
(48)9,138
(191)—
947
(1,550)—
1,719
—
(1,263)9,182
(191)
Other financial liabilities measured on a recurring basis14
—
1
—
(6)(2)1
—
(1)5
(1)5
—
(26)2
—
(1)—
—
—
32
(2)


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016Dec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2016
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$1,337
$8
$—
$—
$(28)$503
$—
$—
$(1)$1,819
$(55)$1,337
$2
$—
$—
$(28)$508
$—
$—
$(506)$1,313
$3
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed744
12
—
418
(582)761
—
(634)11
730
(3)744
13
—
485
(969)857
—
(920)18
228
4
Residential1,326
(12)—
129
(87)257
—
(806)(6)801
(40)1,326
104
—
134
(153)275
—
(1,239)(6)441
23
Commercial517
13
—
179
(102)352
—
(569)—
390
(13)517
15
—
180
(209)661
—
(720)—
444
(23)
Total trading mortgage-backed securities$2,587
$13
$—
$726
$(771)$1,370
$—
$(2,009)$5
$1,921
$(56)$2,587
$132
$—
$799
$(1,331)$1,793
$—
$(2,879)$12
$1,113
$4
U.S. Treasury and federal agency securities$1
$—
$—
$2
$—
$—
$—
$—
$—
$3
$(1)$1
$—
$—
$2
$—
$—
$—
$(2)$—
$1
$—
State and municipal351
8
—
18
(216)168
—
(212)—
117
(1)351
26
—
136
(253)224
—
(327)—
157
—
Foreign government197
(8)—
2
(17)75
—
(168)—
81
1
197
(27)—
2
(17)99
—
(191)—
63
(2)
Corporate376
284
—
80
(76)334
—
(588)(5)405
89
376
323
—
129
(102)748
—
(796)7
685
58
Equity securities3,684
(535)—
267
(60)749
—
(135)—
3,970
(474)3,684
(187)—
279
(871)851
—
(196)—
3,560
(125)
Asset-backed securities2,739
134
—
157
(195)1,186
—
(1,351)—
2,670
29
2,739
181
—
195
(237)1,969
—
(2,098)—
2,749
87
Other trading assets2,483
(116)—
1,458
(1,482)1,357
(2)(840)(19)2,839
(223)2,483
(104)—
1,754
(2,379)2,323
7
(1,468)(36)2,580
136
Total trading non-derivative assets$12,418
$(220)$—
$2,710
$(2,817)$5,239
$(2)$(5,303)$(19)$12,006
$(636)$12,418
$344
$—
$3,296
$(5,190)$8,007
$7
$(7,957)$(17)$10,908
$158
Trading derivatives, net(4)
      
Interest rate contracts$(495)$(326)$—
$309
$39
$142
$(18)$(103)$78
$(374)$(154)$(495)$(408)$—
$250
$116
$147
$(18)$(140)$(15)$(563)$84
Foreign exchange contracts620
(677)—
4
(60)106
—
(91)69
(29)(572)620
(667)—
73
(73)158
—
(141)119
89
(428)
Equity contracts(800)108
—
64
(428)46
38
(71)(28)(1,071)107
(800)137
—
78
(305)63
38
(99)(79)(967)191
Commodity contracts(1,861)(281)—
(49)(26)356
—
(352)196
(2,017)(288)(1,861)(357)—
(428)48
359
—
(347)287
(2,299)11
Credit derivatives307
(1,152)—
(114)(23)42
—
—
186
(754)(1,086)307
(1,803)—
(82)3
38
—
(35)553
(1,019)(1,272)
Total trading derivatives, net(4)
$(2,229)$(2,328)$—
$214
$(498)$692
$20
$(617)$501
$(4,245)$(1,993)$(2,229)$(3,098)$—
$(109)$(211)$765
$20
$(762)$865
$(4,759)$(1,414)
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$139
$—
$(25)$12
$(62)$40
$—
$(9)$(1)$94
$41
$139
$—
$(29)$15
$(72)$46
$—
$(9)$(1)$89
$49
Residential4
—
1
—
—
25
—
(5)—
25
—
4
—
2
49
—
26
—
(28)—
53
1
Commercial2
—
—
6
(3)—
—
—
—
5
—
2
—
(1)6
(7)—
—
—
—
—
—
Total investment mortgage-backed securities$145
$—
$(24)$18
$(65)$65
$—
$(14)$(1)$124
$41
$145
$—
$(28)$70
$(79)$72
$—
$(37)$(1)$142
$50
U.S. Treasury and federal agency securities$4
$—
$—
$—
$—
$—
$—
$(1)$—
$3
$—
$4
$—
$—
$—
$—
$—
$—
$(2)$—
$2
$—
State and municipal2,192
—
162
391
(783)240
—
(186)—
2,016
118
2,192
—
108
396
(1,121)300
—
(219)—
1,656
45
Foreign government260
—
19
33
—
103
—
(271)(3)141
(106)260
—
5
38
—
145
—
(300)(3)145
1
Corporate603
—
45
5
(45)94
—
(242)—
460
(1)603
—
87
6
(63)506
—
(250)(365)524
1
Equity securities124
—
—
4
—
—
—
—
—
128
—
124
—
11
4
—
—
—
(129)—
10
—
Asset-backed securities596
—
35
—
(23)204
—
(215)—
597
24
596
—
(53)3
(48)325
—
(222)81
682
(35)
Other debt securities—
—
—
—
—
5
—
—
—
5
—
—
—
—
10
—
6
—
(5)—
11
—
Non-marketable equity securities1,135
—
24
51
—
18
—
—
(89)1,139
20
1,135
—
78
104
(23)19
—
(14)(118)1,181
29
Total investments$5,059
$—
$261
$502
$(916)$729
$—
$(929)$(93)$4,613
$96
$5,059
$—
$208
$631
$(1,334)$1,373
$—
$(1,178)$(406)$4,353
$91


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016Dec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2016
Loans$2,166
$—
$(58)$89
$(538)$570
$219
$(675)$(539)$1,234
$(63)$2,166
$—
$31
$113
$(734)$663
$219
$(812)$(564)$1,082
$383
Mortgage servicing rights1,781
—
(362)—
—
—
68
14
(177)1,324
(154)1,781
—
(349)—
—
—
111
(18)(255)1,270
(154)
Other financial assets measured on a recurring basis180
—
33
40
(5)—
130
(124)(143)111
(277)180
—
64
41
(46)1
202
(128)(248)66
(260)
Liabilities      
Interest-bearing deposits$434
$—
$35
$322
$(209)$—
$5
$—
$(84)$433
$39
$434
$—
$76
$322
$(309)$—
$5
$—
$(116)$260
$42
Federal funds purchased and securities loaned or sold under agreements to repurchase1,247
(21)—
—
—
—
—
16
(177)1,107
(25)1,247
(11)—
—
(150)—
—
27
(212)923
(24)
Trading account liabilities      
Securities sold, not yet purchased199
14
—
97
(43)(61)(41)70
(195)12
(29)199
(16)—
118
(85)(70)(41)212
(190)159
(61)
Other Trading Liabilities—
—
—
1
—
—
—
—
—
1
—
Short-term borrowings9
(27)—
17
(4)—
41
—
(37)53
(19)9
(36)—
18
(36)—
56
—
(51)32
2
Long-term debt7,543
(26)—
1,221
(1,843)—
2,872
61
(742)9,138
(86)7,543
(217)—
2,168
(3,393)—
4,591
61
(2,005)9,182
(277)
Other financial liabilities measured on a recurring basis14
—
(7)—
(10)(6)2
—
(2)5
(3)14
—
(33)2
(10)(7)2
—
(2)32
(7)
(1)
Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at JuneSeptember 30, 2016.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.

Level 3 Fair Value Rollforward
TheThere were no significant Level 3 transfers for the period March 31,June 30, 2017 to JuneSeptember 30, 2017:

The following were the significant Level 3 transfers for the period December 31, 2016 to JuneSeptember 30, 2017:

Transfers of Long-term debt of $0.5$0.7 billion from Level 2 to Level 3, and of $1.0 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.

There were no significant Level 3 transfers for the period from March 31, 2016 to June 30, 2016.

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

Transfers of Other trading assets of $1.5 billion from Level 2 to Level 3, and of $1.5 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations.
Transfers of Long-term debt of $1.2 billion from Level 2 to Level 3, and of $1.8 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.
Transfers of Other trading assets of $0.5 billion from Level 2 to Level 3, and of $1.4 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations and significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.

The following were the significant Level 3 transfers for the period June 30, 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 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.

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

Transfers of Trading mortgage-backed securities of $0.8 billion from Level 2 to Level 3, and of $1.3 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 billionfrom Level 2 to Level 3, and of $3.4 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.
Transfers of State and municipalinvestments of $1.1 billion from Level 3 to Level 2, mainly related to changes in the volume of market quotations.








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 June 30, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of September 30, 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$1,002
Model-basedIR Normal Volatility24.54 %80.07%66.85%$664
Model-basedIR Normal Volatility26.85 %77.79%64.45 %
Mortgage-backed securities$496
Yield analysisYield0.88 %11.81%4.13%$480
Price-basedPrice$5.90
$102.90
$73.64
402
Price basedPrice$6.02
$105.10
$70.52
339
Yield AnalysisYield1.55 %13.72%4.96 %
Non-mortgage debt securities$2,417
Price-basedPrice$15.00
$118.96
$94.36
$2,830
Price-basedPrice$21.03
$108.46
$88.99
1,725
Model-basedCredit Spread35 bps
600 bps
242 bps
$1,535
Model-basedCredit Spread35 bps
375 bps
233 bps
  Yield2.17 %16.04%5.92 %
Equity securities(5)
$119
Model-basedPrice$2.50
$1,355.65
$656.24
$156
Price-basedPrice$0.09
$1,402.80
$640.33
115
Price-basedForward Price69.86
134.52
92.90
  Equity Volatility3.00 %47.73%26.01%$80
Model-based 


Asset-backed securities$2,406
Price-basedPrice$8.19
$100.00
$77.97
$2,387
Price-basedPrice$36.50
$100.00
$85.34
Non-marketable equity$495
Comparables analysisEBITDA Multiples6.30x12.10x8.73x$502
Comparable AnalysisEBITDA Multiples7.30x13.3x8.94x
400
Price-basedDiscount to price— %100.00%7.52%283
Price-basedDiscount to price— %100.00%9.71 %
  Price to book ratio0.23x1.03x0.78x  Price to book ratio0.05x1.12x0.85x
Derivatives—gross(6)
      
Interest rate contracts (gross)$3,579
Model-basedIR Normal Volatility0.11 %67.64%55.31%$3,679
Model-basedIR Normal Volatility10.36 %79.60%59.26 %
  Mean Reversion1.00 %20.00%10.50%  Mean Reversion1.00 %20.00%10.50 %
Foreign exchange contracts (gross)$894
Model-basedYield5.62 %14.50%9.30%$906
Model-basedFX Volatility5.98 %20.23%10.45 %
96
Cash flowFX Volatility2.99 %24.51%12.77%

 IR Basis(0.99)%0.38%(0.04)%
  IR-FX Correlation(4.01)%60.00%49.09%  Credit Spread0.00 bps
602 bps
168 bps
  IR-IR Correlation(7.79)%69.65%39.74%  IR-IR Correlation(51.00)%40.00%35.65 %
  Credit Spread22 bps
481 bps
204 bps
  IR-FX Correlation(10.09)%60.00%49.13 %
Equity contracts (gross)$2,946
Model-basedEquity Volatility3.00 %54.46%24.65%$2,977
Model-basedEquity Volatility3.00 %54.00%24.61 %
  Forward Price51.91 %134.52%95.49%  Forward Price69.30 %114.48%94.45 %
Commodity and other contracts (gross)$2,939
Model-basedForward Price41.12 %405.15%141.97 %
  Equity-Equity Correlation(88.92)%92.42%69.78%  Commodity Volatility8.99 %49.49%27.04 %
  Yield Volatility3.25 %12.68%6.41%  Commodity Correlation(38.81)%90.59%37.73 %
  Equity-IR Correlation(35.00)%41.00%33.25%
Commodity and other contracts (gross)$3,024
Model-basedForward Price28.61 %303.76%112.86%
Credit derivatives (gross)$2,840
Model-basedRecovery Rate6.50 %65.00%34.50%$2,187
Model-basedRecovery Rate12.22 %55.00%36.93 %
1,384
Price-basedCredit Correlation5.00 %95.00%35.11%949
Price-basedCredit Correlation10.00 %85.00%42.46 %
  Upfront Points5.00 %98.97%57.17%  Upfront Points10.94 %99.00%68.80 %
  Price$0.01
$239.25
$81.58
  Credit Spread2 bps
1,407 bps
112 bps
  Credit Spread5 bps
10,381 bps
401 bps
  







As of June 30, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of September 30, 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)$18
Model-basedRedemption Rate13.22 %99.50%73.22%$16
Model-basedRedemption Rate10.70 %99.50%74.48 %
  Recovery Rate40.00 %40.00%40.00%
  





Loans and leases$260
Model-basedCredit Spread45 bps
500 bps
71 bps
$388
Model-basedPrice$29.16
$146.83
$137.53
214
Yield analysisYield3.04 %4.54%3.66%
92
Price-based 





150
Price-basedYield2.53 %3.09%3.02 %
Mortgage servicing rights$470
Cash flowYield8.00 %19.93%12.59%$465
Cash flowYield8.00 %18.96%12.59 %
90
Model-basedWAL3.97 years
7.52 years
6.11 years
88
Model-basedWAL4.06 years
7.30 years
6.02 years
Liabilities      
Interest-bearing deposits$300
Model-basedMean Reversion1.00 %20.00%10.50%$300
Model-basedMean Reversion1.00 %20.00%10.50 %
  Yield Volatility3.64 %9.31%7.46%  Forward Price99.08 %99.65%99.13 %
  Equity-IR Correlation27.00 %41.00%31.44%
Federal funds purchased and securities loaned or sold under agreements to repurchase$807
Model-basedInterest Rate0.93 %2.22%2.00%
Federal funds purchased and securities loaned or sold under agreement to repurchase$765
Model-basedInterest Rate1.11 %2.17%2.00 %
Trading account liabilities      
Securities sold, not yet purchased$1,105
Model-basedIR Normal Volatility24.54 %80.07%66.85%$612
Model-basedIR Normal Volatility26.85 %77.79%64.45 %
Short-term borrowings and long-term debt$11,856
Model-basedMean Reversion1.00 %20.00%10.50%$11,377
Model-basedForward Price69.30 %193.63%105.10 %
  Forward Price28.61 %196.94%99.83%
  IR Normal Volatility15.32 %80.07%62.20%
  Equity Volatility3.00 %47.73%23.47%
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets        
Federal funds sold and securities borrowed or purchased under agreements to resell$1,496
Model-basedIR Log-Normal Volatility12.86 %75.50 %61.73 %$1,496
Model-basedIR Log-Normal Volatility12.86 %75.50 %61.73 %
  Interest Rate(0.51)%5.76 %2.80 %  Interest Rate(0.51)%5.76 %2.80 %
Mortgage-backed securities$509
Price-basedPrice$5.50
$113.48
$61.74
$509
Price-basedPrice$5.50
$113.48
$61.74
368
Yield analysisYield1.90 %14.54 %4.34 %368
Yield analysisYield1.90 %14.54 %4.34 %
State and municipal, foreign government, corporate and other debt securities$3,308
Price-basedPrice$15.00
$103.60
$89.93
$3,308
Price-basedPrice$15.00
$103.60
$89.93
1,513
Cash flowCredit Spread35 bps
600 bps
230 bps
1,513
Cash flowCredit Spread35 bps
600 bps
230 bps
Equity securities(5)
$69
Model-basedPrice$0.48
$104.00
$22.19
$69
Model-basedPrice$0.48
$104.00
$22.19
58
Price-based 





58
Price-based 





Asset-backed securities$2,454
Price-basedPrice$4.00
$100.00
$71.51
$2,454
Price-basedPrice$4.00
$100.00
$71.51
Non-marketable equity$726
Price-basedDiscount to Price— %90.00 %13.36 %$726
Price-basedDiscount to Price— %90.00 %13.36 %
565
Comparables analysisEBITDA Multiples6.80x10.10x8.62x565
Comparables analysisEBITDA Multiples6.80x10.10x8.62x
  Price-to-Book Ratio0.32x1.03x0.87x  Price-to-Book Ratio0.32x1.03x0.87x
  Price$—
$113.23
$54.40
  Price$—
$113.23
$54.40
Derivatives—gross(6)
      
Interest rate contracts (gross)$4,897
Model-basedIR Log-Normal Volatility1.00 %93.97 %62.72 %$4,897
Model-basedIR Log-Normal Volatility1.00 %93.97 %62.72 %
  Mean Reversion1.00 %20.00 %10.50 %  Mean Reversion1.00 %20.00 %10.50 %
Foreign exchange contracts (gross)$1,110
Model-basedForeign Exchange (FX) Volatility1.39 %26.85 %15.18 %$1,110
Model-basedForeign Exchange (FX) Volatility1.39 %26.85 %15.18 %
134
Cash flowIR Basis(0.85)%(0.49)%(0.84)%134
Cash flowIR Basis(0.85)%(0.49)%(0.84)%
  Credit Spread4 bps
657 bps
266 bps
  Credit Spread4 bps
657 bps
266 bps
  IR-IR Correlation40.00 %50.00 %41.27 %
  IR-FX Correlation16.41 %60.00 %49.52 %
Equity contracts (gross)(7)
$2,701
Model-basedEquity Volatility3.00 %97.78 %29.52 %
  Forward Price69.05 %144.61 %94.28 %
  Equity-FX Correlation(60.70)%28.20 %(26.28)%
  Equity-IR Correlation(35.00)%41.00 %(15.65)%


As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
  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 %  Yield Volatility3.55 %14.77 %9.29 %
  Equity-Equity Correlation(87.70)%96.50 %67.45 %  Equity-Equity Correlation(87.70)%96.50 %67.45 %
Commodity contracts (gross)$2,955
Model-basedForward Price35.74 %235.35 %119.99 %$2,955
Model-basedForward Price35.74 %235.35 %119.99 %
  Commodity Volatility2.00 %32.19 %17.07 %  Commodity Volatility2.00 %32.19 %17.07 %
  Commodity Correlation(41.61)%90.42 %52.85 %  Commodity Correlation(41.61)%90.42 %52.85 %
Credit derivatives (gross)$2,786
Model-basedRecovery Rate20.00 %75.00 %39.75 %$2,786
Model-basedRecovery Rate20.00 %75.00 %39.75 %
1,403
Price-basedCredit Correlation5.00 %90.00 %34.27 %1,403
Price-basedCredit Correlation5.00 %90.00 %34.27 %
  Upfront Points6.00 %99.90 %72.89 %  Upfront Points6.00 %99.90 %72.89 %
  Price$1.00
$167.00
$77.35
  Price$1.00
$167.00
$77.35
  Credit Spread3 bps
1,515 bps
256 bps
  Credit Spread3 bps
1,515 bps
256 bps
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$42
Model-basedRecovery Rate40.00 %40.00 %40.00 %$42
Model-basedRecovery Rate40.00 %40.00 %40.00 %
  Redemption Rate3.92 %99.58 %74.69 %  Redemption Rate3.92 %99.58 %74.69 %
  Upfront Points16.00 %20.50 %18.78 %  Upfront Points16.00 %20.50 %18.78 %
Loans$258
Price-basedPrice$31.55
$105.74
$56.46
$258
Price-basedPrice$31.55
$105.74
$56.46
221
Yield analysisYield2.75 %20.00 %11.09 %221
Yield analysisYield2.75 %20.00 %11.09 %
79
Model-based  79
Model-based  
Mortgage servicing rights$1,473
Cash flowYield4.20 %20.56 %9.32 %$1,473
Cash flowYield4.20 %20.56 %9.32 %
  WAL3.53 years
7.24 years
5.83 years
  WAL3.53 years
7.24 years
5.83 years
Liabilities      
Interest-bearing deposits$293
Model-basedMean Reversion1.00 %20.00 %10.50 %$293
Model-basedMean Reversion1.00 %20.00 %10.50 %
  Forward Price98.79 %104.07 %100.19 %  Forward Price98.79 %104.07 %100.19 %
Federal funds purchased and securities loaned or sold under agreements to repurchase$849
Model-basedInterest Rate0.62 %2.19 %1.99 %$849
Model-basedInterest Rate0.62 %2.19 %1.99 %
Trading account liabilities      
Securities sold, not yet purchased$1,056
Model-basedIR Normal Volatility12.86 %75.50 %61.73 %$1,056
Model-basedIR Normal Volatility12.86 %75.50 %61.73 %
Short-term borrowings and long-term debt$9,774
Model-basedMean Reversion1.00 %20.00 %10.50 %$9,774
Model-basedMean Reversion1.00 %20.00 %10.50 %
  Commodity Correlation(41.61)%90.42 %52.85 %  Commodity Correlation(41.61)%90.42 %52.85 %
  Commodity Volatility2.00 %32.19 %17.07 %  Commodity Volatility2.00 %32.19 %17.07 %
  Forward Price69.05 %235.35 %103.28 %  Forward Price69.05 %235.35 %103.28 %
(1)The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Some inputs are shown as zero due to rounding.
(3)When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
(4)Weighted averages are calculated based on the fair values of the instruments.
(5)For equity securities, the price 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:
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
June 30, 2017 
September 30, 2017 
Loans held-for-sale(1)
$3,398
$1,814
$1,584
$3,211
$1,039
$2,172
Other real estate owned63
12
51
52
9
43
Loans(2)
863
308
555
718
267
451
Total assets at fair value on a nonrecurring basis$4,324
$2,134
$2,190
$3,981
$1,315
$2,666
In millions of dollarsFair valueLevel 2Level 3
December 31, 2016   
Loans held-for-sale(1)
$5,802
$3,389
$2,413
Other real estate owned75
15
60
Loans(2)
1,376
586
790
Total assets at fair value on a nonrecurring basis$7,253
$3,990
$3,263
(1)
Net of fair value amounts on the unfunded portion of loans held-for-sale, recognized as otherOther liabilities on the Consolidated Balance Sheet.
(2)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.




Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:

As of June 30, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
As of September 30, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$1,510
Price-basedPrice$0.88
$100.00
$93.68
$2,114
Price-basedPrice$87.73
$100.00
$98.96
Other real estate owned$50
Price-based
Discount to price(4)
0.34%0.34%0.34%$41
Price-basedAppraised Value$20,291
$4,491,044
$1,967,435
  Appraised value$20,372
$4,491,044
$2,018,801
  Discount to price34.00%34.00%34.00%
  Price$54.61
$85.81
$58.74
  Price$30.00
$54.49
$53.48
Loans(5)
$237
Price-basedPrice$2.85
$58.00
$48.70
$231
Recovery AnalysisRecovery Rate48.00%91.97%65.20%
181
Recovery AnalysisAppraised Value$39.47
$89.20
$76.84
155
CashflowAppraised Value$70.00
$88.05
$79.61
50
Price-basedPrice$2.75
$100.00
$128.92
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$2,413
Price-basedPrice$—
$100.00
$93.08
Other real estate owned$59
Price-based
Discount to price(4)
0.34%13.00%3.10%
 

 Price$64.65
$74.39
$66.21
Loans(5)
$431
Cash flowPrice$3.25
$105.00
$59.61
 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.
(4)Includes estimated costs to sell.
(5)Represents impaired loans held for investment whose carrying amounts are based on the fair value of the underlying collateral, primarily real estate.


Nonrecurring Fair Value Changes
The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:
Three Months Ended June 30,Three Months Ended September 30,
In millions of dollars2017201620172016
Loans held-for-sale$(5)$(35)$10
$(17)
Other real estate owned(3)(4)(4)(4)
Loans(1)
(30)(48)(66)(42)
Other assets(2)
—
(23)
Total nonrecurring fair value gains (losses)$(38)$(110)$(60)$(63)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.
(2)Represents net impairment losses related to an equity investment.


 
Six Months Ended June 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Loans held-for-sale$(5)$(32)$11
$(15)
Other real estate owned(3)(5)(4)(6)
Loans(1)
(48)(105)(80)(110)
Other assets(2)
—
(211)
Total nonrecurring fair value gains (losses)$(56)$(353)$(73)$(131)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real 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 presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table therefore excludes items measured at fair value on a recurring basis presented in the tables above.

June 30, 2017Estimated fair valueSeptember 30, 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$56.7
$57.0
$0.3
$55.1
$1.6
$58.1
$58.6
$0.3
$56.3
$2.0
Federal funds sold and securities borrowed or purchased under agreements to resell91.2
91.2
—
86.1
5.1
96.3
96.3
—
90.7
5.6
Loans(1)(2)
626.7
622.0
—
5.8
616.2
634.7
635.8
—
5.8
630.0
Other financial assets(2)(3)
256.0
256.5
6.7
179.6
70.2
251.2
251.7
7.2
179.2
65.3
Liabilities  
Deposits$957.4
$955.1
$—
$811.6
$143.5
$962.5
$960.3
$—
$819.1
$141.2
Federal funds purchased and securities loaned or sold under agreements to repurchase109.9
109.9
—
109.9
—
116.0
116.0
—
116.0
—
Long-term debt(4)
196.2
203.7
—
175.1
28.6
201.8
210.5
—
178.8
31.7
Other financial liabilities(5)
124.5
124.5
—
15.4
109.1
128.3
128.3
—
15.4
112.9

 December 31, 2016Estimated fair value
 
Carrying
value
Estimated
fair value
   
In billions of dollarsLevel 1Level 2Level 3
Assets     
Investments$52.1
$52.0
$0.8
$48.6
$2.6
Federal funds sold and securities borrowed or purchased under agreements to resell103.6
103.6
—
98.5
5.1
Loans(1)(2)
607.0
607.3
—
7.0
600.3
Other financial assets(2)(3)
215.2
215.9
8.2
153.6
54.1
Liabilities     
Deposits$928.2
$927.6
$—
$789.7
$137.9
Federal funds purchased and securities loaned or sold under agreements to repurchase108.2
108.2
—
107.8
0.4
Long-term debt(4)
179.9
185.5
—
156.5
29.0
Other financial liabilities(5)
115.3
115.3
—
16.2
99.1
(1)
The carrying value of loans is net of the Allowance for loan losses of $12.0$12.4 billion for JuneSeptember 30, 2017 and $12.1 billion for December 31, 2016. In addition, the carrying values exclude $1.8 billion and $1.9 billion of lease finance receivables at JuneSeptember 30, 2017 and December 31, 2016, respectively.
(2)Includes items measured at fair value on a nonrecurring basis.
(3)
Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(4)The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)
Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

The estimated fair values of the Company’s corporate unfunded lending commitments at JuneSeptember 30, 2017 and December 31, 2016 were liabilities of $2.4$2.7 billion and $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.
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)Changes in fair value—gains (losses)
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20172016201720162017201620172016
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell—selected portfolios$(58)$19
$(91)$47
$(17)$(54)$(108)$(7)
Trading account assets232
(320)662
(62)581
571
1,243
509
Investments(3)(22)(3)(21)—
(4)(3)(25)
Loans  
  
Certain corporate loans(1)
(5)36
19
60
(61)5
(42)65
Certain consumer loans(1)
2
—
2
(1)1
1
3
—
Total loans$(3)$36
$21
$59
$(60)$6
$(39)$65
Other assets  
  
MSRs$(11)$(137)$56
$(362)$(6)$13
$50
$(349)
Certain mortgage loans held-for-sale(2)
44
91
81
171
34
100
115
271
Other assets—
—
—
370
—
6
—
376
Total other assets$33
$(46)$137
$179
$28
$119
$165
$298
Total assets$201
$(333)$726
$202
$532
$638
$1,258
$840
Liabilities      
Interest-bearing deposits$(30)$(18)$(44)$(68)$(16)$(16)$(60)$(84)
Federal funds purchased and securities loaned or sold under agreements to repurchase—selected portfolios(527)(2)86
(8)97
32
183
24
Trading account liabilities25
3
51
97
19
4
70
101
Short-term borrowings(99)(114)(80)(34)(30)(173)(110)(207)
Long-term debt(139)(117)(471)(540)(198)(305)(669)(845)
Total liabilities$(770)$(248)$(458)$(553)$(128)$(458)$(586)$(1,011)
(1)Includes mortgage loans held by consolidated mortgage loan securitization VIEs.
(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 using 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 $132 million and a gain of $20 million for the three months ended June 30, 2017 and 2016, and a loss of $227 million and a gain of $327 million for the six months ended June 30, 2017 and 2016, 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.
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 $195 million and $319 million for the three months ended September 30, 2017 and 2016, and a loss of $422 million and a gain of $8 million for the nine months ended September 30, 2017 and 2016, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.

The Fair Value Option for Financial Assets and Financial Liabilities

Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Non-Collateralized Short-Term Borrowings
The Company elected the fair value option for certain portfolios of fixed-income securities purchased under agreements to resell and fixed-income securities sold under agreements to repurchase, securities borrowed, securities loaned and certain non-collateralized short-term borrowings held primarily by broker-dealer entities in the United States, United Kingdom and Japan. In each case, the election was made because the related interest rate risk is managed on a portfolio basis, primarily with offsetting derivative instruments that are accounted for at fair value through earnings.
 
Changes in fair value for transactions in these portfolios are recorded in Principal transactions. The related interest revenue and interest expense are measured based on the contractual rates specified in the transactions and are reported as interest revenue and expense in the Consolidated Statement of Income.

Certain Loans and Other Credit Products
Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.
The following table provides information about certain credit products carried at fair value:
June 30, 2017December 31, 2016September 30, 2017December 31, 2016
In millions of dollarsTrading assetsLoansTrading assetsLoansTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$9,009
$4,216
$9,824
$3,486
$8,926
$4,308
$9,824
$3,486
Aggregate unpaid principal balance in excess of fair value402
3
758
18
518
82
758
18
Balance of non-accrual loans or loans more than 90 days past due—
1
—
1
—
1
—
1
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—
—
1
—
—
—
1


In addition to the amounts reported above, $1,203$653 million and $1,828 million of unfunded commitments related to certain credit products selected for fair value accounting were
outstanding as of JuneSeptember 30, 2017 and December 31, 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 sixnine months ended JuneSeptember 30, 2017 and 2016 due to instrument-specific credit risk totaled to a gain of $25$57 million and $56$83 million, respectively.

Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $0.8 billion and $0.6 billion at JuneSeptember 30, 2017 and December 31, 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 JuneSeptember 30, 2017, there were approximately $16.8$14.4 billion and $13.9$8.8 billion notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.

 
Certain Investments in Private Equity and Real Estate Ventures and Certain Equity Method and Other Investments
Citigroup invests in private equity and real estate ventures for the purpose of earning investment returns and for capital appreciation. The Company has elected the fair value option for certain of these ventures, because such investments are considered similar to many private equity or hedge fund activities in Citi’s investment companies, which are reported at fair value. The fair value option brings consistency in the accounting and evaluation of these investments. All investments (debt and equity) in such private equity and real estate entities are accounted for at fair value. These investments are classified as Investments on Citigroup’s Consolidated Balance Sheet.
Changes in the fair values of these investments are classified in Other revenue in the Company’s Consolidated Statement of Income.
Citigroup also elects the fair value option for certain non-marketable equity securities whose risk is managed with derivative instruments that are accounted for at fair value through earnings. These securities are classified as Trading account assets on Citigroup’s Consolidated Balance Sheet. Changes in the fair value of these securities and the related derivative instruments are recorded in Principal transactions.

Certain Mortgage Loans Held-for-Sale (HFS)
Citigroup has elected the fair value option for certain purchased and originated prime fixed-rate and conforming adjustable-rate first mortgage loans HFS. These loans are intended for sale or securitization and are hedged with derivative instruments. The Company has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications.

The following table provides information about certain mortgage loans HFS carried at fair value:
In millions of dollarsJune 30,
2017		December 31, 2016September 30,
2017		December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$468
$915
$448
$915
Aggregate fair value in excess of unpaid principal balance17
8
15
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 sixnine months ended JuneSeptember 30, 2017 and 2016 due to instrument-specific credit risk. Related interest income continues to be measured based on the contractual interest rates and reported as Interest revenue in the Consolidated Statement of Income.


Certain Structured Liabilities
The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks. The Company elected the fair value option because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (Trading account liabilities) on the Company’s Consolidated Balance Sheet according to their legal form.
The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument:
In billions of dollarsJune 30, 2017December 31, 2016September 30, 2017December 31, 2016
Interest rate linked$12.1
$10.6
$13.1
$10.6
Foreign exchange linked0.2
0.2
0.3
0.2
Equity linked12.0
12.3
11.9
12.3
Commodity linked0.9
0.3
1.2
0.3
Credit linked2.0
0.9
2.3
0.9
Total$27.2
$24.3
$28.8
$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) is 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) is reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions.
Interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income.

The following table provides information about long-term debt carried at fair value:
In millions of dollarsJune 30, 2017December 31, 2016September 30, 2017December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$29,001
$26,254
$30,826
$26,254
Aggregate unpaid principal balance in excess of (less than) fair value866
(128)12
(128)
The following table provides information about short-term borrowings carried at fair value:
In millions of dollarsJune 30, 2017December 31, 2016September 30, 2017December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$4,833
$2,700
$4,827
$2,700
Aggregate unpaid principal balance in excess of (less than) fair value(71)(61)21
(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 26 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at JuneSeptember 30, 2017 and December 31, 2016:

Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at June 30, 2017 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
In billions of dollars at September 30, 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$36.8
$56.4
$93.2
$162
$27.0
$66.2
$93.2
$166
Performance guarantees7.5
3.0
10.5
20
8.0
3.0
11.0
20
Derivative instruments considered to be guarantees14.1
83.6
97.7
806
13.8
86.7
100.5
676
Loans sold with recourse—
0.2
0.2
10
—
0.2
0.2
9
Securities lending indemnifications(1)
97.0
—
97.0
—
106.4
—
106.4
—
Credit card merchant processing(1)(2)
83.8
—
83.8
—
82.6
—
82.6
—
Credit card arrangements with partners0.1
1.3
1.4
206
0.1
1.3
1.4
205
Custody indemnifications and other—
52.0
52.0
59
—
54.6
54.6
59
Total$239.3
$196.5
$435.8
$1,263
$237.9
$212.0
$449.9
$1,135
 Maximum potential amount of future payments 
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$26.0
$67.1
$93.1
$141
Performance guarantees7.5
3.6
11.1
19
Derivative instruments considered to be guarantees7.2
80.0
87.2
747
Loans sold with recourse—
0.2
0.2
12
Securities lending indemnifications(1)
80.3
—
80.3
—
Credit card merchant processing(1)(2)
86.4
—
86.4
—
Credit card arrangements with partners—
1.5
1.5
206
Custody indemnifications and other—
45.4
45.4
58
Total$207.4
$197.8
$405.2
$1,183
(1)The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At JuneSeptember 30, 2017 and December 31, 2016, this maximum potential exposure was estimated to be $84$83 billion and $86 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.










 














Loans sold with recourse
Loans sold with recourse represent Citi’s obligations to
reimburse the buyers for loan losses under certain
circumstances. Recourse refers to the clause in a sales
agreement under which a seller/lender will fully reimburse
the buyer/investor for any losses resulting from the
purchased loans. This may be accomplished by the seller
taking back any loans that become delinquent.
In addition to the amounts shown in the tables above,
Citi has recorded a repurchase reserve for its potential
repurchases or make-whole liability regarding residential
mortgage representation and warranty claims related to its
whole loan sales to the U.S. government-sponsored
enterprises (GSEs) and, to a lesser extent, private investors.
The repurchase reserve was approximately $75$72 million and
$107 million at JuneSeptember 30, 2017 and December 31, 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 JuneSeptember 30, 2017 and December 31, 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 JuneSeptember 30, 2017 or
December 31, 2016 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 certain insurance and annuity subsidiaries to MetLife Inc. (MetLife), the Company provided an indemnification 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 subsidiaries 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 $7.3$7.4 billion at JuneSeptember 30, 2017, compared to $7.0 billion at December 31, 2016) is designed to cover Genworth’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 Genworth fails to perform under the reinsurance agreement for any reason, including insolvency, and the assets in the two trusts are insufficient or unavailable to MetLife, then Citi must reimburse 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 MetLife pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no liability reflected in the Consolidated Balance Sheet as of JuneSeptember 30, 2017 and December 31, 2016 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 parties (CCP) for clients that need to clear exchange-traded and over-the-counter (OTC) derivatives contracts with CCPs. Based on all relevant facts and circumstances, Citi has concluded that it acts as an agent for accounting purposes in its role as clearing member for these client transactions. As such, Citi does not reflect the underlying exchange-traded 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 payables (payables to customers) and Brokerage receivables (receivables from brokers, dealers and clearing organizations) or Cash and due from banks, respectively..
However, for exchange-traded and OTC-cleared derivatives contracts where Citi does not obtain benefits from or control the client cash balances, the client cash initial margin collected from clients and remitted to the CCP or depository institutions is not reflected on Citi’s Consolidated Balance Sheet. These conditions are met when Citi has contractually agreed with the client that (i) Citi will pass through to the client all interest paid by the CCP or depository institutions on the cash initial margin; (ii) Citi will not utilize its right as a clearing member to transform cash margin into other assets; (iii) Citi does not guarantee and is not liable to the client for the performance of the CCP or the depository institutioninstitution; and (iv) the client cash balances are legally isolated from Citi’s bankruptcy estate. The total amount of cash initial margin collected and remitted in this manner was approximately $10.2$10.6 billion and $9.4 billion as of JuneSeptember 30, 2017 and December 31, 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 JuneSeptember 30, 2017 and December 31, 2016, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately $1.3$1.1 billion and $1.2 billion.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 $57$65 billion and $45$48 billion at JuneSeptember 30, 2017 and December 31, 2016, respectively. Securities and other marketable assets held as collateral amounted to $43$53 billion and $38$41 billion at JuneSeptember 30, 2017 and December 31, 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 $5.4 billion at both JuneSeptember 30, 2017 and December 31, 2016. 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. 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 paymentsMaximum potential amount of future payments
In billions of dollars at June 30, 2017
Investment
grade
Non-investment
grade
Not
rated
Total
In billions of dollars at September 30, 2017
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$67.0
$12.3
$13.9
$93.2
$65.9
$13.2
$14.1
$93.2
Performance guarantees6.8
2.9
0.8
10.5
7.2
3.0
0.8
11.0
Derivative instruments deemed to be guarantees—
—
97.7
97.7
—
—
100.5
100.5
Loans sold with recourse—
—
0.2
0.2
—
—
0.2
0.2
Securities lending indemnifications—
—
97.0
97.0
—
—
106.4
106.4
Credit card merchant processing—
—
83.8
83.8
—
—
82.6
82.6
Credit card arrangements with partners—
—
1.4
1.4
—
—
1.4
1.4
Custody indemnifications and other51.5
0.3
0.2
52.0
54.3
0.3
—
54.6
Total$125.3
$15.5
$295.0
$435.8
$127.4
$16.5
$306.0
$449.9

 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.
June 30,
2017
December 31,
2016
U.S.
Outside of 
U.S.
September 30,
2017
December 31,
2016
Commercial and similar letters of credit$913
$4,275
$5,188
$5,736
$756
$4,297
$5,053
$5,736
One- to four-family residential mortgages1,589
1,681
3,270
2,838
1,352
1,831
3,183
2,838
Revolving open-end loans secured by one- to four-family residential properties11,487
1,551
13,038
13,405
11,137
1,508
12,645
13,405
Commercial real estate, construction and land development10,816
1,394
12,210
10,781
9,166
1,973
11,139
10,781
Credit card lines577,326
98,938
676,264
664,335
579,285
100,624
679,909
664,335
Commercial and other consumer loan commitments168,318
95,569
263,887
259,934
167,736
95,939
263,675
259,934
Other commitments and contingencies2,163
9,371
11,534
11,267
2,115
1,325
3,440
3,202
Total$772,612
$212,779
$985,391
$968,296
$771,547
$207,497
$979,044
$960,231

The majority of unused commitments are contingent upon customers maintaining specific credit standards.
Commercial commitments generally have floating interest rates and fixed expiration dates and may require payment of fees. Such fees (net of certain direct costs) are deferred and, upon exercise of the commitment, amortized over the life of
the loan or, if exercise is deemed remote, amortized over the commitment period.

Other commitments and contingencies
Other commitments and contingencies include all other transactions related to commitments and contingencies not reported on the lines above.

Unsettled reverse repurchase and securities lending agreements and unsettled repurchase and securities borrowing agreements
In addition, in the normal course of business, Citigroup enters into reverse repurchase and securities borrowing agreements, as well as repurchase and securities lending agreements, which settle at a future date. At September 30, 2017, and December 31, 2016, Citigroup had $44.8 billion and $43.1 billion of unsettled reverse repurchase and securities borrowing agreements, respectively, and $23.9 billion and $14.9 billion of unsettled repurchase and securities lending agreements, respectively. For a further discussion of securities purchased under agreements to resell and securities borrowed, and securities sold under agreements to repurchase and securities loaned, including the Company’s policy for offsetting repurchase and reverse repurchase agreements, see Note 10.









23.   CONTINGENCIES

The following information supplements and amends, as applicable, the disclosures in Note 23 to the Consolidated Financial Statements of each of Citigroup’s First Quarter of 2017 Form 10-Q and Second Quarter of 2017 Form 10-Q and Note 27 to the Consolidated Financial Statements of Citigroup’s 2016 Annual Report on Form 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 has 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 JuneSeptember 30, 2017, Citigroup’s estimate of the reasonably possible unaccrued loss for these matters ranges up towas materially unchanged from the estimate of approximately $1.5 billion in the aggregate.aggregate as of June 30, 2017.
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 27 to the Consolidated Financial Statements of Citigroup’s 2016 Annual Report on Form 10-K.

Credit Crisis-Related Litigation and Other Matters
Mortgage-Related Litigation and Other Matters
Mortgage BackedMortgage-Backed Securities Trustee Actions:
Actions:On May 23,July 28, 2017, Citibank filed an appeal with the plaintiffs cross-moved for partial summary judgmentNew York State Supreme Court Appellate Division, First Department, appealing the portions of the June 27, 2017 New York State Supreme Court decision in FIXED INCOME SHARES: SERIES M, ET AL. v. CITIBANK, N.A. Additional information concerning this action is publicly available in court filings under the docket number 14-cv-9373 (S.D.N.Y.) (Furman, J.).
On June 27, 2017, the court granted in part and denied in part Citibank’sdenying its motion to dismiss the amended complaint in FIXED INCOME SHARES: SERIES M ET AL. v. CITIBANK N.A., pending in New York State Supreme Court.dismiss. Additional information concerning this action is publicly available in court filings under the docket number 653891/2015 (N.Y. Sup. Ct.) (Ramos, J.).

Lehman Brothers Bankruptcy Proceedings
On July 11,September 29, 2017, Lehman Brothers Holdings Inc. (LBHI) filed a motion for approval of a global settlement in FEDERAL DEPOSIT INSURANCE CORPORATION AS RECEIVER FOR GUARANTY BANKLEHMAN BROTHERS HOLDINGS INC. ET AL. v. CITIBANK, N.A., ET AL. As part of the court denied plaintiff’s motion for reconsideration but grantedglobal settlement, Citibank will retain $350 million from LBHI’s deposit at Citibank and return to LBHI and its affiliates all of the plaintiff leaveremaining deposited funds. In addition, LBHI will withdraw its remaining objections to amend the complaint within 90 days to establishbankruptcy claims filed by Citibank and its standing to sue.affiliates. Additional information concerning this action is publicly available in court filings under the docket number 15-cv-6574 (S.D.N.Y.numbers 12-01044 and 08-13555 (Bankr. S.D.N.Y.) (Carter,(Chapman, J.).

Credit Default Swaps Matters
Antitrust and Other Litigation: On June 8, 2017, a complaint was filed in the United States District Court for the Southern District of New York against numerous credit default swap (CDS) market participants, including Citigroup, Citibank, CGMI and CGML, under the caption TERA GROUP, INC., ET AL. v. CITIGROUP INC., ET AL. The complaint alleges that defendants colluded to prevent plaintiffs’ electronic CDS trading platform, TeraExchange, from entering the market, resulting in lost profits to plaintiffs.  The complaint asserts federal and state antitrust claims, and claims for unjust enrichment and tortious interference with business relations.  Plaintiffs are seeking a finding of joint and several liability, treble damages, attorneys’ fees, pre and post judgment interest and a permanent injunction. Additional information concerning this action is publicly available in court filings under the docket number 17-cv-04302 (S.D.N.Y.) (Sullivan, J.).



Foreign Exchange Matters
Antitrust and Other Litigation: On May 5,August 3, 2017, in NYPL v. JPMORGAN CHASE & CO., ET AL., the court ruled that plaintiffs movedsufficiently alleged in their proposed amended complaint that they suffered antitrust injury and are appropriate plaintiffs to bring the suit. On August 10, 2017, plaintiffs filed an amended complaint. On August 24, 2017, defendants filed a renewed motion to dismiss or to certify the court’s ruling for leave to amend their previously dismissed complaint, which defendants opposed on June 14, 2017.interlocutory appeal. Additional information concerning this action is publicly available in court filings under the docket numbers 15 Civ. 2290 (N.D. Cal.) (Chhabria, J.) and 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).
On April 28,August 11, 2017, plaintiffs voluntarily dismissed theirdefendants filed a motion to dismiss plaintiffs’ consolidated amended complaintcomplaints in BAKER ET AL. v. BANK OF AMERICA CORPORATION ET AL. On April 28 and June 10, 2017, plaintiffs (including certain of the Baker plaintiffs) filed two new putative class action suits, captioned CONTANT ET AL. v. BANK OF AMERICA CORPORATION ET AL. and LAVENDER ET AL. v. BANK OF AMERICA CORPORATION ET AL; respectively, against various financial institutions, including Citigroup, Citibank, Citicorp, and CGMI. The suits were filed on behalf of purported classes of indirect purchasers of FX instruments sold by the defendants. Plaintiffs in each case allege that defendants engaged in a conspiracy to fix currency prices in violation of the Sherman Act and various state antitrust laws, and seek unspecified money damages (including treble damages), as well as equitable and injunctive relief. On June 30, 2017, the CONTANT and LAVENDER plaintiffs filed a consolidated class action complaint in CONTANT.AL. Additional information concerning these actions is publicly available in court filings under the


docket numbers 16 Civ. 7512 (S.D.N.Y.) (Schofield, J.), 17 Civ. 4392 (S.D.N.Y.) (Schofield, J.), and 17 Civ. 3139 (S.D.N.Y.) (Schofield, J.).
On July 11,August 18, 2017, in NEGRETE v. CITIBANK, N.A., the court deniedparties stipulated to voluntary dismissal of plaintiffs’ motion for entry of final judgment as to the claimssole remaining claim that was not dismissed in the court’s February 27, 2017 order. On September 7, 2017, plaintiffs filed a notice of appeal to the United States Court of Appeals for the Second Circuit. Additional information concerning this action is publicly available in court filings under the docket numbernumbers 15 Civ. 7250 (S.D.N.Y.) (Sweet, J.) and 17-2783 (2d Cir.).
On July 12,September 11, 2017, a putative class action captionedin ALPARI (US), LLC v. CITIGROUP INC. AND CITIBANK, N.A. was, plaintiff filed a notice of dismissal, dismissing its case against Citigroup and Citibank in its entirety without prejudice. The court approved the United States District Court fordismissal on September 12, 2017 and ordered the Southern District of New York. Plaintiff asserts claims for breach of contract and unjust enrichment arising out of alleged cancellation of electronic FX transactions and seeks damages, restitution, injunctive relief, and attorneys’ fees.case closed. Additional information concerning this action is publicly available in court filings under the docket number 17 Civ. 5269 (S.D.N.Y.).

Interbank Offered Rates-Related Litigation and Other
Matters
Antitrust and Other Litigation: In MayOn August 31, 2017, plaintiffsthe court granted preliminary approval to a $130 million settlement with Citigroup and Citibank and the largest plaintiffs’ class in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION, (thewhich consists of investors who purchased over-the-counter (OTC) derivatives from USD LIBOR MDL)panel banks. On October 11, 2017, the second largest plaintiffs’ class, made up of investors who traded Eurodollar futures and options on exchanges, filed motions to certify proposed classes in the over-the-counter (OTC), exchange-based,a motion for preliminary approval of settlements with certain defendants, including Citigroup and lender class actions. On June 8, 2017, Judge Buchwald entered partial final judgment for the OTC plaintiffs, allowing them to appeal parts of the court’s December 20, 2016 decision to the United States Court of Appeals for the Second Circuit.Citibank. Additional information concerning these actions is publicly available in court filings
under the docket number 11 MD 2262 (S.D.N.Y.) (Buchwald, J.).
The Schwab plaintiffs, whose claims were dismissed in their entirety in December 2016, filed a notice of appeal to the Second Circuit on May 12, 2017. Additional information concerning this actionand related actions and appeals is publicly available in court filings under the docket numbernumbers 11 MD 2262 (S.D.N.Y.) (Buchwald, J.) and 17-1569 (2d Cir.).
On April 27,August 18, 2017, in FRONTPOINT ASIAN EVENT DRIVEN FUND, LTD ET AL. v. CITIBANK, N.A. ET AL., the court held oral argument ongranted in part the defendants’ motionsmotion to dismiss. The court indicated at argument that it intendsdismissed all claims against foreign bank defendants, antitrust claims asserted by one of the two named plaintiffs, and all RICO, implied covenant, and unjust enrichment claims. The court allowed one antitrust claim to proceed against the U.S. bank defendants, including Citigroup and Citibank. Plaintiffs filed an amended complaint on September 18, 2017. On October 18, 2017, defendants filed a motion to dismiss most of the plaintiffs’ claims with leave to replead some claims.amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 5263 (S.D.N.Y.) (Hellerstein, J.).

Interest Rate Swaps
Sovereign Securities Matters
Antitrust and Other Litigation: LitigationOn July 28, 2017, in: In IN RE INTEREST RATE SWAPSTREASURY SECURITIES AUCTION ANTITRUST LITIGATION, the court ruled on defendants’ motionspursuant to dismiss, granting them in part and denying them in part.a court-ordered stipulation, plaintiffs will file a consolidated amended complaint by November 15, 2017. Additional information concerning this action is publicly available in court filings under the docket number 1615 MD 27042673 (S.D.N.Y.) (Engelmayer,(Gardephe, J.).

Money Laundering Inquiries
Regulatory Actions: As previously announced, on May 22,On October 6, 2017, the United States Department of Justice, Citigroup, and Citigroup’s subsidiary, Banamex, USA (BUSA), announced a settlement of all remaining open inquiries conducted jointly by the Department and the U.S. Attorney’s Office for the District of Massachusetts concerning the Bank Secrecy Act and anti-money laundering compliance of Citigroup and related entities, including BUSA. The settlement includes a non-prosecution agreement and forfeiture amount of approximately $97 million.

Sovereign Securities Matters
Antitrust and Other Litigation: On July 14, 2017, defendants, including Citigroup and Related Parties, moved to dismiss the consolidated amended complaintplaintiffs in IN RE SSA BONDS ANTITRUST LITIGATION.LITIGATION filed a motion for leave to amend their complaint, along with a proposed second amended complaint. Additional information relating toconcerning this action is publicly available in court filings under the docket number 16 Civ. 03711 (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 sixnine months ended JuneSeptember 30, 2017 and 2016, Condensed Consolidating Balance Sheet as of JuneSeptember 30, 2017 and December 31, 2016 and Condensed Consolidating Statement of Cash Flows for the sixnine months ended JuneSeptember 30, 2017 and 2016 for Citigroup Inc., the parent holding company (Citigroup parent company), CGMHI, other Citigroup subsidiaries and eliminations and total consolidating adjustments. “Other Citigroup subsidiaries and eliminations” includes all other subsidiaries of Citigroup, intercompany eliminations and income (loss) from discontinued operations. “Consolidating adjustments” includes Citigroup parent company elimination of distributed and undistributed income of subsidiaries and investment in subsidiaries.
 
These Condensed Consolidating Financial Statements have been prepared and presented in accordance with SEC Regulation S-X Rule 3-10, “Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered.”
These Condensed Consolidating Financial Statements schedules are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole.















Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended June 30, 2017Three Months Ended September 30, 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$2,515
 $—
 $—
 $(2,515) $—
$5,360
 $—
 $—
 $(5,360) $—
Interest revenue(1) 1,404
 13,798
 —
 15,201
—
 1,439
 14,382
 —
 15,821
Interest revenue—intercompany1,076
 377
 (1,453) —
 —
1,040
 313
 (1,353) —
 —
Interest expense1,136
 546
 2,354
 —
 4,036
1,195
 642
 2,542
 —
 4,379
Interest expense—intercompany263
 653
 (916) —
 —
240
 581
 (821) —
 —
Net interest revenue$(324) $582
 $10,907
 $—
 $11,165
$(395) $529
 $11,308
 $—
 $11,442
Commissions and fees$—
 $1,279
 $1,658
 $—
 $2,937
$—
 $1,284
 $1,647
 $—
 $2,931
Commissions and fees—intercompany(1) 108
 (107) —
 —
—
 13
 (13) —
 —
Principal transactions1,122
 398
 1,042
 —
 2,562
610
 688
 872
 —
 2,170
Principal transactions—intercompany396
 290
 (686) —
 —
168
 (249) 81
 —
 —
Other income(1,601) 87
 2,751
 —
 1,237
(860) 649
 1,841
 —
 1,630
Other income—intercompany161
 (7) (154) —
 —
33
 (21) (12) —
 —
Total non-interest revenues$77
 $2,155
 $4,504
 $—
 $6,736
$(49) $2,364
 $4,416
 $—
 $6,731
Total revenues, net of interest expense$2,268
 $2,737
 $15,411
 $(2,515) $17,901
$4,916
 $2,893
 $15,724
 $(5,360) $18,173
Provisions for credit losses and for benefits and claims$—
 $1
 $1,716
 $—
 $1,717
$—
 $(1) $2,000
 $—
 $1,999
Operating expenses
 
 
 
 

 
 
 
 
Compensation and benefits$(1) $1,212
 $4,252
 $—
 $5,463
$(3) $1,104
 $4,203
 $—
 $5,304
Compensation and benefits—intercompany20
 —
 (20) —
 —
46
 —
 (46) —
 —
Other operating(344) 443
 4,944
 —
 5,043
(17) 457
 4,427
 —
 4,867
Other operating—intercompany10
 502
 (512) —
 —
8
 517
 (525) —
 —
Total operating expenses$(315) $2,157
 $8,664
 $—
 $10,506
$34
 $2,078
 $8,059
 $—
 $10,171
Equity in undistributed income of subsidiaries$1,183
 $—
 $—
 $(1,183) $—
$(1,015) $—
 $—
 $1,015
 $—
Income (loss) from continuing operations before income taxes$3,766
 $579
 $5,031
 $(3,698) $5,678
$3,867
 $816
 $5,665
 $(4,345) $6,003
Provision (benefit) for income taxes(106) 261
 1,640
 —
 1,795
(266) 324
 1,808
 —
 1,866
Income from continuing operations$3,872
 $318
 $3,391
 $(3,698) $3,883
Income from discontinued operations, net of taxes—
 —
 21
 —
 21
Income (loss) from continuing operations$4,133
 $492
 $3,857
 $(4,345) $4,137
Loss from discontinued operations, net of taxes—
 —
 (5) —
 (5)
Net income before attribution of noncontrolling interests$3,872
 $318
 $3,412
 $(3,698) $3,904
$4,133
 $492
 $3,852
 $(4,345) $4,132
Noncontrolling interests—
 —
 32
 —
 32
—
 —
 (1) —
 (1)
Net income$3,872
 $318
 $3,380
 $(3,698) $3,872
Net income (loss)$4,133
 $492
 $3,853
 $(4,345) $4,133
Comprehensive income

 

 

 

 



 

 

 

 

Add: Other comprehensive income (loss)$514
 $(38) $(155) $193
 $514
$8
 $(84) $(762) $846
 $8
Total Citigroup comprehensive income$4,386
 $280
 $3,225
 $(3,505) $4,386
Total Citigroup comprehensive income (loss)$4,141
 $408
 $3,091
 $(3,499) $4,141
Add: Other comprehensive income attributable to noncontrolling interests$—

$—

$39
 $—
 $39
$—

$—

$12
 $—
 $12
Add: Net income attributable to noncontrolling interests—

—

32
 —
 32
—

—

(1) —
 (1)
Total comprehensive income$4,386
 $280
 $3,296
 $(3,505) $4,457
Total comprehensive income (loss)$4,141
 $408
 $3,102
 $(3,499) $4,152



Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended June 30, 2016Three Months Ended September 30, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$2,900
 $—
 $—
 $(2,900) $—
$4,000
 $—
 $—
 $(4,000) $—
Interest revenue1
 1,251
 13,104
 —
 14,356
2
 1,158
 13,493
 —
 14,653
Interest revenue—intercompany668
 139
 (807) —
 —
695
 148
 (843) —
 —
Interest expense1,094
 401
 1,625
 —
 3,120
1,102
 345
 1,727
 —
 3,174
Interest expense—intercompany38
 416
 (454) —
 —
61
 401
 (462) —
 —
Net interest revenue$(463) $573
 $11,126
 $—
 $11,236
$(466) $560
 $11,385
 $—
 $11,479
Commissions and fees$—
 $1,119
 $1,606
 $—
 $2,725
$—
 $1,062
 $1,582
 $—
 $2,644
Commissions and fees—intercompany(17) (24) 41
 —
 —
—
 63
 (63) —
 —
Principal transactions(186) 2,394
 (392) —
 1,816
(1,103) 1,600
 1,741
 —
 2,238
Principal transactions—intercompany(217) (1,791) 2,008
 —
 —
977
 (470) (507) —
 —
Other income(585) 51
 2,305
 —
 1,771
482
 51
 866
 —
 1,399
Other income—intercompany736
 339
 (1,075) —
 —
(501) 51
 450
 —
 —
Total non-interest revenues$(269) $2,088
 $4,493
 $—
 $6,312
$(145) $2,357
 $4,069
 $—
 $6,281
Total revenues, net of interest expense$2,168
 $2,661
 $15,619
 $(2,900) $17,548
$3,389
 $2,917
 $15,454
 $(4,000) $17,760
Provisions for credit losses and for benefits and claims$—
 $—
 $1,409
 $—
 $1,409
$—
 $—
 $1,736
 $—
 $1,736
Operating expenses
 
 
 
 

 
 
 
 
Compensation and benefits$(16) $1,202
 $4,043
 $—
 $5,229
$26
 $1,150
 $4,027
 $—
 $5,203
Compensation and benefits—intercompany23
 —
 (23) —
 —
8
 —
 (8) —
 —
Other operating213
 412
 4,515
 —
 5,140
(103) 444
 4,860
 —
 5,201
Other operating—intercompany79
 322
 (401) —
 —
133
 379
 (512) —
 —
Total operating expenses$299
 $1,936
 $8,134
 $—
 $10,369
$64
 $1,973
 $8,367
 $—
 $10,404
Equity in undistributed income of subsidiaries$1,709
 $—
 $—
 $(1,709) $—
$120
 $—
 $—
 $(120) $—
Income (loss) from continuing operations before income
taxes
$3,578
 $725
 $6,076
 $(4,609) $5,770
$3,445
 $944
 $5,351
 $(4,120) $5,620
Provision (benefit) for income taxes(420) 157
 1,986
 —
 1,723
(395) 345
 1,783
 —
 1,733
Income (loss) from continuing operations$3,998
 $568
 $4,090
 $(4,609) $4,047
$3,840
 $599
 $3,568
 $(4,120) $3,887
Loss from discontinued operations, net of taxes—
 —
 (23) —
 (23)—
 —
 (30) —
 (30)
Net income (loss) before attribution of noncontrolling interests$3,998
 $568
 $4,067
 $(4,609) $4,024
$3,840
 $599
 $3,538
 $(4,120) $3,857
Noncontrolling interests—
 (3) 29
 —
 26
—
 (9) 26
 —
 17
Net income (loss)$3,998
 $571
 $4,038
 $(4,609) $3,998
$3,840
 $608
 $3,512
 $(4,120) $3,840
Comprehensive income

 

 

 

 



 

 

 

 

Add: Other comprehensive income (loss)$511
 $58
 $1,708
 $(1,766) $511
$(1,078) $(133) $(1,003) $1,136
 $(1,078)
Total Citigroup comprehensive income (loss)$4,509

$629


$5,746
 $(6,375) $4,509
$2,762

$475


$2,509
 $(2,984) $2,762
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
—
$(50) $—
 $(50)$—
 $—
—
$10
 $—
 $10
Add: Net income attributable to noncontrolling interests—
 (3)

29
 —
 26
—
 (9)

26
 —
 17
Total comprehensive income (loss)$4,509

$626


$5,725
 $(6,375) $4,485
$2,762

$466


$2,545
 $(2,984) $2,789


Condensed Consolidating Statements of Income and Comprehensive Income
Six Months Ended June 30, 2017Nine Months Ended September 30, 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$6,265
 $—
 $—
 $(6,265) $—
$11,625
 $—
 $—
 $(11,625) $—
Interest revenue—
 2,431
 27,193
 —
 29,624
—
 3,870
 41,575
 —
 45,445
Interest revenue—intercompany1,869
 534
 (2,403) —
 —
2,909
 847
 (3,756) —
 —
Interest expense2,354
 942
 4,306
 —
 7,602
3,549
 1,584
 6,848
 —
 11,981
Interest expense—intercompany353
 1,079
 (1,432) —
 —
593
 1,660
 (2,253) —
 —
Net interest revenue$(838) $944
 $21,916
 $—
 $22,022
$(1,233) $1,473
 $33,224
 $—
 $33,464
Commissions and fees$—
 $2,534
 $3,162
 $—
 $5,696
$—
 $3,818
 $4,809
 $—
 $8,627
Commissions and fees—intercompany(1) 110
 (109) —
 —
(1) 123
 (122) —
 —
Principal transactions959
 2,004
 2,621
 —
 5,584
1,569
 2,692
 3,493
 —
 7,754
Principal transactions—intercompany600
 (392) (208) —
 —
768
 (641) (127) —
 —
Other income(1,640) 161
 4,198
 —
 2,719
(2,500) 810
 6,039
 —
 4,349
Other income—intercompany38
 27
 (65) —
 —
71
 6
 (77) —
 —
Total non-interest revenues$(44) $4,444
 $9,599
 $—
 $13,999
$(93) $6,808
 $14,015
 $—
 $20,730
Total revenues, net of interest expense$5,383
 $5,388
 $31,515
 $(6,265) $36,021
$10,299
 $8,281
 $47,239
 $(11,625) $54,194
Provisions for credit losses and for benefits and claims$—
 $1
 $3,378
 $—
 $3,379
$—
 $—
 $5,378
 $—
 $5,378
Operating expenses                  
Compensation and benefits$(15) $2,474
 $8,538
 $—
 $10,997
$(18) $3,578
 $12,741
 $—
 $16,301
Compensation and benefits—intercompany51
 —
 (51) —
 —
97
 —
 (97) —
 —
Other operating(316) 849
 9,453
 —
 9,986
(333) 1,306
 13,880
 —
 14,853
Other operating—intercompany(49) 970
 (921) —
 —
(41) 1,487
 (1,446) —
 —
Total operating expenses$(329) $4,293
 $17,019
 $—
 $20,983
$(295) $6,371
 $25,078
 $—
 $31,154
Equity in undistributed income of subsidiaries$1,770
 $—
 $—
 $(1,770) $—
$755
 $—
 $—
 $(755) $—
Income (loss) from continuing operations before income
taxes

$7,482
 $1,094
 $11,118
 $(8,035) $11,659
$11,349
 $1,910
 $16,783
 $(12,380) $17,662
Provision (benefit) for income taxes(480) 476
 3,662
 —
 3,658
(746) 800
 5,470
 —
 5,524
Income (loss) from continuing operations$7,962
 $618
 $7,456
 $(8,035) $8,001
$12,095
 $1,110
 $11,313
 $(12,380) $12,138
Income from discontinued operations, net of taxes—
 —
 3
 —
 3
Loss from discontinued operations, net of taxes—
 —
 (2) —
 (2)
Net income (loss) before attribution of noncontrolling interests$7,962
 $618
 $7,459
 $(8,035) $8,004
$12,095
 $1,110
 $11,311
 $(12,380) $12,136
Noncontrolling interests—
 —
 42
 —
 42
—
 —
 41
 —
 41
Net income (loss)$7,962
 $618
 $7,417
 $(8,035) $7,962
$12,095
 $1,110
 $11,270
 $(12,380) $12,095
Comprehensive income                  
Add: Other comprehensive income (loss)$1,978
 $(58) $(3,876) $3,934
 $1,978
$1,986
 $(142) $(4,638) $4,780
 $1,986
Total Citigroup comprehensive income (loss)$9,940
 $560
 $3,541
 $(4,101) $9,940
$14,081
 $968
 $6,632
 $(7,600) $14,081
Add: other comprehensive income attributable to noncontrolling interests$—
 $—
 $70
 $—
 $70
$—
 $—
 $82
 $—
 $82
Add: Net income attributable to noncontrolling interests—
 —
 42
 —
 42
—
 —
 41
 —
 41
Total comprehensive income (loss)$9,940
 $560
 $3,653
 $(4,101) $10,052
$14,081
 $968
 $6,755
 $(7,600) $14,204


Condensed Consolidating Statements of Income and Comprehensive Income
Six Months Ended June 30, 2016Nine Months Ended September 30, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$5,700
 $—
 $—
 $(5,700) $—
$9,700
 $—
 $—
 $(9,700) $—
Interest revenue3
 2,397
 26,123
 —
 28,523
5
 3,555
 39,616
 —
 43,176
Interest revenue—intercompany1,540
 275
 (1,815) —
 —
2,235
 423
 (2,658) —
 —
Interest expense2,164
 765
 3,131
 —
 6,060
3,266
 1,110
 4,858
 —
 9,234
Interest expense—intercompany79
 845
 (924) —
 —
140
 1,246
 (1,386) —
 —
Net interest revenue$(700) $1,062
 $22,101
 $—
 $22,463
$(1,166) $1,622
 $33,486
 $—
 $33,942
Commissions and fees$—
 $2,079
 $3,109
 $—
 $5,188
$—
 $3,141
 $4,691
 $—
 $7,832
Commissions and fees—intercompany(19) (30) 49
 —
 —
(19) 33
 (14) —
 —
Principal transactions(395) 2,257
 1,794
 —
 3,656
(1,498) 3,857
 3,535
 —
 5,894
Principal transactions—intercompany41
 (1,043) 1,002
 —
 —
1,018
 (1,513) 495
 —
 —
Other income(3,679) 127
 7,348
 —
 3,796
(3,197) 178
 8,214
 —
 5,195
Other income—intercompany3,996
 199
 (4,195) —
 —
3,495
 250
 (3,745) —
 —
Total non-interest revenues$(56) $3,589
 $9,107
 $—
 $12,640
$(201) $5,946
 $13,176
 $—
 $18,921
Total revenues, net of interest expense$4,944
 $4,651
 $31,208
 $(5,700) $35,103
$8,333
 $7,568
 $46,662
 $(9,700) $52,863
Provisions for credit losses and for benefits and claims$—
 $—
 $3,454
 $—
 $3,454
$—
 $—
 $5,190
 $—
 $5,190
Operating expenses
 
 
 
 

 
 
 
 
Compensation and benefits$(8) $2,491
 $8,302
 $—
 $10,785
$18
 $3,641
 $12,329
 $—
 $15,988
Compensation and benefits—intercompany26
 —
 (26) —
 —
34
 —
 (34) —
 —
Other operating480
 798
 8,829
 —
 10,107
377
 1,242
 13,689
 —
 15,308
Other operating—intercompany80
 629
 (709) —
 —
213
 1,008
 (1,221) —
 —
Total operating expenses$578
 $3,918
 $16,396
 $—
 $20,892
$642
 $5,891
 $24,763
 $—
 $31,296
Equity in undistributed income of subsidiaries$2,653
 $—
 $—
 $(2,653) $—
$2,773
 $—
 $—
 $(2,773) $—
Income (loss) from continuing operations before income taxes$7,019
 $733
 $11,358
 $(8,353) $10,757
$10,464
 $1,677
 $16,709
 $(12,473) $16,377
Provision (benefit) for income taxes(480) 194
 3,488
 —
 3,202
(875) 539
 5,271
 —
 4,935
Income (loss) from continuing operations$7,499
 $539
 $7,870
 $(8,353) $7,555
$11,339
 $1,138
 $11,438
 $(12,473) $11,442
Loss from discontinued operations, net of taxes—
 —
 (25) —
 (25)—
 —
 (55) —
 (55)
Net income (loss) before attribution of noncontrolling interests$7,499
 $539
 $7,845
 $(8,353) $7,530
$11,339
 $1,138
 $11,383
 $(12,473) $11,387
Noncontrolling interests—
 (1) 32
 —
 31
—
 (10) 58
 —
 48
Net income (loss)$7,499
 $540
 $7,813
 $(8,353) $7,499
$11,339
 $1,148
 $11,325
 $(12,473) $11,339
Comprehensive income

 

 

 

 



 

 

 

 

Add: Other comprehensive income (loss)$3,244
 $105
 $1,173
 $(1,278) $3,244
$2,166
 $(28) $171
 $(143) $2,166
Total Citigroup comprehensive income (loss)$10,743
 $645
 $8,986
 $(9,631) $10,743
$13,505
 $1,120
 $11,496
 $(12,616) $13,505
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
 $(23) $—
 $(23)$—
 $—
 $(13) $—
 $(13)
Add: Net income attributable to noncontrolling interests—
 (1) 32
 —
 31
—
 (10) 58
 —
 48
Total comprehensive income (loss)$10,743
 $644
 $8,995
 $(9,631) $10,751
$13,505
 $1,110
 $11,541
 $(12,616) $13,540




Condensed Consolidating Balance Sheet
June 30, 2017September 30, 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$—
 $793
 $20,147
 $—
 $20,940
$—
 $728
 $21,876
 $—
 $22,604
Cash and due from banks—intercompany160
 2,843
 (3,003) —
 —
179
 3,791
 (3,970) —
 —
Federal funds sold and resale agreements—
 188,379
 45,686
 —
 234,065
—
 202,366
 50,242
 —
 252,608
Federal funds sold and resale agreements—intercompany—
 15,478
 (15,478) —
 —
—
 14,980
 (14,980) —
 —
Trading account assets11
 136,853
 122,742
 —
 259,606
—
 137,196
 121,711
 —
 258,907
Trading account assets—intercompany1
 1,544
 (1,545) —
 —
215
 1,208
 (1,423) —
 —
Investments26
 167
 351,517
 —
 351,710
28
 162
 354,484
 —
 354,674
Loans, net of unearned income—
 891
 643,804
 —
 644,695
—
 1,364
 651,819
 —
 653,183
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,025) —
 (12,025)—
 —
 (12,366) —
 (12,366)
Total loans, net$—
 $891
 $631,779
 $—
 $632,670
$—
 $1,364
 $639,453
 $—
 $640,817
Advances to subsidiaries$132,366
 $—
 $(132,366) $—
 $—
$132,197
 $—
 $(132,197) $—
 $—
Investments in subsidiaries230,077
 —
 —
 (230,077) —
229,142
 —
 —
 (229,142) —
Other assets (1)
23,712
 55,983
 285,377
 —
 365,072
24,032
 58,665
 276,826
 —
 359,523
Other assets—intercompany15,650
 48,567
 (64,217) —
 —
15,541
 49,032
 (64,573) —
 —
Total assets$402,003
 $451,498
 $1,240,639
 $(230,077) $1,864,063
$401,334
 $469,492
 $1,247,449
 $(229,142) $1,889,133
Liabilities and equity

 
 
 
 


 
 
 
 
Deposits$—
 $—
 $958,743
 $—
 $958,743
$—
 $—
 $964,038
 $—
 $964,038
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 133,308
 21,472
 —
 154,780
—
 135,520
 25,762
 —
 161,282
Federal funds purchased and securities loaned or sold—intercompany—
 18,993
 (18,993) —
 —
—
 19,127
 (19,127) —
 —
Trading account liabilities—
 87,137
 49,608
 —
 136,745
—
 91,058
 47,762
 —
 138,820
Trading account liabilities—intercompany67
 1,629
 (1,696) —
 —
18
 1,071
 (1,089) —
 —
Short-term borrowings201
 3,217
 33,101
 —
 36,519
246
 3,221
 34,682
 —
 38,149
Short-term borrowings—intercompany—
 57,532
 (57,532) —
 —
—
 63,197
 (63,197) —
 —
Long-term debt147,257
 16,710
 61,212
 —
 225,179
151,914
 17,758
 63,001
 —
 232,673
Long-term debt—intercompany—
 28,795
 (28,795) —
 —
—
 30,609
 (30,609) —
 —
Advances from subsidiaries20,761
 —
 (20,761) —
 —
17,947
 —
 (17,947) —
 —
Other liabilities2,998
 60,092
 57,900
 —
 120,990
2,790
 62,950
 59,809
 —
 125,549
Other liabilities—intercompany700
 10,733
 (11,433) —
 —
785
 11,281
 (12,066) —
 —
Stockholders’ equity230,019
 33,352
 197,813
 (230,077) 231,107
227,634
 33,700
 196,430
 (229,142) 228,622
Total liabilities and equity$402,003
 $451,498
 $1,240,639
 $(230,077) $1,864,063
$401,334
 $469,492
 $1,247,449
 $(229,142) $1,889,133

(1)
Other assets for Citigroup parent company at JuneSeptember 30, 2017 included $26.3$17.8 billion of placements to Citibank and its branches, of which $23.4$16.0 billion had a remaining term of less than 30 days.





Condensed Consolidating Balance Sheet
 December 31, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets         
Cash and due from banks$—
 $870
 $22,173
 $—
 $23,043
Cash and due from banks—intercompany142
 3,820
 (3,962) —
 —
Federal funds sold and resale agreements—
 196,236
 40,577
 —
 236,813
Federal funds sold and resale agreements—intercompany—
 12,270
 (12,270) —
 —
Trading account assets6
 121,484
 122,435
 —
 243,925
Trading account assets—intercompany1,173
 907
 (2,080) —
 —
Investments173
 335
 352,796
 —
 353,304
Loans, net of unearned income—
 575
 623,794
 —
 624,369
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,060) —
 (12,060)
Total loans, net$—
 $575
 $611,734
 $—
 $612,309
Advances to subsidiaries$143,154
 $—
 $(143,154) $—
 $—
Investments in subsidiaries226,279
 —
 —
 (226,279) —
Other assets(1)
23,734
 46,095
 252,854
 —
 322,683
Other assets—intercompany27,845
 38,207
 (66,052) —
 —
Total assets$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077
Liabilities and equity
 
 
 
 

Deposits$—
 $—
 $929,406
 $—
 $929,406
Deposits—intercompany—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 122,320
 19,501
 —
 141,821
Federal funds purchased and securities loaned or sold—intercompany—
 25,417
 (25,417) —
 —
Trading account liabilities—
 87,714
 51,331
 —
 139,045
Trading account liabilities—intercompany1,006
 868
 (1,874) —
 —
Short-term borrowings—
 1,356
 29,345
 —
 30,701
Short-term borrowings—intercompany—
 35,596
 (35,596) —
 —
Long-term debt147,333
 8,128
 50,717
 —
 206,178
Long-term debt—intercompany—
 41,287
 (41,287) —
 —
Advances from subsidiaries41,258
 —
 (41,258) —
 —
Other liabilities3,466
 57,430
 57,887
 —
 118,783
Other liabilities—intercompany4,323
 7,894
 (12,217) —
 —
Stockholders’ equity225,120
 32,789
 194,513
 (226,279) 226,143
Total liabilities and equity$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077

(1)
Other assets for Citigroup parent company at December 31, 2016 included $20.7 billion of placements to Citibank and its branches, of which $6.8 billion had a remaining term of less than 30 days.




Condensed Consolidating Statement of Cash Flows
Six Months Ended June 30, 2017Nine Months Ended September 30, 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 (used in) operating activities of continuing operations$10,626
 $(18,060) $(14,077) $—
 $(21,511)$15,381
 $(15,237) $(3,449) $—
 $(3,305)
Cash flows from investing activities of continuing operations                  
Purchases of investments$—
 $—
 $(96,925) $—
 $(96,925)$—
 $—
 $(151,362) $—
 $(151,362)
Proceeds from sales of investments132
 —
 56,596
 —
 56,728
132
 —
 89,592
 —
 89,724
Proceeds from maturities of investments—
 —
 47,785
 —
 47,785
—
 —
 67,166
 —
 67,166
Change in deposits with banks—
 10,108
 (37,799) —
 (27,691)—
 10,972
 (37,026) —
 (26,054)
Change in loans—
 —
 (29,952) —
 (29,952)—
 —
 (41,569) —
 (41,569)
Proceeds from sales and securitizations of loans—
 —
 6,256
 —
 6,256
—
 —
 7,019
 —
 7,019
Proceeds from significant disposals—
 —
 2,732
 —
 2,732
—
 —
 3,411
 —
 3,411
Change in federal funds sold and resales—
 4,649
 (1,901) —
 2,748
—
 (8,840) (6,955) —
 (15,795)
Changes in investments and advances—intercompany12,132
 (5,870) (6,262) —
 —
13,269
 (5,439) (7,830) —
 —
Other investing activities—
 —
 (1,432) —
 (1,432)—
 —
 (2,210) —
 (2,210)
Net cash provided by (used in) investing activities of continuing operations$12,264
 $8,887
 $(60,902) $—
 $(39,751)$13,401
 $(3,307) $(79,764) $—
 $(69,670)
Cash flows from financing activities of continuing operations                  
Dividends paid$(1,504) $—
 $—
 $—
 $(1,504)$(2,639) $—
 $—
 $—
 $(2,639)
Treasury stock acquired(3,635) —
 —
 —
 (3,635)(9,071) —
 —
 —
 (9,071)
Proceeds (repayments) from issuance of long-term debt, net2,964
 3,887
 9,511
 —
 16,362
6,665
 4,385
 11,458
 —
 22,508
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (3,100) 3,100
 —
 —
—
 (1,300) 1,300
 —
 —
Change in deposits—
 —
 29,337
 —
 29,337
—
 —
 34,632
 —
 34,632
Change in federal funds purchased and repos—
 4,564
 8,395
 —
 12,959
—
 6,910
 12,551
 —
 19,461
Change in short-term borrowings201
 1,861
 3,756
 —
 5,818
44
 1,865
 5,539
 —
 7,448
Net change in short-term borrowings and other advances—intercompany(20,497) 907
 19,590
 —
 —
(23,342) 6,573
 16,769
 —
 —
Capital contributions from parent—
 (60) 60
 —
 —
Other financing activities(401) —
 —
 —
 (401)(402) —
 —
 —
 (402)
Net cash provided by (used in) financing activities of continuing operations$(22,872) $8,119
 $73,689
 $—
 $58,936
$(28,745) $18,373
 $82,309
 $—
 $71,937
Effect of exchange rate changes on cash and due from banks$—
 $—
 $223
 $—
 $223
$—
 $—
 $599
 $—
 $599
Change in cash and due from banks$18
 $(1,054) $(1,067) $—
 $(2,103)$37
 $(171) $(305) $—
 $(439)
Cash and due from banks at beginning of period142
 4,690
 18,211
 —
 23,043
142
 4,690
 18,211
 —
 23,043
Cash and due from banks at end of period$160
 $3,636
 $17,144
 $—
 $20,940
$179
 $4,519
 $17,906
 $—
 $22,604
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 



 

 

 

 

Cash paid (refund) during the year for income taxes$679
 $152
 $1,144
 $—
 $1,975
Cash paid (received) during the year for income taxes$(772) $470
 $3,016
 $—
 $2,714
Cash paid during the year for interest119
 1,924
 5,286
 —
 7,329
3,319
 3,175
 5,110
 —
 11,604
Non-cash investing activities

 

 

 

 



 

 

 

 

Transfers to loans HFS from loans$—
 $—
 $3,300
 $—
 $3,300
$—
 $—
 $3,800
 $—
 $3,800
Transfers to OREO and other repossessed assets—
 —
 58
 —
 58
—
 —
 85
 —
 85


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

 

 

 

 



 

 

 

 

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

 

 

 

 



 

 

 

 

Transfers to loans HFS from loans$—
 $—
 $6,000
 $—
 $6,000
$—
 $—
 $8,600
 $—
 $8,600
Transfers to OREO and other repossessed assets—
 —
 97
 —
 97
—
 —
 138
 —
 138


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:

In millions, except per share amounts
Total shares
purchased
Average
price paid
per share
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
Total shares
purchased
Average
price paid
per share
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
April 2017  
July 2017  
Open market repurchases(1)
8.9
$59.01
$1,260
25.5
$67.33
$13,884
Employee transactions(2)
—
—
N/A
—
—
N/A
May 2017  
August 2017  
Open market repurchases(1)
9.8
60.80
661
31.0
67.84
11,782
Employee transactions(2)
—
—
N/A
—
—
N/A
June 2017  
September 2017  
Open market repurchases(1)
10.3
63.72
—
24.1
69.26
10,110
Employee transactions(2)
—
—
N/A
—
—
N/A
Total for 2Q17 and remaining program balance as of June 30, 201729.0
$61.29
$—
Total for 3Q17 and remaining program balance as of September 30, 201780.6
$68.10
$10,110
(1)Represents repurchases under the $10.4$15.6 billion 20162017 common stock repurchase program (2016(2017 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on June 29, 2016.28, 2017. The 2016 Repurchase Program included 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 20162017 Repurchase Program was part of the planned capital actions included by Citi in its 20162017 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 20162017 Repurchase Program were added to treasury stock. The 2016 Repurchase Program expired on June 30, 2017. On June 28, 2017, Citigroup announced a $15.6 billion common stock repurchase program during the four quarters beginning in the third quarter of 2017 (2017 Repurchase Program), which was part of the planned capital actions included by Citi as part of its 2017 CCAR. The 2017 Repurchase Program expires on June 30, 2018. Shares repurchased under the 2017 Repurchase Program will be 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—Strategic Risks” in Citi’s 2016 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.
On June 28, 2017, Citi announced the Federal Reserve Board did not object to its planned capital actions as part of the 2017 CCAR, which included an increase of Citi’s quarterly common stock dividend to $0.32 per share over the four quarters beginning with the third quarter of 2017 (subject to quarterly approval by the Board of Directors). Any dividend on Citi’s outstanding common stock would also need to be made in compliance with Citi’s obligations to its outstanding preferred stock.

For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 18 to the
Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.





SIGNATURES



Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on the 1st31st day of August,October, 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).
4.01+
Third Supplemental Indenture dated as of June 26, 2017 among Citigroup Global Markets Holdings Inc., the Company and The Bank of New York Mellon, as trustee, to Indenture dated as of November 13, 2013.
   
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 JuneSeptember 30, 2017, filed on August 1,October 31, 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.
 
+ Filed herewith.    




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