0000831001 srt:NorthAmericaMember us-gaap:ConsumerPortfolioSegmentMember 2019-04-01 2019-06-30 0000831001 us-gaap:CommercialPortfolioSegmentMember c:LeaseFinancingMember c:FinancingReceivables30to89DaysPastDueMember 2018-12-31 0000831001 us-gaap:ForeignGovernmentDebtSecuritiesMember us-gaap:FairValueInputsLevel1Member us-gaap:FairValueMeasurementsRecurringMember 2018-12-31 0000831001 srt:WeightedAverageMember us-gaap:FairValueInputsLevel3Member us-gaap:InterestRateContractMember c:MeasurementInputMeanReversionMember c:ValuationTechniqueModelbasedMember 2019-06-30


 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF(Mark One)
THE SECURITIES EXCHANGE ACT OF 1934
☒QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended SeptemberJune 30, 20172019

OR

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

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

(212) 559-1000

(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL: See Exhibit 99.01
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yesx☒    No o☐
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yesx☒  No o☐
Indicate by check mark 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 filerx
☒Accelerated filer☐Non-accelerated filer☐Smaller reporting company☐
 
Accelerated filer o
 
Non-accelerated filer o
 (Do not check if a smaller reporting company)
 
Smaller reporting company o
Emerging growth companyo
☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. Yes o☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o☐    No x☒
Number of shares of Citigroup Inc. common stock outstanding on SeptemberJune 30, 2017: 2,644,001,9992019: 2,259,056,466


Available on the web at www.citigroup.com
 





CITIGROUP’S THIRDSECOND QUARTER 2017—2019—FORM 10-Q
OVERVIEW
21
MANAGEMENT'S DISCUSSION AND
  ANALYSIS OF FINANCIAL CONDITION AND
  RESULTS OF OPERATIONS
43
Executive Summary
43
Summary of Selected Financial Data
76
SEGMENT AND BUSINESS—INCOME (LOSS)
  AND REVENUES
98
SEGMENT BALANCE SHEET
119
Global Consumer Banking (GCB)
1310
North America GCB
1512
Latin America GCB
1714
Asia GCB
1916
Institutional Clients Group
2118
Corporate/Other
2622
OFF-BALANCE SHEET
  ARRANGEMENTS
2723
CAPITAL RESOURCES
2824
MANAGING GLOBAL RISK TABLE OF
  CONTENTS
4635
MANAGING GLOBAL RISK
4736
INCOME TAXES
8771
FUTURE APPLICATION OF ACCOUNTING
  STANDARDS
72
DISCLOSURE CONTROLS AND
  PROCEDURES
8873
DISCLOSURE PURSUANT TO SECTION 219 OF
  THE IRAN THREAT REDUCTION AND SYRIA
  HUMAN RIGHTS ACT
8873
FORWARD-LOOKING STATEMENTS
8974
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
9277
CONSOLIDATED FINANCIAL STATEMENTS
9378
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS (UNAUDITED)
10185
UNREGISTERED SALES OF EQUITY SECURITIES,
  PURCHASES OF EQUITY SECURITIES AND
  DIVIDENDS
212197





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 (20162018 (2018 Annual Report on Form 10-K), and Citigroup’s Quarterly ReportsReport on Form 10-Q for the quartersquarter ended March 31, 20172019 (First Quarter of 2017 Form 10-Q) and June 30, 2017 (Second Quarter of 20172019 Form 10-Q).
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s 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 Notes 1 and 3 to the Consolidated Financial Statements below and Notes 1 and 3 to the Consolidated Financial Statements in Citi’s 20162018 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 two business segments: Global Consumer Banking and Institutional Clients Group, with the following segments:remaining operations in Corporate/Other.
citisegmentsa20.jpgacitisegmentsq119charta01.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
citigroupregionsa07.jpgcitiregions18q1a03.jpg


(1)
AsiaLatin America GCB includes the results consists of operations of GCB activities Citi’s consumer banking businessin certain EMEA countries for all periods presented.Mexico.
(2)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(3)
North AmericaAmerica 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


ThirdSecond Quarter of 2017—Balanced Growth Across Citi’s Franchise2019—Results Demonstrated Continued Progress
As described further throughout this Executive Summary, Citi reported balanced operating results induring the thirdsecond quarter of 2017, reflecting2019, Citi continued momentum across businessesto demonstrate steady progress toward improving its profitability and geographies, notably many of those where Citi has been making investments.returns, despite an uncertain environment. During the quarter, Citi had revenue growth and loan growthpositive operating leverage in both every region in Global Consumer Banking (GCB) and the Institutional Clients Group (ICG) compared to the prior-year quarter, while continuing to wind-down 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.
North AmericaGCB generated positive operating leverage driven by revenue growth in retail banking and Citi retail services as well as strong expense discipline. North America GCB’s results also included higher cost of credit, largely reflecting volume growth, 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(Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures.)
Citi also showed continued momentum across all Banking businesses, as well astreasury and trade solutions, securities services and the private bank in the Institutional Clients Group (ICG), while investment banking and fixed income and equity markets and securities services, partially offsetrevenues were impacted by a declinechallenging market environment. Citi’s results in the quarter also included a pretax gain of approximately $350 million (approximately $270 million after-tax) on Citi’s investment in Tradeweb (an electronic trading platform), recorded in fixed income markets revenues. These increaseswithin ICG.
Citi continued to demonstrate strong expense discipline, resulting in revenues were partially offset by lower revenuesthe eleventh consecutive quarter of positive operating leverage. Citi also had deposit and loan growth in Corporate/Otherboth GCB and ICG,mostlyreflecting the continued wind-down of legacy non-core assets. while credit quality remained broadly stable.
Citi’s regulatory capital declined slightly duringIn the quarter, as earnings growth was more than offset by theCiti continued to return of approximately $6.4 billioncapital to its common shareholders, including $4.6 billion in the form of common stock repurchases and dividends. Citi repurchased approximately 8154 million common shares, contributing to a 10% reduction in the third quarter of 2017, asaverage outstanding common shares declined 3% from the prior quarter and 7% from the prior-year period. Despite thisprogress in returning capital return, each of Citigroup’sto shareholders, Citi’s key regulatory capital metrics remained strong (see “Capital” below).
During the quarter, the Federal Reserve Board advised Citi that it did not object to the capital plan submitted as part of Citi’s 2019 Comprehensive Capital Analysis and Review (CCAR). Accordingly, Citi intends to return $21.5 billion of capital to its common shareholders over the end ofnext four quarters, beginning in the third quarter of 2017 (see “Capital”2019 (for additional information, see “Equity Security Repurchases” and “Dividends” below). Citi utilized approximately $300 million of deferred tax assets (DTAs) during the quarter and $1.2 billion of its DTAs during the first nine months of 2017.
While the macroeconomic environment remains largely positive, there continues to beglobal growth has continued, economic forecasts for 2019 have been lowered and various economic, political and other risks and uncertainties that could create a more volatile operating environment and impact Citi’s businesses and future results. For a more detailed discussion of thesethe risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition during the remainder of 2019, 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 20162018 Annual Report on Form 10-K.

 



ThirdSecond Quarter of 20172019 Results Summary Results


Citigroup
Citigroup reported net income of $4.1$4.8 billion, or $1.42$1.95 per share, compared to $3.8net income of $4.5 billion, or $1.24$1.63 per share, in the prior-year period. The 8% increase in netNet income includedincreased 7% from the gain on sale, which contributed $0.13 to earnings per share. Excluding the gain, net income declined 2%, reflectingprior-year period, primarily driven by higher revenues, lower expenses and a lower effective tax rate, partially offset by higher cost of credit, whilecredit. Earnings per share increased 20%, including the Tradeweb gain. Excluding the Tradeweb gain, earnings per share of $1.83 increased 4%12%, largely due to a 7%primarily reflecting the 10% reduction in average shares outstanding.outstanding, driven by the common stock repurchases as well as the lower effective tax rate. (Citi’s results of operations excluding the gain on salegains are non-GAAP financial measures.)
Citigroup revenues of $18.2$18.8 billion in the thirdsecond quarter of 20172019 increased 2%, driven by from the prior-year period, reflecting the Tradeweb gain on sale as well as 3% aggregate growth in ICGand higher revenues across GCB, partially offset by a 55% decreasedeclines in Corporate/Other due primarily to the continued wind-down of legacy non-core assets.investment banking and fixed income and equity markets revenues, as well as mark-to-market losses on loan hedges in ICG.
Citigroup’s end-of-period loans increased 2%3% to $653$689 billion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s end-of-period loans also grew 2%3%, as 5%4% aggregate growth in GCB andICG and 3% growth in GCB 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 3%5% to $964 billion$1.0 trillion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s deposits were up 2%also increased 5%, primarily driven by a6% growth in ICG deposits as well as 3% increasegrowth in ICG deposits and a 1% increase in GCB deposits, slightly offset by a decline in Corporate/Other deposits..


Expenses
Citigroup’sCitigroup operating expenses of $10.5 billion decreased 2% to $10.2 billion versus the prior-year period, as the impact of higher volume-related expenses and ongoing investments were more than offset by efficiency savings and the wind-down of legacy assets.assets were partially offset by continued investments and volume-driven growth. Year-over-year, ICG operating expenses were up 5%down 2% and Corporate/Other operating expenses decreased 20%, while GCBoperating expenses were largely unchanged and Corporate/Other operating expenses declined 36%.unchanged.


Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims of $2.0$2.1 billion increased 15%16% from the prior-year period. The increase was primarily driven by an increase inhigher net credit losses of $252 million, primarily in both Citi-branded cards and Citi retail services in North America GCB, and a net loan loss reserve build of $194 million, compared to a net build of $176 million 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 portfolionormalization in Corporate/Othercredit trends in ICG.
Net credit losses of $1.8$2.0 billion increased 17%15% versus the prior-year period. Consumer net credit losses of $1.7$1.9 billion


increased 17%,11% from the prior-year period, primarily driven by the Costco portfolio acquisition, episodic charge-offs in the North America GCB commercial portfolio, which were offset by related loan loss reserve releases, and overallreflecting 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.North America cards portfolios. Corporate net credit losses increased 2%to $70 million from a net recovery of $2 million in the prior-year period, to $43 million.
reflecting credit normalization in ICG. For additional


information on Citi’s consumer and corporate credit costs and allowance for loan losses, see each respective business’s results of operations and “Credit Risk” below.


Capital
Citigroup’s Common Equity Tier 1 (CET1) Capital and Tier 1 Capital ratios on a fully implemented basis, were 13.0%11.9% and 14.6%13.4% as of SeptemberJune 30, 2017 (based2019, respectively, compared to 12.1% and 13.8% as of June 30, 2018, both based on the Basel III Standardized Approach for determining risk-weighted assets), respectively, comparedassets. The decline in regulatory capital ratios primarily reflected the return of capital to 12.6% and 14.2% as of September 30, 2016 (based on the Basel III Advanced Approaches for determining risk-weighted assets).common shareholders, partially offset by net income. Citigroup’s Supplementary Leverage ratio as of SeptemberJune 30, 2017, on a fully implemented basis,2019 was 7.1%6.4%, compared to 7.4%6.6% as of SeptemberJune 30, 2016.2018. 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
GCBnet income decreased 6% to $1.2of $1.4 billion as higher revenues were more than offset by higher cost of credit, while operating expenses were unchanged. Operating expenses were $4.4 billion, down 1% excludingincreased 11%. Excluding the impact of FX translation, asnet income also increased 11%, driven primarily by higher volume-relatedrevenues and a lower effective tax rate, partially offset by higher expenses and cost of credit. GCB operating expenses of $4.7 billion were largely unchanged versus the prior-year period. Excluding the impact of FX translation, expenses increased 1%, as continued investments and volume-driven expenses were more thanlargely offset by ongoing efficiency savings.
GCB revenues of $8.4$8.5 billion increased 3% versus the prior-year period. Excluding the impact of FX translation, GCBrevenues increased 2%4%, driven by growth acrossin all three regions. North America GCB revenues increased 1% toof $5.2 billion as higher revenuesincreased 3%, primarily driven by growth in Citi-branded cards and Citi retail services, andas retail banking revenues were partially offset by lower revenues in Citi-branded cards.largely unchanged. In North America GCB, Citi-branded cards revenues of $2.2 billion decreasedincreased 7%, primarily driven by growth in interest-earning balances. Citi retail servicesrevenues of $1.6 billion increased 1% versus the prior-year period, as the benefit ofprimarily reflecting loan growth, in full rate revolving balances in the core portfolios was outpacedpartially offset by the continued run-off of non-core portfolios as well as the higher cost to fund growth in transactor and promotional balances, given higher interest rates. Citi retail services revenues of $1.7 billion increased 2% versus the prior-year period, reflecting continued loan growth.contractual partner payments. Retail banking revenues of $1.4 billion increased 1% fromwere largely unchanged versus the prior-year period. Excluding mortgage revenues, retail banking revenues were up 12%of $1.2 billion increased 1% from the prior-year period, driven by continuedas improved growth in loans and assets under management, as well as a benefit from higher interest rates.deposit volumes was partially offset by lower deposit spreads in commercial banking.
North America GCB average deposits of $184$183 billion were unchanged versus the prior-year period,increased 2% year-over-year, average retail banking loans of $56$58 billion grew 1%increased 4% year-over-year and assets under management of $59$68 billion grew 10%12%. Average brandedCiti-branded card loans of $85$88 billion increased 8%2%, while brandedCiti-branded card purchase sales of $80$93 billion increased 10%8% versus the prior-year period. Average Citi retail services loans of $46$49 billion were upincreased 5%, versus the prior-year period, while
Citi retail services purchase sales of $20$23 billion were up 2%increased 4%. For additional information on the results of operations of North America GCB for the thirdsecond quarter of 2017,2019, see “Global Consumer Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCB and Asia GCB(which (which includes the results of operations in certainEMEAcountries)) of $3.3 billion increased 8% to $3.2 billion 3%
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 4% versus the prior-year period,driven by growth in loans and deposit volumes. Asiaperiod. On this basis, Latin America GCB revenues increased 5%3% versus the prior-year period, including the impact of the revenues associated with an asset management business in Mexico sold in the third quarter of 2018. Excluding this impact, Latin America GCB revenues increased 5%,primarily driven by improvementan increase in wealth management and cards revenues partially offsetand improved deposit spreads. Asia GCB revenues increased 5%, including a gain from a building sale. Excluding this gain, revenues increased 3%, primarily driven by lower retail lendinghigher deposit revenues as well as a recovery in investment revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for the thirdsecond quarter of 2017,2019, including the impact of FX translation,see “Global Consumer Banking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below.
Year-over-year, international GCB average deposits of $124$130 billion increased 4%5%, average retail banking loans of $89$90 billion were roughly flat,increased 2%, assets under management of $100$108 billion increased 10%5%, average card loans of $24$25 billion increased 6%4% and card purchase sales of $25$26 billion increased 7%6%, all excluding the impact of FX translation.


Institutional Clients Group
ICG net income of $3.0$3.3 billionincreased 15%3%, primarily driven by higher revenues, including the $580 million ($355 million after-tax) gain on the sale of a fixed income analytics business,decrease in expenses and a higher benefit from cost of credit,lower effective tax rate, partially offset by higher operating expenses. cost of credit. ICG operating expenses increased 5%decreased 2% to $4.9$5.4 billion, as efficiency savings more than offset investments and volume-related expensesexpenses.
ICG revenues of $9.7 billion were partiallylargely unchanged in the second quarter of 2019, as the Tradeweb gain was offset by efficiency savings.
ICG revenues were $9.2 billiona 3% decrease in the third quarter of 2017, up 9% from the prior-year period, driven by a 16% increase in Banking revenues and a 3% increase4% decrease in Markets and securities services revenues, including the gain on sale.revenues. The increasedecrease in Bankingrevenues included the impact of $48$75 million of losses on loan hedges within corporate lending, compared to lossesgains of $218$23 million in the prior-year period.
Bankingrevenues of $4.7$5.1 billion (excluding the impact of lossesgains (losses) on loan hedges within corporate lending) increased 11% compared to the prior-year period, driven by significantdecreased 1%, as growth in investment bankingtreasury and trade solutions and the private bank as well as continued solid performancewas more than offset by lower revenues in treasury and trade solutionsinvestment banking and corporate lending. Investment banking revenues of $1.2$1.3 billion decreased 10%, but outperformed the market wallet. Advisory revenues decreased 36% to $232 million, equity underwriting revenues decreased 6% to $314 million and debt underwriting revenues increased 2% to $737 million, all versus the prior-year period.
Treasury and trade solutions revenues of $2.4 billion increased 14%4% versus the prior-year period, and 7% excluding the impact of FX translation, reflecting continued strong client engagement, with growth in deposits and transaction volumes as well as improved trade spreads. Private bank revenues increased 2% to $866 million versus the prior-year period, reflecting continued wallet share gains across all products. Equity underwriting revenues increased 99% to $290 million, debt underwriting revenues increased 1% to $704 million while advisory revenues decreased 1% to $237 million, all versus the prior-year period.
Private bank revenues increased 15% versus the prior-year period to $785 million, driven by growth inwith new and existing clients, loans, investment activitywhich drove higher lending and deposits,deposit volumes as well as improved spreads.growth in assets under management, partially offset by spread compression. Corporate lending revenues increased $233 milliondecreased 24% to $454$463 million. Excluding the impact of lossesgains (losses) on loan hedges, corporate lending revenues increased 14% to $502 million



corporate lending revenues decreased 9% versus the prior-year period, reflecting lower spreads and higher hedging costscosts.
Markets and improved loan sale activity. Treasurysecurities services revenues of $4.7 billion increased 4% from the prior-year period, including the Tradeweb gain. Excluding the Tradeweb gain, Markets and trade solutions securities services revenues decreased 4% from the prior-year period, as higher revenues in securities services were more than offset by lower fixed income and equity markets revenues.Fixed income markets revenues of $3.3 billion increased 8% to $2.1 billionfrom the prior-year period, including the Tradeweb gain. Excluding the Tradeweb gain, fixed income markets revenues decreased 4%, reflecting the challenging market environment, particularly in rates. Equity markets revenues of $790 million decreased 9%, primarily reflecting lower client activity in cash equities and prime finance, partially offset by strong corporate client activity in derivatives. Securities services revenues of $682 million increased 3% versus the prior-year period, and 7% excluding the impact of FX translation, reflecting continued volume growth and improved deposit spreads.
Markets and securities services revenues increased 3% to $4.6 billion versus the prior-year period, as a decline in fixed income marketsrevenues was more than offset by higher revenues in equity markets, securities servicesrates as well as the gain on sale. Fixed income markets revenues decreased 16% to $2.9 billion versus the prior-year period, primarily reflecting lower G10 rates and currencies revenues, given low volatility in the current quarter and the comparison to higher Brexit-related activity a year ago, as well as lower activity in spread products. Equity markets revenues increased 16% to $757 million versus the prior-year period, reflecting client-led growth across cash equities, derivatives and prime finance. Securities services revenues increased 12% to $599 million versus the prior-year period, driven by growthan increase in client volumes across the custody business, along with higher interest revenue.activity. For additional information on the results of operations of ICG for the thirdsecond quarter of 2017,2019, see “Institutional Clients Group” below.


Corporate/Other
Corporate/Other net lossincome was $87$54 million in the thirdsecond quarter of 2017,2019, compared to a net loss of $48$14 million in the prior-year period, reflecting lower revenues, partially offset by lower operating expenses and lower cost of credit.period. Operating expenses of $822$481 million declined 36%20% from the prior-year period, largely reflecting the wind-down of legacy assets and lower legal expenses.
assets. Corporate/Other revenues were $509of $532 million down 55% from the prior-year period, reflecting the wind-down of legacy assets, divestitures and the impact of hedging activities.
Corporate/Other end-of-period assets decreased 4% to $100 billionincreased 1% from the prior-year period, as Citihigher treasury revenues and gains were largely offset by the continued to wind-down of legacy assets. For additional information on the results of operations of Corporate/Otherfor the thirdsecond quarter of 2017,2019, see “Corporate/Other” below.

























RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
Third Quarter Nine Months Second Quarter Six Months 
In millions of dollars, except per-share amounts and ratios20172016% Change20172016% Change
In millions of dollars, except per share amounts and ratios20192018% Change20192018% Change
Net interest revenue$11,442
$11,479
— %$33,464
$33,942
(1)%$11,950
$11,665
2 %$23,709
$22,837
4 %
Non-interest revenue6,731
6,281
7
20,730
18,921
10
6,808
6,804
—
13,625
14,504
(6)
Revenues, net of interest expense$18,173
$17,760
2 %$54,194
$52,863
3 %$18,758
$18,469
2 %$37,334
$37,341
— %
Operating expenses10,171
10,404
(2)31,154
31,296
—
10,500
10,712
(2)21,084
21,637
(3)
Provisions for credit losses and for benefits and claims1,999
1,736
15
5,378
5,190
4
2,093
1,812
16
4,073
3,669
11
Income from continuing operations before income taxes$6,003
$5,620
7 %$17,662
$16,377
8 %$6,165
$5,945
4 %$12,177
$12,035
1 %
Income taxes1,866
1,733
8
5,524
4,935
12
1,373
1,444
(5)2,648
2,885
(8)
Income from continuing operations$4,137
$3,887
6 %$12,138
$11,442
6 %$4,792
$4,501
6 %$9,529
$9,150
4 %
Income (loss) from discontinued operations,
net of taxes(1)
(5)(30)83
(2)(55)96
Income from discontinued operations,
net of taxes(1)
17
15
13
15
8
88
Net income before attribution of noncontrolling
interests
$4,132
$3,857
7 %$12,136
$11,387
7 %$4,809
$4,516
6 %$9,544
$9,158
4 %
Net income attributable to noncontrolling interests(1)17
NM
41
48
(15)10
26
(62)35
48
(27)
Citigroup’s net income$4,133
$3,840
8 %$12,095
$11,339
7 %$4,799
$4,490
7 %$9,509
$9,110
4 %
Less: 

   

   
Preferred dividends—Basic$272
$225
21 %$893
$757
18 %$296
$318
(7)%$558
$590
(5)%
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS53
53
—
156
145
8
50
49
2
109
90
21
Income allocated to unrestricted common shareholders
for basic and diluted EPS
$3,808
$3,562
7 %$11,046
$10,437
6 %$4,453
$4,123
8 %$8,842
$8,430
5 %
Earnings per share 

  
  

  
 
Basic 

  
  

  
 
Income from continuing operations1.42
1.25
14
4.05
3.60
13
$1.94
$1.62
20 %$3.81
$3.30
15 %
Net income1.42
1.24
15
4.05
3.58
13
1.95
1.63
20
3.82
3.31
15
Diluted 

   

   
Income from continuing operations$1.42
$1.25
14 %$4.05
$3.60
13 %$1.94
$1.62
20 %$3.81
$3.30
15 %
Net income1.42
1.24
15
4.05
3.58
13
1.95
1.63
20
3.82
3.31
15
Dividends declared per common share0.32
0.16
100
0.64
0.26
NM
0.45
0.32
41
0.90
0.64
41


StatementTable continues on the next page, including notes to the table.footnotes.




SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
Citigroup Inc. and Consolidated Subsidiaries
Citigroup Inc. and Consolidated Subsidiaries
Third Quarter Nine Months Second Quarter Six Months 
In millions of dollars, except per-share amounts, ratios and
direct staff
20172016% Change20172016% Change
At September 30:    
In millions of dollars, except per share amounts, ratios and direct staff20192018% Change20192018% Change
At June 30:     
Total assets$1,889,133
$1,818,117
4 %  $1,988,226
$1,912,334
4 %   
Total deposits964,038
940,252
3
  1,045,607
996,730
5
   
Long-term debt232,673
209,051
11
  252,189
236,822
6
   
Citigroup common stockholders’ equity208,381
212,322
(2)  179,379
181,059
(1)   
Total Citigroup stockholders’ equity227,634
231,575
(2)  197,359
200,094
(1)   
Direct staff (in thousands)
213
220
(3)  200
205
(2)   
Performance metrics 

   

   
Return on average assets0.87%0.83%

0.87%0.84% 0.97%0.94%

0.98%0.96% 
Return on average common stockholders’ equity(2)
7.3
6.8


7.2
6.7
 10.1
9.2


10.2
9.5
 
Return on average total stockholders’ equity(2)
7.2
6.6


7.1
6.6
 9.8
9.0


9.8
9.2
 
Efficiency ratio (Total operating expenses/Total revenues)56
59


57
59
 
Basel III ratios—full implementation    
Efficiency ratio (total operating expenses/total revenues)56.0
58.0


56.5
57.9
 
Basel III ratios     
Common Equity Tier 1 Capital(3)
12.98%12.63%   11.89%12.14%    
Tier 1 Capital(3)
14.61
14.23
   13.43
13.77
    
Total Capital(3)
16.95
16.34
   16.36
16.31
    
Supplementary Leverage ratio(4)
7.11
7.40
   
Supplementary Leverage ratio6.38
6.60
    
Citigroup common stockholders’ equity to assets11.03%11.68% 

  9.02%9.47% 

  
Total Citigroup stockholders’ equity to assets12.05
12.74
 

  9.93
10.46
 

  
Dividend payout ratio(5)
22.5
12.9
 15.8%7.3% 
Total payout ratio(6)
165
83
 96
56
 
Dividend payout ratio(4)
23.1
19.6
 23.6%19.3% 
Total payout ratio(5)
102.5
74.9
 108.9
73.1
 
Book value per common share$78.81
$74.51
6 %

  $79.40
$71.95
10 %

  
Tangible book value (TBV) per share(7)
68.55
64.71
6
  
Ratio of earnings to fixed charges and preferred stock dividends2.27x
2.61x
 2.34x
2.60x
 
Tangible book value (TBV) per share(6)
67.64
61.29
10
   
(1)See Note 2 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K 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 September 30, 2017, and U.S. Basel III Advanced Approaches at September 30, 2016. Citi’swhereas the reportable Total Capital ratios wereratio was the lower derived under the U.S. Basel III Advanced Approaches for both periods presented.framework. 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)(5)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)(6)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 meaningful








SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
Third Quarter Nine Months Second Quarter Six Months 
In millions of dollars20172016% Change20172016% Change20192018% Change20192018% Change
Income from continuing operations         
Global Consumer Banking         
North America$655
$780
(16)%$1,952
$2,428
(20)%$721
$719
— %$1,490
$1,557
(4)%
Latin America164
160
3
430
479
(10)262
197
33
514
376
37
Asia(1)
355
310
15
924
822
12
430
360
19
846
733
15
Total$1,174
$1,250
(6)%$3,306
$3,729
(11)%$1,413
$1,276
11 %$2,850
$2,666
7 %
Institutional Clients Group

 



 



 



 

North America$1,322
$1,067
24 %$3,534
$2,618
35 %$1,022
$1,030
(1)%$1,736
$1,888
(8)%
EMEA746
649
15
2,380
1,718
39
1,005
986
2
2,130
2,099
1
Latin America380
389
(2)1,188
1,111
7
491
517
(5)994
1,011
(2)
Asia614
555
11
1,751
1,697
3
825
708
17
1,805
1,577
14
Total$3,062
$2,660
15 %$8,853
$7,144
24 %$3,343
$3,241
3 %$6,665
$6,575
1 %
Corporate/Other(99)(23)NM
(21)569
NM
36
(16)NM
14
(91)NM
Income from continuing operations$4,137
$3,887
6 %$12,138
$11,442
6 %$4,792
$4,501
6 %$9,529
$9,150
4 %
Discontinued operations$(5)$(30)83 %$(2)$(55)96 %$17
$15
13 %$15
$8
88 %
Net income attributable to noncontrolling interests(1)17
NM
41
48
(15)
Less: Net income attributable to noncontrolling interests10
26
(62)35
48
(27)
Citigroup’s net income$4,133
$3,840
8 %$12,095
$11,339
7 %$4,799
$4,490
7 %$9,509
$9,110
4 %


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




CITIGROUP REVENUES
Third Quarter Nine Months Second Quarter Six Months 
In millions of dollars20172016% Change20172016% Change20192018% Change20192018% Change
Global Consumer Banking         
North America$5,194
$5,161
1 %$15,082
$14,700
3 %$5,158
$5,004
3 %$10,343
$10,161
2 %
Latin America1,370
1,245
10
3,811
3,710
3
1,432
1,375
4
2,813
2,715
4
Asia(1)
1,869
1,758
6
5,392
5,142
5
1,915
1,865
3
3,800
3,794
—
Total$8,433
$8,164
3 %$24,285
$23,552
3 %$8,505
$8,244
3 %$16,956
$16,670
2 %
Institutional Clients Group

 

 



 

  

North America$3,638
$3,191
14 %$10,661
$9,564
11 %$3,478
$3,511
(1)%$6,597
$6,777
(3)%
EMEA2,655
2,506
6
8,299
7,250
14
2,960
3,043
(3)6,130
6,210
(1)
Latin America1,059
999
6
3,228
2,983
8
1,195
1,168
2
2,355
2,384
(1)
Asia1,879
1,763
7
5,382
5,246
3
2,088
1,975
6
4,333
4,181
4
Total$9,231
$8,459
9 %$27,570
$25,043
10 %$9,721
$9,697
— %$19,415
$19,552
(1)%
Corporate/Other509
1,137
(55)2,339
4,268
(45)532
528
1
963
1,119
(14)
Total Citigroup net revenues$18,173
$17,760
2 %$54,194
$52,863
3 %$18,758
$18,469
2 %$37,334
$37,341
— %
(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$9,963
$64,994
$111,152
$—
$186,109
$9,323
$71,804
$122,116
$—
$203,243
Federal funds sold and securities
borrowed or purchased under
agreements to resell
327
251,787
494
—
252,608
Securities borrowed and purchased under agreements to resell175
259,341
253
—
259,769
Trading account assets6,366
250,104
2,437
—
258,907
1,041
295,151
10,639
—
306,831
Investments10,143
110,627
233,904
—
354,674
1,064
117,471
231,167
—
349,702
Loans, net of unearned income and
allowance for loan losses

291,785
325,055
23,977
—
640,817
304,569
360,298
11,337
—
676,204
Other assets38,306
101,387
56,325
—
196,018
38,943
110,571
42,963
—
192,477
Liquidity assets(4)
62,265
266,523
(328,788)—
—
Net inter-segment liquid assets(4)
81,471
239,509
(320,980)—
—
Total assets$419,155
$1,370,477
$99,501
$—
$1,889,133
$436,586
$1,454,145
$97,495
$—
$1,988,226
Liabilities and equity      
Total deposits$310,048
$639,554
$14,436
$—
$964,038
$315,923
$714,759
$14,925
$—
$1,045,607
Federal funds purchased and
securities loaned or sold under
agreements to repurchase
4,199
157,076
7
—
161,282
Securities loaned and sold under
agreements to repurchase
4,255
176,844
34
—
181,133
Trading account liabilities9
138,253
558
—
138,820
411
135,394
489
—
136,294
Short-term borrowings798
20,806
16,545
—
38,149
370
26,646
15,426
—
42,442
Long-term debt(3)
1,109
35,498
44,152
151,914
232,673
1,752
53,783
44,513
152,141
252,189
Other liabilities19,377
86,477
19,695
—
125,549
21,023
92,664
18,764
—
132,451
Net inter-segment funding (lending)(3)
83,615
292,813
3,120
(379,548)—
92,852
254,055
2,593
(349,500)—
Total liabilities$419,155
$1,370,477
$98,513
$(227,634)$1,660,511
$436,586
$1,454,145
$96,744
$(197,359)$1,790,116
Total equity(5)
—
—
988
227,634
228,622
Total stockholders’ equity(5)
—
—
751
197,359
198,110
Total liabilities and equity$419,155
$1,370,477
$99,501
$—
$1,889,133
$436,586
$1,454,145
$97,495
$—
$1,988,226


(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of SeptemberJune 30, 2017.2019. 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 Balance Sheet.balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquidityliquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.
(5)
Corporate/OtherOther 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 2,4742,399 branches in 19 countries and jurisdictions as of SeptemberJune 30, 2017.2019. At SeptemberJune 30, 2017, 2019, GCB had approximately $419$437 billion in assets and $310$316 billion in deposits.
GCB’s overall strategy is to leverage Citi’s global footprint and be the preeminentpre-eminent bank for the emerging affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets (including commercial banking), Citi serves customers in a somewhat broader set of segments and geographies.


Third Quarter Nine Months Second Quarter Six Months 
In millions of dollars except as otherwise noted20172016% Change20172016% Change
In millions of dollars, except as otherwise noted20192018% Change20192018% Change
Net interest revenue$7,010
$6,709
4 %$20,231
$19,369
4 %$7,272
$7,019
4 %$14,525
$13,999
4 %
Non-interest revenue1,423
1,455
(2)%4,054
4,183
(3)%1,233
1,225
1
2,431
2,671
(9)
Total revenues, net of interest expense$8,433
$8,164
3 %$24,285
$23,552
3 %$8,505
$8,244
3 %$16,956
$16,670
2 %
Total operating expenses$4,410
$4,429
— %$13,322
$13,127
1 %$4,663
$4,652
— %$9,271
$9,329
(1)%
Net credit losses$1,704
$1,349
26 %$4,922
$4,094
20 %$1,889
$1,726
9 %$3,780
$3,462
9 %
Credit reserve build (release)486
436
11 %788
544
45 %99
154
(36)175
298
(41)
Provision (release) for unfunded lending commitments(5)(3)(67)%—
6
(100)%5
3
67 %10
2
NM
Provision for benefits and claims28
26
8 %80
74
8 %19
22
(14)31
48
(35)
Provisions for credit losses and for benefits and claims (LLR & PBC)$2,213
$1,808
22 %$5,790
$4,718
23 %$2,012
$1,905
6 %$3,996
$3,810
5 %
Income from continuing operations before taxes$1,810
$1,927
(6)%$5,173
$5,707
(9)%$1,830
$1,687
8 %$3,689
$3,531
4 %
Income taxes636
677
(6)1,867
1,978
(6)417
411
1
839
865
(3)
Income from continuing operations$1,174
$1,250
(6)%$3,306
$3,729
(11)%$1,413
$1,276
11 %$2,850
$2,666
7 %
Noncontrolling interests2
3
(33)%7
6
17
1
1
—
1
3
(67)
Net income$1,172
$1,247
(6)%$3,299
$3,723
(11)%$1,412
$1,275
11 %$2,849
$2,663
7 %
Balance Sheet data (in billions of dollars)


 

 

Balance Sheet data and ratios (in billions of dollars)


 

  

Total EOP assets$419
$411
2 % 

$437
$422
4 %  

Average assets421
409
3
$415
$391
6 %431
417
3
$429
$420
2 %
Return on average assets1.10%1.21%

1.06%1.27%

1.31%1.23%

1.34%1.28%

Efficiency ratio52%54%

55%56%

55
56


55
56


Average deposits$308
$301
2 %$306
$298
3 %$313
$306
2
$312
$307
2
Net credit losses as a percentage of average loans2.26%1.87%

2.24%1.97%

2.45%2.28%

2.46%2.29%

Revenue by business

 

 



 

  

Retail banking$3,493
$3,330
5 %$9,947
$9,759
2 %$3,574
$3,483
3 %$7,041
$6,947
1 %
Cards(1)
4,940
4,834
2
14,338
13,793
4
4,931
4,761
4
9,915
9,723
2
Total$8,433
$8,164
3 %$24,285
$23,552
3 %$8,505
$8,244
3 %$16,956
$16,670
2 %
Income from continuing operations by business

 

 



 

  

Retail banking$550
$461
19 %$1,309
$1,231
6 %$629
$577
9 %$1,155
$1,097
5 %
Cards(1)
624
789
(21)1,997
2,498
(20)784
699
12
1,695
1,569
8
Total$1,174
$1,250
(6)%$3,306
$3,729
(11)%$1,413
$1,276
11 %$2,850
$2,666
7 %
Table continues on the next page.page, including footnotes.





Foreign currency (FX) translation impact 

   

   
Total revenue—as reported$8,433
$8,164
3 %$24,285
$23,552
3 %$8,505
$8,244
3%$16,956
$16,670
2 %
Impact of FX translation(2)
—
89


—
(39)

—
(29)

—
(142)

Total revenues—ex-FX(3)
$8,433
$8,253
2 %$24,285
$23,513
3 %$8,505
$8,215
4%$16,956
$16,528
3 %
Total operating expenses—as reported$4,410
$4,429
— %$13,322
$13,127
1 %$4,663
$4,652
—%$9,271
$9,329
(1)%
Impact of FX translation(2)
—
43


—
(10)

—
(23)

—
(93)

Total operating expenses—ex-FX(3)
$4,410
$4,472
(1)%$13,322
$13,117
2 %$4,663
$4,629
1%$9,271
$9,236
— %
Total provisions for LLR & PBC—as reported$2,213
$1,808
22 %$5,790
$4,718
23 %$2,012
$1,905
6%$3,996
$3,810
5 %
Impact of FX translation(2)
—
20


—
(20)

—
(2)

—
(22)

Total provisions for LLR & PBC—ex-FX(3)
$2,213
$1,828
21 %$5,790
$4,698
23 %$2,012
$1,903
6%$3,996
$3,788
5 %
Net income—as reported$1,172
$1,247
(6)%$3,299
$3,723
(11)%$1,412
$1,275
11%$2,849
$2,663
7 %
Impact of FX translation(2)
—
17


—
(10)

—
(4)

—
(19)

Net income—ex-FX(3)
$1,172
$1,264
(7)%$3,299
$3,713
(11)%$1,412
$1,271
11%$2,849
$2,644
8 %
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the thirdsecond quarter of 20172019 and year-to-date 20172019 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.

NM Not meaningful






NORTH AMERICA GCB
North America GCB provides traditional retail banking, including commercial banking, and its Citi-branded cards and Citi retail services card products to retail customers and small-small to mid-size businesses, as applicable, in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Citi-branded cards as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Macy’sBest Buy and Best Buy)Macy’s) within Citi retail services.
As previously announced, the Hilton Honors co-brand credit card partnership with Citi was scheduled to terminate as of year-end 2017. On October 23, 2017, Citi signed an agreement to sell the Hilton credit card portfolio ($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 sale is expected to close in the first quarter of 2018 with a pretax gain of approximately $150 million, which approximates one year of revenues from the portfolio.
As of SeptemberJune 30, 2017, 2019, North America GCB’s 695had 688 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 SeptemberJune 30, 2017, 2019, North America GCB had approximately 9.49.1 million retail banking customer accounts, $55.7$58.3 billion in retail banking loans and $185.1$184.0 billion in deposits. In addition, North America GCB had approximately 120118.9 million Citi-branded and Citi retail services credit card accounts with $132.2$140.2 billion in outstanding card loan balances.

Third Quarter Nine Months Second Quarter Six Months 
In millions of dollars, except as otherwise noted20172016% Change20172016% Change20192018% Change20192018% Change
Net interest revenue$4,825
$4,696
3 %$14,075
$13,425
5 %$5,030
$4,780
5 %$10,088
$9,530
6 %
Non-interest revenue369
465
(21)1,007
1,275
(21)128
224
(43)255
631
(60)
Total revenues, net of interest expense$5,194
$5,161
1 %$15,082
$14,700
3 %$5,158
$5,004
3 %$10,343
$10,161
2 %
Total operating expenses$2,460
$2,595
(5)%$7,613
$7,521
1 %$2,720
$2,666
2 %$5,389
$5,311
1 %
Net credit losses$1,239
$927
34 %$3,610
$2,814
28 %$1,428
$1,278
12 %$2,857
$2,574
11 %
Credit reserve build (release)463
408
13 %716
536
34
82
115
(29)180
238
(24)
Provision for unfunded lending commitments(3)—
NM
6
7
(14)
Provisions for benefits and claims9
8
13 %23
25
(8)
Provision (release) for unfunded lending commitments6
2
NM
11
(2)NM
Provision for benefits and claims6
5
20
12
11
9
Provisions for credit losses and for benefits and claims$1,708
$1,343
27 %$4,355
$3,382
29 %$1,522
$1,400
9 %$3,060
$2,821
8 %
Income from continuing operations before taxes$1,026
$1,223
(16)%$3,114
$3,797
(18)%$916
$938
(2)%$1,894
$2,029
(7)%
Income taxes371
443
(16)1,162
1,369
(15)195
219
(11)404
472
(14)
Income from continuing operations$655
$780
(16)%$1,952
$2,428
(20)%$721
$719
— %$1,490
$1,557
(4)%
Noncontrolling interests—
—
NM
—
(1)100 %—
—
—
—
—
—
Net income$655
$780
(16)%$1,952
$2,429
(20)%$721
$719
— %$1,490
$1,557
(4)%
Balance Sheet data (in billions of dollars)


 

  


Balance Sheet data and ratios (in billions of dollars)


 

 
 


Average assets$249
$239
4 %$246
$223
10 %$253
$244
4 %$252
$246
2 %
Return on average assets1.04%1.30%

1.06%1.45%

1.14%1.18%

1.19%1.28%

Efficiency ratio47%50%

50%51%

53
53


52
52


Average deposits$184.1
$183.9
—
$184.9
$182.2
1 %$183.0
$179.9
2
$182.7
$180.4
1
Net credit losses as a percentage of average loans2.63%2.07%

2.62%2.24%

2.93%2.72%

2.95%2.74%

Revenue by business

 

  




 

 
 


Retail banking$1,363
$1,356
1 %$3,910
$3,959
(1)%$1,351
$1,348
— %$2,667
$2,655
— %
Citi-branded cards2,178
2,191
(1)6,353
5,937
7
2,197
2,062
7
4,392
4,294
2
Citi retail services1,653
1,614
2
4,819
4,804
—
1,610
1,594
1
3,284
3,212
2
Total$5,194
$5,161
1 %$15,082
$14,700
3 %$5,158
$5,004
3 %$10,343
$10,161
2 %
Income from continuing operations by business

 

  




 

 
 


Retail banking$179
$187
(4)%$402
$448
(10)%$114
$161
(29)%$197
$301
(35)%
Citi-branded cards345
322
7
898
995
(10)364
309
18
746
734
2
Citi retail services131
271
(52)652
985
(34)243
249
(2)547
522
5
Total$655
$780
(16)%$1,952
$2,428
(20)%$721
$719
— %$1,490
$1,557
(4)%


NM Not meaningful



3Q172Q19 vs. 3Q162Q18
Net income decreased 16% due to was largely unchanged, as higher revenues and a lower effective tax rate were offset by higher cost of credit partially offset by lower expenses and higher revenues.expenses.
Revenues increased 1%3%, reflecting higher revenuesgrowth in Citi-branded cards and Citi retail services and retail banking, partially offset by lower revenues in Citi-branded cards.services.
Retail banking revenues increased 1%.were largely unchanged. Excluding mortgage revenues (decline of 39%9%), retail banking revenues were up 12%1%, driven by continuedas growth in average loans (1%),deposit volumes was partially offset by lower deposit spreads in commercial banking. Average deposits increased 2% and assetassets under management (10%), as well as a benefit from higher interest rates.increased 12%. The decline in mortgage revenues was driven by lower origination activity andspread compression, partially offset by 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.volumes.
Cards revenues increased 4%. In Citi-branded cards, revenues decreased 1%increased 7%, as the benefit ofprimarily driven by continued growth in full-rate revolving balances in the core portfolios was outpaced by the continued run-off of non-core portfolios as well as the higher cost to fund growth in transactor and promotional balances, given the higher interest rates.interest-earning balances. Average loans grew 8%increased 2% and purchase sales grew 10%increased 8%.
Citi retail services revenues increased 2%1%, reflecting continuedprimarily driven by organic loan growth and the benefit of the L.L.Bean portfolio acquisition, partially offset by the continued impact of the previously disclosed renewal and extension of certain partnerships within the portfolio.higher contractual partner payments. Average loans grewincreased 5% and purchase sales grew 2%increased 4%.
Expenses decreased 5% increased 2%, as higher volume-related expenses and continued investments were more thanlargely offset by efficiency savings.
Provisions increased 27%9% from the prior-year period, primarily driven by higher net credit losses, andpartially offset by a higherlower net loan loss reserve build.
Net credit losses increased 34%12%, largelyprimarily driven by higher net credit losses in Citi-branded cards including the impact of acquiring the Costco portfolio,(up 10% to $723 million) and Citi retail services. In Citi-branded cards,services (up 11% to $654 million). The increase in net credit losses increased 36% to $611 million, primarily due to the Costco portfolio acquisition, organicreflected volume growth and seasoning. In Citi retail services, net credit losses increased 26% to $540 million, primarily due to volume growth and seasoning. The higher net credit losses also reflected episodic charge-offsseasoning in the commercial portfolio in retail banking, which were offset by related reserve releases.both cards portfolios.
The net loan loss reserve build in the thirdcurrent quarter of 2017 was $460$88 million, reflecting volume growth and seasoning in both cards portfolios (compared to a build of $408$117 million in the prior-year period), 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 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.
For additional information on Citi retail services’ co-brand and private label credit card products with Sears, see “Forward-Looking Statements” below and “North America GCB” and “Risk Factors—Strategic Risks” in Citi’s 2018 Annual Report on Form 10-K.
 
20172019 YTD vs. 20162018 YTD
Year-to-date, North America GCB has experienced similar trends to those described above. Net income decreased 20% due to4%, as higher cost of credit and higher expenses were partially offset by a lower effective tax rate and higher revenues.
Revenues increased 2%. Excluding the impact of the $150 million gain on the Hilton portfolio sale in the prior-year period, revenues increased 3%, reflecting higher revenues in Citi-branded cards partially offset by lower revenues inand Citi retail banking.services. Retail banking revenues decreased 1%, driven by lowerwere largely unchanged. Excluding mortgage revenues partially offset by the other factors described above. Cards(decline of 11%), retail banking revenues increased 4%. In Citi-branded cards, revenues increased 7%, driven by the impact of the Costco portfolio acquisition, partially offset by the other factors described above. Citi retail services revenues were largely 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, were offset by the continued loan growth (average loans up 4%).
Expenses increased 1%, primarily driven by the addition of the Costco portfolio, volume-related expenses and continued investments, partially offset by efficiency savings.
Provisions increased 29%2%, driven by the same factors described above. Cards revenues increased 2% (4% excluding the Hilton gain). In Citi-branded cards, revenues increased 2% (6% excluding the Hilton gain), driven by the same factors described above. Citi retail services revenues increased 2%, driven by the same factors described above.
Expenses increased 1%, driven by the same factors described above.
Provisions increased 8%. Net credit losses increased 28%11%, driven by volume growth and seasoning in both cards portfolios. This increase was partially offset by a 19% decline in the net loan loss reserve build of $722 million increased $179 million.build.















LATIN AMERICA GCB
Latin America GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small-small to mid-size businesses in Mexico through Citibanamex, one of Mexico’s largest banks.
At SeptemberJune 30, 2017, 2019, Latin America GCB had 1,4971,459 retail branches in Mexico, with approximately 27.630.3 million retail banking customer accounts, $21.0$20.1 billion in retail banking loans and $28.3$29.2 billion in deposits. In addition, the business had approximately 5.75.4 million Citi-branded card accounts with $5.6$5.7 billion in outstanding card loan balances.


Third Quarter Nine Months% ChangeSecond Quarter Six Months% Change
In millions of dollars, except as otherwise noted20172016% Change2017201620192018% Change20192018
Net interest revenue$985
$877
12 %$2,702
$2,591
4 %$1,017
$1,013
— %$1,992
$2,010
(1)%
Non-interest revenue385
368
5 %1,109
1,119
(1)%415
362
15
821
705
16
Total revenues, net of interest expense$1,370
$1,245
10 %$3,811
$3,710
3 %$1,432
$1,375
4 %$2,813
$2,715
4 %
Total operating expenses$768
$707
9 %$2,162
$2,150
1 %$765
$779
(2)%$1,500
$1,534
(2)%
Net credit losses$295
$254
16 %$825
$792
4 %$285
$278
3 %$583
$556
5 %
Credit reserve build (release)44
32
38 %106
47
NM
Credit reserve build10
33
(70)3
75
(96)
Provision (release) for unfunded lending commitments(1)—
NM
(2)2
NM
(1)—
—
(1)1
NM
Provision for benefits and claims19
18
6 %57
49
16 %13
17
(24)19
37
(49)
Provisions for credit losses and for benefits and claims (LLR & PBC)$357
$304
17 %$986
$890
11 %$307
$328
(6)%$604
$669
(10)%
Income from continuing operations before taxes$245
$234
5 %$663
$670
(1)%$360
$268
34 %$709
$512
38 %
Income taxes81
74
9
233
191
22
98
71
38
195
136
43
Income from continuing operations$164
$160
3 %$430
$479
(10)%$262
$197
33 %$514
$376
37 %
Noncontrolling interests1
2
(50)4
4
—
Net income$163
$158
3 %$426
$475
(10)%$262
$197
33 %$514
$376
37 %
Balance Sheet data (in billions of dollars)


 

  


Balance Sheet data and ratios (in billions of dollars)


 

 
 


Average assets$47
$49
(4)%$45
$50
(10)%$45
$43
5 %$45
$44
2 %
Return on average assets1.38%1.28%

1.27%1.27%

2.34%1.84%

2.30%1.72%

Efficiency ratio56%57%

57%58%

53
57


53
57


Average deposits$28.8
$25.7
12 %$27.3
$25.9
5 %$29.2
$28.3
3
$28.9
$28.6
1
Net credit losses as a percentage of average loans4.37%4.18%

4.39%4.35%

4.47%4.37%

4.57%4.33%

Revenue by business

 

 



 

  

Retail banking$976
$881
11 %$2,735
$2,590
6 %$1,015
$993
2 %$2,023
$1,952
4 %
Citi-branded cards394
364
8
1,076
1,120
(4)417
382
9
790
763
4
Total$1,370
$1,245
10 %$3,811
$3,710
3 %$1,432
$1,375
4 %$2,813
$2,715
4 %
Income from continuing operations by business

 

  




 

 
 


Retail banking$125
$84
49 %$298
$270
10 %$192
$152
26 %$389
$286
36 %
Citi-branded cards39
76
(49)132
209
(37)70
45
56
125
90
39
Total$164
$160
3 %$430
$479
(10)%$262
$197
33 %$514
$376
37 %
FX translation impact

 

  


Total revenues—as reported$1,432
$1,375
4 %$2,813
$2,715
4 %
Impact of FX translation(1)
—
13


—
(31)

Total revenues—ex-FX(2)
$1,432
$1,388
3 %$2,813
$2,684
5 %
Total operating expenses—as reported$765
$779
(2)%$1,500
$1,534
(2)%
Impact of FX translation(1)
—
6


—
(16)

Total operating expenses—ex-FX(2)
$765
$785
(3)%$1,500
$1,518
(1)%
Provisions for LLR & PBC—as reported$307
$328
(6)%$604
$669
(10)%
Impact of FX translation(1)
—
3


—
(9)

Provisions for LLR & PBC—ex-FX(2)
$307
$331
(7)%$604
$660
(8)%
Net income—as reported$262
$197
33 %$514
$376
37 %
Impact of FX translation(1)
—
2


—
(5)

Net income—ex-FX(2)
$262
$199
32 %$514
$371
39 %


FX translation impact

 

  


Total revenues—as reported$1,370
$1,245
10 %$3,811
$3,710
3 %
Impact of FX translation(1)
—
71


—
(92)

Total revenues—ex-FX(2)
$1,370
$1,316
4 %$3,811
$3,618
5 %
Total operating expenses—as reported$768
$707
9 %$2,162
$2,150
1 %
Impact of FX translation(1)
—
33


—
(43)

Total operating expenses—ex-FX(2)
$768
$740
4 %$2,162
$2,107
3 %
Provisions for LLR & PBC—as reported$357
$304
17 %$986
$890
11 %
Impact of FX translation(1)
—
18


—
(23)

Provisions for LLR & PBC—ex-FX(2)
$357
$322
11 %$986
$867
14 %
Net income—as reported$163
$158
3 %$426
$475
(10)%
Impact of FX translation(1)
—
13


—
(20)

Net income—ex-FX(2)
$163
$171
(5)%$426
$455
(6)%

(1)Reflects the impact of FX translation into U.S. dollars at the thirdsecond quarter of 20172019 and year-to-date 20172019 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.


3Q172Q19 vs. 3Q162Q18
Net income decreasedincreased 32%, reflecting higher revenues, lower expenses and lower cost of credit.
Revenues increased 3% from the prior year. Excluding revenues associated with the sale of an asset management business in Mexico in the third quarter of 2018, revenues increased 5%, primarily driven by higher credit costsan increase in cards revenues and expenses, partially offset by higher revenues.improved deposit spreads.
Revenues increased 4%, driven by higher revenues in
retail banking and cards.
Retail banking revenues increased 5%1% compared to the prior-year period. Excluding the revenues associated with the asset management business, retail banking revenues increased 3%, reflecting continuedas modest deposit growth in volumes, including an increase in average loans (6%), largely driven by the commercial and small business portfolios as well as mortgages, an increase in average(average deposits (7%up 2%) and improved deposit spreads driven by higher interest rates. While deposits continued to increase during the quarter, Latin America GCB was impactedwere partially offset by lower industry-wide depositaverage loans (down 2%), reflecting the ongoing slowdown in overall economic growth due to a slowing of growthand industry volumes in the monetary supply.Mexico. Cards revenues increased 2%8%, reflecting continued improvement in full rate revolving loan trends, partially offsetprimarily driven by continued volume growth, reflecting higher cost to fund non-revolving loans. Purchasepurchase sales (up 7%) and full-rate revolving loans, as well as higher rates. Average cards loans grew 5% and average card loans also grew 5%2%.
Expenses increased 4% decreased 3%, as efficiency savings more than offset ongoing investment spending and business growth were partially offset by efficiency savings.volume-driven growth.
Provisions increased 11% decreased 7%, primarily driven by higher net credit losses (9%) and a higherlower net loan loss reserve build, ($10 million), largely reflecting volume growth, seasonality and a Mexico earthquake-related loan loss reserve build (approximately $25 million).lower volumes.
For additional information on LatinAmerica GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.



 
2017
2019 YTD vs. 20162018 YTD
Year-to-date, Latin America GCB has experienced similar trends to those described above. Net income decreased 6% increased 39%, driven by the same factors described above.
Revenues increased 5%, primarily due toreflecting higher revenues in both retail banking partially offset by lower revenues inand cards. Retail banking revenues increased 5%, driven by the same factors described above. Cards revenues increased 5%, driven by the same factors described above.
Expenses decreased 1%, driven by the same factors described above.
Provisions decreased 8%, driven by the same factors described above as well as the impact of business divestitures. Cards revenues decreased 1%, driven by the continued higher cost to fund non-revolving loans, partially offset by the continued improvement in full rate revolving loans.above.
Expenses increased 3%, as ongoing investment spending was partially offset by efficiency savings.
Provisions increased 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 small-small to mid-size businesses, as applicable. During the thirdsecond quarter of 2017, Citi’s2019, Asia GCB’s most significant revenues in the region Asia were from Singapore, Hong Kong, Korea, Singapore, India, Australia, India, Taiwan, Indonesia, Thailand, Philippines, Indonesia 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 SeptemberJune 30, 2017,2019, on a combined basis, the businesses had 282252 retail branches, approximately 16.216.1 million retail banking customer accounts, $67.5$70.8 billion in retail banking loans and $96.6$102.6 billion in deposits. In addition, the businesses had approximately 16.615.2 million Citi-branded card accounts with $18.8$19.2 billion in outstanding card loan balances.


Third Quarter Nine Months% ChangeSecond Quarter Six Months% Change
In millions of dollars, except as otherwise noted (1)
20172016% Change2017201620192018% Change20192018
Net interest revenue$1,200
$1,136
6 %$3,454
$3,353
3 %$1,225
$1,226
— %$2,445
$2,459
(1)%
Non-interest revenue669
622
8
1,938
1,789
8
690
639
8
1,355
1,335
1
Total revenues, net of interest expense$1,869
$1,758
6 %$5,392
$5,142
5 %$1,915
$1,865
3 %$3,800
$3,794
— %
Total operating expenses$1,182
$1,127
5 %$3,547
$3,456
3 %$1,178
$1,207
(2)%$2,382
$2,484
(4)%
Net credit losses$170
$168
1 %$487
$488
— %$176
$170
4 %$340
$332
2 %
Credit reserve build (release)(21)(4)NM
(34)(39)13
7
6
17
(8)(15)47
Provision (release) for unfunded lending commitments(1)(3)67
(4)(3)(33)—
1
(100)—
3
(100)
Provisions for credit losses$148
$161
(8)%$449
$446
1 %$183
$177
3 %$332
$320
4 %
Income from continuing operations before taxes$539
$470
15 %$1,396
$1,240
13 %$554
$481
15 %$1,086
$990
10 %
Income taxes184
160
15
472
418
13
124
121
2
240
257
(7)
Income from continuing operations$355
$310
15 %$924
$822
12 %$430
$360
19 %$846
$733
15 %
Noncontrolling interests1
1
—
3
3
—
1
1
—
1
3
(67)
Net income$354
$309
15 %$921
$819
12 %$429
$359
19 %$845
$730
16 %
Balance Sheet data (in billions of dollars)






  


Balance Sheet data and ratios (in billions of dollars)






 
 


Average assets$125
$121
3 %$124
$119
4 %$133
$130
2 %$133
$131
2 %
Return on average assets1.12%1.02%

0.99%0.92%

1.29%1.11%

1.28%1.12%

Efficiency ratio63%64% 66%67%

62
65
 63
65


Average deposits$95.2
$91.6
4
$94.1
$89.4
5
$100.7
$97.6
3
$100.0
$98.4
2
Net credit losses as a percentage of average loans0.78%0.78%

0.77%0.77%

0.80%0.77%

0.77%0.75%

Revenue by business   

    

Retail banking$1,154
$1,093
6 %$3,302
$3,210
3 %$1,208
$1,142
6 %$2,351
$2,340
— %
Citi-branded cards715
665
8
2,090
1,932
8
707
723
(2)1,449
1,454
—
Total$1,869
$1,758
6 %$5,392
$5,142
5 %$1,915
$1,865
3 %$3,800
$3,794
— %
Income from continuing operations by business





 







  

Retail banking$246
$190
29 %$609
$513
19 %$323
$264
22 %$569
$510
12 %
Citi-branded cards109
120
(9)315
309
2
107
96
11
277
223
24
Total$355
$310
15 %$924
$822
12 %$430
$360
19 %$846
$733
15 %



FX translation impact

 



  

Total revenues—as reported$1,869
$1,758
6 %$5,392
$5,142
5 %$1,915
$1,865
3 %$3,800
$3,794
— %
Impact of FX translation(2)
—
18


—
53


—
(42)

—
(111)

Total revenues—ex-FX(3)
$1,869
$1,776
5 %$5,392
$5,195
4 %$1,915
$1,823
5 %$3,800
$3,683
3 %
Total operating expenses—as reported$1,182
$1,127
5 %$3,547
$3,456
3 %$1,178
$1,207
(2)%$2,382
$2,484
(4)%
Impact of FX translation(2)
—
10


—
33


—
(29)

—
(77)

Total operating expenses—ex-FX(3)
$1,182
$1,137
4 %$3,547
$3,489
2 %$1,178
$1,178
— %$2,382
$2,407
(1)%
Provisions for loan losses—as reported$148
$161
(8)%$449
$446
1 %$183
$177
3 %$332
$320
4 %
Impact of FX translation(2)
—
2


—
3


—
(5)

—
(13)

Provisions for loan losses—ex-FX(3)
$148
$163
(9)%$449
$449
— %$183
$172
6 %$332
$307
8 %
Net income—as reported$354
$309
15 %$921
$819
12 %$429
$359
19 %$845
$730
16 %
Impact of FX translation(2)
—
4


—
10


—
(6)

—
(14)

Net income—ex-FX(3)
$354
$313
13 %$921
$829
11 %$429
$353
22 %$845
$716
18 %


(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 thirdsecond quarter of 20172019 and year-to-date 20172019 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful



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


3Q172Q19 vs. 3Q162Q18
Net income increased 13%22%, reflecting higher revenues and a lower cost of credit,effective tax rate, partially offset by higher expenses.cost of credit.
Revenues increased 5%, including a gain from a building sale. Excluding the gain, revenues increased 3%, driven by improvement in wealth management and cardshigher retail banking revenues.
Retail banking revenues partially offset by continued lowerincreased 8% compared to the prior-year period. Excluding the gain, retail lending revenues.
Retail banking revenues increased 4%, primarily driven by higher deposit revenues as well as a recovery in investment revenues due to the continued improvement in wealth management revenues, partially offset by the repositioning of the retail loan portfolio. Wealth management revenuesimproved market sentiment. Investment sales increased due to improvement in investor sentiment, stronger equity markets and increases in8%, while assets under management (14%) and investment sales (36%). Averagegrew 10%, average deposits increased 3%6% and average loans increased 4%. These increases were partiallyRetail lending revenues declined 2%, as continued growth in personal loans was more than offset by the lower retail lendingmortgage revenues (down 4%), reflecting continued lower average loans (1%) due to the continued optimization of this portfolio away from lower-yielding mortgage loans to focus on growing higher-return personal loans.spread compression.
Cards revenues increased 6%, reflecting 6%were largely unchanged, as continued growth in average loans (up 4%) and 7% growth in purchase sales both of which benefited from the previously disclosed portfolio acquisition in Australia in the first quarter of 2017.(up 5%) were offset by spread compression.
Expenses increased 4%, resulting from volume were largely unchanged, as efficiency savings offset volume-driven growth and ongoing investment spending, partially offset by efficiency savings.spending.
Provisions decreased 9% increased 6%, primarily driven by an increase inhigher net loan loss reserve releases.credit losses, reflecting volume growth and seasoning. Overall credit quality continued to remain stable in the region.
For additional information on AsiaGCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.


 


20172019 YTD vs. 20162018 YTD
Year-to-date, Asia GCB has experienced similar trends to
those described above. Net income increased 11%18%, due to higher revenues, lower expenses and a lower effective tax rate, partially offset by higher expenses.cost of credit.
Revenues increased 4%3%, primarily due to an increasedriven by growth in cardsboth retail banking and cards. Retail banking revenues and wealth management revenues,increased 3%, driven by growth in deposits, partially offset by lower investment and retail lending revenues. Retail bankingCards revenues increased 2%were up 3%, including a modest one-time gain. Excluding the gain, cards revenues were up 1%, driven by continued growth in average loans and purchase sales, partially offset by spread compression.
Expenses decreased 1%, as volume-driven growth and ongoing investment spending were more than offset by efficiency savings.
Provisions were up 8%, driven by the same factors described above. Cards revenues increased 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.
Provisions were largely unchanged, as lower net credit losses were offset by lower net credit reserve releases, primarily due to a net loan loss reserve build in the first quarter of 2017 related to the card portfolio acquisition in 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 For more information on Principal transactions revenue,ICG’s business activities, see Note 6 to the Consolidated Financial Statements). Other primarily includes mark-to-market gains and losses“Institutional Clients Group” in Citi’s 2018 Annual Report 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.Form 10-K.
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 aggregatelevel.
In the Markets businesses, client revenues are those revenues directly attributable to client transactions at the time of inception, including commissions, interest or fees earned. Client revenues do not include the results of client facilitation activities (for example, holding product inventory in anticipation of client demand) or the results of certain economic hedging activities.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 98 countries and jurisdictions. At SeptemberJune 30, 2017, 2019, ICG had approximately $1.4$1.5 trillion ofin assets and $640$715 billion ofin deposits, while two of its businesses—securities services and issuer services—managed approximately $17.1$19.0 trillion ofin assets under custody compared to $15.4$17.8 trillion at the end of the prior-year period.

 Second Quarter Six Months% Change
In millions of dollars, except as otherwise noted20192018% Change20192018
Commissions and fees$1,046
$1,127
(7)%$2,167
$2,340
(7)%
Administration and other fiduciary fees696
713
(2)1,366
1,407
(3)
Investment banking1,100
1,246
(12)2,212
2,231
(1)
Principal transactions1,930
2,339
(17)4,562
5,183
(12)
Other(1)
716
179
NM
1,000
644
55
Total non-interest revenue$5,488
$5,604
(2)%$11,307
$11,805
(4)%
Net interest revenue (including dividends)4,233
4,093
3
8,108
7,747
5
Total revenues, net of interest expense$9,721
$9,697
— %$19,415
$19,552
(1)%
Total operating expenses$5,356
$5,460
(2)%$10,783
$10,966
(2)%
Net credit losses$72
$(1)NM
$127
$104
22 %
Credit reserve build (release)47
32
47
(7)(143)95
Provision (release) for unfunded lending commitments(16)(6)NM
4
23
(83)
Provisions for credit losses$103
$25
NM
$124
$(16)NM
Income from continuing operations before taxes$4,262
$4,212
1 %$8,508
$8,602
(1)%
Income taxes919
971
(5)1,843
2,027
(9)
Income from continuing operations$3,343
$3,241
3 %$6,665
$6,575
1 %
Noncontrolling interests10
12
(17)21
27
(22)
Net income$3,333
$3,229
3 %$6,644
$6,548
1 %
EOP assets (in billions of dollars)
$1,454
$1,397
4 %   
Average assets (in billions of dollars)
1,450
1,406
3
$1,432
$1,397
3 %
Return on average assets0.92%0.92%

0.94%0.95%

Efficiency ratio55
56


56
56


Revenues by region  

  

North America$3,478
$3,511
(1)%$6,597
$6,777
(3)%
EMEA2,960
3,043
(3)6,130
6,210
(1)
Latin America1,195
1,168
2
2,355
2,384
(1)
Asia2,088
1,975
6
4,333
4,181
4
Total$9,721
$9,697
— %$19,415
$19,552
(1)%
Income from continuing operations by region  

  


North America$1,022
$1,030
(1)%$1,736
$1,888
(8)%
EMEA1,005
986
2
2,130
2,099
1
Latin America491
517
(5)994
1,011
(2)
Asia825
708
17
1,805
1,577
14
Total$3,343
$3,241
3 %$6,665
$6,575
1 %

 Third Quarter Nine Months% Change
In millions of dollars, except as otherwise noted20172016% Change20172016
Commissions and fees$1,036
$929
12 %$3,041
$2,889
5 %
Administration and other fiduciary fees710
610
16
2,073
1,845
12
Investment banking1,099
917
20
3,323
2,686
24
Principal transactions1,757
2,064
(15)6,504
5,552
17
Other(1)
704
(125)NM
939
(86)NM
Total non-interest revenue$5,306
$4,395
21 %$15,880
$12,886
23 %
Net interest revenue (including dividends)3,925
4,064
(3)11,690
12,157
(4)
Total revenues, net of interest expense$9,231
$8,459
9 %$27,570
$25,043
10 %
Total operating expenses$4,939
$4,687
5 %$14,903
$14,322
4 %
Net credit losses$44
$45
(2)%$140
$397
(65)%
Credit reserve build (release)(38)(93)59
(229)(11)NM
Provision (release) for unfunded lending commitments(170)(42)NM
(193)(4)NM
Provisions for credit losses$(164)$(90)(82)%$(282)$382
NM
Income from continuing operations before taxes$4,456
$3,862
15 %$12,949
$10,339
25 %
Income taxes1,394
1,202
16
4,096
3,195
28
Income from continuing operations$3,062
$2,660
15 %$8,853
$7,144
24 %
Noncontrolling interests14
19
(26)47
46
2
Net income$3,048
$2,641
15 %$8,806
$7,098
24 %
EOP assets (in billions of dollars)
$1,370
$1,303
5 %   
Average assets (in billions of dollars)
1,369
1,310
5
$1,349
$1,294
4 %
Return on average assets0.88%0.80%

0.87%0.73%

Efficiency ratio54
55


54
57


Revenues by region  

  

North America$3,638
$3,191
14 %$10,661
$9,564
11 %
EMEA2,655
2,506
6
8,299
7,250
14
Latin America1,059
999
6
3,228
2,983
8
Asia1,879
1,763
7
5,382
5,246
3
Total$9,231
$8,459
9 %$27,570
$25,043
10 %
Income from continuing operations by region  

  


North America$1,322
$1,067
24 %$3,534
$2,618
35 %
EMEA746
649
15
2,380
1,718
39
Latin America380
389
(2)1,188
1,111
7
Asia614
555
11
1,751
1,697
3
Total$3,062
$2,660
15 %$8,853
$7,144
24 %
Average loans by region (in billions of dollars)
  

  


North America$152
$145
5 %$149
$142
5 %
EMEA71
68
4
68
66
3
Latin America34
36
(6)34
36
(6)
Asia64
58
10
61
58
5
Total$321
$307
5 %$312
$302
3 %
EOP deposits by business (in billions of dollars)
     

Treasury and trade solutions$428
$417
3 %  

All other ICG businesses
212
202
5






Total$640
$619
3 %





Average loans by region (in billions of dollars)
  

  


North America$178
$165
8 %$176
$162
9 %
EMEA85
80
6
85
79
8
Latin America33
33
—
34
34
—
Asia63
68
(7)63
68
(7)
Total$359
$346
4 %$358
$343
4 %
EOP deposits by business (in billions of dollars)
     

Treasury and trade solutions$488
$459
6 %  

All other ICG businesses
227
217
5






Total$715
$676
6 %







(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 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.
(1) The second quarter of 2019 includes an approximate $350 million gain on Citi's investment in Tradeweb.
NM Not meaningful



ICG Revenue Details—Excluding Gains (Losses) on Loan HedgesDetails
Third Quarter Nine Months% ChangeSecond Quarter Six Months% Change
In millions of dollars20172016% Change2017201620192018% Change20192018
Investment banking revenue details
         
Advisory$237
$239
(1)%$797
$704
13 %$232
$361
(36)%$610
$576
6 %
Equity underwriting290
146
99
820
438
87
314
335
(6)486
551
(12)
Debt underwriting704
698
1
2,314
2,029
14
737
726
2
1,541
1,425
8
Total investment banking$1,231
$1,083
14 %$3,931
$3,171
24 %$1,283
$1,422
(10)%$2,637
$2,552
3 %
Treasury and trade solutions2,144
1,986
8
6,284
5,888
7
2,441
2,336
4
4,836
4,604
5
Corporate lending—excluding gains/(losses) on loan hedges(1)
502
439
14
1,413
1,270
11
Corporate lending—excluding gains (losses) on loan hedges(1)
538
589
(9)1,107
1,110
—
Private bank785
680
15
2,317
2,038
14
866
848
2
1,746
1,752
—
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 %
Total banking revenues (ex-gains (losses) on loan hedges)$5,128
$5,195
(1)%$10,326
$10,018
3 %
Corporate lending—gains (losses) on loan hedges(1)
$(75)$23
NM
$(306)$46
NM
Total banking revenues (including gains (losses) on loan hedges), net of interest expense$5,053
$5,218
(3)%$10,020
$10,064
— %
Fixed income markets(2)$2,877
$3,413
(16)%$9,714
$9,896
(2)%$3,323
$3,082
8 %$6,775
$6,507
4 %
Equity markets757
654
16
2,217
2,127
4
790
864
(9)1,632
1,967
(17)
Securities services599
533
12
1,726
1,623
6
682
665
3
1,320
1,306
1
Other(2)
384
(111)NM
122
(483)NM
(127)(132)4
(332)(292)(14)
Total markets and securities services revenues$4,617
$4,489
3 %$13,779
$13,163
5 %
Total markets and securities services revenues, net of interest expense$4,668
$4,479
4 %$9,395
$9,488
(1)%
Total revenues, net of interest expense$9,231
$8,459
9 %$27,570
$25,043
10 %$9,721
$9,697
— %$19,415
$19,552
(1)%
Commissions and fees$167
$115
45 %$461
$352
31 %$198
$182
9 %$372
$357
4 %
Principal transactions(3)
1,546
1,825
(15)5,754
4,934
17
1,870
2,114
(12)4,247
4,306
(1)
Other(2)129
171
(25)459
600
(24)533
28
NM
683
303
NM
Total non-interest revenue$1,842
$2,111
(13)%$6,674
$5,886
13 %$2,601
$2,324
12 %$5,302
$4,966
7 %
Net interest revenue1,035
1,302
(21)3,040
4,010
(24)722
758
(5)1,473
1,541
(4)
Total fixed income markets$2,877
$3,413
(16)%$9,714
$9,896
(2)%$3,323
$3,082
8 %$6,775
$6,507
4 %
Rates and currencies$2,161
$2,362
(9)%$6,891
$7,059
(2)%$2,118
$2,241
(5)%$4,520
$4,718
(4)%
Spread products / other fixed income716
1,051
(32)2,823
2,837
—
Spread products/other fixed income1,205
841
43
2,255
1,789
26
Total fixed income markets$2,877
$3,413
(16)%$9,714
$9,896
(2)%$3,323
$3,082
8 %$6,775
$6,507
4 %
Commissions and fees$301
$302
— %$930
$978
(5)%$274
$308
(11)%$567
$669
(15)%
Principal transactions(3)
190
45
NM
331
48
NM
7
101
(93)403
638
(37)
Other(5)4
NM
(4)133
NM
10
20
(50)17
100
(83)
Total non-interest revenue$486
$351
38 %$1,257
$1,159
8 %$291
$429
(32)%$987
$1,407
(30)%
Net interest revenue271
303
(11)960
968
(1)499
435
15
645
560
15
Total equity markets$757
$654
16 %$2,217
$2,127
4 %$790
$864
(9)%$1,632
$1,967
(17)%


(1)Credit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual loans and loans at fair value. Gains/Gains (losses) on loan hedges includesinclude the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gains/gains (losses) on loan hedges are non-GAAP financial measures.
(2)ThirdThe second quarter of 20172019 includes the $580an approximate $350 million gain on the sale of a fixed income analytics business. First quarter of 2016 includes the charge of approximately $180 million, primarily reflecting the write-down of Citi’s netCiti's investment in Venezuela as a result of changes in the exchange rate during the quarter.Tradeweb.
(3) Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(3)
Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
NM Not meaningful


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


2Q19 vs. 2Q18


3Q17 vs. 3Q16
Net income increased 15%3%, primarily driven by higher revenues, including the $580 million gain on the sale of a fixed income analytics business,decrease in expenses and a higher benefit from cost of credit,lower effective tax rate, partially offset by higher operating expenses.

Revenues increased 9%, reflecting higher revenues in Banking (increase of 16%; increase of 11% excluding losses on loan hedges) and higher revenues in Markets and securities services (increase of 3%), including the gain on sale (decrease of 10% excluding the gain on sale). Banking revenues were driven by continued strong momentum and performance across all businesses. Citi expects revenues in ICG will likely continue to reflect the overall market environment, including a normal seasonal decline in the markets businesses in the fourth quarter of 2017.

Within Banking:

Investment banking revenues increased 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 significant wallet share gains and particular strength in North America and EMEA. Debt underwriting revenues increased 1%, reflecting the wallet share gains, partially offset by the decline in overall market wallet.
Treasury and trade solutions revenues increased 8%. Excluding the impact of FX translation, revenues increased 7%, primarily reflecting strength in EMEA and Asia. Thean increase in revenues reflects continued growth in loans and deposits along with improvements in deposit spreads, as well as fee growth driven by higher payment, clearing and commercial card volumes and episodic fees in trade.End-of-period deposit balances increased 3% (2% excluding the impactcost of FX translation). Average trade loans increased 4%, driven by strong loan growth in Asia and EMEA.
credit.

•
Revenues were largely unchanged, as the Tradeweb gain was offset by lower revenues in Banking (decrease of 3%, including the impact of the gains (losses) on loan hedges) and Markets and securities services (decrease of 4%, excluding the Tradeweb gain). Excluding the Tradeweb gain, revenues decreased 3%. Banking revenues were down 3%. Excluding the impact of the gains (losses) on loan hedges, Banking revenues decreased 1%, as higher revenues in treasury and trade solutions and the private bank were more than offset by lower revenues in investment banking and corporate lending. Markets and securities services revenues were up 4% versus the prior-year period, including the Tradeweb gain. Excluding the Tradeweb gain, Markets and securities services revenues decreased 4%, as higher revenues in securities services were more than offset by lower fixed income and equity markets revenues. Citi expects that revenues in its markets and investment banking businesses will likely continue to reflect the overall market environment in the near term.
Corporate lending revenues increased $233 million to $454 million. Excluding the impact of losses on loan hedges, revenues increased 14%. The increase in revenues was driven by lower hedging costs and improved loan sale activity. Average loans declined 1%.

Private bank revenues increased 15%, reflecting strength across all products, largely driven by North America and Asia. The increase in revenues was due to growth in clients, higher loan and deposit volumes, higher deposit spreads, higher managed investments revenues and increased capital markets activity.
Within Banking:


•
Investment banking revenues declined 10%, while outperforming the market wallet, as strength in debt underwriting was more than offset by a strong prior-year comparison in advisory. Advisory revenues declined 36%, primarily reflecting a decline in the market wallet as well as the strong prior-year period comparison. Equity underwriting revenues declined 6%, largely in line with the decline in market wallet. Debt underwriting revenues increased 2%, reflecting gains in wallet share, particularly in North America.
•
Treasury and trade solutions revenues increased 4%. Excluding the impact of FX translation, revenues increased 7%, driven by growth in both the cash and trade businesses, reflecting both higher net interest and fee revenues. Average deposit balances increased 8% (10% excluding the impact of FX translation), reflecting strong growth across all regions. Revenue growth in the cash business was primarily driven by continued growth in deposit balances, as deposit spreads remained stable. Revenue growth in the trade business was driven primarily by improved loan spreads and higher episodic fees, modestly offset by lower average trade loans.
 
•
Corporate lending revenues decreased from $612 million to $463 million. Excluding the impact of gains (losses) on
Within Markets and securities services:

Fixed income markets revenues decreased 16%, driven by North America and EMEA, primarily due to lower client activity in the current quarter and the strong trading environment in the prior-year period. The decline in revenues was driven by lower net interest revenue (down 21%), largely due to a change in the mix of trading positions in support of client activity and lower principal transactions revenues (down 15%) reflecting the lower client activity and the prior-year strength in the trading environment. Rates and currenciesloan hedges, revenues decreased 9%, driven by higher hedging costs and lower spreads.
•
Private bank revenues increased 2%, driven primarily by North America and Asia, partially offset by Latin America.  The increase in revenues reflected strong client activity, which drove higher lending, deposit and assets under management volumes, partially offset by spread compression.

Within Markets and securities services:

•
Fixed income markets revenues increased 8%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues decreased 4%, as growth across Asia and Latin America was more than offset by lower revenues in North America. The decrease in revenues reflected both lower net interest and non-interest revenues. Net interest revenues declined reflecting higher funding costs, given the higher interest rate environment. The decrease in non-interest revenues was largely driven by lower principal transactions revenues, reflecting lower investor client activity, particularly in rates and currencies, in a challenging market environment.
Rates and currencies revenues decreased 5%, as lower revenues in G10 rates and currencies, revenues due to the low volatilityprimarily in the current quarter and the comparison toNorth America, were partially offset by higher revenues in the prior-year period following the vote in the U.K. in favor of its withdrawal from the European Union. Locallocal markets rates and currencies revenues, increased modestly, reflecting continuedwhile corporate client engagement acrossactivity was broadly stable. The decrease in rates reflected the global network. challenging market environment, particularly in North America, as well as lower investor client activity in EMEA.
Spread products and other fixed income revenues decreased 32%increased 43%, primarily drivenincluding the Tradeweb gain. Excluding the Tradeweb gain, revenues increased 1%, as an increase in client activity in financing and flow products was largely offset by the prior-year strength in the tradinga continued challenging market environment in securitized marketsstructured products, particularly in North America, as well as lower credit products and municipals revenues..
Equity markets revenues increased 16%, driven mainly by client-led growth, reflecting strength across regions. The increase in revenues was primarily due to higher equity derivatives revenues due to higher client activity and a more favorable trading environment compared to the prior-year period. 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 Asia and EMEA. The increase in revenues was driven by growth in fee revenues due to continued growth in assets under custody and increased client volumes, as well as growth in net interest revenue driven by higher interest rates.

Expenses increased 5% as investments, volume-related expenses and higher legal and related expenses were partially offset by efficiency savings.
Provisions decreased 82%, driven by a net loan loss reserve release of $208 million (compared to a $135 million release in the prior-year period, largely related to energy and energy-related exposures). The primary driver of the current quarter’s release was an improvement in the provision for unfunded lending commitments in the corporate loan portfolio.


•
Equity markets revenues decreased 9%, reflecting lower revenues in cash equities and prime finance, primarily in North America and Asia,partially offset by higher revenues in equity derivatives. The decline in cash equities revenues reflected lower client volumes. The decline in prime finance revenues was driven by lower client financing balances. Equity derivatives revenues increased, reflecting strong corporate client activity as well as improved volatility. Non-interest revenues decreased, primarily driven by lower principal

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

Revenues increased 10%, reflecting higher revenues in Banking (increase of 16%; increase of 13% excluding the impact of losses on loan hedges) and higher revenues in Markets and securities services (increase of 5%), including the gain on sale (unchanged excluding the gain on sale).

Within Banking:

Investment banking revenues increased 24%, largely reflecting gains in wallet share across products as well as an improvement from the industry-wide slowdown in activity levels during the first half of 2016, particularly in equity underwriting. Advisory revenues increased 13%, reflecting the wallet share gains. Equity underwriting revenues increased 87%, driven by significant wallet share gains as well as the increase in overall market activity. Debt underwriting revenues increased 14%, primarily driven by the wallet share gains.
Treasury and trade solutions revenues increased 7%, primarily driven by continued growth in deposit and loan volumes, higher spreads and strong fee growth across most cash products, as well as a modest improvement in trade revenues.
Corporate lending revenues increased 61%. Excluding the impact of losses on loan hedges, revenues increased 11%, driven by lower hedging costs in the current period, improved loan sale activity and the prior-period adjustment to the residual value of a lease financing.
Private bank revenues increased 14%, reflecting strength across all regions, primarily driven by increased loan and deposit growth, higher deposit spreads and higher
managed investments revenues.

Within Markets and securities services:

Fixed income markets revenues decreased 2%, due to lower revenues in North America,Latin America, and Asia, partially offset by growth in EMEA. Rates and currencies revenues decreased 2% due to lower G10 rates and currencies revenues reflecting low volatility this year and the comparison to Brexit-led activity in the prior-year period. Spread products and other fixed income revenues remained unchanged. Net interest revenue was lower (down 24%), largely due to a change in the mix of trading positions in support of client activity, partially offset by higher principal transactions revenues (up 17%).an increase in net interest revenues.
•
Securities services revenues increased 3%. Excluding the impact of FX translation, revenues increased 7%, driven by higher client volumes and an increase in interest revenues due to higher interest rates.

Equity markets revenues increased 4%Expenses decreased 2%, as continued growth in client balancesefficiency savings and higher client activity, particularly in EMEAa benefit from FX translation more than offset ongoing investments and Asia, were partially offset by the absence of episodic activity in North America in the prior-year period. Equity derivatives revenuesvolume-related growth.
Provisions increased $78 million to $103 million, largely driven by stronger trading performancehigher net credit losses (up $73 million). The increase in net credit losses largely reflected a normalization of credit trends compared to the prior-year period as well as higher investor client activity, partially offset by a modest declinethat benefited from ratings upgrades. Citi expects this normalization of credit costs will likely continue in prime finance revenues due to spread mix. Cash equities revenues were modestly higher,the near term.

2019 YTD vs. 2018 YTD
Net income increased 1%, primarily driven by higher client activity in Asia,lower expenses and a lower effective tax rate, partially offset by lower activity in North America.revenues and higher credit costs.

•
Revenues decreased 1%, driven by a 1% decrease in Markets and securities services revenues (including the Tradeweb gain), while Banking revenues (including the impact of the gains (losses) on loan hedges) were largely unchanged. Excluding the impact of the gains (losses) on loan hedges, Banking revenues increased 3%, driven by higher revenues in treasury and trade solutions and investment banking. Markets and securities services revenues decreased 1%, as the Tradeweb gain and higher securities services revenues were more than offset by lower fixed income and equity markets revenues.

Within Banking:

•
Investment banking revenues increased 3%. Advisory revenues increased 6%, reflecting gains in wallet share despite a decline in overall market wallet. Equity underwriting revenues decreased 12%, reflecting market wallet declines, particularly in EMEA and Asia. Debt underwriting revenues increased 8%, reflecting gains in wallet share, primarily in North America.
•
Treasury and trade solutions revenues increased 5%. Excluding the impact of FX translation, revenues increased 8%, reflecting growth in both the cash and trade businesses, driven by continued growth in deposit volumes and improved loan spreads as well as strong fee growth across most cash products.
•
Corporate lending revenues decreased from $1.2 billion to $801 million. Excluding the impact of gains (losses) on loan hedges, revenues were largely unchanged.
•
Private bank revenues were largely unchanged versus the
prior-year period, as higher loan and deposit volumes were offset by lower managed investments revenues and spread compression.
Securities services revenues increased 6%. Excluding the impact of prior year divestitures, revenues increased 11%, largely due to higher revenues in North America,Latin America
Within Markets and EMEAsecurities services:

•
Fixed income markets revenues increased 4%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues decreased 1%, largely reflecting lower revenues in North America. Rates and currencies revenues decreased 4%, driven by the challenging market environment. Spread products and other fixed income revenues increased 26%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues increased 6%, as strong flow trading and financing revenues were partially offset by lower revenues in structured products.
•
Equity markets revenues decreased 17%, driven by North America and Asia, reflecting lower client activity as well as comparison to a strong prior-year period characterized by higher market volatility.
•
Securities services revenues increased 1%. Excluding the impact of FX translation, revenues increased 6%, reflecting growth in both client volumes and assets under custody, as well as higher net interest revenue, driven by higher deposit volumes and higher interest rates.

Expenses decreased 2%, driven by the same factors described above.

ExpensesProvisions increased 4% from the prior-year period, driven by the same factors described above, partially offset by lower repositioning costs.
Provisions decreased $664$140 million to $124 million, primarily reflectingdue to a decline in net credit losses from $397 million in the prior-year period to $140 million and a netlower loan loss reserve release (release of $422 million ($15 million release in the period-year period). This lower cost of credit was driven largely by improvement in the energy sector,$3 million) as well as the release relatedcompared to the improvement in the provision for unfunded lending commitments.prior-year period (release of $120 million).














CORPORATE/OTHER
Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as Corporate Treasury, certain North America and international legacy consumer loan portfolios, other legacy assets and discontinued operations (for additional information on Corporate/Other, see “Citigroup Segments” above). At SeptemberJune 30, 2017, 2019, Corporate/Other had $100$97 billion in assets, a decrease of 4% year-over-year and 3% from December 31, 2016.assets.


Third Quarter Nine Months% ChangeSecond Quarter Six Months% Change
In millions of dollars20172016% Change2017201620192018% Change20192018
Net interest revenue$507
$706
(28)%$1,543
$2,416
(36)%$445
$553
(20)%$1,076
$1,091
(1)%
Non-interest revenue2
431
(100)796
1,852
(57)87
(25)NM
(113)28
NM
Total revenues, net of interest expense$509
$1,137
(55)%$2,339
$4,268
(45)%$532
$528
1 %$963
$1,119
(14)%
Total operating expenses$822
$1,288
(36)%$2,929
$3,847
(24)%$481
$600
(20)%$1,030
$1,342
(23)%
Net credit losses$29
$131
(78)%$134
$374
(64)%
Net credit losses (recoveries)$2
$(21)NM
$4
$5
(20)%
Credit reserve build (release)(79)(122)35
(268)(376)29
(20)(95)79 %(46)(128)64
Provision (release) for unfunded lending commitments—
—
—
3
(6)NM
(4)(1)NM
(5)(1)NM
Provision for benefits and claims—
9
(100)1
98
(99)—
(1)NM
—
(1)100
Provisions for credit losses and for benefits and claims$(50)$18
NM
$(130)$90
NM
Provisions (release) for credit losses and for benefits and claims$(22)$(118)81 %$(47)$(125)62 %
Income (loss) from continuing operations before taxes$(263)$(169)(56)%$(460)$331
NM
$73
$46
59 %$(20)$(98)80 %
Income taxes (benefits)(164)(146)(12)%(439)(238)(84)%37
62
(40)(34)(7)NM
Income (loss) from continuing operations$(99)$(23)NM
$(21)$569
NM
$36
$(16)NM
$14
$(91)NM
Income (loss) from discontinued operations, net of taxes(5)(30)83 %(2)(55)96 %17
15
13 %15
8
88 %
Net income (loss) before attribution of noncontrolling interests$(104)$(53)(96)%$(23)$514
NM
$53
$(1)NM
$29
$(83)NM
Noncontrolling interests(17)(5)NM
(13)(4)NM
(1)13
NM
13
18
(28)%
Net income (loss)$(87)$(48)(81)%$(10)$518
NM
$54
$(14)NM
$16
$(101)NM

NM Not meaningful


3Q172Q19 vs. 3Q162Q18
The net lossNet income was $87$54 million, compared to a net loss of $48$14 million in the prior-year period, due to lower revenues, partially offsetperiod. Net income was largely driven by lower expenses and a lower cost of credit.
Revenues decreased 55%, driven by continued legacy asset run-off, divestitures and lower revenue from treasury hedging activities.
Expenses decreased 36%, primarily driven by the wind-down of legacy assets and lower legal expenses.
Provisions decreased $68 million to a net benefit of $50 million, primarily due to lower net credit losses,effective tax rate, partially offset by a lower net loan loss reserve release. Net credit losses declined 78%release in the current period.
Revenues increased 1%, as higher treasury revenues and gains were largely offset by the wind-down of legacy assets.
Expenses decreased 20%, primarily driven by the wind-down of legacy assets.
Provisions increased $96 million to $29a net benefit of $22 million, primarily reflecting the impact of ongoing divestiture activity. Thedue to a lower net loan loss reserve release declined 35%, mostly reflectingand absence of net recoveries in the prior-year period related to the continued wind-down ofin the legacy North America mortgage portfolio, partially offset by a hurricane-related loan loss reserve build (of approximately $20 million).portfolio.





 

20172019 YTD vs. 20162018 YTD
Year-to-date, Corporate/Other has experienced similar trends to those described above. The net lossNet income was $10$16 million, compared to a net incomeloss of $518$101 million in the prior-year period, reflecting lower revenues,expenses, partially offset by a lower expensesnet loan loss reserve release and lower costrevenues.
Revenues decreased 14%, primarily driven by the wind-down of credit.legacy assets.
RevenuesExpenses decreased 45%23%, primarily driven by the wind-down of legacy assets.
Provisions increased $78 million to a net benefit of $47 million, primarily due to a lower net loan loss reserve release, driven by the same factors described above as well as the absence of gains related to debt buybacks in 2016. Revenues 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 in the quarter.above.
Expenses decreased 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 $220 million, driven by the same factors described above. Net credit losses declined 64% to $134 million, reflecting the impact of ongoing divestiture activity as well as continued wind-down in the legacy North America mortgage portfolio. The provision for benefits and claims declined $97 million, reflecting continued legacy divestitures. The net reserve release declined 31%, driven by the same factors described above.




OFF-BALANCE SHEET ARRANGEMENTS


The table below shows the location ofwhere a discussion of Citi’s various off-balance sheet arrangements in this Form 10-Q.10-Q may be found. 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 20162018 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 assetsFor additional information about capital resources, including Citi’s capital management, the stress testing component of capital planning, current regulatory capital standards and regulatory capital standards developments, see “Capital Resources” and “Risk Factors” 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 events2018 Annual Report on Citi’s business results, such as changes in interest and foreign exchange rates, as well as business and asset dispositions.Form 10-K.
During the thirdsecond quarter of 2017,2019, Citi returned a total of approximately $6.4$4.6 billion of capital to common shareholders in the form of share repurchases (approximately 8154 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.









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 theCiti’s capital tiers, total risk-weighted assetscomponents and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citi as of September 30, 2017 and December 31, 2016.ratios:


Citigroup Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
September 30, 2017December 31, 2016
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
In millions of dollars, except ratiosAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach20192018Jun. 30, 2019Mar. 30, 2019Dec. 31, 2018Jun. 30, 2019Mar. 30, 2019Dec. 31, 2018
Common Equity Tier 1 Capital$162,008
$162,008
$167,378
$167,378
 

$141,125
$140,355
$139,252
$141,125
$140,355
$139,252
Tier 1 Capital177,304
177,304
178,387
178,387
 

159,447
158,712
158,122
159,447
158,712
158,122
Total Capital (Tier 1 Capital + Tier 2 Capital)202,643
214,787
202,146
214,938
  185,498
184,418
183,144
197,679
196,452
195,440
Total Risk-Weighted Assets1,143,448
1,158,679
1,166,764
1,126,314




1,133,593
1,121,645
1,131,933
1,187,328
1,178,628
1,174,448
Credit Risk(1)
$756,529
$1,093,468
$773,483
$1,061,786
Credit Risk  $763,600
$752,804
$758,887
$1,127,714
$1,118,057
$1,109,007
Market Risk64,368
65,211
64,006
64,528
  58,824
59,200
63,987
59,614
60,571
65,441
Operational Risk322,551
—
329,275
—
  311,169
309,641
309,059
—
—
—
Common Equity Tier 1 Capital ratio(2)
14.17%13.98%14.35%14.86%10.0%8.625%12.45%12.51%12.30%11.89%11.91%11.86%
Tier 1 Capital ratio(2)
15.51
15.30
15.29
15.84
11.5
10.125
14.07
14.15
13.97
13.43
13.47
13.46
Total Capital ratio(2)
17.72
18.54
17.33
19.08
13.5
12.125
16.36
16.44
16.18
16.65
16.67
16.64
In millions of dollars, except ratiosSeptember 30, 2017December 31, 2016Effective Minimum RequirementJun. 30, 2019Mar. 30, 2019Dec. 31, 2018
Quarterly Adjusted Average Total Assets(3)
 $1,838,307
 $1,768,415
 $1,939,611
$1,899,790
$1,896,959
Total Leverage Exposure(4)
 2,433,814
 2,351,883
 2,500,128
2,463,958
2,465,641
Tier 1 Leverage ratio 9.64% 10.09%4.0%8.22%8.35%8.34%
Supplementary Leverage ratio 7.29
 7.58
5.0
6.38
6.44
6.41


(1)Under the U.S. Basel III rules, credit risk-weighted assetsCiti’s effective minimum risk-based capital requirements during the transition period reflect the effects of transition arrangements related to regulatory capital adjustments2019 and deductions and, as a result, will differ from credit risk-weighted assets derived under full implementation2018 are inclusive of the rules.100% and 75% phase-in, respectively, of both the 2.5% Capital Conservation Buffer and the 3.0% GSIB surcharge (all of which must be composed of Common Equity Tier 1 Capital).
(2)As of September 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.framework for all periods presented.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.


As indicated in the table above, Citigroup’s risk-based capital ratios at SeptemberJune 30, 20172019 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 SeptemberJune 30, 2017.2019.




 


Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 11.9% at June 30, 2019, unchanged from March 31, 2019 and December 31, 2018, as net income and beneficial net movements in Accumulated other comprehensive income (AOCI) were offset by the return of capital to common shareholders and an increase in credit risk-weighted assets during the three and six months ended June 30, 2019.



Components of Citigroup Capital Under Current Regulatory Standards (Basel III Transition Arrangements)
In millions of dollarsSeptember 30,
2017		December 31, 2016
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$208,565
$206,051
Add: Qualifying noncontrolling interests209
259
Regulatory Capital Adjustments and Deductions:  
Less: Net unrealized losses on securities available-for-sale (AFS), net of tax(2)(3)
(34)(320)
Less: Defined benefit plans liability adjustment, net of tax(3)
(1,068)(2,066)
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(4)
(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)
(333)(37)
Less: Intangible assets:  
Goodwill, net of related deferred tax liabilities (DTLs)(6)
21,532
20,858
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related
   DTLs(3)
3,528
2,926
Less: Defined benefit pension plan net assets(3)
576
514
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and
   general business credit carry-forwards(3)(7)
16,054
12,802
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
  and MSRs(3)(7)(8)
6,948
4,815
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$162,008
$167,378
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$19,069
$19,069
Qualifying trust preferred securities(9)
1,374
1,371
Qualifying noncontrolling interests118
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)
(83)(24)
Less: Defined benefit pension plan net assets(3)
144
343
Less: DTAs arising from net operating loss, foreign tax credit and
   general business credit carry-forwards(3)(7)
4,014
8,535
Less: Permitted ownership interests in covered funds(10)
1,128
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
62
61
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$15,296
$11,009
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
   (Standardized Approach and Advanced Approaches)
$177,304
$178,387
Tier 2 Capital  
Qualifying subordinated debt$23,578
$22,818
Qualifying trust preferred securities(12)
329
317
Qualifying noncontrolling interests39
22
Eligible allowance for credit losses(13)
13,598
13,452
Regulatory Capital Adjustment and Deduction:  
Add: Unrealized gains on AFS equity exposures includable in Tier 2 Capital1
3
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
62
61
Total Tier 2 Capital (Standardized Approach)$37,483
$36,551
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$214,787
$214,938
Adjustment for excess of eligible credit reserves over expected credit losses(13)
$(12,144)$(12,792)
Total Tier 2 Capital (Advanced Approaches)

$25,339
$23,759
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$202,643
$202,146
In millions of dollarsJune 30,
2019		December 31, 2018
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$179,534
$177,928
Add: Qualifying noncontrolling interests154
147
Regulatory Capital Adjustments and Deductions:  
Less: Accumulated net unrealized losses on cash flow hedges, net of tax75
(728)
Less: Cumulative unrealized net gain (loss) related to changes in fair value of
   financial liabilities attributable to own creditworthiness, net of tax
(85)580
Less: Intangible assets:  
Goodwill, net of related DTLs(2)
21,793
21,778
Identifiable intangible assets other than MSRs, net of related DTLs 
4,264
4,402
Less: Defined benefit pension plan net assets969
806
Less: DTAs arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(3)
11,547
11,985
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$141,125
$139,252
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$17,825
$18,292
Qualifying trust preferred securities(4)
1,388
1,384
Qualifying noncontrolling interests49
55
Regulatory Capital Deductions:  
Less: Permitted ownership interests in covered funds(5)
900
806
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(6)
40
55
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$18,322
$18,870
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
   (Standardized Approach and Advanced Approaches)
$159,447
$158,122
Tier 2 Capital  
Qualifying subordinated debt$24,062
$23,324
Qualifying trust preferred securities(7)
321
321
Qualifying noncontrolling interests48
47
Eligible allowance for credit losses(8)
13,841
13,681
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(6)
40
55
Total Tier 2 Capital (Standardized Approach)$38,232
$37,318
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$197,679
$195,440
Adjustment for excess of eligible credit reserves over expected credit losses(8)
$(12,181)$(12,296)
Total Tier 2 Capital (Advanced Approaches)

$26,051
$25,022
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$185,498
$183,144

Footnotes are presented on the following page.




(1)Issuance costs of $184$155 million as of June 30, 2019 and $168 million as of December 31, 2018 are related to outstanding noncumulative perpetual preferred stock, outstanding at September 30, 2017 and December 31, 2016 are excluded from common stockholders’ equity and are 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).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)(3)Of Citi’s approximately $45.5$22.3 billion of net DTAs at SeptemberJune 30, 2017, approximately $19.92019, $11.9 billion werewas includable in regulatory capitalCommon Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while approximately $25.6$10.4 billion werewas excluded. Excluded from Citi’s regulatory capital at SeptemberCommon Equity Tier 1 Capital as of June 30, 20172019 was in total approximately $27.0$11.5 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 $23.0 billion were deducted from Common Equity Tier 1 Capital and approximately $4.0 billion were deducted from Additional Tier 1 Capital, which was reduced by approximately $1.4$1.1 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be entirely deducted from both Common Equity Tier 1 Capital and Additional Tier 1 Capital under the transition arrangements of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted solely from Common Equity Tier 1 Capital under thesethe U.S. Basel III rules. Citi’s DTAs arising from temporary differences are less than the 10% limitation under the U.S. Basel III rules if in excess of 10%/15% limitations.and therefore not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.
(8)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At September 30, 2017 and December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $6.9 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at September 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)(4)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.

Footnotes continue on the following page.



(10)(5)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, thatwhich prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.funds.
(11)(6)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)(7)Effective January 1, 2016,Represents the amount of 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.rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.
(13)(8)Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $1.5$1.7 billion and $0.7$1.4 billion at SeptemberJune 30, 20172019 and December 31, 2016,2018, respectively.



Citigroup Capital Rollforward Under Current Regulatory Standards (Basel III Transition Arrangements)
In millions of dollarsThree Months Ended 
 September 30, 2017		Nine Months Ended  
  September 30, 2017		Three Months Ended 
 June 30, 2019		Six Months Ended  
  June 30, 2019
Common Equity Tier 1 Capital, beginning of period$163,786
$167,378
$140,355
$139,252
Net income4,133
12,095
4,799
9,509
Common and preferred stock dividends declared(1,137)(2,648)
Common and preferred dividends declared(1,337)(2,674)
Net increase in treasury stock(5,487)(9,186)(3,566)(7,057)
Net change in common stock and additional paid-in capital98
(147)106
(278)
Net decrease in foreign currency translation adjustment net of hedges, net of tax218
2,179
Net change in unrealized losses on securities AFS, net of tax(52)345
Net increase in foreign currency translation gains net of hedges, net of tax91
149
Net decrease in unrealized losses on debt securities AFS, net of tax703
1,838
Net increase in defined benefit plans liability adjustment, net of tax(23)(1,174)(253)(317)
Net change in adjustment related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
(23)29
Net change in goodwill, net of related DTLs57
(674)
Net change in identifiable intangible assets other than MSRs, net of related DTLs142
(602)
Net change in defined benefit pension plan net assets61
(62)
Net change in DTAs arising from net operating loss, foreign tax credit and
general business credit carry-forwards
612
(3,252)
Net increase in excess over 10%/15% limitations for other DTAs, certain common
stock investments and MSRs
(374)(2,133)
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax21
97
Net increase in ASC 815—excluded component of fair value hedges44
62
Net increase in goodwill, net of related DTLs(25)(15)
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs126
138
Net increase in defined benefit pension plan net assets(158)(163)
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards209
438
Other(3)(140)10
146
Net decrease in Common Equity Tier 1 Capital$(1,778)$(5,370)
Net increase in Common Equity Tier 1 Capital$770
$1,873
Common Equity Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$162,008
$162,008
$141,125
$141,125
Additional Tier 1 Capital, beginning of period$15,758
$11,009
$18,357
$18,870
Net decrease in qualifying perpetual preferred stock—
(467)
Net increase in qualifying trust preferred securities—
3
2
4
Net change in adjustment related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
25
59
Net decrease in defined benefit pension plan net assets15
199
Net decrease in DTAs arising from net operating loss, foreign tax credit and
general business credit carry-forwards
152
4,521
Net increase in permitted ownership interests in covered funds(633)(595)
Net increase in permitted ownership interest in covered funds(52)(94)
Other(21)100
15
9
Net change in Additional Tier 1 Capital$(462)$4,287
Net decrease in Additional Tier 1 Capital$(35)$(548)
Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$177,304
$177,304
$159,447
$159,447
Tier 2 Capital, beginning of period (Standardized Approach)$37,383
$36,551
$37,740
$37,318
Net change in qualifying subordinated debt(64)760
Net increase in qualifying trust preferred securities5
12
Net increase in qualifying subordinated debt358
738
Net increase in eligible allowance for credit losses165
146
122
160
Other(6)14
12
16
Net increase in Tier 2 Capital (Standardized Approach)$100
$932
$492
$914
Tier 2 Capital, end of period (Standardized Approach)$37,483
$37,483
$38,232
$38,232
Total Capital, end of period (Standardized Approach)$214,787
$214,787
$197,679
$197,679
  
Tier 2 Capital, beginning of period (Advanced Approaches)$25,246
$23,759
$25,706
$25,022
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
Net increase in qualifying subordinated debt358
738
Net change in excess of eligible credit reserves over expected credit losses(25)275
Other(6)14
12
16
Net increase in Tier 2 Capital (Advanced Approaches)$93
$1,580
$345
$1,029
Tier 2 Capital, end of period (Advanced Approaches)$25,339
$25,339
$26,051
$26,051
Total Capital, end of period (Advanced Approaches)$202,643
$202,643
$185,498
$185,498






Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel(Basel III Standardized Approach with Transition Arrangements)Approach)
In millions of dollarsThree Months Ended 
 September 30, 2017		Nine Months Ended  
September 30, 2017
 Total Risk-Weighted Assets, beginning of period$1,163,894
$1,126,314
Changes in Credit Risk-Weighted Assets  
Net increase in general credit risk exposures(1)
1,511
15,154
Net increase in repo-style transactions(2)
8,430
15,417
Net decrease in securitization exposures(3)
(4,129)(6,183)
Net increase in equity exposures809
1,556
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(6)
(731)2,591
Net increase in Credit Risk-Weighted Assets$7,209
$31,682
Changes in Market Risk-Weighted Assets  
Net change in risk levels(7)
$(1,727)$14,163
Net decrease due to model and methodology updates(8)
(10,697)(13,480)
Net change in Market Risk-Weighted Assets$(12,424)$683
Total Risk-Weighted Assets, end of period$1,158,679
$1,158,679
In millions of dollarsThree Months Ended 
 June 30, 2019		Six Months Ended  
  June 30, 2019
 Total Risk-Weighted Assets, beginning of period$1,178,628
$1,174,448
Changes in Credit Risk-Weighted Assets  
General credit risk exposures(1)
9,078
2,006
Repo-style transactions(2)
331
8,061
Securitization exposures(3)
(6,933)398
Equity exposures(4)
1,702
3,541
Over-the-counter (OTC) derivatives(5)
2,898
2,964
Other exposures(6)
1,536
7,444
Off-balance sheet exposures(7)
1,045
(5,707)
Net change in Credit Risk-Weighted Assets$9,657
$18,707
Changes in Market Risk-Weighted Assets  
Risk levels(8)
$(1,252)$(5,765)
Model and methodology updates295
(62)
Net decrease in Market Risk-Weighted Assets$(957)$(5,827)
Total Risk-Weighted Assets, end of period$1,187,328
$1,187,328


(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 nine months ended SeptemberJune 30, 20172019 primarily due to corporate loan growth.growth in retail and commercial loans.
(2)Repo-style transactions include repurchase orand reverse repurchase transactions andas well as securities borrowing orand securities lending transactions.
(3)Securitization exposures decreased during the three and nine months ended SeptemberJune 30, 2017 principally as a result of certain securitization2019 primarily due to decreased exposures becoming subject to deduction from Tier 1 Capital under the Volcker Rule of the Dodd-Frank Act.existing deals.
(4)OTC derivativesEquity exposures increased during the three months and ninesix months ended SeptemberJune 30, 2017 primarily due to increased trade volume.
(5)Other exposures include cleared transactions, unsettled transactions, and other assets. Other exposures decreased during the three months ended September 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 growth in cleared transactions.
(6)Off-balance sheet exposures increased during the nine months ended September 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.
(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 nine months ended September 30, 20172019 primarily due to an increase in exposure levels subject to comprehensive risk, as well as an increase in positions subject to securitization charges and standard specific risk charges.
(8)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 quartermarket value 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.



Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsThree Months Ended 
 September 30, 2017		Nine Months Ended  
  September 30, 2017
 Total Risk-Weighted Assets, beginning of period$1,157,670
$1,166,764
Changes in Credit Risk-Weighted Assets  
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)
4,658
4,660
Net decrease in securitization exposures(4)
(4,362)(6,477)
Net increase in equity exposures737
1,336
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(7)
(1)(955)
Net change in Credit Risk-Weighted Assets$999
$(16,954)
Changes in Market Risk-Weighted Assets  
Net change in risk levels(8)
$(2,075)$13,842
Net decrease due to model and methodology updates(9)
(10,697)(13,480)
Net change in Market Risk-Weighted Assets$(12,772)$362
Net decrease in Operational Risk-Weighted Assets(10)
$(2,449)$(6,724)
Total Risk-Weighted Assets, end of period$1,143,448
$1,143,448

(1)Retail exposures increased during the three months ended September 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.
(2)Wholesale exposures decreased during the three months ended September 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.
(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.investments.
(5)OTC derivatives increased during the three months and six months ended SeptemberJune 30, 20172019 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.notional increases.
(6)
Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures increased during the six months ended June 30, 2019 primarily due to the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, and increases in various other assets.
(7)Off-balance sheet exposures decreased during the six months ended June 30, 2019 primarily due to decreases in standby letters of credit and loan commitments.
(8)Risk levels decreased during the six months ended June 30, 2019 primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk.




Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
In millions of dollarsThree Months Ended 
 June 30, 2019		Six Months Ended  
  June 30, 2019
 Total Risk-Weighted Assets, beginning of period$1,121,645
$1,131,933
Changes in Credit Risk-Weighted Assets  
Retail exposures(654)(2,166)
Wholesale exposures(1)
2,751
(9,556)
Repo-style transactions(2)
4,288
3,318
Securitization exposures(3)
(4,090)(229)
Equity exposures(4)
1,697
3,391
Over-the-counter (OTC) derivatives(5)
2,038
2,946
Derivatives CVA648
634
Other exposures(6)
3,544
6,144
Supervisory 6% multiplier574
231
Net increase in Credit Risk-Weighted Assets$10,796
$4,713
Changes in Market Risk-Weighted Assets  
Risk levels(7)
$(671)$(5,101)
Model and methodology updates295
(62)
Net decrease in Market Risk-Weighted Assets$(376)$(5,163)
Net increase in Operational Risk-Weighted Assets$1,528
$2,110
Total Risk-Weighted Assets, end of period$1,133,593
$1,133,593

(1)Wholesale exposures decreased during the six months ended June 30, 2019 primarily due to annual model parameter updates reflecting Citi’s loss experience.
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(3)Securitization exposures decreased during the three months ended June 30, 2019 primarily due to decreased exposures from existing deals.
(4)Equity exposures increased during the three months and six months ended June 30, 2019 primarily due to an increase in market value of investments.
(5)OTC derivatives increased during the three months and six months ended June 30, 2019 primarily due to notional increases.
(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 ninesix months ended SeptemberJune 30, 20172019 primarily due to the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, and increases in cleared transactions.various other assets.
(7)Supervisory 6% multiplier does not apply to derivatives CVA.
(8)Risk levels decreased during the threesix months ended SeptemberJune 30, 20172019 primarily due to a decreasedecreases in exposure levels subject to Stressed Value at Risk and Value at Risk. Risk levels increased during the nine months ended September 30, 2017 primarily due to an increase in exposure levels subject to comprehensive risk, as well as an increase in positions subject to securitization charges and standard specific risk charges.
(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 nine months ended September 30, 2017 primarily due to assessed improvements in the business environment and risk controls. Further contributing to 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 tablesAs 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 September 30, 2017 and December 31, 2016.
Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
 September 30, 2017December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$129,170
$129,170
$126,220
$126,220
Tier 1 Capital130,564
130,564
126,465
126,465
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
143,608
154,424
138,821
150,291
Total Risk-Weighted Assets962,968
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)
13.41%12.36%12.96%12.61%
Tier 1 Capital ratio(2)(3)
13.56
12.50
12.99
12.63
Total Capital ratio(2)(3)
14.91
14.78
14.25
15.01
In millions of dollars, except ratiosSeptember 30, 2017December 31, 2016
Quarterly Adjusted Average Total Assets(4)
 $1,396,879
 $1,333,161
Total Leverage Exposure(5) 
 1,929,785
 1,859,394
Tier 1 Leverage ratio(3)
 9.35% 9.49%
Supplementary Leverage ratio 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 September 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, 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 September 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 September 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 September 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
In basis points
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Citigroup      
Advanced Approaches0.91.20.91.40.91.6
Standardized Approach0.91.20.91.30.91.6
Citibank      
Advanced Approaches1.01.41.01.41.01.6
Standardized Approach1.01.21.01.21.01.4

Impact of Changes on Citigroup and Citibank Leverage Ratios (Basel III Transition Arrangements)
 Tier 1 Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup0.50.50.40.3
Citibank0.70.70.50.4

Citigroup Broker-Dealer Subsidiaries
At September 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 $10.5 billion, which exceeded the minimum requirement by approximately $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 $17.2 billion at September 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 September 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 September 30, 2017 and December 31, 2016.

At September 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 framework. Further, each of Citi’s risk-based capital ratios was constrained by the Basel III Advanced Approaches framework for all periods prior to June 30, 2017.
Citigroup Capital Components and Ratios Under Basel III (Full Implementation)
 September 30, 2017December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$153,534
$153,534
$149,516
$149,516
Tier 1 Capital172,849
172,849
169,390
169,390
Total Capital (Tier 1 Capital + Tier 2 Capital)198,195
210,339
193,160
205,975
Total Risk-Weighted Assets1,169,142
1,182,918
1,189,680
1,147,956
   Credit Risk$782,223
$1,117,707
$796,399
$1,083,428
   Market Risk64,368
65,211
64,006
64,528
   Operational Risk322,551
—
329,275
—
Common Equity Tier 1 Capital ratio(1)(2)
13.13%12.98%12.57%13.02%
Tier 1 Capital ratio(1)(2)
14.78
14.61
14.24
14.76
Total Capital ratio(1)(2)
16.95
17.78
16.24
17.94
In millions of dollars, except ratiosSeptember 30, 2017December 31, 2016
Quarterly Adjusted Average Total Assets(3)
 $1,835,074
 $1,761,923
Total Leverage Exposure(4) 
 2,430,582
 2,345,391
Tier 1 Leverage ratio(2)
 9.42% 9.61%
Supplementary Leverage ratio(2)
 7.11
 7.22

(1)As of September 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 13.0% at September 30, 2017, compared to 13.1% at June 30, 2017 and 12.6% at December 31, 2016. The ratio declined quarter-over-quarter as the favorable effects associated with quarterly net income of $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 $10.8 billion of capital to common shareholders during the first nine months of 2017.



Components of Citigroup Capital Under Basel III (Full Implementation)
In millions of dollarsSeptember 30,
2017		December 31, 2016
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$208,565
$206,051
Add: Qualifying noncontrolling interests144
129
Regulatory Capital Adjustments and Deductions:  
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(2)
(437)(560)
Less: Cumulative unrealized net loss related to changes in fair value of
   financial liabilities attributable to own creditworthiness, net of tax(3)
(416)(61)
Less: Intangible assets:  
Goodwill, net of related DTLs(4)
21,532
20,858
Identifiable intangible assets other than MSRs, net of related DTLs 
4,410
4,876
Less: Defined benefit pension plan net assets720
857
Less: DTAs arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(5)
20,068
21,337
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
  and MSRs(5)(6)
9,298
9,357
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$153,534
$149,516
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$19,069
$19,069
Qualifying trust preferred securities(7)
1,374
1,371
Qualifying noncontrolling interests62
28
Regulatory Capital Deductions:  
Less: Permitted ownership interests in covered funds(8)
1,128
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
62
61
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$19,315
$19,874
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
   (Standardized Approach and Advanced Approaches)
$172,849
$169,390
Tier 2 Capital  
Qualifying subordinated debt$23,578
$22,818
Qualifying trust preferred securities(10)
329
317
Qualifying noncontrolling interests47
36
Eligible allowance for credit losses(11)
13,598
13,475
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
62
61
Total Tier 2 Capital (Standardized Approach)$37,490
$36,585
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$210,339
$205,975
Adjustment for excess of eligible credit reserves over expected credit losses(11)
$(12,144)$(12,815)
Total Tier 2 Capital (Advanced Approaches)

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

(1)Issuance costs of $184 million related to noncumulative perpetual preferred stock outstanding at September 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 $45.5 billion of net DTAs at September 30, 2017, approximately $17.6 billion were includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while approximately $27.9 billion were excluded. Excluded from Citi’s Common Equity Tier 1 Capital at September 30, 2017 was in total approximately $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 $1.4 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 entirely deducted from Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted from Common Equity Tier 1 Capital 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 September 30, 2017 and December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $9.3 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at September 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.
(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 $1.5 billion and $0.7 billion at September 30, 2017 and December 31, 2016, respectively.







Citigroup Capital Rollforward Under Basel III (Full Implementation)
In millions of dollarsThree Months Ended 
 September 30, 2017		Nine Months Ended  
  September 30, 2017
Common Equity Tier 1 Capital, beginning of period$155,174
$149,516
Net income4,133
12,095
Common and preferred stock dividends declared(1,137)(2,648)
Net increase in treasury stock(5,487)(9,186)
Net change in common stock and additional paid-in capital98
(147)
Net decrease in foreign currency translation adjustment net of hedges, net of tax218
2,179
Net change in unrealized losses on securities AFS, net of tax(66)631
Net increase in defined benefit plans liability adjustment, net of tax(29)(176)
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
2
88
Net change in goodwill, net of related DTLs57
(674)
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs177
466
Net decrease in defined benefit pension plan net assets76
137
Net decrease in DTAs arising from net operating loss, foreign tax credit and general
    business credit carry-forwards
764
1,269
Net change in excess over 10%/15% limitations for other DTAs, certain common stock
    investments and MSRs
(447)59
Other1
(75)
Net change in Common Equity Tier 1 Capital$(1,640)$4,018
Common Equity Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$153,534
$153,534
Additional Tier 1 Capital, beginning of period$19,955
$19,874
Net increase in qualifying trust preferred securities—
3
Net increase in permitted ownership interests in covered funds(633)(595)
Other(7)33
Net decrease in Additional Tier 1 Capital$(640)$(559)
Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$172,849
$172,849
Tier 2 Capital, beginning of period (Standardized Approach)$37,390
$36,585
Net change in qualifying subordinated debt(64)760
Net increase in eligible allowance for credit losses165
123
Other(1)22
Net increase in Tier 2 Capital (Standardized Approach)$100
$905
Tier 2 Capital, end of period (Standardized Approach)$37,490
$37,490
Total Capital, end of period (Standardized Approach)$210,339
$210,339
   
Tier 2 Capital, beginning of period (Advanced Approaches)$25,253
$23,770
Net change in qualifying subordinated debt(64)760
Net increase in excess of eligible credit reserves over expected credit losses158
794
Other(1)22
Net increase in Tier 2 Capital (Advanced Approaches)$93
$1,576
Tier 2 Capital, end of period (Advanced Approaches)$25,346
$25,346
Total Capital, end of period (Advanced Approaches)$198,195
$198,195




Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach with Full Implementation)
In millions of dollarsThree Months Ended 
 September 30, 2017		Nine Months Ended  
September 30, 2017
 Total Risk-Weighted Assets, beginning of period$1,188,167
$1,147,956
Changes in Credit Risk-Weighted Assets  
Net increase in general credit risk exposures(1)
1,511
15,154
Net increase in repo-style transactions8,430
15,417
Net decrease in securitization exposures(4,129)(6,183)
Net increase in equity exposures1,003
1,839
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(731)2,591
Net increase in Credit Risk-Weighted Assets$7,175
$34,279
Changes in Market Risk-Weighted Assets  
Net change in risk levels$(1,727)$14,163
Net decrease due to model and methodology updates(10,697)(13,480)
Net change in Market Risk-Weighted Assets$(12,424)$683
Total Risk-Weighted Assets, end of period$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 
 September 30, 2017		Nine Months Ended  
  September 30, 2017
 Total Risk-Weighted Assets, beginning of period$1,183,399
$1,189,680
Changes in Credit Risk-Weighted Assets  
Net change in retail exposures1,898
(6,757)
Net decrease in wholesale exposures(6,362)(5,946)
Net increase in repo-style transactions4,658
4,660
Net decrease in securitization exposures(4,362)(6,477)
Net increase in equity exposures931
1,619
Net change in over-the-counter (OTC) derivatives1,088
(5,009)
Net change in derivatives CVA1,017
(83)
Net increase in other exposures(1)
2,099
4,615
Net decrease in supervisory 6% multiplier(2)
(3)(798)
Net change in Credit Risk-Weighted Assets$964
$(14,176)
Changes in Market Risk-Weighted Assets  
Net change in risk levels$(2,075)$13,842
Net decrease due to model and methodology updates(10,697)(13,480)
Net change in Market Risk-Weighted Assets$(12,772)$362
Net decrease in Operational Risk-Weighted Assets$(2,449)$(6,724)
Total Risk-Weighted Assets, end of period$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 substantially2018 primarily due to higher credit risk-weighted assets, partially offset by a decrease in market risk-weighted assets. The increase in credit risk-weighted assets was primarily resulting from corporate loan growthdue to increases in repo-style transactions, the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019 and increased repo-style transaction activity.equity exposures. The increase in credit risk-weighted assets was partially offset by decreases in standby letters of credit and loan commitments.
Total
As set forth in the table above, total risk-weighted assets under the Basel III Advanced Approaches decreasedincreased from year-end 2016, driven by substantially lower2018 primarily due to higher credit and operational risk-weighted assets partially offset by a decrease in market risk-weighted assets. The decreaseincrease in credit risk-weighted assets was primarily due to annual updates to model parameters for wholesalethe recognition of ROU assets in accordance with the adoption of ASU 2016-02, increases in equity exposures a decline in retail exposures resulting from residential mortgage loan sales and repayments as well as divestitures of certain legacy assets, and, separately, certain securitization exposures becoming subject to deduction from Tier 1 Capital under the Volcker Rule of the Dodd-Frank Act, which wasrepo-style transactions, partially offset by an increase in repo-style transaction activity. Operationaldecreases due to annual wholesale parameter updates.
Market risk-weighted assets under both the Basel III Standardized Approach and Basel III Advanced Approaches decreased from year-end 20162018 primarily due to assessed improvementsreductions in the business environmentexposure levels subject to Stressed Value at Risk and risk controls, as well as changes in operational loss severity and frequency.
Value at Risk.




Supplementary Leverage Ratio
As set forth in the table below, Citigroup’s Supplementary Leverage ratio was 7.1%6.4% for the third quarter of 2017, compared to 7.2% for both the second quarter of 20172019. The ratio remained largely unchanged from the first quarter of 2019 and the fourth quarter of 2016. The decline in2018, as 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 (TLE) primarily due to growth in average on-balance sheet assets partiallywere offset by quarterly net income of $4.1 billion. The ratio decreased from the fourth quarter of 2016, as year-to-date net income of $12.1 billion andwell as beneficial net movements
in AOCI were more than offset byduring the return of $10.8 billion of capital to common shareholdersthree and an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets.six months ended June 30, 2019.
The following table sets forth Citi’s Supplementary Leverage ratio and related components, assuming full implementation under the U.S. Basel III rules, for the three months ended September 30, 2017 and December 31, 2016.components:




Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)

In millions of dollars, except ratiosSeptember 30, 2017December 31, 2016June 30, 2019March 31, 2019December 31, 2018
Tier 1 Capital$172,849
$169,390
$159,447
$158,712
$158,122
Total Leverage Exposure (TLE) 
Total Leverage Exposure 
On-balance sheet assets(1)
$1,892,292
$1,819,802
$1,979,124
$1,939,414
$1,936,791
Certain off-balance sheet exposures:(2)
  
Potential future exposure on derivative contracts216,819
211,009
179,880
184,115
187,130
Effective notional of sold credit derivatives, net(3)
68,569
64,366
42,319
44,506
49,402
Counterparty credit risk for repo-style transactions(4)
25,513
22,002
21,416
20,696
23,715
Unconditionally cancellable commitments67,945
66,663
70,750
70,252
69,630
Other off-balance sheet exposures216,662
219,428
246,152
244,599
238,805
Total of certain off-balance sheet exposures$595,508
$583,468
$560,517
$564,168
$568,682
Less: Tier 1 Capital deductions57,218
57,879
(39,513)(39,624)(39,832)
Total Leverage Exposure$2,430,582
$2,345,391
$2,500,128
$2,463,958
$2,465,641
Supplementary Leverage ratio7.11%7.22%6.38%6.44%6.41%


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




Capital Resources of Citigroup’s Subsidiary U.S. Depository Institutions
Citigroup’s subsidiary U.S. depository institutions, including Citibank, are also subject to regulatory capital standards issued by their respective primary federal bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
The following tables set forth Citibank’s Supplementary Leverage ratio, assuming full implementationcapital components and ratios:

 
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
In millions of dollars, except ratios20192018Jun. 30, 2019Mar. 30, 2019Dec. 31, 2018Jun. 30, 2019Mar. 30, 2019Dec. 31, 2018
Common Equity Tier 1 Capital 

$130,742
$130,051
$129,091
$130,742
$130,051
$129,091
Tier 1 Capital 

132,875
132,169
131,215
132,875
132,169
131,215
Total Capital (Tier 1 Capital
    + Tier 2 Capital)(2)
  145,554
145,516
144,358
156,304
156,132
155,154
Total Risk-Weighted Assets 

934,661
926,758
926,229
1,041,349
1,041,251
1,032,809
   Credit Risk  $660,569
$651,979
$654,962
$1,006,835
$1,001,334
$994,294
   Market Risk  34,421
39,463
38,144
34,514
39,917
38,515
   Operational Risk  239,671
235,316
233,123
—
—
—
Common Equity Tier 1 Capital
    ratio(3)(4)
7.0%6.375%13.99%14.03%13.94%12.56%12.49%12.50%
Tier 1 Capital ratio(3)(4)
8.5
7.875
14.22
14.26
14.17
12.76
12.69
12.70
Total Capital ratio(3)(4)
10.5
9.875
15.57
15.70
15.59
15.01
14.99
15.02
In millions of dollars, except ratiosEffective Minimum RequirementJun. 30, 2019Mar. 30, 2019Dec. 31, 2018
Quarterly Adjusted Average Total Assets(5)
 $1,427,576
$1,397,703
$1,398,875
Total Leverage Exposure(6)
 1,932,340
1,909,587
1,914,663
Tier 1 Leverage ratio(4)
4.0%9.31%9.46%9.38%
Supplementary Leverage ratio(4)
6.0
6.88
6.92
6.85

(1)Citibank’s effective minimum risk-based capital requirements during 2019 and 2018 are inclusive of the 100% and 75% phase-in, respectively, of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
(3)Citibank’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Standardized Approach for all periods presented.
(4)Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.” For additional information, see “Capital Resources—Current Regulatory Capital Standards—Prompt Corrective Action Framework” in Citigroup’s 2018 Annual Report on Form 10-K.
(5)Tier 1 Leverage ratio denominator.
(6)Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s capital ratios at June 30, 2019 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules,rules. In addition, Citibank was 6.7% foralso “well capitalized” as of June 30, 2019 under the third quarterrevised PCA regulations.



Impact of 2017, comparedChanges on Citigroup and Citibank Capital Ratios
The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to 6.6% for both the second quarterchanges of 2017 and fourth quarter of 2016. The growth$100 million in the ratio quarter-over-quarter and from year-end 2016 was principally driven by an increase inCommon Equity Tier 1 Capital, attributable largelyTier 1 Capital and Total Capital (numerator), and changes of $1 billion in
Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of June 30, 2019. This information is provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to net income, partially offset by cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup.either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.


 
Common Equity
Tier 1 Capital ratio
Tier 1 Capital ratioTotal Capital ratio
In basis points
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Citigroup      
Advanced Approaches0.91.10.91.20.91.4
Standardized Approach0.81.00.81.10.81.4
Citibank      
Advanced Approaches1.11.51.11.51.11.7
Standardized Approach1.01.21.01.21.01.4

 Tier 1 Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup0.50.40.40.3
Citibank0.70.70.50.4




Citigroup Broker-Dealer Subsidiaries
At June 30, 2019, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $9.9 billion, which exceeded the minimum requirement by $7.1 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 $21.4 billion at June 30, 2019, which exceeded the PRA's minimum regulatory capital requirements.
In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at June 30, 2019.

Total Loss-Absorbing Capacity (TLAC)
As previously disclosed, effective January 1, 2019, U.S. global systemically important bank holding companies (GSIBs), including Citi, are required to maintain minimum levels of TLAC and eligible long-term debt (LTD), each set by reference to the GSIB’s consolidated risk-weighted assets and Total Leverage Exposure.
The table below details Citi’s eligible external TLAC and LTD amounts and ratios, and each effective minimum TLAC and LTD ratio requirement, as well as the surplus amount in dollars in excess of each requirement. As of June 30, 2019, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $13 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.
 June 30, 2019
In billions of dollars, except ratios
External TLAC

LTD
Total eligible amount$288
$125
% of Standardized Approach risk-
  weighted assets
24.3%10.6%
Effective minimum requirement(1)(2)
22.5%9.0%
Surplus amount$21
$19
% of Total Leverage Exposure11.5%5.0%
Effective minimum requirement9.5%4.5%
Surplus amount$51
$13

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

For additional information on Citi’s TLAC-related requirements, see “Liquidity Risk—Long-Term Debt—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance, Conduct and Legal Risks” in Citi’s 2018 Annual Report on Form 10-K.

Regulatory Capital Standards Developments

Leverage Ratio Treatment of Client Cleared Derivatives
In June 2019, the Basel Committee on Banking Supervision issued a final standard that revises its leverage ratio framework to align the leverage ratio measurement of client cleared derivatives with the measurement as determined per the Basel Committee’s standardized approach for measuring counterparty credit risk exposures, as used for risk-based capital requirements. Under the Basel Committee’s leverage ratio framework, the leverage ratio exposure measure is generally not adjusted for physical or financial collateral, guarantees or other credit risk mitigation techniques, including initial margin received from clients. However, the final rule permits both cash and non-cash forms of initial margin and variation margin received from clients to mitigate replacement cost and potential future exposure for client-cleared derivatives only. The Basel Committee stated in the rule that this revision balances the robustness of the leverage ratio as a non-risk based safeguard against unsustainable sources of leverage with the policy objective of promoting central clearing of standardized derivative contracts.
In the U.S., the Basel Committee’s leverage ratio framework and leverage ratio exposure measure are most closely aligned with the Supplementary Leverage Ratio and Total Leverage Exposure, respectively. If the U.S. agencies were to amend the Supplementary Leverage Ratio requirements in a manner similar to the Basel Committee, Citi’s Supplementary Leverage Ratio would likely benefit modestly. However, the impact from and timing of any actions undertaken by the U.S. banking agencies in this regard remains uncertain.






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 (TBV) per share and returns on average TCE are non-GAAP financial measures.
 



In millions of dollars or shares, except per share amountsSeptember 30,
2017		December 31,
2016		June 30,
2019		December 31,
2018
Total Citigroup stockholders’ equity$227,634
$225,120
$197,359
$196,220
Less: Preferred stock19,253
19,253
17,980
18,460
Common stockholders’ equity$208,381
$205,867
$179,379
$177,760
Less:  
Goodwill22,345
21,659
22,065
22,046
Identifiable intangible assets (other than MSRs)4,732
5,114
4,518
4,636
Goodwill and identifiable intangible assets (other than MSRs) related to
assets held-for-sale
48
72
Tangible common equity (TCE)$181,256
$179,022
$152,796
$151,078
Common shares outstanding (CSO)2,644.0
2,772.4
2,259.1
2,368.5
Book value per share (common equity/CSO)$78.81
$74.26
$79.40
$75.05
Tangible book value per share (TCE/CSO)68.55
64.57
67.64
63.79




In millions of dollarsThree Months Ended September 30, 2017Three Months Ended September 30, 2016Nine Months Ended September 30, 2017Nine Months Ended September 30, 2016Three Months Ended June 30, 2019Three Months Ended June 30, 2018Six Months Ended June 30, 2019Six Months Ended June 30, 2018
Net income available to common shareholders$3,861
$3,615
$11,202
$10,582
$4,503
$4,172
$8,951
$8,520
Average common stockholders’ equity$209,764
$212,321
$208,787
$209,850
$178,257
$181,229
$177,814
$181,429
Average TCE$182,333
$184,492
$181,271
$182,914
$152,193
$154,921
$151,821
$154,818
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%10.1%9.2%10.2%9.5%
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
Return on average TCE (RoTCE)(1)
11.9
10.8
11.9
11.1


(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)ROTCERoTCE represents annualized net income available to common shareholders as a percentage of average TCE.






Managing Global Risk Table of Contents


MANAGING GLOBAL RISK 
4736


CREDIT RISK(1)
 
4836


Consumer Credit 
4836


Corporate Credit 
5542


Additional Consumer and Corporate Credit Details 
5744


 Loans Outstanding 
5744


 Details of Credit Loss Experience 
5945


     Allowance for Loan Losses 6046

     Non-Accrual Loans and Assets and Renegotiated Loans 
6147


LIQUIDITY RISK 
6550


High-Quality Liquid Assets (HQLA) 
6550


Liquidity Coverage Ratio (LCR)
50

Loans 6651

Deposits 6651

Long-Term Debt 6752

Secured Funding Transactions and Short-Term Borrowings 6954
Liquidity Coverage Ratio (LCR)69

Credit Ratings 7055

MARKET RISK(1)
 
7257


Market Risk of Non-Trading Portfolios 
7257


Market Risk of Trading Portfolios 
8368


COUNTRYSTRATEGIC RISK 
8570


Country Risk
70

Venezuela
71

Potential Exit of U.K. from EU
71



(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 identify, 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 20162018 Annual Report on Form 10-K.
 







CREDIT RISK


For additional information on credit risk, including Citi’s credit risk management, measurement and stress testing, and Citi’s consumer and corporate credit portfolios, see “Credit Risk” and “Risk Factors” in Citi’s 20162018 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 showtable shows Citi’s quarterly end-of-period consumer loans:(1) 


In billions of dollars3Q’172Q’171Q’174Q’163Q’162Q’183Q’184Q’181Q’192Q’19
Retail banking:    
Mortgages$81.4
$81.4
$81.2
$79.4
$81.4
$80.5
$80.9
$80.6
$80.8
$81.9
Commercial banking35.5
34.8
33.9
32.0
33.2
36.5
37.2
36.3
37.1
37.6
Personal and other27.3
27.2
26.3
24.9
27.0
28.1
28.7
28.8
29.1
29.7
Total retail banking$144.2
$143.4
$141.4
$136.3
$141.6
$145.1
$146.8
$145.7
$147.0
$149.2
Cards:  
Citi-branded cards$110.7
$109.9
$105.7
$108.3
$103.9
$112.3
$112.8
$116.8
$111.4
$115.5
Citi retail services45.9
45.2
44.2
47.3
43.9
48.6
49.4
52.7
48.9
49.6
Total cards$156.6
$155.1
$149.9
$155.6
$147.8
$160.9
$162.2
$169.5
$160.3
$165.1
Total GCB
$300.8
$298.5
$291.3
$291.9
$289.4
$306.0
$309.0
$315.2
$307.3
$314.3
GCB regional distribution:
  
North America62%62%62%64%62%63%62%64%63%63%
Latin America9
9
9
8
8
8
9
8
8
8
Asia(2)
29
29
29
28
30
29
29
28
29
29
Total GCB
100%100%100%100%100%100%100%100%100%100%
Corporate/Other(3)
$24.8
$26.8
$29.3
$33.2
$39.0
$17.6
$16.5
$15.3
$12.6
$11.7
Total consumer loans$325.6
$325.3
$320.6
$325.1
$328.4
$323.6
$325.5
$330.5
$319.9
$326.0


(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
legenda57.jpg
a3q17gcba01.jpgcctglobala07.jpg
North America GCB
legenda58.jpg
a3q17na.jpgcctnagcba06.jpg
Latin America
legenda07.jpg
a3q17latam.jpg
Asia(1)
legenda07.jpg
a3q17asia.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 SeptemberJune 30, 2017,2019, approximately 70% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which generally drives the overall credit performance of North America GCB, including the credit performance year-over-year as of the third quarter of 2017 (for(for additional information on North America GCB’s cards portfolios, including delinquency and net credit loss rates, see “Credit Card Trends” below). Quarter-over-quarter,
As shown in the chart above, the 90+ days past due delinquenciesdelinquency rate decreased quarter-over-quarter in North America GCB, primarily driven by seasonality in the cards portfolios, while it remained broadly stable year-over-year.
The net credit loss rate decreased quarter-over-quarter, primarily driven by the absence of an episodic charge-off in the commercial portfolio in the first quarter of 2019. The net credit loss rate increased slightly,year-over-year, primarily driven by the seasoning of more recent vintages in North America cards as well as an increase in net flow rates in later delinquency buckets in Citi retail services.

Latin America GCB
legenda59.jpg
cctlatamgcba03.jpg

As shown in the chart above, the 90+ days past due delinquency rate increased quarter-over-quarter in Latin America GCB due to seasonality, while it remained broadly stable year-over-year.
The net credit loss rate decreased quarter-over-quarter, primarily due to seasonality in the cards portfolios.portfolio. The net credit loss rate increased year-over-year, primarily driven by the seasoning of more recent vintages in the cards portfolio.

Asia(1) GCB
legenda65.jpg
cctasiagcba04.jpg
(1)
Asia includes GCB activities in certain EMEA countries for all periods presented.

As shown in the chart above, the 90+ days past due delinquency rate remained broadly stable in Asia GCB quarter-over-quarter and year-over-year. The net credit loss rate increased quarter-over-quarter, primarily due to episodic charge-offsseasonality 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 rate increased in Latin America GCB year-over-year as of the third quarter of 2017. The increase in the net credit loss rate primarily reflected seasoning. The delinquency and net credit loss rateswhile it remained broadly 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 third quarter of 2017.year-over-year. 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.quality.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see each respective business’s results of operations above and Note 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.

TotalGlobal Cards
legenda59.jpg
a3q17totalcards.jpgcctglobala05.jpg


North America Citi-Branded Cards
legenda71.jpg
a3q17nacards.jpgccnabcardsa08.jpg


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 rate in Citi-branded cards was stabledecreased quarter-over-quarter, primarily due to seasonality, while it increased year-over-year and quarter-over-quarter. primarily due to seasoning of the portfolio.
The net credit loss rate remained broadly stable quarter-over-quarter, while it increased year-over-year primarily due to seasoning of more recent vintages in the impact of the Costco portfolio acquisition and seasoning, and decreased quarter-over-quarter mostly due to seasonality.portfolio.


North America Citi Retail Services
legenda70.jpg
a3q17naretail.jpg
ccnarscardsa06.jpg

Citi retail services partners directly with more than 20 retailers and dealersAs shown in the chart above, the 90+ days past due delinquency rate decreased quarter-over-quarter, primarily due 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.seasonality, while the net credit loss rate remained broadly stable.
Citi retail services’The delinquency and net credit loss rates increased year-over-year, primarily due to seasoning and softnessof more recent vintages as well as an increase in the collectionsnet flow rates experienced once an account reaches mid-stage delinquency. The net credit loss rate decreased quarter-over-quarter due to seasonality, while thein later delinquency rate increase quarter-over-quarter was driven by seasonality and softening in collections.buckets.


Latin America Citi-Branded Cards
legenda61.jpg
a3q17latamcards.jpgcclatambcardsa06.jpg

Latin America GCB issues proprietary and co-branded cards. As set forthshown 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 rate increased year-over-year also driven by seasoning,remained broadly stable quarter-over-quarter and year-over-year. The net credit loss rate decreased quarter-over-quarter primarily due to seasonality, while the decrease quarter-over-quarteryear-over-increase was primarily due to seasonality.seasoning of more recent vintages.






Asia Citi-Branded Cards(1)
legenda66.jpg
a3q17asiacards.jpg

ccasiabcardsa10.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, the 90+ days past due delinquency and net credit loss rates haverate remained broadly stable quarter-over-quarter and year-over-year, driven by the mature and well-diversified cards portfolios. The net credit loss rate increased quarter-over-quarter primarily due to seasonality, while it remained stable year-over-year.
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 Cards
  
FICO distributionSeptember 30, 2017December 31, 2016
  > 72062%64%
   660 - 72027
26
   620 - 6607
6
  < 6204
4
Total100%100%
FICO distributionJune 30, 2019March 31, 2019June 30, 2018
  > 76042%41%43%
   680–76041
41
40
  < 68017
18
17
Total100%100%100%


Citi Retail Services
  
FICO distributionSeptember 30, 2017December 31, 2016
   > 72041%42%
   660 - 72035
35
   620 - 66013
13
  < 62011
10
Total100%100%
FICO distributionJune 30, 2019March 31, 2019June 30, 2018
   > 76024%23%24%
   680–76043
43
43
  < 68033
34
33
Total100%100%100%


As indicated by the tables above, theThe FICO distributions for Citi-branded cards and Citi retail servicesdistribution of both cards portfolios were largely unchanged versus year-end 2016.remained broadly stable, compared to the prior quarter and prior year, demonstrating strong underlying credit quality. For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.









North America Consumer Mortgage Lending
Citi’s NorthAmerica 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 dollars3Q’172Q’171Q’174Q’163Q’16
GCB:
     
Residential firsts$40.1
$40.2
$40.3
$40.2
$40.1
Home equity4.1
4.1
4.0
4.0
3.9
Total GCB
$44.2
$44.3
$44.3
$44.2
$44.0
Corporate/Other:
     
Residential firsts$10.1
$11.0
$12.3
$13.4
$14.8
Home equity11.5
12.4
13.4
15.0
16.1
Total Corporate/
  Other
$21.6
$23.4
$25.7
$28.4
$30.9
Total Citigroup—
  North America
$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 $15.6 billion of home equity loans as of September 30, 2017, of which $3.6 billion were fixed-rate home equity loans and $12.0 billion were 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 September 30, 2017, $6.8 billion had reset (compared to $6.6 billion at June 30, 2017) and $5.2 billion were still within their revolving period that had not reset (compared to $6.0 billion at 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 September 30, 2017

nahelca3q17.jpgNote: Totals may not sum due to rounding.


Approximately 57% of Citi’s total Revolving HELOCs portfolio had reset as of September 30, 2017 (compared to 53% as of June 30, 2017). Of the remaining Revolving HELOCs portfolio, approximately 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 $355, or 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 September 30, 2017 were 30+ days past due, compared to 3.9% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 5.9% and 3.7%, respectively, as of 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		September 30,
2017		September 30,
2017		June 30,
2017		September 30,
2016		September 30,
2017		June 30,
2017		September 30,
2016		June 30,
2019		June 30,
2019		March 31,
2019		June 30,
2018		June 30,
2019		March 31,
2019		June 30,
2018
Global Consumer Banking(3)(4)
        
Total$300.8
$2,279
$2,183
$2,166
$2,763
$2,498
$2,553
$314.3
$2,466
$2,585
$2,345
$2,821
$2,776
$2,558
Ratio 0.76%0.73%0.75%0.92%0.84%0.88% 0.79%0.84%0.77%0.90%0.91%0.84%
Retail banking          
Total$144.2
$489
$477
$579
$805
$747
$722
$149.2
$456
$474
$500
$869
$769
$754
Ratio 0.34%0.33%0.41%0.56%0.52%0.51% 0.31%0.32%0.35%0.58%0.53%0.52%
North America55.7
167
155
256
270
191
198
58.3
145
179
179
361
269
252
Ratio 0.30%0.28%0.47%0.49%0.35%0.37% 0.25%0.32%0.33%0.63%0.47%0.46%
Latin America21.0
151
150
160
244
216
196
20.1
124
114
132
206
201
183
Ratio 0.72%0.71%0.86%1.16%1.03%1.05% 0.62%0.58%0.66%1.02%1.02%0.91%
Asia(5)
67.5
171
172
163
291
340
328
70.8
187
181
189
302
299
319
Ratio 0.25%0.26%0.24%0.43%0.51%0.48% 0.26%0.26%0.27%0.43%0.43%0.46%
Cards          
Total$156.6
$1,790
$1,706
$1,587
$1,958
$1,751
$1,831
$165.1
$2,010
$2,111
$1,845
$1,952
$2,007
$1,804
Ratio 1.14%1.10%1.07%1.25%1.13%1.24% 1.22%1.32%1.15%1.18%1.25%1.12%
North America—Citi-branded86.3
668
659
607
705
619
710
North America—Citi-branded
90.6
799
828
712
705
731
627
Ratio 0.77%0.77%0.75%0.82%0.72%0.87% 0.88%0.95%0.81%0.78%0.84%0.71%
North America—Citi retail services45.9
772
693
664
836
730
750
North America—Citi retail services
49.6
840
918
781
831
859
761
Ratio 1.68%1.53%1.51%1.82%1.62%1.71% 1.69%1.88%1.61%1.68%1.76%1.57%
Latin America5.6
159
161
131
163
151
131
5.7
169
165
160
159
161
156
Ratio 2.84%2.93%2.67%2.91%2.75%2.67% 2.96%2.95%2.96%2.79%2.88%2.89%
Asia(5)
18.8
191
193
185
254
251
240
19.2
202
200
192
257
256
260
Ratio 1.02%1.03%1.05%1.35%1.34%1.36% 1.05%1.06%1.02%1.34%1.36%1.38%
Corporate/Other—Consumer(7)(6)
          
Total$24.8
$605
$601
$857
$643
$554
$849
Ratio 2.57%2.37%2.29%2.74%2.18%2.27%
International1.7
57
63
164
47
44
135
Ratio 3.35%3.50%2.98%2.76%2.44%2.45%
North America23.1
548
538
693
596
510
714
$11.7
$327
$354
$415
$334
$348
$355
Ratio 2.51%2.28%2.17%2.73%2.16%2.24% 3.00%2.97%2.49%3.06%2.92%2.13%
Total Citigroup$325.6
$2,884
$2,784
$3,023
$3,406
$3,052
$3,402
$326.0
$2,793
$2,939
$2,760
$3,155
$3,124
$2,913
Ratio 0.89%0.86%0.93%1.05%0.94%1.04% 0.86%0.92%0.86%0.97%0.98%0.90%
(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—America—Citi-brandedand North America—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 GCB exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides withinwith the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $289$151 million ($0.6 billion), $163 million ($0.6 billion) and $244 million ($0.7 billion), $295 million ($0.8 billion) and $305 million ($0.7 billion) at September 30, 2017, as of June 30, 2017,2019, March 31, 2019 and SeptemberJune 30, 2016,2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans have the same adjustmentloans) were $83 million ($0.6 billion), $71 million ($0.6 billion) and $87 million ($0.7 billion) as above) were $79 million, $84 million and $58 million at September 30, 2017,of June 30, 20172019, March 31, 2019 and SeptemberJune 30, 2016,2018, respectively.
(5)
Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(6)
The loans 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 entitiesagencies since the potential loss predominantly resides withinwith the U.S. government-sponsored entities.agencies. The amounts excluded for loans 90+ days past due (and EOPand (EOP loans) for each period were $0.7$0.3 billion ($1.20.7 billion), $0.7$0.3 billion ($1.30.7 billion) and $1.0$0.4 billion ($1.50.9 billion) at September 30, 2017,as of June 30, 20172019, March 31, 2019 and SeptemberJune 30, 2016,2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans have the same adjustment as above)loans) for each period were $0.1 billion $0.2($0.7 billion), $0.1 billion ($0.7 billion) and $0.1 billion at September 30, 2017,($0.9 billion) as of June 30, 20172019, March 31, 2019 and SeptemberJune 30, 2016,2018, respectively.



(7)
The September 30, 2017, June 30, 2017 and September 30, 2016 loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $6 million, $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)
In millions of dollars, except average loan amounts in billions3Q172Q173Q162Q192Q191Q192Q18
Global Consumer Banking     
Total$299.7
$1,704
$1,615
$1,349
$309.4
$1,889
$1,891
$1,726
Ratio 2.26%2.20 %1.87% 2.45%2.48%2.28 %
Retail banking    
Total$144.3
$300
$244
$257
$147.4
$244
$256
$228
Ratio 0.82%0.69 %0.72% 0.66%0.71%0.63 %
North America55.7
88
39
52
57.9
51
60
32
Ratio 0.63%0.28 %0.38% 0.35%0.43%0.23 %
Latin America21.2
143
151
132
20.0
129
138
138
Ratio 2.68%3.00 %2.75% 2.59%2.81%2.75 %
Asia(4)(3)
67.4
69
54
73
69.5
64
58
58
Ratio 0.41%0.33 %0.43% 0.37%0.34%0.33 %
Cards    
Total$155.4
$1,404
$1,371
$1,092
$162.0
$1,645
$1,635
$1,498
Ratio 3.58%3.63 %2.99% 4.07%4.08%3.81 %
North America—Citi-branded85.4
611
611
448
North America—Citi-branded
88.4
723
706
657
Ratio 2.84%2.94 %2.25% 3.28%3.26%3.04 %
North America—Retail services45.6
540
531
427
North America—Citi retail services
49.1
654
663
589
Ratio 4.70%4.79 %3.90% 5.34%5.36%5.07 %
Latin America5.6
152
126
122
5.6
156
160
140
Ratio 10.77%9.54 %9.52% 11.17%11.38%10.40 %
Asia(4)(3)
18.8
101
103
95
18.9
112
106
112
Ratio 2.13%2.25 %2.15% 2.38%2.25%2.38 %
Corporate/Other—Consumer(3)
    
Total$25.8
$52
$18
$134
$12.4
$4
$1
$(20)
Ratio 0.80%0.26 %1.31% 0.13%0.03%(0.41)%
International1.9
25
24
82
—
—
—
19
Ratio 5.22%5.07 %6.04% —%—%6.93 %
North America23.9
27
(6)52
12.4
4
1
(39)
Ratio 0.45%(0.09)%0.58% 0.13%0.03%(0.85)%
Other(5)
0.1
(22)—
—
Total Citigroup$325.6
$1,734
$1,633
$1,483
$321.8
$1,893
$1,892
$1,706
Ratio 2.11%2.04 %1.80% 2.36%2.38%2.12 %
(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 $38 million and $37 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during the second quarter of 2017 and the third 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 September 30, 2017At June 30, 2017At December 31, 2016At June 30, 2019March 31, 2019December 31, 2018
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year		Greater
than 1 year
but within
5 years		Greater
than
5 years		Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings (on-balance sheet)(1)
$124
$96
$23
$243
$122
$94
$23
$239
$109
$94
$22
$225
$134
$107
$21
$262
$135
$109
$20
$264
$128
$110
$20
$258
Unfunded lending commitments (off-balance sheet)(2)
104
219
20
$343
103
222
22
347
103
218
23
344
123
244
15
382
121
240
23
384
106
245
19
370
Total exposure$228
$315
$43
$586
$225
$316
$45
$586
$212
$312
$45
$569
$257
$351
$36
$644
$256
$349
$43
$648
$234
$355
$39
$628


(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 of this portfolio by region based on Citi’s internal management geography:
September 30,
2017		June 30,
2017		December 31,
2016		June 30,
2019		March 31,
2019		December 31,
2018
North America55%55%55%56%54%55%
EMEA26
26
26
27
28
27
Asia12
12
12
11
11
11
Latin America7
7
7
6
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 ofby leveraging validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of
the obligor and factors that affect the loss-given-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 environmental factors like climate risk assessment and reporting criteria for certain
obligors, as necessary. Factors evaluated include consideration of climate risk to an
obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
Total exposureTotal exposure
September 30,
2017		June 30,
2017		December 31,
2016		June 30,
2019		March 31,
2019		December 31,
2018
AAA/AA/A49%49%48%49%49%49%
BBB34
34
34
35
35
34
BB/B16
16
16
15
15
16
CCC or below1
1
2
1
1
1
Total100%100%100%100%100%100%


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




Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:
Total exposureTotal exposure
September 30,
2017		June 30,
2017		December 31,
2016		June 30,
2019		March 31,
2019		December 31,
2018
Transportation and industrial22%21%22%21%21%21%
Consumer retail and health16
17
16
15
15
15
Technology, media and telecom11
11
12
12
11
13
Power, chemicals, metals and mining10
10
11
10
11
10
Energy and commodities(1)
8
9
9
8
8
8
Banks/broker-dealers/finance companies8
7
6
8
8
8
Real estate7
8
7
9
9
8
Public sector4
4
5
Insurance and special purpose entities5
5
5
4
4
4
Public sector5
5
5
Hedge funds4
5
5
4
4
4
Other industries4
2
2
5
5
4
Total100%100%100%100%100%100%

Note: Total exposure includes direct outstandings and unfunded lendingFor additional information on Citi’s corporate credit portfolio, see Note 13 to the Consolidated Financial Statements.
commitments.
(1) In addition to this exposure, Citi has energy-related exposure within
the “Public sector” (e.g., energy-related state-owned entities) and
“Transportation and industrial” sector (e.g., off-shore drilling entities)
included in the table above. As of September 30, 2017, Citi’s total
exposure to these energy-related entities remained largely consistent
with the prior quarter, at approximately $6 billion, of which
approximately $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 onPrincipal transactions in the Consolidated Statement of Income.
At September 30, 2017, June 30, 2017 and2019, December 31, 2016, $22.22018 and June 30, 2018, $30.4 billion, $23.7$30.8 billion and $29.5$27.4 billion, respectively, of the corporate credit portfolio was economically hedged. Citigroup’s expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other mitigants that are marked-to-market.marked to market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying corporate credit portfolio exposures with the following risk rating distribution:


 
Rating of Hedged Exposure
September 30,
2017		June 30,
2017		December 31,
2016		June 30,
2019		March 31,
2019		December 31,
2018
AAA/AA/A16%16%16%35%36%35%
BBB48
47
49
47
48
50
BB/B33
34
31
17
15
14
CCC or below3
3
4
1
1
1
Total100%100%100%100%100%100%


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


Industry of Hedged Exposure
September 30,
2017		June 30,
2017		December 31,
2016		June 30,
2019		March 31,
2019		December 31,
2018
Transportation and industrial27%27%29%23%22%23%
Technology, media and telecom18
18
17
Consumer retail and health16
16
16
Power, chemicals, metals and mining14
15
15
Energy and commodities17
20
20
10
10
11
Consumer retail and health12
11
10
Technology, media and telecom14
13
13
Power, chemicals, metals and mining12
13
12
Insurance and special purpose entities5
6
6
Banks/broker-dealers/finance companies4
4
4
Public sector8
6
5
4
4
3
Banks/broker-dealers5
5
4
Insurance and special purpose entities2
2
3
Real estate4
4
4
Other industries3
3
4
2
1
1
Total100%100%100%100%100%100%







ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS


Loans Outstanding
3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.
In millions of dollars201720172016201920192018
Consumer loans


In U.S. offices
Mortgage and real estate(1)
$67,131
$69,022
$71,170
$72,957
$75,057
Installment, revolving credit and other3,191
3,190
3,252
3,395
3,465
Cards131,476
130,181
125,799
132,654
124,637
In North America offices(1)

Residential first mortgages(2)
$45,474
$45,351
$47,412
$47,707
$47,904
Home equity loans(2)
10,404
10,937
11,543
12,131
12,861
Credit cards140,266
135,908
144,557
137,872
136,741
Installment and other3,245
3,314
3,454
3,528
3,454
Commercial banking10,690
10,360
9,728
9,279
9,104
Total$210,079
$205,870
$216,694
$210,517
$210,064
In offices outside North America(1)
 
Residential first mortgages(2)
$36,580
$36,114
$35,972
$36,282
$36,134
Credit cards24,975
24,343
24,926
24,414
24,157
Installment and other27,321
26,744
26,134
26,281
25,791
Commercial banking27,040
26,816
26,761
27,975
27,486
Total$115,916
$114,017
$113,793
$114,952
$113,568
Consumer loans, net of unearned income(3)
$325,995
$319,887
$330,487
$325,469
$323,632
Corporate loans
In North America offices(1)

Commercial and industrial7,619
7,404
7,434
7,159
6,989
$54,519
$56,698
$52,063
$51,365
$53,260
Total$209,417
$209,797
$207,655
$216,165
$210,148
In offices outside the U.S. 
Mortgage and real estate(1)
$43,723
$43,821
$43,822
$42,803
$45,751
Installment, revolving credit and other26,153
26,480
26,014
24,887
28,217
Cards25,443
25,376
24,497
23,783
25,833
Commercial and industrial20,015
18,956
17,728
16,568
17,498
Lease financing77
81
83
81
113
Total$115,411
$114,714
$112,144
$108,122
$117,412
Total consumer loans$324,828
$324,511
$319,799
$324,287
$327,560
Unearned income(2)
748
750
757
776
812
Consumer loans, net of unearned income$325,576
$325,261
$320,556
$325,063
$328,372
Corporate loans
In U.S. offices
Commercial and industrial$51,679
$50,341
$49,845
$49,586
$50,156
Loans to financial institutions37,203
36,953
35,734
35,517
35,801
Mortgage and real estate(1)
43,274
42,041
40,052
38,691
41,078
Financial institutions47,610
49,985
48,447
46,255
42,867
Mortgage and real estate(2)
51,321
49,746
50,124
47,629
46,310
Installment, revolving credit and other32,464
31,611
32,212
34,501
32,571
33,555
31,960
32,425
31,414
31,861
Lease financing1,493
1,467
1,511
1,518
1,532
1,385
1,405
1,429
1,445
1,445
Total$166,113
$162,413
$159,354
$159,813
$161,138
$188,390
$189,794
$184,488
$178,108
$175,743
In offices outside the U.S.
In offices outside North America(1)

Commercial and industrial$93,107
$91,131
$87,258
$81,882
$84,492
$98,351
$97,844
$94,701
$98,281
$98,068
Loans to financial institutions33,050
34,844
33,763
26,886
27,305
Mortgage and real estate(1)
6,383
6,783
5,527
5,363
5,595
Financial institutions37,523
39,155
36,837
37,851
38,312
Mortgage and real estate(2)
7,577
7,005
7,376
7,344
7,261
Installment, revolving credit and other23,830
19,200
16,576
19,965
25,462
27,333
24,868
25,684
22,827
22,755
Lease financing216
234
253
251
243
92
95
103
131
139
Governments and official institutions5,628
5,518
5,970
5,850
6,506
3,409
3,698
4,520
4,898
5,270
Total$162,214
$157,710
$149,347
$140,197
$149,603
$174,285
$172,665
$169,221
$171,332
$171,805
Total corporate loans$328,327
$320,123
$308,701
$300,010
$310,741
Unearned income(3)
(720)(689)(662)(704)(678)
Corporate loans, net of unearned income$327,607
$319,434
$308,039
$299,306
$310,063
Corporate loans, net of unearned income(4)
$362,675
$362,459
$353,709
$349,440
$347,548
Total loans—net of unearned income$653,183
$644,695
$628,595
$624,369
$638,435
$688,670
$682,346
$684,196
$674,909
$671,180
Allowance for loan losses—on drawn exposures(12,366)(12,025)(12,030)(12,060)(12,439)(12,466)(12,329)(12,315)(12,336)(12,126)
Total loans—net of unearned income
and allowance for credit losses		$640,817
$632,670
$616,565
$612,309
$625,996
$676,204
$670,017
$671,881
$662,573
$659,054
Allowance for loan losses as a percentage of total loans—
net of unearned income(4)
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)
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)
0.77%0.80%0.83%0.91%0.90%
Allowance for loan losses as a percentage of total loans—
net of unearned income(5)
1.82%1.82%1.81%1.84%1.81%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5)
3.10%3.13%3.01%3.07%3.03%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5)
0.66%0.64%0.67%0.68%0.68%
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(2)Loans secured primarily by real estate.
(2)(3)Consumer loans are net of unearned income of $713 million, $701 million, $708 million, $712 million and $711 million at June 30, 2019, March 31, 2019, December 31, 2018, September 30, 2018 and June 30, 2018, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(3)(4)Corporate loans are net of unearned income of $(815) million, $(808) million, $(822) million, $(787) million and $(802) million at June 30, 2019, March 31, 2019, December 31, 2018, September 30, 2018 and June 30, 2018, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(4)(5)All periods exclude loans that are carried at fair value.




Details of Credit Loss Experience
3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.
In millions of dollars201720172016201920192018
Allowance for loan losses at beginning of period$12,025
$12,030
$12,060
$12,439
$12,304
$12,329
$12,315
$12,336
$12,126
$12,354
Provision for loan losses  
Consumer$2,142
$1,620
$1,816
$1,659
$1,815
$1,972
$1,942
$1,774
$1,869
$1,764
Corporate4
46
(141)68
(69)117
2
76
37
31
Total$2,146
$1,666
$1,675
$1,727
$1,746
$2,089
$1,944
$1,850
$1,906
$1,795
Gross credit losses  
Consumer  
In U.S. offices$1,429
$1,437
$1,444
$1,343
$1,181
$1,680
$1,670
$1,495
$1,462
$1,490
In offices outside the U.S. 642
597
597
605
702
591
602
595
596
599
Corporate  
In U.S. offices15
72
48
32
29
41
33
23
15
5
In offices outside the U.S. 34
24
55
103
36
42
40
53
21
15
Total$2,120
$2,130
$2,144
$2,083
$1,948
$2,354
$2,345
$2,166
$2,094
$2,109
Credit recoveries(1)
  
Consumer  
In U.S. offices$167
$266
$242
$235
$227
$255
$246
$217
$212
$255
In offices outside the U.S. 170
135
127
137
173
123
134
132
120
128
Corporate  
In U.S. offices2
15
2
2
16
5
3
24
1
5
In offices outside the U.S. 4
4
64
13
7
8
14
7
5
17
Total$343
$420
$435
$387
$423
$391
$397
$380
$338
$405
Net credit losses  
In U.S. offices$1,275
$1,228
$1,248
$1,138
$967
$1,461
$1,454
$1,277
$1,264
$1,235
In offices outside the U.S. 502
482
461
558
558
502
494
509
492
469
Total$1,777
$1,710
$1,709
$1,696
$1,525
$1,963
$1,948
$1,786
$1,756
$1,704
Other—net(2)(3)(4)(5)(6)(7)
$(28)$39
$4
$(410)$(86)$11
$18
$(85)$60
$(319)
Allowance for loan losses at end of period$12,366
$12,025
$12,030
$12,060
$12,439
$12,466
$12,329
$12,315
$12,336
$12,126
Allowance for loan losses as a percentage of total loans(8)
1.91%1.88%1.93%1.94%1.97%1.82%1.82%1.81%1.84%1.81%
Allowance for unfunded lending commitments(9)
$1,232
$1,406
$1,377
$1,418
$1,388
$1,376
$1,391
$1,367
$1,321
$1,278
Total allowance for loan losses and unfunded lending commitments$13,598
$13,431
$13,407
$13,478
$13,827
$13,842
$13,720
$13,682
$13,657
$13,404
Net consumer credit losses$1,734
$1,633
$1,672
$1,576
$1,483
$1,893
$1,892
$1,741
$1,726
$1,706
As a percentage of average consumer loans2.11%2.04%2.11%1.95%1.80%2.36%2.38%2.13%2.11%2.12%
Net corporate credit losses$43
$77
$37
$120
$42
Net corporate credit losses (recoveries)$70
$56
$45
$30
$(2)
As a percentage of average corporate loans0.05%0.10%0.05%0.16%0.05%0.08%0.07%0.06%0.03%—%
Allowance by type at end of period(10)
  
Consumer$9,892
$9,515
$9,495
$9,358
$9,673
$10,113
$10,026
$9,950
$9,997
$9,796
Corporate2,474
2,510
2,535
2,702
2,766
2,353
2,303
2,365
2,339
2,330
Total$12,366
$12,025
$12,030
$12,060
$12,439
$12,466
$12,329
$12,315
$12,336
$12,126
(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 thirdsecond quarter of 20172019 includes an increase of approximately $13 million related to FX translation.
(4)The first quarter of 2019 includes an increase of approximately $26 million related to FX translation.
(5)The fourth quarter of 2018 includes a reduction of approximately $34$4 million related to the sale or transfertransfers to held-for-sale (HFS) of various loan portfolios, including a reduction of $28$3 million related to the transfertransfers of a real estate loan portfolio to HFS. Additionally, the fourth quarter includes a decrease of approximately $76 million related to FX translation.
(6)The third quarter of 2018 includes a reduction of approximately $5 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $2 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the third quarter includes an increase of approximately $7$62 million related to FX translation.


(4)(7)The second quarter of 20172018 includes a reduction of approximately $19$137 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $19$33 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes an increasea decrease of approximately $50 million related to FX translation.
(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.


(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.
(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.
(8)June 30, 2019, March 31, 2019, December 31, 2018, September 30, 2017,2018 and June 30, 2017, March 31, 2017, December 31, 2016 and September 30, 20162018 exclude $4.3$3.8 billion, $3.9 billion, $3.2 billion, $4.2 billion $4.0 billion, $3.5 billion and $4.0$3.0 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 20162018 Annual Report on Form 10-K. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.




Allowance for Loan Losses
The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:
September 30, 2017June 30, 2019
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$6.0
$132.2
4.5%$6.7
$140.2
4.8%
North America mortgages(3)
0.8
65.8
1.2
0.4
55.9
0.7
North America other
0.2
13.0
1.5
0.3
14.0
2.1
International cards1.4
24.9
5.6
0.6
25.0
2.4
International other(4)
1.5
89.7
1.7
2.1
90.9
2.3
Total consumer$9.9
$325.6
3.0%$10.1
$326.0
3.1%
Total corporate2.5
327.6
0.8
2.4
362.7
0.7
Total Citigroup$12.4
$653.2
1.9%$12.5
$688.7
1.8%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $6.0$6.7 billion of loan loss reserves represented approximately 1615 months of coincident net credit loss coverage.
(3)
Of the $0.8$0.4 billion, approximately $0.7 billionnearly all was allocated to North America mortgages in Corporate/Other. Of the $0.8, of which $0.1 billion approximatelyand $0.3 billion and $0.5 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $65.8$55.9 billion in loans, approximately $61.9$53.4 billion and $3.8$2.4 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, 2016December 31, 2018
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$5.2
$133.3
3.9%$6.5
$144.6
4.5%
North America mortgages(3)
1.1
72.6
1.5
0.4
58.9
0.7
North America other
0.5
13.6
3.7
0.3
13.2
2.3
International cards1.2
23.1
5.2
0.7
24.9
2.8
International other(4)
1.4
82.8
1.7
2.0
88.9
2.2
Total consumer$9.4
$325.4
2.9%$9.9
$330.5
3.0%
Total corporate2.7
299.0
0.9
2.4
353.7
0.7
Total Citigroup$12.1
$624.4
1.9%$12.3
$684.2
1.8%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $5.2$6.5 billion of loan loss reserves represented approximately 1516 months of coincident net credit loss coverage.
(3)
Of the $1.1$0.4 billion, approximately $1.0 billionnearly all was allocated to North America mortgages in Corporate/Other. Of the $1.1 billion, approximately $0.4, including $0.1 billion and $0.7$0.3 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $72.6$58.9 billion in loans, approximately $67.7$56.3 billion and $4.8$2.5 billion of the loans arewere evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 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 amongFor additional information on Citi’s non-accrual loans and assets and renegotiated loans. The following summary provides a general description of each category:loans, see “Non-Accrual Loans and Assets and Renegotiated Loans” in Citi’s 2018 Annual Report on Form 10-K.


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 69% and 67% of Citi’s corporate non-accrual loans were performing at September 30, 2017 and June 30, 2017, respectively.
Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.
Consumer mortgage loans, other than Federal Housing Administration (FHA) insured loans, are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy. In addition, home equity loans are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due.
North America Citi-branded cards and Citi retail services are not included because, under industry standards, credit card loans accrue interest until such loans are charged off, which typically occurs at 180 days 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.
 





Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,
In millions of dollars201720172016201920192018
Corporate non-accrual loans(1)(2)
  
North America$915
$944
$993
$984
$1,057
$779
$922
$483
$679
$784
EMEA681
727
828
904
857
321
317
375
362
391
Latin America312
281
342
379
380
259
225
230
266
204
Asia146
146
176
154
121
51
18
223
233
244
Total corporate non-accrual loans$2,054
$2,098
$2,339
$2,421
$2,415
$1,410
$1,482
$1,311
$1,540
$1,623
Consumer non-accrual loans(1)
  
North America$1,721
$1,754
$1,926
$2,160
$2,429
$1,216
$1,230
$1,241
$1,323
$1,373
Latin America791
793
737
711
841
723
694
715
764
726
Asia(2)(3)
271
301
292
287
282
289
281
270
287
284
Total consumer non-accrual loans$2,783
$2,848
$2,955
$3,158
$3,552
$2,228
$2,205
$2,226
$2,374
$2,383
Total non-accrual loans$4,837
$4,946
$5,294
$5,579
$5,967
$3,638
$3,687
$3,537
$3,914
$4,006
(1)Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $177$123 million at June 30, 2019, $125 million at March 31, 2019, $128 million at December 31, 2018, $131 million at September 30, 2017, $1832018 and $149 million at June 30, 2017, $194 million2018.
(2)Approximately 46%, 55% and 65% of Citi’s corporate non-accrual loans were performing at June 30, 2019, December 31, 2018 and March 31, 2017, $187 million at December 31, 2016 and $194 million at September 30, 2016.2018, respectively.
(3)
Asia GCB includes balances in certain EMEA countries for all periods presented.
(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
September 30, 2017September 30, 2016June 30, 2019June 30, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,098
$2,848
$4,946
$2,460
$3,705
$6,165
$1,482
$2,205
$3,687
$1,668
$2,575
$4,243
Additions190
1,042
1,232
469
1,131
1,600
499
823
1,322
628
791
1,419
Sales and transfers to held-for-sale(1)(69)(70)(4)(102)(106)
Sales and transfers to HFS—
(22)(22)(8)(68)(76)
Returned to performing(2)(133)(135)(58)(149)(207)(11)(92)(103)(36)(146)(182)
Paydowns/settlements(196)(291)(487)(433)(562)(995)(499)(286)(785)(613)(327)(940)
Charge-offs(33)(611)(644)(24)(455)(479)(37)(406)(443)(14)(372)(386)
Other(2)(3)(5)5
(16)(11)(24)6
(18)(2)(70)(72)
Ending balance$2,054
$2,783
$4,837
$2,415
$3,552
$5,967
$1,410
$2,228
$3,638
$1,623
$2,383
$4,006









Nine Months EndedNine Months EndedSix Months EndedSix Months Ended
September 30, 2017September 30, 2016June 30, 2019June 30, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,421
$3,158
$5,579
$1,596
$3,658
$5,254
$1,311
$2,226
$3,537
$1,942
$2,690
$4,632
Additions754
2,563
3,317
2,346
3,371
5,717
1,222
1,545
2,767
1,453
1,652
3,105
Sales and transfers to held-for-sale(83)(286)(369)(13)(473)(486)
Sales and transfers to HFS(5)(56)(61)(28)(153)(181)
Returned to performing(42)(462)(504)(141)(434)(575)(39)(234)(273)(104)(354)(458)
Paydowns/settlements(843)(856)(1,699)(1,022)(1,203)(2,225)(983)(460)(1,443)(1,497)(597)(2,094)
Charge-offs(102)(1,452)(1,554)(277)(1,353)(1,630)(72)(808)(880)(120)(826)(946)
Other(51)118
67
(74)(14)(88)(24)15
(9)(23)(29)(52)
Ending balance$2,054
$2,783
$4,837
$2,415
$3,552
$5,967
$1,410
$2,228
$3,638
$1,623
$2,383
$4,006





The tablestable below summarizesummarizes Citigroup’s other real estate owned (OREO) assets as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,
In millions of dollars201720172016201920192018
OREO  
North America$97
$128
$136
$161
$132
$47
$63
$64
$76
$66
EMEA1
1
1
—
1
1
1
1
1
1
Latin America30
31
31
18
18
14
13
12
25
24
Asia15
8
5
7
10
20
21
22
7
10
Total OREO$143
$168
$173
$186
$161
$82
$98
$99
$109
$101
Non-accrual assets

 
Corporate non-accrual loans$2,054
$2,098
$2,339
$2,421
$2,415
$1,410
$1,482
$1,311
$1,540
$1,623
Consumer non-accrual loans2,783
2,848
2,955
3,158
3,552
2,228
2,205
2,226
2,374
2,383
Non-accrual loans (NAL)$4,837
$4,946
$5,294
$5,579
$5,967
$3,638
$3,687
$3,537
$3,914
$4,006
OREO$143
$168
$173
$186
$161
$82
$98
$99
$109
$101
Non-accrual assets (NAA)$4,980
$5,114
$5,467
$5,765
$6,128
$3,720
$3,785
$3,636
$4,023
$4,107
NAL as a percentage of total loans0.74%0.77%0.84%0.89%0.93%0.53%0.54%0.52%0.58%0.60%
NAA as a percentage of total assets0.26
0.27
0.30
0.32
0.34
0.19
0.19
0.19
0.21
0.21
Allowance for loan losses as a percentage of NAL(1)
256
243
227
216
208
343
334
348
315
303


(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 dollarsSept. 30, 2017Dec. 31, 2016Jun. 30, 2019Dec. 31, 2018
Corporate renegotiated loans(1)
    
In U.S. offices   
Commercial and industrial(2)
$285
$89
$182
$188
Mortgage and real estate78
84
90
111
Loans to financial institutions8
9
Financial institutions1
16
Other155
228
6
2
$526
$410
Total$279
$317
In offices outside the U.S.   
Commercial and industrial(2)
$401
$319
$242
$226
Mortgage and real estate7
3
22
12
Loans to financial institutions15
—
$423
$322
Financial institutions9
9
Other—
—
Total$273
$247
Total corporate renegotiated loans$949
$732
$552
$564
Consumer renegotiated loans(3)(4)(5)
   
In U.S. offices   
Mortgage and real estate(6)
$3,812
$4,695
Mortgage and real estate$2,370
$2,520
Cards1,295
1,313
1,399
1,338
Installment and other176
117
88
86
$5,283
$6,125
Total$3,857
$3,944
In offices outside the U.S.   
Mortgage and real estate$337
$447
$325
$311
Cards525
435
474
480
Installment and other414
443
410
415
$1,276
$1,325
Total$1,209
$1,206
Total consumer renegotiated loans$6,559
$7,450
$5,066
$5,150
(1)Includes $769$465 million and $445$466 million of non-accrual loans included in the non-accrual loans table above at SeptemberJune 30, 20172019 and December 31, 2016,2018, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at SeptemberJune 30, 2017,2019, Citi also modified $86$26 million of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators), all within in offices inoutside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession.
(3)Includes $1,368$1,002 million and $1,502$1,015 million of non-accrual loans included in the non-accrual loans table above at SeptemberJune 30, 20172019 and December 31, 2016,2018, respectively. The remaining loans are accruing interest.
(4)Includes $42$21 million and $58$17 million of commercial real estate loans at SeptemberJune 30, 20172019 and December 31, 2016,2018, respectively.
(5)Includes $162$98 million and $105$101 million of other commercial loans at SeptemberJune 30, 20172019 and December 31, 2016,2018, respectively.
(6)Reduction in the nine months ended September 30, 2017 includes $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 20162018 Annual Report on Form 10-K.
 
 








High-Quality Liquid Assets (HQLA)
Citibank
Non-Bank and Other(1)
TotalCitibankNon-Bank and OtherTotal
In billions of dollarsSept. 30, 2017Jun. 30, 2017Sept. 30, 2016Sept. 30, 2017Jun. 30, 2017Sept. 30, 2016Sept. 30, 2017Jun. 30, 2017Sept. 30, 2016Jun. 30, 2019Mar. 31, 2019Jun. 30, 2018Jun. 30, 2019Mar. 31, 2019Jun. 30, 2018Jun. 30, 2019Mar. 31, 2019Jun. 30, 2018
Available cash$89.8
$78.5
$71.1
$25.7
$35.0
$19.2
$115.5
$113.5
$90.2
$102.1
$94.7
$97.3
$42.1
$34.9
$27.4
$144.2
$129.6
$124.7
U.S. sovereign114.5
110.6
122.3
28.6
23.2
21.8
143.1
133.8
144.1
93.8
94.9
101.4
37.0
29.5
28.7
130.8
124.4
130.1
U.S. agency/agency MBS80.4
63.2
62.6
0.3
1.1
0.2
80.7
64.3
62.8
57.5
59.3
59.5
4.8
5.3
6.7
62.3
64.6
66.2
Foreign government debt(2)(1)
82.2
102.4
89.2
17.3
17.7
15.5
99.6
120.1
104.7
61.9
67.7
73.5
4.0
3.5
10.9
65.9
71.2
84.4
Other investment grade0.7
0.4
1.0
1.2
1.2
1.5
1.9
1.6
2.5
3.1
3.5
0.1
0.7
1.6
1.1
3.8
5.1
1.2
Total HQLA (EOP)$367.6
$355.1
$346.2
$73.1
$78.1
$58.2
$440.8
$433.2
$404.3
Total HQLA (AVG)$371.0
$354.0
$344.0
$77.6
$70.4
$59.8
$448.6
$424.4
$403.8
$318.4
$320.1
$331.8
$88.6
$74.8
$74.8
$407.0
$394.9
$406.6


Note: Except as indicated,The 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.presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts that would be required for secured fundingsecurities financing transactions. The table above incorporates various restrictions that could limit the transferability of liquidity between legal entities, including Section 23A of the Federal Reserve Act.
(1)Citibanamex and Citibank (Switzerland) AG account for approximately $6 billion of the “Non-Bank and Other” HQLA balance as of September 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, Singapore, Korea, Taiwan, Singapore, India, BrazilMexico and Mexico.Canada.


As set forthThe table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated Liquidity Coverage Ratio (LCR), pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and any amounts in excess of these minimums that are assumed to be transferable to other entities within Citigroup. Citigroup’s HQLA increased modestly year-over-year, as well as sequentially, largely reflecting cash from non-bank long-term debt issuances. While available liquidity resources at Citibank increased both year-over-year and sequentially, the amount of HQLA included in the table above declined both year-over-year and sequentially, Citi’s totalas less HQLA increased on both an average and end-of-period basis, predominantly driven by changes in eligibility assumptions relating to certain assets. On an average basis,Citibank was eligible for inclusion in the sequential increase in Citi’s total HQLA was also impacted by an increase in average cash.consolidated metric.
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 $16 billion as of September 30, 2017 (compared to $18$32 billion as of June 30, 2017 and $242019 (compared to $25 billion as of SeptemberMarch 31, 2019 and $21 billion as of June 30, 2016)2018) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.


Liquidity Coverage Ratio
In general,addition to internal 30-day liquidity stress testing performed for Citi’s major entities, operating subsidiaries and countries, Citi also monitors its liquidity is fungible across legal entities within its bank group. Citi’s bank subsidiaries, including Citibank, can lendby reference to the Citi parentLCR. The table below details the components of Citi’s LCR calculation and broker-dealer entitiesHQLA in accordance with Section 23Aexcess of net outflows for the Federal Reserve Act. Asperiods indicated:
In billions of dollarsJun. 30, 2019Mar. 31, 2019Jun. 30, 2018
HQLA$407.0
$394.9
$406.6
Net outflows353.5331.6341.5
LCR115%119%119%
HQLA in excess of net outflows$53.5$63.3
$65.1

Note: The amounts are presented on an average basis.

Citi’s average LCR decreased both year-over-year and sequentially, due to changes in the amount of September 30, 2017, the capacityCitibank HQLA available for lending to these entities under Section 23A was approximately $15 billion, unchanged from both June 30, 2017 and September 30, 2016, subject to certain eligible non-cash collateral requirements.inclusion in the consolidated metric.





Loans
The table below sets forthdetails the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
In billions of dollarsSept. 30, 2017Jun. 30, 2017Sept. 30, 2016Jun. 30, 2019Mar. 31, 2019Jun. 30, 2018
Global Consumer Banking  
North America$186.7
$183.4
$177.8
$195.4
$195.0
$188.8
Latin America26.8
25.5
24.2
25.6
25.6
25.5
Asia(1)
86.2
84.9
85.5
88.4
88.6
88.8
Total$299.7
$293.8
$287.5
$309.4
$309.2
$303.1
Institutional Clients Group  
Corporate lending123.3
121.5
124.0
$132.9
$133.1
$135.5
Treasury and trade solutions (TTS)74.9
73.7
71.1
73.2
75.1
77.7
Private Bank82.6
79.0
74.2
Private bank101.2
97.2
90.7
Markets and securities services
and other
40.1
38.2
37.2
50.6
51.1
43.0
Total$320.9
$312.4
$306.6
$357.9
$356.5
$346.9
Total Corporate/Other
25.8
28.2
40.9
$12.3
$13.5
$19.7
Total Citigroup loans (AVG)$646.3
$634.3
$634.9
$679.6
$679.2
$669.7
Total Citigroup loans (EOP)$653.2
$644.7
$638.4
$688.7
$682.3
$671.2


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


As set forth in the table above, end-of-periodEnd-of-period loans increased 2%3% year-over-year and 1% quarter-over-quarter.sequentially. On an average basis, loans increased 2% both1% year-over-year and quarter-over-quarter.remained largely unchanged sequentially.
Excluding the impact of FX translation, average loans increased 1% both3% year-over-year and quarter-over-quarter. On this basis, average 4% in aggregate across GCB and ICG. Average GCB loans grew 4%3% year-over-year, driven by 5%continued growth in North America GCB and Asia GCB. International Average loans in Latin America GCB declined 1% year-over-year, reflecting a deceleration in GDP growth in Mexico and a slowdown in overall industry volumes.
Excluding the impact of FX translation, average ICGloans increased 1%5% year-over-year. TTS loans declined 4% year-over-year, despite continued strong origination volumes, as Citi continued to utilize its distribution capabilities to optimize the balance sheet and drive returns. Corporate lending loans were flat year-over-year, reflecting both the episodic nature of clients’ strategic financing needs, as well as lower activity in Asia where corporate client sentiment has become more cautious. Private bank loans increased 12%, driven by 6%both new client onboarding, as well as the deepening of relationships with existing clients. Finally, continued strong year-over-year Markets and securities services loan growth in Mexico, while Asiawas driven primarily by residential and commercial real-estate warehouse lending, as well as Community Reinvestment Act-related lending.
Average Corporate/Other loans were unchanged, reflecting Citi’s optimization of its portfolio in this region.
Average ICG loans increased 4% year-over-year, driven mostly by client-led growth in the private bank. Corporate lending decreased 1%, primarily driven by a lower level of episodic funding comparedcontinued to the prior-year period. Treasury and trade solutions loans increased 5%decline (down 37%), driven by growth in EMEA and Asia.
Average Corporate/Other loans decreased 37% year-over-year, driven by the continued wind downwind-down of legacy assets.
 
Deposits
The table below sets forthdetails the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:
In billions of dollarsSept. 30, 2017Jun. 30, 2017Sept. 30, 2016Jun. 30, 2019Mar. 31, 2019Jun. 30, 2018
Global Consumer Banking  
North America$184.1
$185.1
$183.9
$183.0
$182.3
$179.9
Latin America28.8
27.8
25.7
29.2
28.6
28.3
Asia(1)
95.2
94.3
91.6
100.7
99.3
97.6
Total$308.1
$307.2
$301.2
$312.9
$310.2
$305.8
Institutional Clients Group  
Treasury and trade solutions (TTS)427.8
423.9
414.6
$484.2
$472.4
$448.7
Banking ex-TTS122.4
122.1
119.6
133.2
130.2
125.5
Markets and securities services84.7
84.3
84.1
94.0
90.0
88.2
Total$634.9
$630.3
$618.4
$711.4
$692.6
$662.4
Corporate/Other22.9
22.5
24.7
$15.5
$14.4
$18.0
Total Citigroup deposits (AVG)$965.9
$960.0
$944.2
$1,039.9
$1,017.2
$986.2
Total Citigroup deposits (EOP)$964.0
$958.7
$940.3
$1,045.6
$1,030.4
$996.7
(1)
Includes deposits in certain EMEA countriesfor all periods presented.


End-of-period deposits increased 3%5% year-over-year and 1% quarter-over-quarter.sequentially. On an average basis, deposits increased 2%5% year-over-year and 1%2% sequentially.
Excluding the impact of FX translation, average deposits grew 2%7% from the prior-year period with contribution across businesses and regions. In GCB, deposits increased 3%, driven by growth across all regions.
Within ICG, average deposits grew 9% year-over-year, primarily driven by 3%continued deposit growth in treasury and trade solutions, as well as 4% aggregate growth in Asia and 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.TTS.







Long-Term Debt
The weighted-average maturitiesmaturity 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 6.8 8.5years as of SeptemberJune 30, 2017, a modest decline from both2019, compared to 8.3 years as of the prior-year period and 8.6 as of the prior quarter. The weighted-average maturity is calculated based on the contractual maturity of each security. For securities which are redeemable prior to maturity at the option of the holder, the weighted-average maturity is calculated based on the earliest date an option becomes exercisable.
Citi’s long-term debt outstanding at the Citigroup parent company includes 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 supplementscomplements 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 benchmark senior debt, FHLB advances and securitizations.


 
Long-Term Debt Outstanding
The following table sets forth Citi’s end-of-period total long-term debt outstanding for each of the periodsdates indicated:
In billions of dollarsSept. 30, 2017Jun. 30, 2017Sept. 30, 2016Jun. 30, 2019Mar. 31, 2019Jun. 30, 2018
Parent and other(1)












Benchmark debt:  
Senior debt$109.8
$105.9
$97.1
$111.2
$109.7
$107.8
Subordinated debt27.0
26.8
28.8
25.5
24.9
25.3
Trust preferred1.7
1.7
1.7
1.7
1.7
1.7
Customer-related debt:
Structured debt27.0
25.3
23.6
Non-structured debt3.3
3.1
3.5
Customer-related debt47.9
42.4
34.3
Local country and other(2)
1.8
2.1
2.7
3.3
3.4
3.7
Total parent and other$170.6
$164.9
$157.4
$189.6
$182.1
$172.8
Bank











FHLB borrowings$19.8
$20.3
$21.6
$7.7
$10.5
$13.7
Securitizations(3)
28.6
28.2
24.4
25.9
25.9
28.5
CBNA benchmark senior debt9.5
7.2
—
Citibank benchmark senior debt25.4
21.4
18.5
Local country and other(2)
4.2
4.5
5.7
3.6
3.7
3.3
Total bank$62.1
$60.2
$51.7
$62.6
$61.5
$64.0
Total long-term debt$232.7
$225.2
$209.1
$252.2
$243.6
$236.8
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)
“Parent and other” includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of SeptemberJune 30, 2017,2019, “parent and other” included $18.7$37.4 billion 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.


Citi’s total long-term debt outstanding increased both year-over-year, and sequentially, primarily driven by the issuance of seniorcustomer-related debt at the parent, as well asnon-bank entities and unsecured senior benchmark debt at the bank, partially offset by a decline in FHLB advances and securitizations. Sequentially, Citi’s total long-term debt outstanding increased, primarily driven by the issuance of unsecured senior benchmark senior debt at the bank.bank and customer-related debt at the non-bank entities, partially offset by a decline in FHLB advances.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers/redemptionsoffers or other means. Such repurchases help reduce Citi’s overall funding costs (and assist it in meeting regulatory requirements).costs. During the thirdsecond quarter of 2017,2019, Citi repurchased and called an aggregate of approximately $0.3$1.7billion 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:
3Q172Q173Q162Q191Q192Q18
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent and other























Benchmark debt:          
Senior debt$2.5
$5.7
$2.0
$6.3
$3.3
$4.5
$5.1
$4.5
$0.2
$4.6
$7.2
$4.9
Subordinated debt—
—
—
0.2
1.3
1.5
—
—
—
—
0.3
0.3
Trust preferred—
—
—
—
—
—
—
—
—
—
—
—
Customer-related debt:

   
Structured debt1.7
2.9
2.0
3.6
2.2
3.0
Non-structured debt0.1
0.1
0.3
—
0.1
0.2
Customer-related debt3.2
7.5
1.0
5.2
1.5
4.7
Local country and other0.4
—
0.1
—
0.1
0.4
0.3
0.1
—
0.3
0.2
2.1
Total parent and other$4.7
$8.7
$4.3
$10.2
$6.9
$9.6
$8.6
$12.2
$1.2
$10.1
$9.1
$12.0
Bank























FHLB borrowings$1.5
$1.0
$1.5
$1.5
$2.8
$5.8
$2.8
$—
$—
$—
$4.5
$2.5
Securitizations1.8
2.2
0.9
5.1
3.0
—
0.1
—
2.6
—
2.7
1.1
CBNA benchmark senior debt—
2.2
—
4.7
—
—
Citibank benchmark senior debt—
3.9
2.5
5.0
—
3.5
Local country and other0.5
0.5
0.7
0.3
0.9
0.9
0.3
0.2
0.3
0.5
0.9
0.9
Total bank$3.8
$5.9
$3.0
$11.6
$6.7
$6.7
$3.2
$4.1
$5.4
$5.5
$8.1
$8.0
Total$8.5
$14.6
$7.4
$21.8
$13.6
$16.3
$11.9
$16.3
$6.6
$15.6
$17.2
$20.0


The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2017,2019, as well as its aggregate expected annualremaining long-term debt maturities by year as of SeptemberJune 30, 2017:2019:
Maturities 2017 YTDMaturities2019 YTDMaturities
In billions of dollars201720182019202020212022ThereafterTotal201920202021202220232024ThereafterTotal
Parent and other



































Benchmark debt:   
   
Senior debt$9.8
$4.3
$18.4
$14.7
$8.9
$14.4
$6.0
$43.1
$109.8
$5.3
$8.9
$8.9
$14.3
$9.3
$12.6
$7.1
$50.0
$111.2
Subordinated debt1.2
0.4
1.0
1.4
—
—
0.8
23.4
27.0
—
—
—
—
0.7
1.1
0.9
22.8
$25.5
Trust preferred—
—
—
—
—
—
—
1.7
1.7
—
—
—
—
—
—
—
1.7
1.7
Customer-related debt:   
Structured debt5.5
0.3
3.6
2.3
3.2
2.3
1.4
13.9
27.0
Non-structured debt0.5
—
0.6
0.2
0.3
0.1
0.2
1.9
3.3
Customer-related debt4.2
2.5
8.2
4.1
3.5
4.1
2.8
22.8
47.9
Local country and other1.0
—
0.7
0.1
0.1
0.1
—
0.8
1.8
0.4
1.4
—
0.1
0.1
0.1
—
1.6
3.3
Total parent and other$18.0
$5.0
$24.3
$18.7
$12.5
$16.9
$8.4
$84.8
$170.6
$9.8
$12.7
$17.1
$18.5
$13.6
$17.9
$10.8
$99.0
$189.6
Bank



































FHLB borrowings$4.8
$3.0
$15.3
$1.6
$—
$—
$—
$—
$19.8
$2.8
$2.8
$4.9
$—
$—
$—
$—
$—
$7.7
Securitizations4.7
0.6
9.4
6.5
4.4
3.8
1.2
2.7
28.6
2.6
5.2
4.6
7.2
2.2
2.5
1.2
3.1
25.9
CBNA benchmark debt—
—
2.2
4.7
2.5
—
—
—
9.5
Citibank benchmark debt2.5
2.2
8.7
6.1
5.6
—
2.7
—
25.4
Local country and other2.4
0.7
1.8
0.7
0.5
0.2
0.1
0.3
4.2
0.7
0.1
0.7
1.6
0.3
0.2
0.1
0.5
3.6
Total bank$11.8
$4.2
$28.7
$13.5
$7.4
$4.0
$1.3
$3.1
$62.1
$8.6
$10.3
$18.9
$14.9
$8.2
$2.7
$4.0
$3.6
$62.6
Total long-term debt$29.8
$9.3
$53.0
$32.2
$19.8
$20.9
$9.7
$87.9
$232.7
$18.4
$23.1
$36.0
$33.4
$21.8
$20.6
$14.8
$102.6
$252.2














 















Secured Funding Transactions and Short-Term Borrowings
Citi supplements its primary sources of funding with short-term borrowings. Short-term borrowingsfinancings which 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).participants.
Outside of secured funding transactions, Citi’s short-term borrowings increased 29% year-over-year and 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 entities.


Secured Funding Transactions
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 $161$181 billion as of SeptemberJune 30, 20172019 increased 5%2% from the prior-year period and 4%declined 5% sequentially.Excluding the impact of FX translation, secured funding increased 3% from both the prior-year period and declined 5% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $158$189 billion for the quarter ended SeptemberJune 30, 2017.2019.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less liquidless-liquid securities, including equity securities, corporate bonds and asset-backed securities. 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 liquidless-liquid securities inventory was greater than 110 days as of SeptemberJune 30, 2017.2019.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions.
Additionally, 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)Short-Term Borrowings
In addition to internal measures that Citi has developed for a 30-day stress scenario, CitiCiti’s short-term borrowings of $42 billion increased 14% year-over-year and 8% sequentially. Both the year-over-year and sequential increases reflected growth in commercial paper outstanding. Sequentially, the increase was also monitors its liquiditydriven by referenceFHLB advances (see Note 16 to the LCR, as calculated pursuant to the U.S. LCR rules (for additionalConsolidated Financial Statements for further 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 calculationCitigroup’s and HQLA in excess of net outflows as of the periods indicated:its affiliates’ outstanding short-term borrowings).

In billions of dollarsSept. 30, 2017Jun. 30, 2017Sept. 30, 2016
HQLA$448.6
$424.4
$403.8
Net outflows365.1
338.2
335.3
LCR123%125%120%
HQLA in excess of net outflows$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 year-over-year, as an increase in average HQLA more than offset an increase in modeled 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 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 September 30, 2017. While not included in the table below, the long-termlong- 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 SeptemberJune 30, 2017.2019.
 




Ratings as of June 30, 2019
 Citigroup Inc.Citibank, N.A.
 
Senior
debt
Commercial
paper
Outlook
Long-
term
Short-
term
Outlook
Fitch Ratings (Fitch)AF1StableA+F1Stable
Moody’s Investors Service (Moody’s)Baa1A3P-2StableA1Aa3P-1Stable
Standard & Poor’s (S&P)BBB+A-2StableA+A-1Stable


Recent Credit Ratings Developments
On June 12, 2019 Fitch Ratings affirmed Citigroup Inc.'s Long-Term Issuer Default Rating (IDR) at 'A' and Citibank, N.A.'s IDR at 'A+'. The Rating Outlooks for the Long-Term IDRs are Stable.

Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including 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 20162018 Annual Report on Form 10-K.


 


Citigroup Inc. and Citibank—Potential Derivative Triggers
As of SeptemberJune 30, 2017,2019, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $1.0$0.3 billion, compared to $0.7 billion as of June 30, 2017.unchanged from March 31, 2019. Other funding sources, such as secured fundingfinancing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of SeptemberJune 30, 2017,2019, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity by approximately $0.5 billion, compared to $0.3 billion as of June 30, 2017, due to derivative triggers.unchanged from March 31, 2019.
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 $1.5$0.8 billion compared to $1.0 billion as of June 30, 2017unchanged from March 31, 2019 (see also Note 19 to the Consolidated Financial Statements). As set forthdetailed under “High-Quality Liquid Assets” above, the liquidity resources that are eligible for inclusion in the calculation of CitibankCiti’s consolidated HQLA were approximately $371$318 billion for Citibank and the liquidity resources ofapproximately $89 billion for Citi’s non-bank and other entities, were approximately $78 billion, for a total of approximately $449$407 billion as of Septemberfor the quarter ended June 30, 2017.2019. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could



substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.

Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential one-notch downgrade of Citibank’s senior debt/long-term rating by S&Pacross any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of June 30, 2019, Citibank had liquidity commitments of approximately $10.0$12.9 billion to consolidated asset-backed commercial paper conduits, compared to $13.1 billion as of September 30, 2017 and June 30, 2017March 31, 2019 (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 20162018 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 (bps) increase in interest rates:
In millions of dollars (unless otherwise noted)Sept. 30, 2017Jun. 30, 2017Sept. 30, 2016
In millions of dollars, except as otherwise notedJun. 30, 2019Mar. 31, 2019Jun. 30, 2018
Estimated annualized impact to net interest revenue    
U.S. dollar(1)
$1,449
$1,435
$1,405
$404
$527
$1,046
All other currencies610
589
574
659
677
635
Total$2,059
$2,024
$1,979
$1,063
$1,204
$1,681
As a percentage of average interest-earning assets0.12%0.12%0.12%0.06%0.07%0.10%
Estimated initial impact to AOCI (after-tax)(2)
$(4,206)$(4,258)$(4,868)$(3,738)$(3,828)$(4,713)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(48)(49)(53)(23)(25)(32)

(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 $(204)$(230) million for a 100 basis pointbps instantaneous increase in interest rates as of SeptemberJune 30, 2017.2019.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
(3)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 estimated impact to net interest revenue increased slightlydecreased on a sequential basis, reflecting changes in balance sheet composition.composition and Citi Treasury positioning. The sequential decrease 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 pointbps increase in interest rates, Citi expects that 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 SeptemberJune 30, 2017,2019, Citi expects that the negative $4.2$3.7 billion impact to AOCI in such a scenario could potentially be offset over approximately 2326 months.
The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis) under fourfive different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies. While Citi also monitors the impact of a parallel decrease in interest rates, a 100 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 4
In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 4Scenario 5
Overnight rate change (bps)100
100
—
—
100
100
—
—
(100)
10-year rate change (bps)100
—
100
(100)100
—
100
(100)(100)
Estimated annualized impact to net interest revenue
  
U.S. dollar$1,449
$1,369
$89
$(130)$404
$452
$50
$(81)$(864)
All other currencies610
554
34
(34)659
632
38
(38)(450)
Total$2,059
$1,923
$123
$(164)$1,063
$1,084
$88
$(119)$(1,314)
Estimated initial impact to AOCI (after-tax)(1)
$(4,206)$(2,542)$(1,632)$1,077
$(3,738)$(2,394)$(1,364)$940
$3,082
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2)
(48)(29)(19)12
(23)(15)(9)5
17
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 SeptemberJune 30, 2017,2019, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.6 billion, or 0.9%1.0%, 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.Indian rupee.
 
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign-currency-denominatedforeign 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 impactaffect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 17 to the Consolidated Financial Statements.















For the quarter endedFor the quarter ended
In millions of dollars (unless otherwise noted)Sept. 30, 2017Jun. 30, 2017Sept. 30, 2016
In millions of dollars, except as otherwise notedJun. 30, 2019Mar. 31, 2019Jun. 30, 2018
Change in FX spot rate(1)
1.1%1.9%(0.2)%0.4%0.4%(5.8)%
Change in TCE due to FX translation, net of hedges$222
$478
$(412)$56
$65
$(2,241)
As a percentage of TCE0.1%0.3%(0.2)%—%—%(1.5)%
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)(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 (NIM)
a3q17charta01.jpga2q19chartforwdesk.jpg
3rd Qtr. 2nd Qtr. 3rd Qtr. Change2nd Qtr. 1st Qtr. 2nd Qtr. Change
In millions of dollars, except as otherwise noted2017 2017 2016 3Q17 vs. 3Q162019 2019 2018 2Q19 vs. 2Q18
Interest revenue(1)
$15,944
 $15,323
 $14,767
 8 % $19,761
 $19,140
 $17,613
 12% 
Interest expense(2)
4,379
 4,036
 3,174
 38
 7,762
 7,317
 5,885
 32
 
Net interest revenue$11,565
 $11,287
 $11,593
 — % $11,999
 $11,823
 $11,728
 2% 
Interest revenue—average rate(3)3.75% 3.70% 3.65% 10
bps4.40% 4.40% 4.05% 35
bps
Interest expense—average rate1.33
 1.26
 1.03
 30
bps2.14
 2.10
 1.73
 41
bps
Net interest margin(3)
2.72
 2.72
 2.86
 (14)bps
Net interest margin(3)(4)
2.67
 2.72
 2.70
 (3)bps
Interest-rate benchmarks                
Two-year U.S. Treasury note—average rate1.36% 1.30% 0.73% 63
bps2.13% 2.49% 2.48% (35)bps
10-year U.S. Treasury note—average rate2.24
 2.26
 1.56
 68
bps2.34
 2.65
 2.92
 (58)bps
10-year vs. two-year spread88
bps96
bps83
bps 
 21
bps16
bps44
bps 
 
Note: All interest expense amounts include FDIC, as well as other similar deposit insurance assessments.assessments outside of the U.S. As of the fourth quarter of 2018, Citi’s FDIC surcharge was eliminated (approximately $130 million per quarter).
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax raterates of 35%)21% in 2019 and 2018) of $123$49 million, $122$64 million and $114$63 million for the three months ended September 30, 2017, June 30, 20172019, March 31, 2019 and SeptemberJune 30, 2016,2018, respectively.
(2)
Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated StatementsStatement of Income and is therefore not reflected in Interest expense in the table above.
(3)The average rate on interest revenue and net interest margin reflects the taxable equivalent gross-up adjustment. See footnote 1 on “Average Balances and Interest Rates—Assets” below.
(4)Citi’s net interest margin (NIM) is calculated by dividing grossnet interest revenue less gross interest expense by average interest-earning assets.


Citi’s net interest revenue remained largely unchanged at $11.4in the second quarter of 2019 increased 2% to $12.0 billion ($11.6 billion(as set forth in the table above, also up 2% on a taxable equivalent basis) versus the prior-year period. Excluding the impact of FX translation, Citi’s net interest revenue was down slightly versus the prior-year period (down $110 million)increased 4%, as higher core accrualor approximately $450 million. The increase in net interest revenue ($10.4 billion, up 5% or $0.5 billion) was offset by lowerprimarily reflected higher rates, loan growth and a favorable loan mix as well as higher trading-related net interest revenue, ($0.7 billion, down 34% or $0.4 billion), and lower net interest revenue associatedalong with legacy assets in Corporate/Other ($0.3 billion, down approximately 38% or $0.2 billion). The increase in core accrual net interest revenue was driven by the impactabsence of the December 2016, March 2017 and June 2017 interest rate increases and volume growth,FDIC surcharge.
 
partially offset by higher long-term debt.
As set forth above, Citi’s NIM was 2.72%2.67% on a taxable equivalent basis in the thirdsecond quarter of 2017,2019, a decrease of 14 bps5 basis points from the prior-year period. Citi’s core accrual NIM was 3.45%, a decline of 7 bps,prior quarter, as the higher core accrual net interest revenue was more than offset by balance sheethigher cash balances reflecting strong deposit 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.)

current quarter.



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
3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.
In millions of dollars, except rates201720172016201720172016201720172016201920192018201920192018201920192018
Assets                
Deposits with banks(4)
$176,942
$166,023
$131,571
$486
$375
$247
1.09%0.91%0.75%$192,483
$171,369
$176,151
$736
$607
$493
1.53%1.44%1.12%
Federal funds sold and securities
borrowed or purchased under
agreements to resell(5)
      




Securities borrowed or purchased under agreements to resell(5)
     


In U.S. offices$136,681
$144,483
$146,581
$524
$472
$387
1.52%1.31%1.05%$147,677
$152,530
$153,273
$1,345
$1,262
$838
3.65%3.36%2.19%
In offices outside the U.S.(4)
108,770
104,780
88,415
334
356
249
1.22
1.36
1.12
118,973
123,109
118,098
552
528
498
1.86
1.74
1.69
Total$245,451
$249,263
$234,996
$858
$828
$636
1.39%1.33%1.08%$266,650
$275,639
$271,371
$1,897
$1,790
$1,336
2.85%2.63%1.97%
Trading account assets(6)(7)
     




    


In U.S. offices$98,725
$100,080
$100,381
$918
$877
$912
3.69%3.51%3.61%$108,993
$95,904
$92,791
$1,014
$940
$851
3.73%3.98%3.68%
In offices outside the U.S.(4)
105,882
103,581
100,825
555
646
559
2.08
2.50
2.21
136,733
124,673
117,840
1,129
752
922
3.31
2.45
3.14
Total$204,607
$203,661
$201,206
$1,473
$1,523
$1,471
2.86%3.00%2.91%$245,726
$220,577
$210,631
$2,143
$1,692
$1,773
3.50%3.11%3.38%
Investments     




    


In U.S. offices    




    


Taxable$227,680
$224,021
$228,337
$1,138
$1,086
$990
1.98%1.94%1.72%$217,593
$225,733
$225,886
$1,273
$1,509
$1,315
2.35%2.71%2.34%
Exempt from U.S. income tax17,890
18,466
19,102
181
197
162
4.01
4.28
3.37
15,233
16,287
17,339
196
129
180
5.16
3.21
4.16
In offices outside the U.S.(4)
106,456
106,758
107,350
835
830
794
3.11
3.12
2.94
114,575
108,988
104,562
1,060
940
913
3.71
3.50
3.50
Total$352,026
$349,245
$354,789
$2,154
$2,113
$1,946
2.43%2.43%2.18%$347,401
$351,008
$347,787
$2,529
$2,578
$2,408
2.92%2.98%2.78%
Loans (net of unearned income)(8)
      




     


In U.S. offices$372,067
$369,342
$368,372
$6,650
$6,392
$6,272
7.09%6.94%6.77%$393,694
$393,398
$382,972
$7,614
$7,649
$6,958
7.76%7.89%7.29%
In offices outside the U.S.(4)
274,254
264,986
267,399
4,031
3,832
3,974
5.83
5.80
5.91
285,928
285,811
286,772
4,385
4,341
4,251
6.15
6.16
5.95
Total$646,321
$634,328
$635,771
$10,681
$10,224
$10,246
6.56%6.46%6.41%$679,622
$679,209
$669,744
$11,999
$11,990
$11,209
7.08%7.16%6.71%
Other interest-earning assets(9)
$61,677
$60,107
$52,668
$292
$260
$221
1.88%1.74%1.67%$67,885
$66,925
$69,341
$457
$483
$394
2.70%2.93%2.28%
Total interest-earning assets$1,687,024
$1,662,627
$1,611,001
$15,944
$15,323
$14,767
3.75%3.70%3.65%$1,799,767
$1,764,727
$1,745,025
$19,761
$19,140
$17,613
4.40%4.40%4.05%
Non-interest-earning assets(6)
$205,268
$206,581
$219,213
      $179,357
$174,687
$172,077
      
Total assets$1,892,292
$1,869,208
$1,830,214
   $1,979,124
$1,939,414
$1,917,102
   
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax raterates of 35%)21% in 2019 and 2018) of $123$49 million, $122$64 million and $114$63 million for the three months ended September 30, 2017, June 30, 20172019, March 31, 2019 and SeptemberJune 30, 2016,2018, 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.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
3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.
In millions of dollars, except rates201720172016201720172016201720172016201920192018201920192018201920192018
Liabilities                 
Deposits               
In U.S. offices(4)
$318,881
$311,758
$296,999
$695
$593
$470
0.86%0.76%0.63%$377,651
$366,247
$332,595
$1,627
$1,489
$1,041
1.73%1.65%1.26%
In offices outside the U.S.(5)
438,561
439,807
434,232
1,080
1,010
973
0.98
0.92
0.89
485,069
473,142
453,025
1,657
1,538
1,203
1.37
1.32
1.07
Total$757,442
$751,565
$731,231
$1,775
$1,603
$1,443
0.93%0.86%0.79%$862,720
$839,389
$785,620
$3,284
$3,027
$2,244
1.53%1.46%1.15%
Federal funds purchased and
securities loaned or sold under
agreements to repurchase(6)
      





Securities loaned or sold under
agreements to repurchase(6)
     





In U.S. offices$93,167
$101,623
$99,924
$423
$396
$267
1.80%1.56%1.06%$112,386
$111,033
$102,517
$1,149
$1,107
$796
4.10%4.04%3.11%
In offices outside the U.S.(5)
64,897
59,354
58,060
289
280
192
1.77
1.89
1.32
76,659
72,904
68,556
575
482
428
3.01
2.68
2.50
Total$158,064
$160,977
$157,984
$712
$676
$459
1.79%1.68%1.16
$189,045
$183,937
$171,073
$1,724
$1,589
$1,224
3.66%3.50%2.87%
Trading account liabilities(7)(8)
      





     





In U.S. offices$32,622
$34,287
$33,600
$104
$81
$65
1.26%0.95%0.77%$35,939
$40,163
$36,103
$215
$196
$140
2.40%1.98%1.56%
In offices outside the U.S.(5)
57,187
56,731
42,637
65
65
37
0.45
0.46
0.35
59,065
55,127
61,048
105
131
96
0.71
0.96
0.63
Total$89,809
$91,018
$76,237
$169
$146
$102
0.75%0.64%0.53%$95,004
$95,290
$97,151
$320
$327
$236
1.35%1.39%0.97%
Short-term borrowings(9)
     





     





In U.S. offices$77,211
$68,486
$61,019
$234
$103
$51
1.20%0.60%0.33%$84,091
$75,440
$84,338
$630
$571
$439
3.00%3.07%2.09%
In offices outside the U.S.(5)
20,928
23,070
20,285
84
99
39
1.59
1.72
0.76
22,114
23,740
23,854
85
81
84
1.54
1.38
1.41
Total$98,139
$91,556
$81,304
$318
$202
$90
1.29%0.88%0.44%$106,205
$99,180
$108,192
$715
$652
$523
2.70%2.67%1.94%
Long-term debt(10)
      





    





In U.S. offices$198,766
$187,610
$175,427
$1,377
$1,361
$1,028
2.75%2.91%2.33%$197,578
$191,903
$198,291
$1,685
$1,685
$1,620
3.42%3.56%3.28%
In offices outside the U.S.(5)
4,298
4,534
6,506
28
48
52
2.58%4.25
3.18
4,946
5,060
4,980
34
37
38
2.76
2.97
3.06
Total$203,064
$192,144
$181,933
$1,405
$1,409
$1,080
2.75%2.94%2.36%$202,524
$196,963
$203,271
$1,719
$1,722
$1,658
3.40%3.55%3.27%
Total interest-bearing liabilities$1,306,518
$1,287,260
$1,228,689
$4,379
$4,036
$3,174
1.33%1.26%1.03%$1,455,498
$1,414,759
$1,365,307
$7,762
$7,317
$5,885
2.14%2.10%1.73%
Demand deposits in U.S. offices$37,673
$38,772
$40,466
     $29,929
$26,893
$33,737
    
Other non-interest-bearing liabilities(7)
318,060
313,227
328,405
    296,747
301,259
316,907
   
Total liabilities$1,662,251
$1,639,259
$1,597,560
    $1,782,174
$1,742,911
$1,715,951
   
Citigroup stockholders’ equity(11)
$229,017
$228,946
$231,574
    
Citigroup stockholders’ equity$196,237
$195,705
$200,295
   
Noncontrolling interest1,024
1,003
1,080
    713
798
856
   
Total equity(11)
$230,041
$229,949
$232,654
    
Total equity$196,950
$196,503
$201,151
   
Total liabilities and stockholders’ equity$1,892,292
$1,869,208
$1,830,214
    $1,979,124
$1,939,414
$1,917,102
   
Net interest revenue as a percentage of average interest-earning assets(12)
       
Net interest revenue as a percentage of average interest-earning assets(11)
      
In U.S. offices$975,283
$956,968
$953,877
$7,046
$6,777
$7,092
2.87%2.84%2.96%$1,015,979
$996,867
$983,786
$7,029
$7,232
$6,710
2.77%2.94%2.74%
In offices outside the U.S.(6)
711,741
705,659
657,124
4,519
4,510
4,501
2.52
2.56
2.72%783,788
768,160
761,239
4,970
4,591
5,018
2.54
2.42
2.64
Total$1,687,024
$1,662,627
$1,611,001
$11,565
$11,287
$11,593
2.72%2.72%2.86%$1,799,767
$1,765,027
$1,745,025
$11,999
$11,823
$11,728
2.67%2.72%2.70%
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax raterates of 35%)21% in 2019 and 2018) of $123$49 million, $122$64 million and $114$63 million for the three months ended September 30, 2017, June 30, 20172019, March 31, 2019 and SeptemberJune 30, 2016,2018, 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.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 inthe changes in fair value for these obligations are 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
Nine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix Months
In millions of dollars, except rates201720162017201620172016201920182019201820192018
Assets           
Deposits with banks(5)(4)
$165,910
$128,194
$1,156
$703
0.93%0.73%$181,926
$173,509
$1,343
$925
1.49%1.08%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)
      
Securities borrowed or purchased under agreements to resell(5)
      
In U.S. offices$141,723
$148,379
$1,364
$1,123
1.29%1.01%$150,104
$146,816
$2,607
$1,551
3.50%2.13%
In offices outside the U.S.(5)
105,527
83,668
983
824
1.25%1.32%
In offices outside the U.S.(4)
121,041
116,009
1,080
824
1.80
1.43
Total$247,250
$232,047
$2,347
$1,947
1.27%1.12%$271,145
$262,825
$3,687
$2,375
2.74%1.82%
Trading account assets(8)(7)
           
In U.S. offices$100,214
$104,655
$2,679
$2,835
3.57%3.62%$102,449
$95,175
$1,954
$1,720
3.85%3.64%
In offices outside the U.S.(5)
101,159
94,701
1,624
1,680
2.15%2.37%
In offices outside the U.S.(4)
130,703
118,222
1,881
1,434
2.90
2.45
Total$201,373
$199,356
$4,303
$4,515
2.86%3.03%$233,152
$213,397
$3,835
$3,154
3.32%2.98%
Investments           
In U.S. offices           
Taxable$224,384
$227,532
$3,258
$2,981
1.94%1.75%$221,663
$227,647
$2,782
$2,539
2.53%2.25%
Exempt from U.S. income tax18,345
19,171
574
501
4.18%3.49%15,760
17,435
325
350
4.16
4.05
In offices outside the U.S.(5)
106,813
106,116
2,454
2,385
3.07%3.00%
In offices outside the U.S.(4)
111,782
104,935
2,000
1,790
3.61
3.44
Total$349,542
$352,819
$6,286
$5,867
2.40%2.22%$349,205
$350,017
$5,107
$4,679
2.95%2.70%
Loans (net of unearned income)(9)(8)
           
In U.S. offices$369,602
$357,300
$19,315
$17,938
6.99%6.71%$393,546
$381,665
$15,263
$13,690
7.82%7.23%
In offices outside the U.S.(5)
265,060
265,586
11,560
11,847
5.83%5.96%
In offices outside the U.S.(4)
285,870
287,170
8,726
8,428
6.16
5.92
Total$634,662
$622,886
$30,875
$29,785
6.50%6.39%$679,416
$668,835
$23,989
$22,118
7.12%6.67%
Other interest-earning assets(10)
$59,506
$54,329
$846
$709
1.90%1.74%
Other interest-earning assets(9)
$67,405
$68,051
$940
$758
2.81%2.25%
Total interest-earning assets$1,658,243
$1,589,631
$45,813
$43,526
3.69%3.66%$1,782,249
$1,736,634
$38,901
$34,009
4.40%3.95%
Non-interest-earning assets(7)(6)
$205,775
$215,402
 
 
 
 
$177,022
$174,032
  
  
Total assets$1,864,018
$1,805,033
 
 
 
 
$1,959,271
$1,910,666
  
  
(1)
Net interestrevenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax raterates of 35%)21% in 2019 and 2018) of $368$113 million and $350$127 million for the ninesix months ended SeptemberJune 30, 20172019 and 2016,2018, 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)(5)
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).ASC 210-20-45.
(7)(6)
The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.
(8)(7)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)(8)Includes cash-basis loans.
(10)(9)
Includes brokerage receivables.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
Nine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix Months
In millions of dollars, except rates201720162017201620172016201920182019201820192018
Liabilities          
Deposits          
In U.S. offices(5)(4)
$310,977
$287,100
$1,795
$1,157
0.77%0.54%$371,949
$327,974
$3,118
$1,938
1.69%1.19%
In offices outside the U.S.(6)
435,704
431,176
2,998
2,796
0.92%0.87%
In offices outside the U.S.(5)
479,106
449,721
3,193
2,303
1.34
1.03
Total$746,681
$718,276
$4,793
$3,953
0.86%0.74%$851,055
$777,695
$6,311
$4,241
1.50%1.10%
Federal funds purchased and securities loaned
or sold under agreements to repurchase(7)
    
Securities loaned or sold under agreements to repurchase(6)
     
In U.S. offices$96,417
$102,321
$1,101
$787
1.53%1.03%$111,709
$100,766
$2,256
$1,400
4.07%2.80%
In offices outside the U.S.(6)
59,559
58,379
780
701
1.75%1.60%
In offices outside the U.S.(5)
74,782
67,003
1,057
773
2.85
2.33
Total$155,976
$160,700
$1,881
$1,488
1.61%1.24%$186,491
$167,769
$3,313
$2,173
3.58%2.61%
Trading account liabilities(9)(8)
         
In U.S. offices$33,041
$28,219
$269
$181
1.09%0.86%$38,051
$35,050
$411
$267
2.18%1.54%
In offices outside the U.S.(6)
57,862
43,424
193
105
0.45%0.32%
In offices outside the U.S.(5)
57,096
59,387
236
184
0.83
0.62
Total$90,903
$71,643
$462
$286
0.68%0.53%$95,147
$94,437
$647
$451
1.37%0.96%
Short-term borrowings(10)
    
Short-term borrowings(9)
     
In U.S. offices$72,435
$57,559
$422
$123
0.78%0.29%$79,766
$86,770
$1,201
$828
3.04%1.92%
In offices outside the U.S.(6)
22,668
17,727
297
177
1.75%1.33%
In offices outside the U.S.(5)
22,927
23,668
166
166
1.46
1.41
Total$95,103
$75,286
$719
$300
1.01%0.53%$102,693
$110,438
$1,367
$994
2.68%1.82%
Long-term debt(11)
    
Long-term debt(10)
     
In U.S. offices$188,344
$174,454
$3,993
$3,031
2.83%2.32%$194,741
$199,108
$3,370
$3,102
3.49%3.14%
In offices outside the U.S.(6)
4,715
6,691
133
176
3.77%3.51%
In offices outside the U.S.(5)
5,003
4,667
71
84
2.86
3.63
Total$193,059
$181,145
$4,126
$3,207
2.86%2.36%$199,744
$203,775
$3,441
$3,186
3.47%3.15%
Total interest-bearing liabilities$1,281,722
$1,207,050
$11,981
$9,234
1.25%1.02%$1,435,130
$1,354,114
$15,079
$11,045
2.12%1.64%
Demand deposits in U.S. offices$38,064
$36,927
 
 
 
 $28,411
$34,633
  
 
Other non-interest-bearing liabilities(8)(7)
313,939
331,906
 
 
 
 299,003
320,455
  
 
Total liabilities$1,633,725
$1,575,883
 
 
 
 $1,762,544
$1,709,202
  
 
Citigroup stockholders’ equity(12)
$229,284
$228,014
 
 
 
 
Citigroup stockholders’ equity(11)
$195,971
$200,564
  
 
Noncontrolling interest1,009
1,136
 
 
 
 756
899
  
 
Total equity(12)
$230,293
$229,150
 
 
 
 
Total equity(11)
$196,727
$201,463
  
 
Total liabilities and stockholders’ equity$1,864,018
$1,805,033
 
 
 
 $1,959,271
$1,910,665
  
 
Net interest revenue as a percentage of average interest-earning assets           
In U.S. offices$960,206
$941,990
$20,586
$20,894
2.87%2.96%$1,006,273
$978,772
$14,261
$13,427
2.86%2.77%
In offices outside the U.S.(6)
698,037
647,641
13,246
13,398
2.54
2.76
In offices outside the U.S.(5)
775,974
757,862
9,561
9,537
2.48
2.54
Total$1,658,243
$1,589,631
$33,832
$34,292
2.73%2.88%$1,782,247
$1,736,634
$23,822
$22,964
2.70%2.67%
(1)
Net interestrevenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax raterates of 35%)21% in 2019 and 2018) of $368$113 million and $350$127 million for the ninesix months ended SeptemberJune 30, 20172019 and 2016,2018, 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)(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(7)(6)
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).ASC 210-20-45.
(8)(7)
The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.
(9)(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(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.



Analysis of Changes in Interest Revenue(1)(2)(3) 
3rd Qtr. 2017 vs. 2nd Qtr. 20173rd Qtr. 2017 vs. 3rd Qtr. 20162nd Qtr. 2019 vs. 1st Qtr. 20192nd Qtr. 2019 vs. 2nd Qtr. 2018
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits with banks(4)(3)
$26
$85
$111
$102
$137
$239
$78
$51
$129
$49
$194
$243
Federal funds sold and securities borrowed or
purchased under agreements to resell
   
Securities borrowed or purchased under agreements to resell   
In U.S. offices$(27)$79
$52
$(28)$165
$137
$(41)$124
$83
$(32)$539
$507
In offices outside the U.S.(4)
13
(35)(22)61
24
85
In offices outside the U.S.(3)
(18)42
24
4
50
54
Total$(14)$44
$30
$33
$189
$222
$(59)$166
$107
$(28)$589
$561
Trading account assets(5)(4)
      
In U.S. offices$(12)$53
$41
$(15)$21
$6
$124
$(50)$74
$151
$12
$163
In offices outside the U.S.(4)
14
(105)(91)27
(31)(4)
In offices outside the U.S.(3)
78
299
377
154
53
207
Total$2
$(52)$(50)$12
$(10)$2
$202
$249
$451
$305
$65
$370
Investments(1)
      
In U.S. offices$16
$20
$36
$(9)$176
$167
$(61)$(108)$(169)$(65)$39
$(26)
In offices outside the U.S.(4)
(2)7
5
(7)48
41
In offices outside the U.S.(3)
50
70
120
91
56
147
Total$14
$27
$41
$(16)$224
$208
$(11)$(38)$(49)$26
$95
$121
Loans (net of unearned income)(6)(5)
      
In U.S. offices$47
$211
$258
$63
$315
$378
$6
$(41)$(35)$199
$457
$656
In offices outside the U.S.(4)
136
63
199
101
(44)57
In offices outside the U.S.(3)
2
42
44
(13)147
134
Total$183
$274
$457
$164
$271
$435
$8
$1
$9
$186
$604
$790
Other interest-earning assets(7)(6)
$7
$25
$32
$41
$30
$71
$7
$(33)$(26)$(8)$71
$63
Total interest revenue$218
$403
$621
$336
$841
$1,177
$225
$396
$621
$530
$1,618
$2,148
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax raterates of 35%21% in 2019 and 2018 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)(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)(5)Includes cash-basis loans.
(7)(6)
Includes brokerage receivables.Brokerage receivables.




Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3) 
3rd Qtr. 2017 vs. 2nd Qtr. 20173rd Qtr. 2017 vs. 3rd Qtr. 20162nd Qtr. 2019 vs. 1st Qtr. 20192nd Qtr. 2019 vs. 2nd Qtr. 2018
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits      
In U.S. offices$14
$88
$102
$37
$188
$225
$47
$91
$138
$155
$431
$586
In offices outside the U.S.(4)
(3)73
70
10
97
107
In offices outside the U.S.(3)
39
80
119
90
364
454
Total$11
$161
$172
$47
$285
$332
$86
$171
$257
$245
$795
$1,040
Federal funds purchased and securities loaned
or sold under agreements to repurchase		    
Securities loaned or sold under agreements to repurchase    
In U.S. offices$(35)$62
$27
$(19)$175
$156
$14
$28
$42
$82
$271
$353
In offices outside the U.S.(4)
25
(16)9
25
72
97
In offices outside the U.S.(3)
26
67
93
54
93
147
Total$(10)$46
$36
$6
$247
$253
$40
$95
$135
$136
$364
$500
Trading account liabilities(5)(4)
      
In U.S. offices$(4)$27
$23
$(2)$41
$39
$(22)$41
$19
$(1)$76
$75
In offices outside the U.S.(4)
1
(1)—
15
13
28
In offices outside the U.S.(3)
9
(35)(26)(3)12
9
Total$(3)$26
$23
$13
$54
$67
$(13)$6
$(7)$(4)$88
$84
Short-term borrowings(6)(5)
      
In U.S. offices$15
$116
$131
$17
$166
$183
$65
$(6)$59
$(1)$192
$191
In offices outside the U.S.(4)
(9)(6)(15)1
44
45
In offices outside the U.S.(3)
(6)10
4
(6)7
1
Total$6
$110
$116
$18
$210
$228
$59
$4
$63
$(7)$199
$192
Long-term debt      
In U.S. offices$79
$(63)$16
$147
$202
$349
$49
$(49)$—
$(6)$71
$65
In offices outside the U.S.(4)
(2)(18)(20)(16)(8)(24)
In offices outside the U.S.(3)
(1)(2)(3)—
(4)(4)
Total$77
$(81)$(4)$131
$194
$325
$48
$(51)$(3)$(6)$67
$61
Total interest expense$81
$262
$343
$215
$990
$1,205
$220
$225
$445
$364
$1,513
$1,877
Net interest revenue$137
$141
$278
$121
$(149)$(28)$4
$172
$176
$165
$106
$271
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax raterates of 35%21% in 2019 and 2018 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)(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)(5)
Includes brokerage payables.Brokerage payables.













Analysis of Changes in Interest Revenue Interest Expense and Net Interest Revenue(1)(2)(3) 
Nine Months 2017 vs. Nine Months 2016Six Months 2019 vs. Six Months 2018
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
Deposits with banks(4)(3)
$236
$217
$453
$47
$371
$418
Federal funds sold and securities borrowed or purchased under agreements to resell   
Securities borrowed or purchased under agreements to resell 
In U.S. offices$(52)$293
$241
$35
$1,021
$1,056
In offices outside the U.S.(4)
206
(47)159
In offices outside the U.S.(3)
37
219
256
Total$154
$246
$400
$72
$1,240
$1,312
Trading account assets(5)(4)
    
In U.S. offices$(119)$(37)$(156)$136
$98
$234
In offices outside the U.S.(4)
110
(166)(56)
In offices outside the U.S.(3)
162
285
447
Total$(9)$(203)$(212)$298
$383
$681
Investments(1)
    
In U.S. offices$(57)$407
$350
$(92)$310
$218
In offices outside the U.S.(4)
16
53
69
In offices outside the U.S.(3)
120
90
210
Total$(41)$460
$419
$28
$400
$428
Loans (net of unearned income)(6)(5)
    
In U.S. offices$629
$748
$1,377
$436
$1,137
$1,573
In offices outside the U.S.(4)
(23)(264)(287)
In offices outside the U.S.(3)
(38)336
298
Total$606
$484
$1,090
$398
$1,473
$1,871
Other interest-earning assets(6)$71
$66
$137
$(7)$189
$182
Total interest revenue$1,017
$1,270
$2,287
$836
$4,056
$4,892
Deposits(7)
   
In U.S. offices$103
$535
$638
In offices outside the U.S.(4)
30
172
202
Total$133
$707
$840
Federal funds purchased and securities loaned or sold under agreements to repurchase   
In U.S. offices$(48)$362
$314
In offices outside the U.S.(4)
14
65
79
Total$(34)$427
$393
Trading account liabilities(5)
   
In U.S. offices$34
$54
$88
In offices outside the U.S.(4)
41
47
88
Total$75
$101
$176
Short-term borrowings   
In U.S. offices$39
$260
$299
In offices outside the U.S.(4)
57
63
120
Total$96
$323
$419
Long-term debt   
In U.S. offices$255
$707
$962
In offices outside the U.S.(4)
(55)12
(43)
Total$200
$719
$919
Total interest expense$470
$2,277
$2,747
Net interest revenue$547
$(1,007)$(460)
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. Federalfederal statutory tax raterates of 35%21% in 2019 and 2018 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)
DetailedChanges in average volume, rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction ofInterest revenue. Interest revenue and Interest expense exclude Discontinued operations. on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(4)(5)Includes cash-basis loans.
(6)
Includes Brokerage receivables.



Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3)
 Six Months 2019 vs. Six Months 2018
 
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Deposits   
In U.S. offices$286
$892
$1,178
In offices outside the U.S.(3)
159
733
892
Total$445
$1,625
$2,070
Securities loaned or sold under agreements to repurchase   
In U.S. offices$165
$691
$856
In offices outside the U.S.(3)
97
187
284
Total$262
$878
$1,140
Trading account liabilities(4)
   
In U.S. offices$24
$120
$144
In offices outside the U.S.(3)
(7)59
52
Total$17
$179
$196
Short-term borrowings(5)
   
In U.S. offices$(72)$445
$373
In offices outside the U.S.(3)
(5)5
—
Total$(77)$450
$373
Long-term debt   
In U.S. offices$(69)$337
$268
In offices outside the U.S.(3)
6
(19)(13)
Total$(63)$318
$255
Total interest expense$584
$3,450
$4,034
Net interest revenue$252
$606
$858
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rates of 21% in 2019 and 2018 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)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.


(5)(4)
Interest expense on Trading account liabilities ofICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assetsand Trading account liabilities, respectively.
(6)(5)
Includes cash-basis loans.
(7)The interest expense on deposits includes the FDIC assessment and deposit insurance fees and charges of $936 million and $838 million for the nine months ended September 30, 2017 and 2016, respectively.Brokerage payables.













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 SeptemberJune 30, 2017,2019, Citi estimates that the conservative features of its VAR calibration contributecontributed an approximate 22%25% add-on (unchanged from June 30, 2017) to what would be a VAR estimated under the assumption of stable and perfectly normal distributed markets.
As of March 31, 2019, the add-on was 26%.
As set forth in the table below, Citi's average trading VAR as of September 30, 2017 decreased comparedfrom March 31, 2019 to June 30, 2017.2019. The changedecrease was mainly due to lowera decrease in exposure and a reduction in credit spread exposures and volatilitiesrisk in the marketsMarkets 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
 Third Quarter Second Quarter Third Quarter Second Quarter First Quarter Second Quarter
In millions of dollarsSeptember 30, 20172017 AverageJune 30, 20172017 AverageSeptember 30, 20162016 AverageJune 30, 20192019 AverageMarch 31, 20192019 AverageJune 30, 20182018 Average
Interest rate$63
$63
$48
$52
$30
$34
$40
$36
$32
$37
$60
$61
Credit spread43
44
52
49
73
$62
46
43
43
48
46
47
Covariance adjustment(1)
(28)(23)(15)(15)(28)(31)(24)(20)(21)(23)(25)(26)
Fully diversified interest rate and credit spread(2)
$78
$84
$85
$86
$75
$65
$62
$59
$54
$62
$81
$82
Foreign exchange26
26
23
23
16
26
29
25
15
26
29
30
Equity15
13
15
15
9
12
22
13
20
17
23
20
Commodity20
23
20
21
22
23
25
25
30
28
16
17
Covariance adjustment(1)
(64)(65)(53)(59)(53)(62)(69)(63)(66)(67)(74)(69)
Total trading VAR—all market risk factors, including general
and specific risk (excluding credit portfolios)(2)
$75
$81
$90
$86
$69
$64
$69
$59
$53
$66
$75
$80
Specific risk-only component(3)
$3
$2
$1
$1
$7
$6
$2
$2
$2
$3
$2
$3
Total trading VAR—general market risk factors only
(excluding credit portfolios)
$72
$79
$89
$85
$62
$58
$67
$57
$51
$63
$73
$77
Incremental impact of the credit portfolio(5)(4)
$8
$8
$5
$10
$21
$21
$7
$10
$14
$15
$16
$10
Total trading and credit portfolio VAR$83
$89
$95
$96
$90
$85
$76
$69
$67
$81
$91
$90


(1)Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each individual risk type. The benefit reflects the fact that the risks within each and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each individual risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.
(2)
The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG,with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.
(3)The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.
(4)
The credit portfolio is composed of mark-to-market positions associated with non-trading business units including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination in ICG.
(5)The decrease in the third quarter of 2017 end-of-period and average VAR attributable to the incremental impact of the credit portfolio year-over-year 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:
Third QuarterSecond QuarterThird QuarterSecond QuarterFirst QuarterSecond Quarter
201720172016201920192018
In millions of dollarsLowHighLowHighLowHighLowHighLowHighLowHigh
Interest rate$33
$97
$33
$72
$27
$47
$27
$47
$30
$58
$38
$91
Credit spread38
52
47
53
55
73
39
48
41
55
43
52
Fully diversified interest rate and credit spread$59
$108
$67
$107
$59
$75
$49
$72
$51
$89
$59
$118
Foreign exchange19
38
17
28
15
46
20
32
15
34
20
44
Equity8
18
10
24
6
22
7
22
10
29
15
26
Commodity14
31
14
30
19
31
20
33
19
43
13
22
Total trading$58
$106
$67
$116
$53
$72
$46
$69
$53
$87
$57
$120
Total trading and credit portfolio67
112
78
123
72
97
59
77
62
103
69
123
Note: No covariance adjustment can be inferred from the above table as the high and low for each market factor will be from different close-of-business dates.


The following table provides the VAR for ICG, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio:
In millions of dollarsSept. 30, 2017Jun. 30, 2019
Total—all market risk factors, including
general and specific risk
$73
 
Average—during quarter$80
$58
High—during quarter107
68
Low—during quarter57
46


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 SeptemberJune 30, 2017,2019, there was onewere no back-testing exceptionexceptions 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.





COUNTRYSTRATEGIC RISK

For additional information on countrystrategic risk at Citi, see “Country“Strategic Risk” in Citi’s 20162018 Annual Report on Form 10-K.


Country Risk

Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by
country (excluding the U.S.) as of SeptemberJune 30, 2017.2019. The total exposure as of June 30, 2019 to the top 25 countries disclosed below, in combination with the U.S., would represent approximately 95% of Citi’s exposure to all countries. For
purposes of the table, loan amounts are reflected in the country
where the loan is booked, which is generally based on the
domicile of the borrower. For example, a loan to a Chinese
subsidiary of a Switzerland-based corporation will generally
be categorized as a loan in China. In addition, Citi has
developed regional booking centers in certain countries, most
significantly in the United Kingdom (U.K.) and Ireland, in
order to more efficiently serve its corporate customers. As an
example, with respect to the U.K., only 24%29% of corporate
loans presented in the table below are to U.K. domiciled
entities (24%(29% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 80%85% of the total U.K. funded loans and 90% of
the total U.K. unfunded commitments were investment grade
as of SeptemberJune 30, 2017.2019. Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.
For a discussion of uncertainties arising as a result of the voteadditional information on strategic risk at Citi, see “Strategic Risk” in the U.K. to withdraw from the EU, see “Risk Factors—Strategic Risks” in Citigroup’s 2016Citi’s 2018 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
3Q17
Total
as of
2Q17
Total
as of
4Q16
ICG
loans(1)
GCB loans
Other funded(2)
Unfunded(3)
Net MTM on derivatives/repos(4)
Total hedges (on loans and CVA)
Investment securities(5)
Trading account assets(6)
Total
as of
2Q19
Total
as of
1Q19
Total
as of
2Q18
Total as a % of Citi as of 2Q19
United Kingdom$35.0
$—
$3.5
$55.2
$10.6
$(2.5)$7.3
$1.1
$110.2
$111.8
$107.5
$42.4
$—
$10.3
$55.2
$11.0
$(4.4)$5.6
$(2.4)$117.7
$122.3
$125.8
7.2%
Mexico8.9
26.6
0.4
6.8
0.7
(0.7)13.7
6.4
62.8
61.3
52.4
10.3
25.8
0.3
8.4
1.2
(0.7)14.9
6.6
66.8
63.4
60.2
4.1
Hong Kong17.8
14.0
0.7
7.3
1.4
(0.4)7.5
1.2
49.5
50.3
45.1
3.0
Singapore14.9
12.0
0.2
5.9
0.9
(0.3)9.7
0.5
43.8
41.2
36.4
13.2
13.2
0.2
4.8
1.0
(0.1)8.7
1.7
42.7
41.0
41.2
2.6
Hong Kong15.4
10.8
1.2
6.1
1.1
(0.5)5.4
1.3
40.8
39.7
35.9
Ireland13.4
—
0.5
18.1
0.3
—
—
0.6
32.9
33.5
31.3
2.0
Korea2.3
18.8
0.3
3.2
2.3
(0.9)6.7
1.5
34.2
35.1
34.0
1.7
17.7
0.2
2.5
1.1
(0.4)8.0
0.8
31.6
33.7
35.0
1.9
Ireland11.5
—
0.7
15.3
0.5
—
—
0.8
28.8
28.9
24.8
India7.0
6.6
0.6
4.7
1.5
(1.1)8.3
1.1
28.7
33.4
30.9
4.3
7.3
1.0
5.6
1.9
(0.6)9.9
1.9
31.3
32.0
27.6
1.9
Brazil(2)
12.6
1.8
—
3.7
5.4
(2.0)3.3
3.2
28.0
27.3
28.5
12.3
—
—
3.5
3.9
(1.0)4.2
3.5
26.4
26.8
24.4
1.6
Australia4.6
10.9
—
5.7
2.2
(0.8)4.0
0.4
27.0
23.7
22.4
4.8
9.9
—
6.7
1.2
(0.4)1.5
(1.9)21.8
22.9
23.2
1.3
China7.7
4.6
0.3
1.7
2.6
(1.0)4.0
0.9
20.8
19.4
17.2
Japan2.4
0.1
0.1
2.7
5.4
(1.2)4.6
4.7
18.8
18.6
18.3
2.7
—
0.1
2.5
4.5
(1.6)6.2
4.6
19.0
14.4
15.9
1.2
Germany0.1
—
—
4.2
4.7
(2.1)9.5
2.2
18.6
19.5
16.0
0.8
—
—
6.2
2.4
(3.3)8.8
3.9
18.8
22.2
16.8
1.2
China6.1
4.7
0.4
1.8
1.1
(0.4)4.3
0.3
18.3
17.4
19.5
1.1
Taiwan5.0
8.8
0.1
1.1
0.9
(0.2)1.4
1.4
18.5
18.4
16.6
5.0
8.8
0.1
1.0
0.3
(0.1)0.8
1.7
17.6
17.6
19.0
1.1
Canada2.0
0.7
0.6
6.8
1.9
(0.7)4.7
—
16.0
16.3
17.0
2.3
0.7
0.4
7.5
2.3
(0.4)2.9
0.7
16.4
15.3
15.8
1.0
Poland3.3
1.9
—
3.1
0.1
(0.3)5.2
0.3
13.6
13.1
11.8
3.7
2.0
0.1
3.3
0.2
(0.1)5.1
1.0
15.3
15.3
13.0
0.9
Jersey7.2
—
0.1
5.5
—
—
—
—
12.8
9.9
10.0
0.8
United Arab Emirates6.9
1.4
0.1
3.1
0.4
(0.1)—
—
11.8
12.4
10.2
0.7
Malaysia1.4
4.6
0.3
1.6
0.1
(0.1)0.9
0.3
9.1
9.0
9.3
1.8
4.5
0.2
1.0
0.1
(0.1)1.7
0.5
9.7
10.0
9.7
0.6
Thailand0.9
2.1
0.1
2.1
0.1
—
1.1
0.6
7.0
7.0
5.8
0.8
2.6
0.2
1.7
0.1
—
1.9
1.2
8.5
6.8
6.9
0.5
United Arab Emirates3.1
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
2.3
1.0
0.1
1.4
0.1
(0.1)1.2
0.2
6.2
6.1
6.2
0.4
Luxembourg0.1
—
—
—
0.6
(0.3)5.2
0.5
6.1
5.8
5.4
Italy0.3
—
—
2.1
4.6
(1.5)—
0.6
6.1
2.6
3.2
0.4
Russia2.1
1.0
—
1.0
0.2
(0.2)0.8
0.1
5.0
4.7
5.3
1.9
0.9
—
0.8
0.7
(0.1)0.9
0.3
5.4
4.7
4.6
0.3
Colombia(2)
1.9
1.6
—
1.0
0.3
(0.1)0.3
(0.1)4.9
5.3
5.6
Jersey2.9
—
—
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
Philippines0.7
1.4
—
0.5
0.2
—
1.9
0.5
5.2
5.9
5.2
0.3
South Africa1.5
—
—
1.0
0.7
(0.3)1.4
—
4.3
3.9
3.9
1.4
—
0.1
0.7
0.3
(0.1)1.6
0.1
4.1
3.9
5.3
0.3
Czech Republic0.9
—
—
0.7
2.4
—
—
—
4.0
3.3
2.2
0.2
Total as a % of Citi’s Total ExposureTotal as a % of Citi’s Total Exposure  36.6%
Total as a % of Citi’s non-U.S. Total ExposureTotal as a % of Citi’s non-U.S. Total Exposure  90.4%


(1)
ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of SeptemberJune 30, 2017,2019, private bank loans in the table above totaled $23.3$27.8 billion, concentrated in Singapore ($7.2 billion), Hong Kong ($6.58.9 billion), Singapore ($7.0 billion) and the U.K. ($5.46.7 billion).                     


(2)
GCB loans 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,HFS, other loans in Corporate/Other and investments accounted for under the equity method.                                        


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




Venezuela
Citi continues to monitor the political and economic environment and uncertainties in Venezuela. As of June 30, 2019, Citi’s net investment in its on-shore Venezuelan operations was approximately $40 million.

Potential Exit of U.K. from EU
As widely reported, the U.K. and EU agreed to extend the U.K.’s scheduled exit from the EU to October 31, 2019. For additional information regarding the U.K’s potential exit from the EU, see “Risk Factors—Strategic Risk” and “Strategic Risk—Potential Exit of U.K. from EU” in Citi’s 2018 Annual Report on Form 10-K.



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 NoteNotes 1 and 9 to the Consolidated Financial Statements in Citi’s 20162018 Annual Report on Form 10-K.
At SeptemberJune 30, 2017,2019, Citigroup had recorded net DTAs of approximately $45.5$22.3 billion, a decrease of $0.3$0.5 billion from June 30, 2017March 31, 2019 and $1.2a decrease of $0.6 billion from December 31, 2016.2018. The DTA reductionsdecrease for the three and nine months ended September 30, 2017 werequarter was primarily driven by gains in Other comprehensive income and taxable earnings.
The following table below summarizes Citi’s net DTAs balance. balance:
Jurisdiction/ComponentDTAs balance
In billions of dollarsJune 30,
2019		December 31, 2018
Total U.S.$20.4
$20.7
Total foreign1.9
2.2
Total$22.3
$22.9

Of Citi’s total net DTAs of $22.3 billion as of SeptemberJune 30, 2017, those arising from2019, $10.4 billion (primarily relating to net operating losses, foreign tax creditcredits and general business credit carry-forwards, are 100%which Citi reduced by $0.2 billion in the current quarter) was deducted in calculating Citi’s regulatory capital, whilecapital. Net DTAs arisingresulting from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above). Approximately $17.6For the quarter ended June 30, 2019, Citi did not have any such DTAs. Accordingly, the remaining $11.9 billion of the net DTADTAs as of June 30, 2019 was not deducted in calculating regulatory capital pursuant to full Basel III implementation standards as of September 30, 2017.and was appropriately risk weighted under those rules.
Jurisdiction/ComponentDTAs balance
In billions of dollarsSept. 30, 2017Dec. 31, 2016
Total U.S.$43.2
$44.6
Total foreign2.3
2.1
Total$45.5
$46.7





Effective Tax Rate
Citi’s effective tax rate for the thirdsecond quarter of 20172019 was 31.1%22.3%, compared to 24.3% in the prior-year period. The tax rate for the remainder of the year is expected to be between 22% and 23%.







FUTURE APPLICATION OF ACCOUNTING STANDARDS

Accounting for Financial Instruments—Credit Losses
In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses(Topic 326). The ASU introduces a new credit loss methodology, the Current Expected Credit Losses (CECL) methodology, which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities and other receivables measured at amortized cost at the time the financial asset is originated or acquired. The allowance for credit losses is adjusted each period for changes in expected lifetime credit losses. This methodology replaces the multiple existing impairment methods in current GAAP, which generally require that a loss be incurred before it is recognized. Within the life cycle of a loan or other financial asset, the ASU will generally result in the earlier recognition of the provision for credit losses and the related allowance for credit losses than current practice. For available-for-sale debt securities that Citi intends to hold and where fair value is less than cost, credit-related impairment, if any, will be recognized through an allowance for credit losses and adjusted each period for changes in credit risk.
The CECL methodology represents a significant change from existing GAAP and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the ASU will, among other things, depend upon the state of the economy, forecasted macroeconomic conditions and Citi’s portfolios at the date of adoption. Based on a preliminary analysis performed in the second quarter of 2019 and forecasts of macroeconomic conditions and exposures at that time, the overall impact is estimated to be an approximate 20% to 30% increase in expected credit loss reserves. The ASU will be effective for Citi as comparedof January 1, 2020. This increase would be reflected as a decrease to opening Retained earnings, net of income taxes, at January 1, 2020.
Implementation efforts have been underway, including model development and validation, fulfillment of additional data needs for new disclosures and reporting requirements, and drafting of accounting policies. Substantial progress has been made in model development. Model validations and user acceptance testing commenced in the first quarter of 2019, with 30.8%parallel runs to begin in the third quarter of 2016.2019. The Company intends to utilize a single macroeconomic scenario in estimating expected credit losses. Reasonable and supportable forecast periods and methods to revert to historical averages to arrive at lifetime expected credit losses vary by product.

For additional information on regulatory capital treatment, see “Capital Resources—Regulatory Capital


Standards Developments-Regulatory Capital Treatment—Implementation and Transition of the Current Expected Credit
Losses (CECL) Methodology” in Citi’s 2018 Annual Report on Form 10-K.

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

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






DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of SeptemberJune 30, 20172019 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 and second quartersquarter of 2017 in the First Quarter of 2017 Form 10-Q and Second Quarter Form 10-Q, respectively.2019.
During the thirdsecond quarter of 2017, Bank Handlowy w Warszawie S.A.2019, and as a result of an operational error, on March 28, 2019, the Czech Republic branch of Citibank Europe plc (“CEP Czech Republic”), a Citibanknon-U.S. subsidiary located in Poland, processed three funds transfers involvingof Citigroup Inc., on behalf of its client, provided a performance bond for the Iranian Embassy in Poland.benefit of Mapna Europe GmbH (“Mapna”), an entity that appears to be majority owned by the Government of Iran. The aggregate value of  the funds transfersbond was EUR 50, EUR 50,100,670.00 (approximately $113,118.62). Mapna did not make any claims against the bond and EU 100CEP Czech Republic did not make any payments to Mapna. Citi realized CZK 106,273.59 (approximately $60.00, $60.00 and $117.00), respectively.  In addition, a branch$4,673.91) in administrative fees from its client. The transaction was voluntarily self-disclosed to the U.S. Office of Citibank N.A., located in India, processed a funds transfer involving the Iran Consulate General in India.  The total value of this payment was INR 1,368 (approximately $21.00).  These payments were for visa-related fees and Iran-related travel respectively, both of which are permissible under the travel exemption in the Iranian Transactions and Sanctions Regulations. Foreign Asset Control (OFAC) on June 10, 2019.




 















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 20162018 Annual Report on Form 10-K First Quarter of 2017 Form 10-Q and Second Quarter of 2017 Form 10-Q;other SEC filings; (ii) the factors listed and described under “Risk Factors” in Citi’s 20162018 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 2017 resolution plan submission;
the potential impact on Citi’s ability to return capital to common shareholders, consistent with its capital planning efforts and targets, due to, anyamong other things, regulatory approval, Citi’s results of operations, financial condition and effectiveness in managing its level of risk-weighted assets and GSIB surcharge, potential changes to the regulatory capital framework, the CCAR process and the results of regulatory stress testing and CCAR requirements or process,tests, such as the proposed integration of the annual stress testing requirements with ongoing regulatory capital requirements, including 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(SCB), and liquidity shocksany resulting year-to-year variability in the SCB, impact on Citi’s estimated management buffer and the impact of incorporating CECL in future stress testing process;requirements;
the ongoing regulatory and other uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, including, among others, uncertaintiessuch as potential fiscal, monetary and potentialregulatory changes arising from the U.S. presidentialPresidential 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 process to withdrawpotential exit 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 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 changes 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 movementsits ability to generate U.S. taxable income and by the provisions of and guidance issued in Citi’s AOCI, which can be impacted by changes in interest rates and foreign exchange rates;connection with Tax Reform;
the potential impact to Citi if its interpretation or application of the extensivecomplex 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 theits expected returns onresults from its ongoingcontinued investments in its businesses or meet itsand efficiency initiatives, such as revenue growth and expense savings, as part of Citi’s operational orand financial objectives orand targets, including as a result of factors that Citi cannot control;
the potential negative impact from a deterioration in or failure to maintain Citi’s co-branding andor 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,for example with Sears, due to, among other things, the general economic environment, declining sales and revenues or other operational difficulties of a particularthe retailer or merchant, or early termination of a particular relationship, or externalother factors, includingsuch as bankruptcies, liquidations, restructurings, consolidations andor other similar events;
the potential impact to Citi’s businesses, credit costs, deposits and overallrevenues or other results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties and volatilities, including, those relating toamong others, changes in U.S. trade policies and resulting retaliatory measures from other countries, including imposition of tariffs, geopolitical tensions and conflicts and the terms or conditions regarding the U.K.’s potential withdrawal from the European Union;
the various risks faced by Citi as a result of weakening economic conditions or changes in Asiagovernmental fiscal or monetary actions by central banks, such as interest rates and Latin America, economic growth ratesother policies, in the U.S. and non-U.S. jurisdictions, potential fiscal or Citi’s other monetary actions or the pursuit of protectionist trade and other policies by the U.S.;
target markets;
the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, sanctions or asset freezes, fraud,sovereign volatility, regulatory changes and political events, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyper-inflation)hyperinflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets, as well as the resulting increased compliance, regulatory and legal risks and costs;
Citi’s ability in its resolution plan submissions to address any deficiencies identified or future guidance, including resolution plan guidance, provided by the Federal Reserve Board and FDIC;


the uncertainties regarding the consequences of noncompliance and the potential impact on Citi’s performance and the performance of its individual businesses, including its competitive position and ability to effectively manage its businesses and continue to execute its strategies, if Citi is unable to attract, retain and motivate highly qualified employees;


Citi’s ability to effectively compete with U.S. and non-U.S. financial services companies and others, including as a result of emerging technologies;
the discontinuance of LIBOR or any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi;
the potential impact on Citi’s results of operations from the CECL methodology, subsequent to its initial adoption on January 1, 2020, including due to changes in estimates of its eligible debt arisingexpected credit losses resulting from Citi’s CECL models and assumptions, existing and forecasted macroeconomic conditions and the Federal Reserve Board’s final total loss-absorbing capacity (TLAC) rules;credit quality, composition and other characteristics of Citi’s loan and other applicable portfolios;
the reclassification of any foreign currency translation adjustment (CTA) components of AOCI, including related hedges and taxes, into earnings, due to the sale or substantial liquidation of any foreign entity, such as those related to Citi’s legacy operations;
the potential impact of credit risk and concentrations of risk such as market risk arising fromon Citi’s volumeresults of transactions withoperations, whether due to a default of or deterioration involving consumer, corporate or public sector counterparties in the financial services industry, on Citi’s hedging strategiesU.S. or in various countries and resultsjurisdictions globally, including as a result of operations;declines in commodity prices;
the potential impacts on Citi’s liquidity and/or costs of funding as a result of external factors, including, among others, the competitive environment for U.S. retail deposits, 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;servers, or other similar damage to Citi’s property or assets, or failures by third parties with whom Citi does business, as well as disruptions in the operations of Citi’s clients, customers or other third parties;
the increasing risk of continually evolving, sophisticated cybersecurity risksactivities faced by financial institutions and others, including Citi and others (suchthird parties with whom it does business, such as, theft of funds oramong other things, theft, loss, misuse or disclosure of confidential or proprietary client, customer corporate or networkcorporate information or assets and other attempts by unauthorized parties to disrupta disruption of computer andor network systems),systems, and the potential impact from such risks, including, among others, reputational damage, with clients, customers and others, lostregulatory penalties, loss of revenues, additional costs (including credit, remediation and other costs), regulatory penalties, legal exposure to litigation 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’s results of operations and/or regulatory capital and capital ratios if Citi’s risk management and mitigation processes, strategies or models, including those related to its ability to manage and aggregate data, are deficient or ineffective, require refinement, modification or enhancement or any related approval is withdrawn by Citi’s U.S. banking regulators;
the potential impact to Citi of ongoing implementation and interpretation of regulatory changes and requirements in the U.S. and globally, such asincluding on Citi’s compliance risks and costs, including reputational and legal risks as well as the impact of any remediation and other financial costs, such as penalties and fines; and
the potential outcomes of the extensive legal and regulatory proceedings, as well as regulatory examinations, investigations and other inquiries, to which Citi is or may be subject at any given time, particularly given the increased focus on conduct and controls risk and the severity of the remedies sought and potential collateral consequences to Citi arising from such outcomes;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;
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; 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 NineSix Months Ended SeptemberJune 30, 20172019
 and 20162018
9378
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three and NineSix Months Ended September
    June 30, 20172019 and 20162018
9479
Consolidated Balance Sheet—SeptemberJune 30, 20172019 (Unaudited) and December 31, 20162018
9580
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the NineThree and Six Months Ended SeptemberJune 30, 20172019 and 20162018
9782
Consolidated Statement of Cash Flows (Unaudited)—
For the NineSix Months Ended SeptemberJune 30, 20172019 and 20162018
9983


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) 
Note 1—Basis of Presentation and Accounting Changes
10185
Note 2—Discontinued Operations and Significant Disposals
10486
Note 3—Business Segments
10687
Note 4—Interest Revenue and Expense
10788
Note 5—Commissions and Fees; Administration and Other
                 Fiduciary Fees
10889
Note 6—Principal Transactions
10891
Note 7—Incentive Plans
10992
Note 8—Retirement Benefits
10992
Note 9—Earnings per Share
11497
Note 10—Federal Funds, Securities Borrowed, Loaned and

Subject to Repurchase Agreements
11598
Note 11—Brokerage Receivables and Brokerage Payables
118101
Note 12—Investments
119102
 




  
Note 13—Loans
131116
Note 14—Allowance for Credit Losses
144128
Note 15—Goodwill and Intangible Assets
146130
Note 16—Debt
148132
Note 17—Changes in Accumulated Other Comprehensive

Income (Loss) (AOCI)
149133
Note 18—Securitizations and Variable Interest Entities
155139
Note 19—Derivatives Activities
163147
Note 20—Fair Value Measurement
173158
Note 21—Fair Value Elections
192177
Note 22—Guarantees, Leases and Commitments
196181
Note 23—Contingencies
201186
Note 24—Condensed Consolidating Financial Statements
203188








CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) Citigroup Inc. and Subsidiaries
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars, except per share amounts2019201820192018
Revenues   
 
Interest revenue$19,712
$17,550
$38,788
$33,882
Interest expense7,762
5,885
15,079
11,045
Net interest revenue$11,950
$11,665
$23,709
$22,837
Commissions and fees$2,881
$3,111
$5,807
$6,141
Principal transactions1,874
2,126
4,678
5,368
Administration and other fiduciary fees869
934
1,708
1,839
Realized gains on sales of investments, net468
102
598
272
Impairment losses on investments    
Gross impairment losses(5)(15)(13)(43)
Net impairment losses recognized in earnings$(5)$(15)$(13)$(43)
Other revenue$721
$546
$847
$927
Total non-interest revenues$6,808
$6,804
$13,625
$14,504
Total revenues, net of interest expense$18,758
$18,469
$37,334
$37,341
Provisions for credit losses and for benefits and claims   
 
Provision for loan losses$2,089
$1,795
$4,033
$3,598
Policyholder benefits and claims19
21
31
47
Provision for unfunded lending commitments(15)(4)9
24
Total provisions for credit losses and for benefits and claims$2,093
$1,812
$4,073
$3,669
Operating expenses   
 
Compensation and benefits$5,381
$5,452
$11,039
$11,259
Premises and equipment569
570
1,133
1,163
Technology/communication1,724
1,797
3,444
3,555
Advertising and marketing434
411
793
792
Other operating2,392
2,482
4,675
4,868
Total operating expenses$10,500
$10,712
$21,084
$21,637
Income from continuing operations before income taxes$6,165
$5,945
$12,177
$12,035
Provision for income taxes1,373
1,444
2,648
2,885
Income from continuing operations$4,792
$4,501
$9,529
$9,150
Discontinued operations   
 
Loss from discontinued operations$(10)$(2)$(12)$(9)
Benefit for income taxes(27)(17)(27)(17)
Income from discontinued operations, net of taxes$17
$15
$15
$8
Net income before attribution of noncontrolling interests$4,809
$4,516
$9,544
$9,158
Noncontrolling interests10
26
35
48
Citigroup’s net income$4,799
$4,490
$9,509
$9,110
Basic earnings per share(1)
   
 
Income from continuing operations$1.94
$1.62
$3.81
$3.30
Income from discontinued operations, net of taxes0.01
0.01
0.01
0.01
Net income$1.95
$1.63
$3.82
$3.31
Weighted average common shares outstanding (in millions)
2,286.1
2,530.9
2,313.2
2,546.2
Diluted earnings per share(1)
   
 
Income from continuing operations$1.94
$1.62
$3.81
$3.30
Income (loss) from discontinued operations, net of taxes0.01
0.01
0.01
0.01
Net income$1.95
$1.63
$3.82
$3.31
Adjusted weighted average common shares outstanding
  (in millions)
2,289.0
2,532.3
2,315.7
2,547.6
 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars, except per share amounts2017201620172016
Revenues   
 
Interest revenue$15,821
$14,653
$45,445
$43,176
Interest expense4,379
3,174
11,981
9,234
Net interest revenue$11,442
$11,479
$33,464
$33,942
Commissions and fees$2,931
$2,644
$8,627
$7,832
Principal transactions2,170
2,238
7,754
5,894
Administration and other fiduciary fees1,010
862
2,906
2,551
Realized gains on sales of investments, net213
287
626
673
Other-than-temporary impairment losses on investments   
 
Gross impairment losses(15)(32)(47)(615)
Less: Impairments recognized in AOCI—
—
—
—
Net impairment losses recognized in earnings$(15)$(32)$(47)$(615)
Insurance premiums$166
$184
$491
$665
Other revenue256
98
373
1,921
Total non-interest revenues$6,731
$6,281
$20,730
$18,921
Total revenues, net of interest expense$18,173
$17,760
$54,194
$52,863
Provisions for credit losses and for benefits and claims   
 
Provision for loan losses$2,146
$1,746
$5,487
$5,022
Policyholder benefits and claims28
35
81
172
Release for unfunded lending commitments(175)(45)(190)(4)
Total provisions for credit losses and for benefits and claims$1,999
$1,736
$5,378
$5,190
Operating expenses   
 
Compensation and benefits$5,304
$5,203
$16,301
$15,988
Premises and equipment608
624
1,832
1,917
Technology/communication1,759
1,694
5,108
5,000
Advertising and marketing417
403
1,222
1,226
Other operating2,083
2,480
6,691
7,165
Total operating expenses$10,171
$10,404
$31,154
$31,296
Income from continuing operations before income taxes$6,003
$5,620
$17,662
$16,377
Provision for income taxes1,866
1,733
5,524
4,935
Income from continuing operations$4,137
$3,887
$12,138
$11,442
Discontinued operations   
 
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$4,132
$3,857
$12,136
$11,387
Noncontrolling interests(1)17
41
48
Citigroup’s net income$4,133
$3,840
$12,095
$11,339
Basic earnings per share(1)
   
 
Income from continuing operations$1.42
$1.25
$4.05
$3.60
Income (loss) from discontinued operations, net of taxes—
(0.01)—
(0.02)
Net income$1.42
$1.24
$4.05
$3.58
Weighted average common shares outstanding2,683.6
2,879.9
2,729.3
2,912.9


Diluted earnings per share(1)
   
 
Income from continuing operations$1.42
$1.25
$4.05
$3.60
Income (loss) from discontinued operations, net of taxes—
(0.01)—
(0.02)
Net income$1.42
$1.24
$4.05
$3.58
Adjusted weighted average common shares outstanding2,683.7
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,
In millions of dollars2019201820192018
Citigroup’s net income$4,799
$4,490
$9,509
$9,110
Add: Citigroup's other comprehensive income   
  
Net change in unrealized gains and losses on debt securities, net of taxes(1)
$703
$(498)$1,838
$(1,556)
Net change in debt valuation adjustment (DVA), net of taxes(1)
3
318
(568)446
Net change in cash flow hedges, net of taxes517
(101)803
(323)
Benefit plans liability adjustment, net of taxes(253)301
(317)389
Net change in foreign currency translation adjustment, net of taxes and hedges91
(2,867)149
(1,747)
Net change in excluded component of fair value hedges, net of taxes44
(28)62
(32)
Citigroup’s total other comprehensive income$1,105
$(2,875)$1,967
$(2,823)
Citigroup’s total comprehensive income$5,904
$1,615
$11,476
$6,287
Add: Other comprehensive income (loss) attributable to
  noncontrolling interests
$20
$(57)$7
$(43)
Add: Net income attributable to noncontrolling interests10
26
35
48
Total comprehensive income$5,934
$1,584
$11,518
$6,292
 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Citigroup’s net income$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)
$(66)$(432)$127
$2,529
Net change in debt valuation adjustment (DVA), net of taxes(1)
(123)(200)(267)5
Net change in cash flow hedges, net of taxes8
(83)123
385
Benefit plans liability adjustment, net of taxes(29)12
(176)(480)
Net change in foreign currency translation adjustment, net of taxes and hedges218
(375)2,179
(273)
Citigroup’s total other comprehensive income$8
$(1,078)$1,986
$2,166
Citigroup’s total comprehensive income$4,141
$2,762
$14,081
$13,505
Add: Other comprehensive income attributable to noncontrolling interests$12
$10
$82
$(13)
Add: Net income attributable to noncontrolling interests(1)17
41
48
Total comprehensive income$4,152
$2,789
$14,204
$13,540

(1)See Note 1 to the Consolidated Financial Statements.Statements in Citi’s 2018 Annual Report on Form 10-K.



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






CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries
September 30, June 30, 
2017December 31,2019December 31,
In millions of dollars(Unaudited)2016(Unaudited)2018
Assets 
 
 
 
Cash and due from banks (including segregated cash and other deposits)$22,604
$23,043
$24,997
$23,645
Deposits with banks163,505
137,451
178,246
164,460
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
Securities borrowed and purchased under agreements to resell (including $178,108 and $147,701 as of June 30, 2019 and December 31, 2018, respectively, at fair value)259,769
270,684
Brokerage receivables38,076
28,887
50,027
35,450
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
Trading account assets (including $132,781 and $112,932 pledged to creditors at June 30, 2019 and December 31, 2018, respectively)306,831
256,117
Investments:  
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
Available-for-sale debt securities (including $10,488 and $9,289 pledged to creditors as of June 30, 2019 and December 31, 2018, respectively)273,435
288,038
Held-to-maturity debt securities (including $1,521 and $971 pledged to creditors as of June 30, 2019 and December 31, 2018, respectively)68,693
63,357
Equity securities (including $1,273 and $1,109 at fair value as of June 30, 2019 and December 31, 2018, respectively)7,574
7,212
Total investments$354,674
$353,304
$349,702
$358,607
Loans: 
 
 
 
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
Consumer (including $20 and $20 as of June 30, 2019 and December 31, 2018, respectively, at fair value)325,995
330,487
Corporate (including $3,804 and $3,203 as of June 30, 2019 and December 31, 2018, respectively, at fair value)362,675
353,709
Loans, net of unearned income$653,183
$624,369
$688,670
$684,196
Allowance for loan losses(12,366)(12,060)(12,466)(12,315)
Total loans, net$640,817
$612,309
$676,204
$671,881
Goodwill22,345
21,659
22,065
22,046
Intangible assets (other than MSRs)4,732
5,114
Mortgage servicing rights (MSRs)553
1,564
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
Intangible assets (including MSRs of $508 and $584 as of June 30, 2019 and December 31, 2018, at fair value)5,026
5,220
Other assets (including $22,597 and $20,788 as of June 30, 2019 and December 31, 2018, respectively, at fair value)115,359
109,273
Total assets$1,889,133
$1,792,077
$1,988,226
$1,917,383


The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
September 30, June 30, 
2017December 31,2019December 31,
In millions of dollars(Unaudited)2016(Unaudited)2018
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
 
 
Cash and due from banks$107
$142
$127
$270
Trading account assets1,437
602
1,255
917
Investments2,584
3,636
1,617
1,796
Loans, net of unearned income 
 
  
Consumer52,521
53,401
46,124
49,403
Corporate19,908
20,121
16,940
19,259
Loans, net of unearned income$72,429
$73,522
$63,064
$68,662
Allowance for loan losses(1,943)(1,769)(1,833)(1,852)
Total loans, net$70,486
$71,753
$61,231
$66,810
Other assets142
158
120
151
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$74,756
$76,291
$64,350
$69,944
Statement continues on the next page.



CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
(Continued)
September 30, June 30, 
2017December 31,2019December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2016(Unaudited)2018
Liabilities 
 
 
 
Non-interest-bearing deposits in U.S. offices$127,220
$136,698
$95,659
$105,836
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
Interest-bearing deposits in U.S. offices (including $1,634 and $717 as of June 30, 2019 and December 31, 2018, respectively, at fair value)382,738
361,573
Non-interest-bearing deposits in offices outside the U.S.84,178
77,616
82,750
80,648
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
Interest-bearing deposits in offices outside the U.S. (including $1,005 and $758 as of June 30, 2019 and December 31, 2018, respectively, at fair value)484,460
465,113
Total deposits$964,038
$929,406
$1,045,607
$1,013,170
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
Securities loaned and sold under agreements to repurchase (including $45,137 and $44,510 as of June 30, 2019 and December 31, 2018, respectively, at fair value)181,133
177,768
Brokerage payables63,205
57,152
69,839
64,571
Trading account liabilities138,820
139,045
136,294
144,305
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
Short-term borrowings (including $5,291 and $4,483 as of June 30, 2019 and December 31, 2018, respectively, at fair value)42,442
32,346
Long-term debt (including $49,488 and $38,229 as of June 30, 2019 and December 31, 2018, respectively, at fair value)252,189
231,999
Other liabilities (including $16,799 and $15,906 as of June 30, 2019 and December 31, 2018, respectively, at fair value)62,612
56,150
Total liabilities$1,660,511
$1,565,934
$1,790,116
$1,720,309
Stockholders’ equity 
 
 
 
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
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of June 30, 2019— 719,200 and as of December 31, 2018—738,400, at aggregate liquidation value
$17,980
$18,460
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of June 30, 2019—3,099,602,856 and as of December 31, 2018—3,099,567,177
31
31
Additional paid-in capital107,896
108,042
107,657
107,922
Retained earnings155,174
146,477
158,321
151,347
Treasury stock, at cost: September 30, 2017—455,521,274 shares and December 31, 2016—327,090,192 shares
(24,829)(16,302)
Treasury stock, at cost: June 30, 2019—840,546,390 shares and
December 31, 2018—731,099,833 shares
(51,427)(44,370)
Accumulated other comprehensive income (loss) (AOCI)(29,891)(32,381)(35,203)(37,170)
Total Citigroup stockholders’ equity$227,634
$225,120
$197,359
$196,220
Noncontrolling interest988
1,023
751
854
Total equity$228,622
$226,143
$198,110
$197,074
Total liabilities and equity$1,889,133
$1,792,077
$1,988,226
$1,917,383


The following table presents certain liabilities of consolidated VIEs, which are included in the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
September 30, June 30, 
2017December 31,2019December 31,
In millions of dollars(Unaudited)2016(Unaudited)2018
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup
 
 
 
 
Short-term borrowings$10,166
$10,697
$12,865
$13,134
Long-term debt28,666
23,919
25,877
28,514
Other liabilities396
1,275
820
697
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup
$39,228
$35,891
$39,562
$42,345
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.




CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY Citigroup Inc. and Subsidiaries
(UNAUDITED)  
Nine Months Ended September 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars, except shares in thousands20172016
In millions of dollars2019201820192018
Preferred stock at aggregate liquidation value 
 
   
 
Balance, beginning of period$19,253
$16,718
$17,980
$19,156
$18,460
$19,253
Issuance of new preferred stock—
2,535
Redemption of preferred stock—
(121)(480)(218)
Balance, end of period$19,253
$19,253
$17,980
$19,035
$17,980
$19,035
Common stock and additional paid-in capital 
 
   
 
Balance, beginning of period$108,073
$108,319
$107,582
$107,630
$107,953
$108,039
Employee benefit plans(137)(371)112
120
(270)(285)
Preferred stock issuance expense—
(37)
Other(9)(5)(6)5
5
1
Balance, end of period$107,927
$107,906
$107,688
$107,755
$107,688
$107,755
Retained earnings 
 
   
 
Balance, beginning of period$146,477
$133,841
$154,859
$141,863
$151,347
$138,425
Adjustment to opening balance, net of taxes(1)
(660)15
—
—
151
(84)
Adjusted balance, beginning of period$145,817
$133,856
$154,859
$141,863
$151,498
$138,341
Citigroup’s net income12,095
11,339
4,799
4,490
9,509
9,110
Common dividends(2)
(1,755)(760)(1,041)(824)(2,116)(1,650)
Preferred dividends(893)(757)(296)(318)(558)(590)
Other(3)
(90)—
—
—
(12)—
Balance, end of period$155,174
$143,678
$158,321
$145,211
$158,321
$145,211
Treasury stock, at cost 
 
   
 
Balance, beginning of period$(16,302)$(7,677)$(47,861)$(32,115)$(44,370)$(30,309)
Employee benefit plans(4)
526
775
9
2
573
471
Treasury stock acquired(5)
(9,053)(5,167)(3,575)(2,300)(7,630)(4,575)
Balance, end of period$(24,829)$(12,069)$(51,427)$(34,413)$(51,427)$(34,413)
Citigroup’s accumulated other comprehensive income (loss) 
 
   
 
Balance, beginning of period$(32,381)$(29,344)$(36,308)$(34,619)$(37,170)$(34,668)
Adjustment to opening balance, net of taxes(1)
504
(15)
Adjustment to opening balance, net of taxes—
—
—
(3)
Adjusted balance, beginning of period$(31,877)$(29,359)$(36,308)$(34,619)$(37,170)$(34,671)
Citigroup’s total other comprehensive income (loss)1,986
2,166
Citigroup’s total other comprehensive income1,105
(2,875)1,967
(2,823)
Balance, end of period$(29,891)$(27,193)$(35,203)$(37,494)$(35,203)$(37,494)
Total Citigroup common stockholders’ equity$208,381
$212,322
$179,379
$181,059
$179,379
$181,059
Total Citigroup stockholders’ equity$227,634
$231,575
$197,359
$200,094
$197,359
$200,094
Noncontrolling interests 
 
   
 
Balance, beginning of period$1,023
$1,235
$763
$951
$854
$932
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary(3)(11)
Transactions between Citigroup and the noncontrolling-interest shareholders(50)(69)—
(1)(99)(16)
Net income attributable to noncontrolling-interest shareholders41
48
10
26
35
48
Dividends paid to noncontrolling-interest shareholders(44)(42)
Distributions paid to noncontrolling-interest shareholders(33)(36)(37)(36)
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
82
(13)20
(57)7
(43)
Other(61)(33)(9)(9)(9)(11)
Net change in noncontrolling interests$(35)$(120)$(12)$(77)$(103)$(58)
Balance, end of period$988
$1,115
$751
$874
$751
$874
Total equity$228,622
$232,690
$198,110
$200,968
$198,110
$200,968


(1)See Note 1 to the Consolidated Financial Statements for additional details.
(2)Common dividends declared were $0.16$0.45 per share in the first and second quarters of 2019 and $0.32 per share in the third quarter of 2017. Common dividends declared were $0.05 per share infor the first and second quarters and $0.16 per share in the third quarter of 2016.2018.
(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 nine months ended September 30, 2017 and 2016, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.

(5)Primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.




CONSOLIDATED STATEMENT OF CASH FLOWS Citigroup Inc. and Subsidiaries
(UNAUDITED)  
Nine Months Ended September 30,Six Months Ended June 30,
In millions of dollars2017201620192018
Cash flows from operating activities of continuing operations 
 
 
 
Net income before attribution of noncontrolling interests$12,136
$11,387
$9,544
$9,158
Net income attributable to noncontrolling interests41
48
35
48
Citigroup’s net income$12,095
$11,339
$9,509
$9,110
Loss from discontinued operations, net of taxes(2)(55)
Income from discontinued operations, net of taxes15
8
Income from continuing operations—excluding noncontrolling interests$12,097
$11,394
$9,494
$9,102
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
 
Net gains on significant disposals(1)
(602)(422)
Depreciation and amortization2,717
2,714
1,883
1,855
Provision for loan losses5,487
5,022
4,033
3,598
Realized gains from sales of investments(626)(673)(598)(272)
Net impairment losses on investments, goodwill and intangible assets75
616
13
43
Change in trading account assets(15,077)(13,396)(50,776)(10,235)
Change in trading account liabilities(225)14,137
(8,011)15,575
Change in brokerage receivables net of brokerage payables(3,136)(230)(9,309)7,737
Change in loans held-for-sale (HFS)1,969
3,958
Change in loans HFS1,029
(147)
Change in other assets(4,501)(2,009)(5,442)(5,799)
Change in other liabilities779
1,398
6,462
(2,685)
Other, net(2,262)5,825
13,466
(10,453)
Total adjustments$(15,402)$16,940
$(47,250)$(783)
Net cash provided by (used in) operating activities of continuing operations$(3,305)$28,334
$(37,756)$8,319
Cash flows from investing activities of continuing operations 
 
 
 
Change in deposits with banks$(26,054)$(20,374)
Change in federal funds sold and securities borrowed or purchased under agreements to resell(15,795)(16,370)
Change in securities borrowed and purchased under agreements to resell$10,915
$(33,048)
Change in loans(41,569)(42,163)(7,803)(10,132)
Proceeds from sales and securitizations of loans7,019
12,676
2,249
3,217
Purchases of investments(151,362)(155,804)(118,132)(81,871)
Proceeds from sales of investments89,724
99,172
63,595
41,808
Proceeds from maturities of investments67,166
52,607
57,684
44,846
Proceeds from significant disposals(1)
3,411
265
Capital expenditures on premises and equipment and capitalized software(2,502)(2,092)(3,349)(1,690)
Proceeds from sales of premises and equipment, subsidiaries and affiliates,
and repossessed assets
292
467
Net cash used in investing activities of continuing operations$(69,670)$(71,616)
Proceeds from sales of premises and equipment, subsidiaries and affiliates
and repossessed assets
68
143
Other, net71
98
Net cash provided by (used in) investing activities of continuing operations$5,298
$(36,629)
Cash flows from financing activities of continuing operations 
 
 
 
Dividends paid$(2,639)$(1,517)$(2,650)$(2,232)
Issuance of preferred stock—
2,498
Redemption of preferred stock(480)(218)
Treasury stock acquired(9,071)(5,167)(7,518)(4,686)
Stock tendered for payment of withholding taxes(402)(313)(359)(475)
Change in federal funds purchased and securities loaned or sold under agreements to repurchase19,461
6,628
Change in securities loaned and sold under agreements to repurchase3,365
21,551
Issuance of long-term debt52,293
43,464
31,849
40,757
Payments and redemptions of long-term debt(29,785)(40,461)(18,428)(35,087)
Change in deposits34,632
32,365
32,437
36,908
Change in short-term borrowings7,448
8,448
10,096
(7,219)



CONSOLIDATED STATEMENT OF CASH FLOWSCitigroup Inc. and Subsidiaries  
(UNAUDITED) (Continued)Nine Months Ended September 30,Six Months Ended June 30,
In millions of dollars2017201620192018
Net cash provided by financing activities of continuing operations$71,937
$45,945
$48,312
$49,299
Effect of exchange rate changes on cash and cash equivalents$599
$(144)
Change in cash and due from banks$(439)$2,519
Cash and due from banks at beginning of period23,043
20,900
Cash and due from banks at end of period$22,604
$23,419
Effect of exchange rate changes on cash and due from banks$(716)$(603)
Change in cash and due from banks and deposits with banks$15,138
$20,386
Cash, due from banks and deposits with banks at beginning of period188,105
180,516
Cash, due from banks and deposits with banks at end of period$203,243
$200,902
Cash and due from banks$24,997
$21,077
Deposits with banks178,246
179,825
Cash, due from banks and deposits with banks at end of period$203,243
$200,902
Supplemental disclosure of cash flow information for continuing operations 
 
 
 
Cash paid during the period for income taxes$2,714
$2,855
$2,814
$2,239
Cash paid during the period for interest11,604
9,760
14,000
9,957
Non-cash investing activities 
 
 
 
Transfers to loans HFS from loans$3,800
$8,600
$3,600
$2,900
Transfers to OREO and other repossessed assets85
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 SeptemberJune 30, 20172019 and for the three- and nine-monthsix-month periods ended SeptemberJune 30, 20172019 and 20162018 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 (20162018 (2018 Annual Report on Form 10-K), and Citigroup’s Quarterly ReportsReport on Form 10-Q for the quartersquarter ended March 31, 20172019 (First Quarter of 2017 Form 10-Q) and June 30, 2017 (Second Quarter of 20172019 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 adopted the ASU in the second quarter of 2017, with an effective date of January 1, 2017.  Adoption of the ASU primarily affected Citi’s available-for-sale (AFS) and held-to-maturity (HTM) portfolios of callable state and municipal securities. The ASU adoption resulted in a net reduction to total stockholders’ equity of $156 million (after tax), effective as of January 1, 2017.  This amount is composed of a reduction of approximately $660 million to retained earnings for the incremental amortization of purchase premiums and cumulative hedge adjustments generated under fair value hedges of these callable debt securities. This amount was partially offset by an increase to Accumulated other comprehensive income (loss) (AOCI) of $504 million related to the cumulative fair value hedge adjustments reclassified to retained earnings for AFS securities.
Financial statements for periods prior to 2017 were not subject to restatement under the provisions of this ASU.  The amortization recorded in the third quarter and for the first nine months of 2017 under the provisions of the ASU is not materially different than the amounts that would have been recorded if the ASU had not been early adopted.

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 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 20and 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. Based on a preliminary analysis performed earlier in 2017 and the environment at that time, the overall impact is estimated to be an approximate 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. 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 reporting revenue gross as a principal versus net as an agent. The Company has identified transactions, including underwriting activity where Citi is deemed the principal, rather than the agent, which require a gross up of annual revenues and expenses of approximately $0.8 billion. 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.

Lease Accounting
In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842),which is intended to increaseincreases the transparency and comparability of accounting for lease transactions. The ASU will requirerequires lessees to recognize liabilities for operating leases and corresponding right-of-use (ROU) assets on the balance sheet as lease assets and lease liabilities and will require bothsheet. The ASU also requires quantitative and qualitative disclosures regarding key information about leasing arrangements. LessorLessee accounting isfor finance leases, as well as lessor accounting, are largely unchanged. The guidance is effective beginning
Effective January 1, 2019, with an option to early adopt. Thethe Company does not plan to early adoptprospectively adopted the provisions of the ASU. The Company estimates that uponAt adoption, itsCiti recognized a lease liability and a corresponding ROU asset of approximately $4.4 billion on the Consolidated Balance Sheet will have an approximate $5 billion increase in assets and liabilities.related to its future lease payments as a lessee under operating leases. Additionally, the Company estimates an approximate $200recorded a $151 million increase in retainedRetained earnings due tofor the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions. Adoption of the ASU did not have a

Income Tax Impact
material impact on the Consolidated Statement of Intra-Entity Transfers of AssetsIncome. See Notes 13 and 22 for additional details.
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory, which will require an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. The ASU is effective January 1, 2018. The Company continueshas elected not to evaluateseparate lease and non-lease components in its lease contracts and accounts for them as a single lease component. Citi has also elected not to record a ROU asset for short-term leases that have a term of 12 months or less and do not contain purchase options that Citi is reasonably certain to exercise. The cost of short-term leases is recognized in the impactConsolidated Statement of this standard,Income on a straight-line basis over the lease term. Additionally, Citi applies the portfolio approach to account for certain equipment leases with nearly identical contractual terms.

Lessee accounting
Operating lease ROU assets and lease liabilities are included in Other assets and Other liabilities, respectively, on the Consolidated Balance Sheet. Finance lease assets and liabilities are included in Other assets and Long-term debt, respectively, on the Consolidated Balance Sheet. The Company uses its incremental borrowing rate, factoring in the lease term, to determine the lease liability, which is expected to increase DTAs, with an associated decrease in prepaid taxes of approximately $500 million. 



Subsequent Measurement of Goodwill
In January 2017,measured at the FASB issued ASU No. 2017-04, Intangibles—Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment. The ASU simplifies the subsequent measurement of goodwill impairment by eliminating the requirement to calculate the implied fairpresent value of goodwill (i.e.,future lease payments. The ROU asset is measured at the current Step 2amount of the goodwilllease liability plus any prepaid rent and remaining initial direct costs, less any remaining lease incentives and accrued rent. The ROU asset is subject to impairment, test) to measureduring the lease term, in 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),manner consistent with the impairment charge beingof long-lived assets. The lease terms include periods covered by options to extend or terminate the deficitlease depending on whether Citi is reasonably certain to exercise such options.

Lessor accounting
Lessor accounting is largely unchanged under the ASU. Citi acts as a lessor for power, railcar, shipping and aircraft assets, where the Company has executed operating, direct financing and leveraged leasing arrangements. In a direct financing or a leveraged lease, Citi derecognizes the leased asset and records a lease financing receivable at lease commencement in 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)Loans.
The ASU is effective for Upon lease termination, Citi as of January 1, 2020. Early adoption is permitted for interim and annual goodwill impairment testing dates after January 1, 2017. The impactmay obtain control of the asset, which is then recorded in Other assets on the Consolidated Balance Sheet and any remaining receivable for the asset’s residual value is derecognized. Under the ASU, will depend upon the performance of the reporting unitsleveraged lease accounting is grandfathered 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 contributemay continue to the ability to create outputs.
The ASU is effective for Citi as of January 1, 2018. The ASU will be applied prospectively,until the leveraged lease is terminated or modified. Upon modification, the lease must be classified as an operating, direct finance or sales-type lease in accordance with early adoption permitted. The impactthe ASU.
Separately, as part of the ASU will depend upon the acquisition and disposal activities of Citi. If fewer transactions qualifymanaging its real estate footprint, Citi subleases excess real estate space via operating lease arrangements, while retaining its obligations as a business, there could be less initial recognition of goodwill, but also less goodwill allocated to disposals.lessee.



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.

Hedging
In August 2017, the FASB issued ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities, which will better align an entity’s risk management activities and financial reporting for hedging relationships through changes to the designation and measurement guidance for qualifying hedging relationships and the presentation of hedge results.  The mandatory effective date for calendar year-end public companies is January 1, 2019 but the amendments may be early adopted in any interim or annual period after issuance. The targeted improvements in the ASU will allow Citi increased flexibility to structure hedges of fixed rate instruments and floating rate instruments.  Application of the ASU is expected to reduce the amount of ineffectiveness 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 requires expanded disclosures. Citi is in the process of evaluating whether to early adopt the standard before the mandatory effective date.



2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS


Discontinued Operations
The following sales are reported as Company’s Discontinued operationswithin Corporate/Other.

Sale consisted of residual activities related to the sales of the German Retail Banking operations and the 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 2008 and 2011, respectively. All Discontinued operations, net of taxes, of $5 million and $24 million for the three months ended September 30, 2017 and 2016, respectively, and $2 million and $46 million for the nine months ended September 30, 2017 and 2016, respectively.results are recorded within Corporate/Other.

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 dollars2019201820192018
Total revenues, net of interest expense$—
$—
$—
$—
Loss from discontinued operations$(10)$(2)$(12)$(9)
Provision (benefit) for income taxes(27)(17)(27)(17)
Income from discontinued operations, net of taxes$17
$15
$15
$8

 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 from Discontinued operations were not material for the periods presented.

Significant Disposals
The For a description of the Company’s significant disposal transactions during 2017 and 2016 described below were identified as significant disposals. The major classes of assets and liabilities that are derecognized fromfinancial impact, see Note 2 to the Consolidated Balance Sheet at closing and the income related to each business until the disposal date are presented below.Financial Statements in Citi’s 2018 Annual Report on Form 10-K.


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 is also transferring 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 did 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 nine months ended September 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 ($178 million after-tax) during the first quarter of 2017.
Income before taxes, excluding the pretax gain on sale, was as follows:
 Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,
In millions of dollars2017201620172016
Income before taxes$—
$43
$41
$121













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

 Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,
In millions of dollars2017201620172016
Income before taxes$13
$12
$31
$43








3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the following business segments: Global Consumer Banking (GCB) (GCB) and ICG business segments.Institutional Clients Group (ICG). In addition, Corporate/Other includes activities not assigned to a specific business segment, as well as certain North America and international loan portfolios, discontinued operations and other legacy assets.
The prior-period balances reflect reclassifications to conform the presentation for all periods to the current period’s presentation. Effective January 1, 2017,2019, financial data was reclassified to reflect:


the reporting of the remaining businesses and portfolios of assets of Citi Holdings as part of Corporate/Other 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
•
the re-attribution of certain costs between Corporate/Other and GCB and 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 20162018 Annual Report on Form 10-K.
The following table presents certain information regarding the Company’s continuing operations by segment:




























Three Months Ended September 30, Three Months Ended June 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 billions201720162017201620172016September 30,
2017		December 31, 2016201920182019201820192018June 30,
2019		December 31, 2018
Global Consumer Banking$8,433
$8,164
$636
$677
$1,174
$1,250
$419
$412
$8,505
$8,244
$417
$411
$1,413
$1,276
$437
$432
Institutional Clients Group9,231
8,459
1,394
1,202
3,062
2,660
1,370
1,277
9,721
9,697
919
971
3,343
3,241
1,454
1,394
Corporate/Other509
1,137
(164)(146)(99)(23)100
103
532
528
37
62
36
(16)97
91
Total$18,173
$17,760
$1,866
$1,733
$4,137
$3,887
$1,889
$1,792
$18,758
$18,469
$1,373
$1,444
$4,792
$4,501
$1,988
$1,917
(1)
Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $8.9$8.6 billion and $8.4$8.6 billion; in EMEA of $2.7$3.0 billion and $3.0 billion; in Latin America of $2.6 billion and $2.5 billion; and in Latin AmericaAsia of $2.4$4.0 billion and $2.2 billion; and in Asia of $3.7 billion and $3.5$3.8 billion for the three months ended SeptemberJune 30, 20172019 and 2016,2018, 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 $2.2$2.0 billion and $1.8$1.9 billion; in the ICG results of $(164)$103 million and $(90)$25 million; and in the Corporate/Other results of $(50)$(22) million and $18$(118) million for the three months ended SeptemberJune 30, 20172019 and 2016,2018, respectively.

Nine Months Ended September 30, 2017Six Months Ended June 30,
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 dollars201720162017201620172016201920182019201820192018
Global Consumer Banking$24,285
$23,552
$1,867
$1,978
$3,306
$3,729
$16,956
$16,670
$839
$865
$2,850
$2,666
Institutional Clients Group27,570
25,043
4,096
3,195
8,853
7,144
19,415
19,552
1,843
2,027
6,665
6,575
Corporate/Other2,339
4,268
(439)(238)(21)569
963
1,119
(34)(7)14
(91)
Total$54,194
$52,863
$5,524
$4,935
$12,138
$11,442
$37,334
$37,341
$2,648
$2,885
$9,529
$9,150

(1)
Includes total revenues, net of interest expense, in North America of $25.8$17.0 billion and $24.2$16.9 billion; in EMEA of $8.3$6.1 billion and $7.3$6.2 billion; in Latin America of $7.0$5.2 billion and $6.7$5.1 billion; and in Asia of $10.8$8.1 billion and $10.4$8.0 billion for the ninesix months ended SeptemberJune 30, 20172019 and 2016,2018, 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 $5.8$4.0 billion and $4.7$3.8 billion; in the ICG results of $(282)$124 million and $382$(16) million; and in the Corporate/Other results of $(130)$(47) million and $90$(125) million for the ninesix months ended SeptemberJune 30, 20172019 and 2016,2018, 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,
In millions of dollars2019201820192018
Interest revenue    
Loan interest, including fees$11,981
$11,190
$23,949
$22,082
Deposits with banks736
493
1,343
925
Securities borrowed or purchased under agreements to resell1,893
1,336
3,677
2,375
Investments, including dividends2,505
2,374
5,053
4,608
Trading account assets(1)
2,140
1,763
3,826
3,134
Other interest457
394
940
758
Total interest revenue$19,712
$17,550
$38,788
$33,882
Interest expense    
Deposits(2)
$3,284
$2,244
$6,311
$4,241
Securities loaned or sold under agreements to repurchase1,724
1,224
3,313
2,173
Trading account liabilities(1)
320
236
647
451
Short-term borrowings715
523
1,367
994
Long-term debt1,719
1,658
3,441
3,186
Total interest expense$7,762
$5,885
$15,079
$11,045
Net interest revenue$11,950
$11,665
$23,709
$22,837
Provision for loan losses2,089
1,795
4,033
3,598
Net interest revenue after provision for loan losses$9,861
$9,870
$19,676
$19,239
 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Interest revenue    
Loan interest, including fees$10,652
$10,229
$30,798
$29,739
Deposits with banks486
247
1,156
703
Federal funds sold and securities borrowed or purchased under agreements to resell858
636
2,347
1,947
Investments, including dividends2,104
1,887
6,122
5,679
Trading account assets(1)
1,429
1,433
4,176
4,399
Other interest292
221
846
709
Total interest revenue$15,821
$14,653
$45,445
$43,176
Interest expense    
Deposits(2)
$1,775
$1,443
$4,793
$3,953
Federal funds purchased and securities loaned or sold under agreements to repurchase712
459
1,881
1,488
Trading account liabilities(1)
169
102
462
286
Short-term borrowings318
90
719
300
Long-term debt1,405
1,080
4,126
3,207
Total interest expense$4,379
$3,174
$11,981
$9,234
Net interest revenue$11,442
$11,479
$33,464
$33,942
Provision for loan losses2,146
1,746
5,487
5,022
Net interest revenue after provision for loan losses$9,296
$9,733
$27,977
$28,920

(1)
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$189 million and $336$319 million for the three months ended SeptemberJune 30, 20172019 and 2016,2018, respectively, and $936$382 million and $838$695 million for the ninesix months ended SeptemberJune 30, 20172019 and 2016,2018, respectively.










5.  COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY 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 on Citi’s Commissions and fees revenue,Fees; Administration and Other Fiduciary Fees, see Note 5 to the Consolidated Financial Statements in Citi’s 20162018 Annual Report on Form 10-K.

The following table presents tables present Commissions and fees revenue:
 Three Months Ended June 30,Six Months Ended June 30,
 20192019
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Investment banking$934
$—
$—
$934
$1,844
$—
$—
$1,844
Brokerage commissions438
211
—
649
909
397
—
1,306
Credit- and bank-card income   

    
     Interchange fees313
2,198
—
2,511
591
4,182
—
4,773
     Card-related loan fees16
183
—
199
29
343
—
372
     Card rewards and partner
     payments
(174)(2,277)—
(2,451)(327)(4,338)—
(4,665)
Deposit-related fees(1)
247
138
—
385
492
277
—
769
Transactional service fees194
36
—
230
389
71
—
460
Corporate finance(2)
150
1
—
151
328
2
—
330
Insurance distribution revenue2
129
—
131
6
261
—
267
Insurance premiums—
26
1
27
—
55
—
55
Loan servicing—
16
3
19
42
46
9
97
Other2
94
—
96
19
179
1
199
Total commissions and fees(3)
$2,122
$755
$4
$2,881
$4,322
$1,475
$10
$5,807


 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Investment banking$911
$726
$2,689
$2,053
Trading-related556
519
1,670
1,664
Trade and securities services412
384
1,224
1,176
Credit cards and bank cards406
372
1,081
987
Corporate finance(1)
171
164
578
528
Other consumer(2)
188
173
521
497
Checking-related121
140
363
360
Loan servicing80
71
254
235
Other86
95
247
332
Total commissions and fees$2,931
$2,644
$8,627
$7,832
 Three Months Ended June 30,Six Months Ended June 30,
 20182018
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Investment banking$1,012
$—
$—
$1,012
$1,834
$—
$—
$1,834
Brokerage commissions491
206
—
697
1,057
454
—
1,511
Credit- and bank-card income        
     Interchange fees276
2,025
5
2,306
536
3,899
10
4,445
     Card-related loan fees17
147
6
170
31
302
12
345
     Card rewards and partner
     payments
(126)(2,065)(6)(2,197)(250)(3,939)(11)(4,200)
Deposit-related fees(1)
236
160
1
397
472
343
2
817
Transactional service fees182
21
1
204
372
42
3
417
Corporate finance(2)
219
1
—
220
361
2
—
363
Insurance distribution revenue5
142
5
152
10
285
10
305
Insurance premiums—
32
1
33
—
65
—
65
Loan servicing33
40
9
82
71
62
21
154
Other—
34
1
35
15
67
3
85
Total commissions and fees(3)
$2,345
$743
$23
$3,111
$4,509
$1,582
$50
$6,141
(1)Includes overdraft fees of $31 million and $30 million for the three months ended June 30, 2019 and 2018, respectively, and $61 million and $62 million for the six months ended June 30, 2019 and 2018, respectively. Overdraft fees are accounted for under ASC 310.
(2)Consists primarily of fees earned from structuring and underwriting loan syndications.syndications or related financing activity. This activity is accounted for under ASC 310.


(2)(3)Primarily consists of
Commissions and fees includes $(2,025) million and $(1,648) million not accounted for investment fund administrationunder ASC 606, Revenue from Contracts with Customers, for the three months ended June 30, 2019 and management, third-party collections, commercial demand deposit accounts2018, respectively, and $(3,746) million and $(3,193) million for the six months ended June 30, 2019 and 2018, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain credit card services.partner payments, corporate finance fees, insurance premiums and loan servicing fees.



Administration and Other Fiduciary Fees
The following table presents Administration and other fiduciary fees:
 Three Months Ended June 30,Six Months Ended June 30,
 20192019
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Custody fees$381
$6
$18
$405
$745
$9
$34
$788
Fiduciary fees163
154
(1)316
315
300
11
626
Guarantee fees132
14
2
148
262
28
4
294
Total administration and other fiduciary fees(1)
$676
$174
$19
$869
$1,322
$337
$49
$1,708
 Three Months Ended June 30,Six Months Ended June 30,
 20182018
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Custody fees$399
$45
$17
$461
$767
$92
$32
$891
Fiduciary fees165
150
12
327
332
297
19
648
Guarantee fees130
14
2
146
267
29
4
300
Total administration and other fiduciary fees(1)
$694
$209
$31
$934
$1,366
$418
$55
$1,839

(1)
Administration and other fiduciary fees includes $148 million and $146 million for the three months ended June 30, 2019 and 2018, respectively, and $294 million and $300 million for the six months ended June 30, 2019 and 2018, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.



6. PRINCIPAL TRANSACTIONS
Citi’s Principal transactionsrevenue consists of realized and unrealized gains and losses from trading activities. For additional information regarding PrincipalTrading activities include revenues from fixed income, equities, credit and commodities products and foreign exchange transactions that are managed on a portfolio basis characterized by primary risk. Not included in the table below is the impact of net interest revenue seerelated to trading activities, which is an
integral part of trading activities’ profitability. See Note 64 to the Consolidated Financial Statements for information about net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments) and FVA (funding valuation adjustments) on over-the-counter derivatives, and gains (losses) on certain economic hedges on loans in Citi’s 2016 Annual Report on Form 10-K.ICG. These adjustments are discussed further in Note 20 to the Consolidated Financial Statements.
In certain transactions, Citi incurs fees and presents these fees paid to third parties in operating expenses.
The following table presents Principal transactions
revenue:
 
























 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Global Consumer Banking(1)
$149
$162
$440
$469
Institutional Clients Group1,757
2,064
6,504
5,552
Corporate/Other (1)
264
12
810
(127)
Total Citigroup$2,170
$2,238
$7,754
$5,894
Interest rate risks(2)
$1,120
$1,282
$4,297
$3,229
Foreign exchange risks(3)
610
466
2,000
1,481
Equity risks(4)
158
81
404
76
Commodity and other risks(5)
92
171
330
436
Credit products and risks(6)
190
238
723
672
Total$2,170
$2,238
$7,754
$5,894
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2019201820192018
Interest rate risks(1)
$1,320
$1,550
$3,038
$3,116
Foreign exchange risks(2)
427
175
900
905
Equity risks(3)
(1)120
455
709
Commodity and other risks(4)
89
208
208
309
Credit products and risks(5)
39
73
77
329
Total$1,874
$2,126
$4,678
$5,368
(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)(2)Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(4)(3)Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(5)(4)Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(6)(5)Includes revenues from structured credit products.




7. INCENTIVE PLANS
For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 20162018 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 20162018 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 September 30,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20172016201720162017201620172016
Qualified plans 
 
 
 
 
 
 
 
Benefits earned during the period$—
$1
$38
$39
$—
$—
$3
$1
Interest cost on benefit obligation124
126
76
70
9
6
27
24
Expected return on plan assets(217)(224)(77)(71)(2)(2)(24)(22)
Amortization of unrecognized 
  
 
 
 
 
 
Prior service benefit—
—
(1)—
—
—
(2)(1)
Net actuarial loss43
43
15
19
—
—
8
8
Curtailment loss (1)
1
10
—
—
—
—
—
—
Settlement loss (gain) (1)
—
—
4
(2)—
—
—
—
Net qualified plans (benefit) expense$(49)$(44)$55
$55
$7
$4
$12
$10
Nonqualified plans expense$10
$12
$—
$—
$—
$—
$—
$—
Total net (benefit) expense$(39)$(32)$55
$55
$7
$4
$12
$10
 Three Months Ended June 30,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20192018201920182019201820192018
Benefits earned during the period$—
$—
$35
$38
$—
$—
$2
$3
Interest cost on benefit obligation123
126
73
72
6
7
26
25
Expected return on plan assets(202)(211)(68)(72)(4)(3)(21)(22)
Amortization of unrecognized: 
  
 
 
 
 
 
Prior service cost (benefit)(1)—
(1)(1)—
—
(3)(3)
Net actuarial loss48
42
15
14
—
—
6
8
Curtailment loss(1)
—
1
—
—
—
—
—
—
Settlement loss(1)
—
—
2
1
—
—
—
—
Total net (benefit) expense$(32)$(42)$56
$52
$2
$4
$10
$11
























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

Nine Months Ended September 30,Six Months Ended June 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 dollars2017201620172016201720162017201620192018201920182019201820192018
Qualified plans 
 
 
 
 
 
 
 
Benefits earned during the period$1
$2
$112
$116
$—
$—
$7
$7
$—
$1
$71
$76
$—
$—
$4
$5
Interest cost on benefit obligation384
399
221
216
20
19
76
72
253
249
148
147
13
13
52
51
Expected return on plan assets(650)(660)(223)(217)(5)(7)(67)(65)(405)(424)(136)(150)(9)(6)(42)(45)
Amortization of unrecognized



 
 
  
 
 




 
 
  
 
 
Prior service benefit—
—
(3)(1)—
—
(7)(7)—
—
(2)(2)—
—
(5)(5)
Net actuarial loss (gain)122
118
46
58
—
(1)25
24
Curtailment loss (gain) (1)
4
10
—
(3)—
—
—
—
Net actuarial loss92
89
30
27
—
—
11
15
Curtailment loss (1)
—
1
—
—
—
—
—
—
Settlement loss(1)
—
—
8
2
—
—
—
—
—
—
2
5
—
—
—
—
Net qualified plans (benefit) expense$(139)$(131)$161
$171
$15
$11
$34
$31
Nonqualified plans expense$31
$31
$—
$—
$—
$—
$—
$—
Total net (benefit) expense$(108)$(100)$161
$171
$15
$11
$34
$31
$(60)$(84)$113
$103
$4
$7
$20
$21

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



Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following tables summarizetable summarizes the funded status and amounts recognized inon the Consolidated Balance Sheet for the Company’s
Significant Plans.
Plans:
Nine Months Ended September 30, 2017Six Months Ended June 30, 2019
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
$12,655
$7,149
$662
$1,159
Plans measured annually(28)(1,784)—
(303)(25)(1,862)—
(307)
Projected benefit obligation at beginning of year—Significant Plans$13,972
$4,738
$686
$838
$12,630
$5,287
$662
$852
First quarter activity25
802
(7)134
408
293
13
62
Second quarter activity161
9
63
72
Projected benefit obligation at June 30, 2017—Significant Plans$14,158
$5,549
$742
$1,044
Projected benefit obligation at March 31, 2019—Significant Plans$13,038
$5,580
$675
$914
Benefits earned during the period1
22
—
2
—
21
—
1
Interest cost on benefit obligation131
64
6
23
122
60
6
23
Actuarial loss95
104
2
12
548
172
42
48
Benefits paid, net of participants’ contributions(191)(108)(14)(15)
Curtailment loss (gain)(1)
1
(2)—
—
Benefits paid, net of participants’ contributions and government subsidy(233)(79)(13)(19)
Foreign exchange impact and other(269)36
—
(6)—
3
—
8
Projected benefit obligation at September 30, 2017—Significant Plans$13,926
$5,665
$736
$1,060
Projected benefit obligation at period end—Significant Plans$13,475
$5,757
$710
$975


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








 Six Months Ended June 30, 2019
 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in plan assets 
 
 
 
Plan assets at fair value at beginning of year$11,490
$6,699
$345
$1,036
Plans measured annually—
(1,248)—
(9)
Plan assets at fair value at beginning of year—Significant Plans$11,490
$5,451
$345
$1,027
First quarter activity487
257
2
32
Plan assets at fair value at March 31, 2019—Significant Plans
$11,977
$5,708
$347
$1,059
Actual return on plan assets449
206
9
62
Company contributions, net of reimbursements438
14
5
218
Benefits paid, net of participants’ contributions and government subsidy

(233)(79)(13)(19)
Foreign exchange impact and other—
250
—
(236)
Plan assets at fair value at period end—Significant Plans$12,631
$6,099
$348
$1,084
Funded status of the Significant Plans    
Qualified plans(1)
$(151)$342
$(362)$109
Nonqualified plans(693)—
—
—
Funded status of the plans at period end—Significant Plans$(844)$342
$(362)$109
Net amount recognized at period end 
 
 
 
Benefit asset$—
$920
$—
$109
Benefit liability(844)(578)(362)—
Net amount recognized on the balance sheet—Significant Plans$(844)$342
$(362)$109
Amounts recognized in AOCI at period end 
 
 
Prior service benefit$—
$14
$—
$72
Net actuarial (loss) gain(7,101)(995)13
(320)
Net amount recognized in equity (pretax)—Significant Plans$(7,101)$(981)$13
$(248)
Accumulated benefit obligation at period end—Significant Plans$13,469
$5,467
$710
$975
 Nine Months Ended September 30, 2017
 Pension plansPostretirement benefit plans
In millions of dollarsU.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
Plans measured annually—
(1,167)—
(11)
Plan assets at fair value at beginning of year—Significant Plans$12,363
$4,982
$129
$1,004
First quarter activity159
903
$—
124
Second quarter activity186
(39)$(3)55
Plan assets at fair value at June 30, 2017—Significant Plans
$12,708
$5,846
$126
$1,183
Actual return on plan assets310
95
3
24
Company contributions, net of reimbursements63
11
10
—
Plan participants’ contributions—
1
—
—
Benefits paid, net of government subsidy(191)(109)(14)(15)
Foreign exchange impact and other(269)45
—
(6)
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)
$(575)$224
$(611)$126
Nonqualified plans(730)—
—
—
Funded status of the plans at September 30, 2017—Significant Plans$(1,305)$224
$(611)$126
Net amount recognized 
 
 
 
Benefit asset$—
$683
$—
$126
Benefit liability(1,305)(459)(611)—
Net amount recognized on the balance sheet—Significant Plans$(1,305)$224
$(611)$126
Amounts recognized in AOCI 
 
 
Prior service benefit$—
$30
$—
$91
Net actuarial (loss) gain(6,779)(1,051)39
(406)
Net amount recognized in equity (pretax)—Significant Plans$(6,779)$(1,021)$39
$(315)
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 specifiedpursuant to the Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 20172019 and no minimum required funding is expected for 2017.2019.





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 
 September 30, 2017		Nine Months Ended September 30, 2017Three Months Ended 
 June 30, 2019		Six Months Ended  
  June 30, 2019
Beginning of period balance, net of tax(1)(2)
$(5,311)$(5,164)$(6,321)$(6,257)
Actuarial assumptions changes and plan experience(213)(721)(814)(1,609)
Net asset gain due to difference between actual and expected returns123
419
Net asset gain (loss) due to difference between actual and expected returns443
1,133
Net amortization59
171
66
128
Prior service cost—
(5)(5)(5)
Curtailment/settlement gain(3)
5
12
2
2
Foreign exchange impact and other(19)(141)(22)(47)
Change in deferred taxes, net16
89
77
81
Change, net of tax$(29)$(176)$(253)$(317)
End of period balance, net of tax(1)(2)
$(5,340)$(5,340)$(6,574)$(6,574)

(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 curtailmentCurtailment 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 Ended
Jun. 30, 2019Jun. 30, 2018
U.S. plans  
Qualified pension3.85%3.95%
Nonqualified pension3.90
3.95
Postretirement3.80
3.90
Non-U.S. plans  
Pension0.45-10.300.75-9.90
Weighted average4.74
4.86
Postretirement10.30
9.50

Net benefit (expense) assumed discount rates during the periodThree Months Ended
Sept. 30, 2017Jun. 30, 2017
U.S. plans  
Qualified pension3.80%4.05%
Nonqualified pension3.753.95
Postretirement3.603.85
Non-U.S. plans  
Pension0.65-10.900.55-10.45
Weighted average4.874.83
Postretirement9.059.25


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 endedSept. 30, 2017June 30,
2017		Mar. 31, 2017Jun. 30, 2019Mar. 31, 2019Dec. 31, 2018
U.S. plans     
Qualified pension3.75%3.80%4.05%3.45%3.85%4.25%
Nonqualified pension3.653.753.953.50
3.90
4.25
Postretirement3.553.603.853.35
3.80
4.20
Non-U.S. plans   
Pension0.65-10.350.65-10.900.55-10.450.30-9.550.45-10.300.75-10.75
Weighted average4.864.874.834.52
4.74
5.09
Postretirement8.959.059.259.70
10.30
10.75
 
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, 2019
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension  
   U.S. plans$7
$(10)
   Non-U.S. plans(3)5
Postretirement  
   U.S. plans1
(1)
   Non-U.S. plans(2)2




 Three Months Ended September 30, 2017
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension  
   U.S. plans$7
$(10)
   Non-U.S. plans(5)7
Postretirement  
   U.S. plans1
(1)
   Non-U.S. plans(3)3








Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first ninesix months of 2017.2019. The Company made a discretionary contribution of $425 million and $220 million to the U.S. qualified defined benefit plan and Mexico—Banco Nacional Healthcare Postretirement Plan, respectively, during the second quarter of 2019.

The following table summarizes the Company’s actual contributions for the ninesix months ended SeptemberJune 30, 20172019 and 2016,2018, as well as estimated expected Company contributions for the remainder of 20172019 and the actual contributions made infor the fourth quarterremainder of 2016.2018:
 Pension plans Postretirement plans 
 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20172016201720162017201620172016
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 year16
15
35
68
—
—
2
5
 Pension plans Postretirement plans 
 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20192018201920182019201820192018
Company contributions(2) for the six months ended
  June 30
$463
$28
$64
$112
$—
$7
$223
$5
Company contributions made during the remainder
  of the year
—
27
—
70
—
143
—
4
Company contributions expected to be made during
  the remainder of the year
30
—
70
—
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,
In millions of dollars2019201820192018
   U.S. plans$99
$99
$198
$203
   Non-U.S. plans71
72
139
148

 Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars2017201620172016
   U.S. plans$95
$89
$293
$281
   Non-U.S. plans68
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,
In millions of dollars2019201820192018
Service-related expense



$—
$—
Interest cost on benefit obligation$1
$1
$1
$1
Expected return on plan assets(1)(1)(1)(1)
Amortization of unrecognized:







     Prior service
       benefit
—
(7)—
(15)
     Net actuarial loss—
—
1
1
Total service-related (benefit) expense$—
$(7)$1
$(14)
Non-service-related expense (benefit)$2
$(3)$6
$3
Total net expense (benefit)$2
$(10)$7
$(11)












 Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars2017201620172016
Service-related expense

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







     Prior service benefit(8)(7)(23)(23)
     Net actuarial loss1
1
2
3
Total service-related benefit$(7)$(6)$(20)$(18)
Non-service-related expense$9
$10
$21
$23
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 September 30,Nine Months Ended September 30,Three Months Ended June 30,Six Months Ended June 30,
In millions, except per-share amounts2017201620172016
In millions of dollars, except per share amounts2019201820192018
Income from continuing operations before attribution of noncontrolling interests$4,137
$3,887
$12,138
$11,442
$4,792
$4,501
$9,529
$9,150
Less: Noncontrolling interests from continuing operations(1)17
41
48
10
26
35
48
Net income from continuing operations (for EPS purposes)$4,138
$3,870
$12,097
$11,394
$4,782
$4,475
$9,494
$9,102
Income (loss) from discontinued operations, net of taxes(5)(30)(2)(55)
Loss from discontinued operations, net of taxes17
15
15
8
Citigroup's net income$4,133
$3,840
$12,095
$11,339
$4,799
$4,490
$9,509
$9,110
Less: Preferred dividends(1)
272
225
893
757
296
318
558
590
Net income available to common shareholders$3,861
$3,615
$11,202
$10,582
$4,503
$4,172
$8,951
$8,520
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS53
53
156
145
50
49
109
90
Net income allocated to common shareholders for basic EPS$3,808
$3,562
$11,046
$10,437
Net income allocated to common shareholders for diluted EPS3,808
3,562
$11,046
$10,437
Weighted-average common shares outstanding applicable to basic EPS2,683.6
2,879.9
2,729.3
2,912.9
Effect of dilutive securities(2)
   
 
Options(3)
0.1
0.1
0.1
0.1
Net income allocated to common shareholders for basic and diluted EPS4,453
4,123
8,842
8,430
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,286.1
2,530.9
2,313.2
2,546.2
Effect of dilutive securities   
 
Options(2)
—
0.1
0.1
0.1
Other employee plans—
0.1
—
0.1
2.9
1.3
2.4
1.3
Adjusted weighted-average common shares outstanding applicable to diluted EPS(4)
2,683.7
2,880.1
2,729.5
2,913.0
Basic earnings per share(5)
   
  
Adjusted weighted-average common shares outstanding applicable to diluted EPS(3)
2,289.0
2,532.3
2,315.7
2,547.6
Basic earnings per share(4)
   
 
Income from continuing operations$1.42
$1.25
$4.05
$3.60
$1.94
$1.62
$3.81
$3.30
Discontinued operations—
(0.01)—
(0.02)0.01
0.01
0.01
0.01
Net income$1.42
$1.24
$4.05
$3.58
$1.95
$1.63
$3.82
$3.31
Diluted earnings per share(5)
     
Diluted earnings per share(4)
   
Income from continuing operations$1.42
$1.25
$4.05
$3.60
$1.94
$1.62
$3.81
$3.30
Discontinued operations—
(0.01)—
(0.02)0.01
0.01
0.01
0.01
Net income$1.42
$1.24
$4.05
$3.58
$1.95
$1.63
$3.82
$3.31
(1)As of SeptemberJune 30, 2017,2019, Citi estimates it will distribute preferred dividends of approximately $320$550 million during the remainder of 2017,2019, assuming such dividends are declared by the Citi Board of Directors.
(2)Warrants issuedDuring the second quarter of 2019, no significant options 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 $105.27 per share for approximately 21.0 million and 25.5 millionpurchase shares of Citigroup common stock respectively. Both warrants were not included in the computation of earnings per share in the three and nine months ended September 30, 2017 and 2016 because they were anti-dilutive.
(3)outstanding. During the third quarterssecond quarter of 2017 and 2016,2018, weighted-average options to purchase 0.8 million and 3.60.5 million shares of common stock respectively, were outstanding but not included in the computation of earnings per share because the weighted-average exercise pricesprice of $206.70 and $85.92$148.77 per share respectively, werewas anti-dilutive.
(4)(3)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)(4)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 20162018 Annual Report on Form 10-K.
Federal funds soldSecurities borrowed and securities borrowed or purchased under agreements to resell, at their respective carrying values, consisted of the following:
In millions of dollarsJune 30,
2019		December 31, 2018
Securities purchased under agreements to resell$163,786
$159,364
Deposits paid for securities borrowed95,983
111,320
Total(1)
$259,769
$270,684

In millions of dollarsSeptember 30,
2017		December 31, 2016
Federal funds sold$20
$—
Securities purchased under agreements to resell139,203
131,473
Deposits paid for securities borrowed113,385
105,340
Total(1)
$252,608
$236,813


Federal funds purchasedSecurities loaned and securities loaned or sold under agreements to repurchase, at their respective carrying values, consisted of the following:
In millions of dollarsJune 30,
2019		December 31, 2018
Securities sold under agreements to repurchase$168,861
$166,090
Deposits received for securities loaned12,272
11,678
Total(1)
$181,133
$177,768
In millions of dollarsSeptember 30,
2017		December 31, 2016
Federal funds purchased$388
$178
Securities sold under agreements to repurchase145,280
125,685
Deposits received for securities loaned15,614
15,958
Total(1)
$161,282
$141,821

(1)
The above tables do not include securities-for-securities lending transactions of $14.4$16.8 billion and $9.3$15.9 billion at SeptemberJune 30, 20172019 and December 31, 2016,2018, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.

 

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.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,ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default occurred and a legal opinion supporting enforceability of the offsetting rights has been obtained. Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

As of September 30, 2017As of June 30, 2019
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(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
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities purchased under agreements to resell$207,485
$68,282
$139,203
$105,439
$33,764
$292,088
$128,302
$163,786
$128,476
$35,310
Deposits paid for securities borrowed113,385
—
113,385
23,136
90,249
95,983
—
95,983
26,429
69,554
Total$320,870
$68,282
$252,588
$128,575
$124,013
$388,071
$128,302
$259,769
$154,905
$104,864





In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$297,163
$128,302
$168,861
$87,803
$81,058
Deposits received for securities loaned12,272
—
12,272
2,551
9,721
Total$309,435
$128,302
$181,133
$90,354
$90,779


As of December 31, 2018
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$213,562
$68,282
$145,280
$67,974
$77,306
Deposits received for securities loaned15,614
—
15,614
4,359
11,255
Securities purchased under agreements to resell$246,788
$87,424
$159,364
$124,557
$34,807
Deposits paid for securities borrowed111,320
—
111,320
35,766
75,554
Total$229,176
$68,282
$160,894
$72,333
$88,561
$358,108
$87,424
$270,684
$160,323
$110,361
 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)
Gross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$170,496
$44,811
$125,685
$63,517
$62,168
$253,514
$87,424
$166,090
$82,823
$83,267
Deposits received for securities loaned15,958
—
15,958
3,529
12,429
11,678
—
11,678
3,415
8,263
Total$186,454
$44,811
$141,643
$67,046
$74,597
$265,192
$87,424
$177,768
$86,238
$91,530
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)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)(3)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.


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


As of September 30, 2017As of June 30, 2019
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$97,624
$54,810
$23,997
$37,131
$213,562
$152,704
$69,173
$34,516
$40,770
$297,163
Deposits received for securities loaned11,980
342
2,070
1,222
15,614
7,576
155
2,359
2,182
12,272
Total$109,604
$55,152
$26,067
$38,353
$229,176
$160,280
$69,328
$36,875
$42,952
$309,435




As of December 31, 2016As of December 31, 2018
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$79,740
$50,399
$19,396
$20,961
$170,496
$108,405
$70,850
$29,898
$44,361
$253,514
Deposits received for securities loaned10,813
2,169
2,044
932
15,958
6,296
774
2,626
1,982
11,678
Total$90,553
$52,568
$21,440
$21,893
$186,454
$114,701
$71,624
$32,524
$46,343
$265,192



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


As of September 30, 2017As of June 30, 2019
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotalRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$67,622
$—
$67,622
$114,492
$—
$114,492
State and municipal securities1,031
5
1,036
2,226
11
2,237
Foreign government securities92,113
221
92,334
110,796
269
111,065
Corporate bonds19,731
472
20,203
21,909
597
22,506
Equity securities11,910
14,301
26,211
17,919
10,677
28,596
Mortgage-backed securities12,590
—
12,590
18,541
—
18,541
Asset-backed securities5,373
—
5,373
6,540
—
6,540
Other3,192
615
3,807
4,740
718
5,458
Total$213,562
$15,614
$229,176
$297,163
$12,272
$309,435


 As of December 31, 2018
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$86,785
$41
$86,826
State and municipal securities2,605
—
2,605
Foreign government securities99,131
179
99,310
Corporate bonds21,719
749
22,468
Equity securities12,920
10,664
23,584
Mortgage-backed securities19,421
—
19,421
Asset-backed securities6,207
—
6,207
Other4,726
45
4,771
Total$253,514
$11,678
$265,192



 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 20162018 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollarsSeptember 30,
2017		December 31, 2016June 30,
2019		December 31, 2018
Receivables from customers$14,717
$10,374
$15,887
$14,415
Receivables from brokers, dealers, and clearing organizations23,359
18,513
Receivables from brokers, dealers and clearing organizations34,140
21,035
Total brokerage receivables(1)
$38,076
$28,887
$50,027
$35,450
Payables to customers$37,935
$37,237
$38,589
$40,273
Payables to brokers, dealers, and clearing organizations25,270
19,915
Payables to brokers, dealers and clearing organizations31,250
24,298
Total brokerage payables(1)
$63,205
$57,152
$69,839
$64,571


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




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 20162018 Annual Report on Form 10-K.


Overview






The following table presents Citi’s investments by category:
 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
 In millions of dollarsJune 30,
2019		December 31,
2018
 
 Debt securities available-for-sale (AFS)$273,435
$288,038
 
Debt securities held-to-maturity (HTM)(1)
68,693
63,357
 
Marketable equity securities carried at fair value(2)
533
220
 
Non-marketable equity securities carried at fair value(2)
740
889
 
Non-marketable equity securities measured using the measurement alternative(3)


642
538
 
Non-marketable equity securities carried at cost(4)
5,659
5,565
 Total investments$349,702
$358,607

(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 consistsImpairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings.
(4)Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and various clearing housescertain exchanges 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,
In millions of dollars2019201820192018
Taxable interest$2,324
$2,158
$4,696
$4,200
Interest exempt from U.S. federal income tax126
132
253
262
Dividend income55
84
104
146
Total interest and dividend income$2,505
$2,374
$5,053
$4,608

 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Taxable interest$1,922
$1,717
$5,545
$5,153
Interest exempt from U.S. federal income tax129
135
412
411
Dividend income53
35
165
115
Total interest and dividend income$2,104
$1,887
$6,122
$5,679



The following table presents realized gains and losses on the sales of investments, which excludesexclude OTTI losses:
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2019201820192018
Gross realized investment gains$474
$170
$642
$396
Gross realized investment losses(6)(68)(44)(124)
Net realized gains on sale of investments$468
$102
$598
$272
 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Gross realized investment gains$293
$483
$840
$1,105
Gross realized investment losses(80)(196)(214)(432)
Net realized gains on sale of investments$213
$287
$626
$673



 







Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
September 30, 2017December 31, 2016June 30, 2019December 31, 2018
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   
Debt securities AFS   
Mortgage-backed securities(1)
      
U.S. government-sponsored agency guaranteed$42,422
$223
$331
$42,314
$38,663
$248
$506
$38,405
$37,488
$717
$345
$37,860
$43,504
$241
$725
$43,020
Prime1
—
—
1
2
—
—
2
Alt-A—
—
—
—
43
7
—
50
1
—
—
1
1
—
—
1
Non-U.S. residential2,984
16
9
2,991
3,852
13
7
3,858
907
3
1
909
1,310
4
2
1,312
Commercial345
1
2
344
357
2
1
358
114
1
—
115
173
1
2
172
Total mortgage-backed securities$45,752
$240
$342
$45,650
$42,917
$270
$514
$42,673
$38,510
$721
$346
$38,885
$44,988
$246
$729
$44,505
U.S. Treasury and federal agency securities       
U.S. Treasury$107,696
$283
$408
$107,571
$113,606
$629
$452
$113,783
$102,563
$82
$583
$102,062
$109,376
$33
$1,339
$108,070
Agency obligations10,803
17
65
10,755
9,952
21
85
9,888
7,488
7
48
7,447
9,283
1
132
9,152
Total U.S. Treasury and federal agency securities$118,499
$300
$473
$118,326
$123,558
$650
$537
$123,671
$110,051
$89
$631
$109,509
$118,659
$34
$1,471
$117,222
State and municipal(2)
$9,335
$146
$291
$9,190
$10,797
$80
$757
$10,120
State and municipal$6,228
$139
$197
$6,170
$9,372
$96
$262
$9,206
Foreign government100,625
526
404
100,747
98,112
590
554
98,148
101,400
803
463
101,740
100,872
415
596
100,691
Corporate15,459
82
82
15,459
17,195
105
176
17,124
12,380
74
131
12,323
11,714
42
157
11,599
Asset-backed securities(1)
5,279
15
3
5,291
6,810
6
22
6,794
618
2
2
618
845
2
4
843
Other debt securities348
—
—
348
503
—
—
503
4,191
—
1
4,190
3,973
—
1
3,972
Total debt securities AFS$295,297
$1,309
$1,595
$295,011
$299,892
$1,701
$2,560
$299,033
$273,378
$1,828
$1,771
$273,435
$290,423
$835
$3,220
$288,038
Marketable equity securities AFS$284
$23
$3
$304
$377
$20
$6
$391
Total securities AFS$295,581
$1,332
$1,598
$295,315
$300,269
$1,721
$2,566
$299,424
(1)The Company invests in mortgage-backedmortgage- 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-backedmortgage- 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 table shows the fair value of AFS debt securities that have been in an unrealized loss position:
Less than 12 months12 months or longerTotalLess than 12 months12 months or longerTotal
In millions of dollars
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
September 30, 2017   
Securities AFS   
June 30, 2019   
Debt securities AFS   
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$24,545
$275
$2,631
$56
$27,176
$331
U.S. government agency guaranteed$8,595
$255
$5,718
$90
$14,313
$345
Non-U.S. residential1,267
8
28
1
1,295
9
175
1
1
—
176
1
Commercial111
1
42
1
153
2
7
—
61
—
68
—
Total mortgage-backed securities$25,923
$284
$2,701
$58
$28,624
$342
$8,777
$256
$5,780
$90
$14,557
$346
U.S. Treasury and federal agency securities      
U.S. Treasury$50,362
$367
$4,392
$41
$54,754
$408
$19,187
$135
$54,921
$448
$74,108
$583
Agency obligations6,884
46
1,231
19
8,115
65
316
2
6,857
46
7,173
48
Total U.S. Treasury and federal agency securities$57,246
$413
$5,623
$60
$62,869
$473
$19,503
$137
$61,778
$494
$81,281
$631
State and municipal$430
$13
$1,669
$278
$2,099
$291
$925
$156
$960
$41
$1,885
$197
Foreign government40,112
202
9,462
202
49,574
404
25,294
337
7,038
126
32,332
463
Corporate6,330
65
696
17
7,026
82
2,598
126
493
5
3,091
131
Asset-backed securities1,148
3
207
—
1,355
3
476
2
29
—
505
2
Other debt securities—
—
—
—
—
—
1,535
1
—
—
1,535
1
Marketable equity securities AFS13
2
11
1
24
3
Total securities AFS$131,202
$982
$20,369
$616
$151,571
$1,598
December 31, 2016 
 
 
 
 
 
Securities AFS 
 
 
 
 
 
Total debt securities AFS$59,108
$1,015
$76,078
$756
$135,186
$1,771
December 31, 2018 
 
 
 
 
 
Debt securities AFS 
 
 
 
 
 
Mortgage-backed securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed$23,534
$436
$2,236
$70
$25,770
$506
Prime1
—
—
—
1
—
U.S. government agency guaranteed$11,160
$286
$13,143
$439
$24,303
$725
Non-U.S. residential486
—
1,276
7
1,762
7
284
2
2
—
286
2
Commercial75
1
58
—
133
1
79
1
82
1
161
2
Total mortgage-backed securities$24,096
$437
$3,570
$77
$27,666
$514
$11,523
$289
$13,227
$440
$24,750
$729
U.S. Treasury and federal agency securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury$44,342
$445
$1,335
$7
$45,677
$452
$8,389
$42
$77,883
$1,297
$86,272
$1,339
Agency obligations6,552
83
250
2
6,802
85
277
2
8,660
130
8,937
132
Total U.S. Treasury and federal agency securities$50,894
$528
$1,585
$9
$52,479
$537
$8,666
$44
$86,543
$1,427
$95,209
$1,471
State and municipal$1,616
$55
$3,116
$702
$4,732
$757
$1,614
$34
$1,303
$228
$2,917
$262
Foreign government38,226
243
8,973
311
47,199
554
40,655
265
15,053
331
55,708
596
Corporate7,011
129
1,877
47
8,888
176
4,547
115
2,077
42
6,624
157
Asset-backed securities411
—
3,213
22
3,624
22
441
4
55
—
496
4
Other debt securities5
—
—
—
5
—
1,790
1
—
—
1,790
1
Marketable equity securities AFS19
2
24
4
43
6
Total securities AFS$122,278
$1,394
$22,358
$1,172
$144,636
$2,566
Total debt securities AFS$69,236
$752
$118,258
$2,468
$187,494
$3,220






The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
September 30, 2017December 31, 2016June 30, 2019December 31, 2018
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$61
$61
$132
$132
$12
$12
$14
$14
After 1 but within 5 years1,340
1,340
736
738
589
590
662
661
After 5 but within 10 years1,469
1,466
2,279
2,265
1,986
2,133
2,779
2,828
After 10 years(2)
42,882
42,783
39,770
39,538
35,923
36,150
41,533
41,002
Total$45,752
$45,650
$42,917
$42,673
$38,510
$38,885
$44,988
$44,505
U.S. Treasury and federal agency securities      
Due within 1 year$3,549
$3,539
$4,945
$4,945
$42,893
$42,803
$41,941
$41,867
After 1 but within 5 years109,477
109,286
101,369
101,323
66,636
66,189
76,139
74,800
After 5 but within 10 years5,473
5,501
17,153
17,314
497
489
489
462
After 10 years(2)
—
—
91
89
25
28
90
93
Total$118,499
$118,326
$123,558
$123,671
$110,051
$109,509
$118,659
$117,222
State and municipal      
Due within 1 year$2,036
$2,036
$2,093
$2,092
$1,282
$1,251
$2,586
$2,586
After 1 but within 5 years2,412
2,416
2,668
2,662
1,188
1,165
1,676
1,675
After 5 but within 10 years493
508
335
334
446
454
585
602
After 10 years(2)
4,394
4,230
5,701
5,032
3,312
3,300
4,525
4,343
Total$9,335
$9,190
$10,797
$10,120
$6,228
$6,170
$9,372
$9,206
Foreign government       
Due within 1 year$32,095
$32,097
$32,540
$32,547
$41,222
$41,247
$39,078
$39,028
After 1 but within 5 years52,519
52,362
51,008
50,881
49,183
49,472
50,125
49,962
After 5 but within 10 years13,531
13,690
12,388
12,440
9,758
9,836
10,153
10,149
After 10 years(2)
2,480
2,598
2,176
2,280
1,237
1,185
1,516
1,552
Total$100,625
$100,747
$98,112
$98,148
$101,400
$101,740
$100,872
$100,691
All other(3)
       
Due within 1 year$3,585
$3,583
$2,629
$2,628
$7,424
$7,420
$6,166
$6,166
After 1 but within 5 years9,799
9,818
12,339
12,334
8,297
8,306
8,459
8,416
After 5 but within 10 years5,581
5,585
6,566
6,528
1,249
1,213
1,474
1,427
After 10 years(2)
2,121
2,112
2,974
2,931
219
192
433
405
Total$21,086
$21,098
$24,508
$24,421
$17,189
$17,131
$16,532
$16,414
Total debt securities AFS$295,297
$295,011
$299,892
$299,033
$273,378
$273,435
$290,423
$288,038
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate, asset-backed and other debt securities.





Debt Securities Held-to-Maturity


The carrying value and fair value of debt securities HTM were as follows:
In millions of dollars
Carrying
value
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
June 30, 2019    
Debt securities HTM    
Mortgage-backed securities(1)
    
U.S. government agency guaranteed(2)
$38,885
$726
$80
$39,531
Non-U.S. residential1,242
11
1
1,252
Commercial443
—
1
442
Total mortgage-backed securities$40,570
$737
$82
$41,225
State and municipal$7,892
$359
$13
$8,238
Foreign government1,920
17
8
1,929
Asset-backed securities(1)
18,311
8
51
18,268
Total debt securities HTM$68,693
$1,121
$154
$69,660
December 31, 2018 
 
 
 
Debt securities HTM 
 
 
 
Mortgage-backed securities(1)
 
 
 
 
U.S. government agency guaranteed$34,239
$199
$578
$33,860
Non-U.S. residential1,339
12
1
1,350
Commercial368
—
—
368
Total mortgage-backed securities$35,946
$211
$579
$35,578
State and municipal$7,628
$167
$138
$7,657
Foreign government1,027
—
24
1,003
Asset-backed securities(1)
18,756
8
112
18,652
Total debt securities HTM$63,357
$386
$853
$62,890
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
September 30, 2017     
Debt securities held-to-maturity      
Mortgage-backed securities(3)
      
U.S. government agency guaranteed$23,683
$26
$23,709
$104
$(78)$23,735
Prime13
—
13
4
—
17
Alt-A256
(11)245
97
—
342
Non-U.S. residential1,932
(47)1,885
58
—
1,943
Commercial217
—
217
—
—
217
Total mortgage-backed securities$26,101
$(32)$26,069
$263
$(78)$26,254
State and municipal(4)
$8,588
$(30)$8,558
$338
$(90)$8,806
Foreign government584
—
584
—
(14)570
Asset-backed securities(3)
16,286
(5)16,281
94
(10)16,365
Other debt securities35
—
35
—
—
35
Total debt securities held-to-maturity$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
Prime31
(7)24
10
(1)33
Alt-A314
(27)287
69
(1)355
Non-U.S. residential1,871
(47)1,824
49
—
1,873
Commercial14
—
14
—
—
14
Total mortgage-backed securities$24,692
$(48)$24,644
$175
$(188)$24,631
State and municipal$9,025
$(442)$8,583
$129
$(238)$8,474
Foreign government1,339
—
1,339
—
(26)1,313
Asset-backed securities(3)
11,107
(6)11,101
41
(5)11,137
Total debt securities held-to-maturity(5)
$46,163
$(496)$45,667
$345
$(457)$45,555

(1)
For securities transferred to HTM from Trading account assets, 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-backedmortgage- 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-backedmortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
(4)(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.
(5)During the fourth quarter of 2016, securities with a total fair value of approximately $5.8 billion wereMarch 2019, Citibank transferred from AFS to HTM, composed of $5 billion of U.S. government agency residential mortgage-backed securities and $830 million(RMBS) from AFS classification to HTM classification in accordance with ASC 320. At the time of municipal securities.transfer, the securities were in an unrealized loss position of $56 million. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call,loss amounts will remain 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 yieldamortized over the remaining contractual life of each security. Any net unrealized holding losses within AOCI related to the respective securities at thesecurities.



















date of transfer, inclusive of any cumulative fair value hedge adjustments, will be amortized over the remaining contractual life of each security as an adjustment of yield in a manner consistent with the amortization of any premium or discount.


The table below shows the fair value of debt securities HTM that have been in an unrecognized loss position:
Less than 12 months12 months or longerTotalLess than 12 months12 months or longerTotal
In millions of dollarsFair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses
September 30, 2017     
June 30, 2019     
Debt securities held-to-maturity          
Mortgage-backed securities$47
$—
$10,147
$78
$10,194
$78
$304
$1
$9,980
$81
$10,284
$82
State and municipal242
6
832
84
1,074
90
9
—
268
13
277
13
Foreign government570
14
—
—
570
14
1,929
8
—
—
1,929
8
Asset-backed securities55
2
2,563
8
2,618
10
11,532
46
501
5
12,033
51
Total debt securities held-to-maturity$914
$22
$13,542
$170
$14,456
$192
$13,774
$55
$10,749
$99
$24,523
$154
December 31, 2016     
December 31, 2018     
Debt securities held-to-maturity          
Mortgage-backed securities$17
$—
$17,176
$188
$17,193
$188
$2,822
$20
$18,086
$559
$20,908
$579
State and municipal2,200
58
1,210
180
3,410
238
981
34
1,242
104
2,223
138
Foreign government1,313
26
—
—
1,313
26
1,003
24
—
—
1,003
24
Asset-backed securities2
—
2,503
5
2,505
5
13,008
112
—
—
13,008
112
Total debt securities held-to-maturity$3,532
$84
$20,889
$373
$24,421
$457
$17,814
$190
$19,328
$663
$37,142
$853
Note: Excluded from the gross unrecognized losses presented in the table above are $(67)$(658) million and $(496)$(653) million of net unrealized losses recorded in AOCI as of SeptemberJune 30, 20172019 and December 31, 2016,2018, respectively, primarily related to the difference between the amortized cost and carrying value of HTM debt securities that were
reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at SeptemberJune 30, 20172019 and December 31, 2016.2018.



The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
September 30, 2017December 31, 2016June 30, 2019December 31, 2018
In millions of dollarsCarrying valueFair valueCarrying valueFair valueCarrying valueFair valueCarrying valueFair value
Mortgage-backed securities      
Due within 1 year$—
$—
$—
$—
$3
$3
$3
$3
After 1 but within 5 years737
743
760
766
534
541
539
540
After 5 but within 10 years123
124
54
55
1,816
1,885
997
1,011
After 10 years(1)
25,209
25,387
23,830
23,810
38,217
38,796
34,407
34,024
Total$26,069
$26,254
$24,644
$24,631
$40,570
$41,225
$35,946
$35,578
State and municipal      
Due within 1 year$227
$228
$406
$406
$38
$38
$37
$37
After 1 but within 5 years166
176
112
110
229
239
168
174
After 5 but within 10 years458
474
363
367
502
526
540
544
After 10 years(1)
7,707
7,928
7,702
7,591
7,123
7,435
6,883
6,902
Total$8,558
$8,806
$8,583
$8,474
$7,892
$8,238
$7,628
$7,657
Foreign government      
Due within 1 year$413
$413
$824
$818
$661
$664
$60
$36
After 1 but within 5 years171
157
515
495
823
825
967
967
After 5 but within 10 years—
—
—
—
436
440
—
—
After 10 years(1)
—
—
—
—
—
—
—
—
Total$584
$570
$1,339
$1,313
$1,920
$1,929
$1,027
$1,003
All other(2)
      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years35
35
—
—
—
—
—
—
After 5 but within 10 years1,146
1,148
513
514
3,161
3,162
2,535
2,539
After 10 years(1)
15,135
15,217
10,588
10,623
15,150
15,106
16,221
16,113
Total$16,316
$16,400
$11,101
$11,137
$18,311
$18,268
$18,756
$18,652
Total debt securities held-to-maturity$51,527
$52,030
$45,667
$45,555
Total debt securities HTM$68,693
$69,660
$63,357
$62,890
(1)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(2)Includes corporate and asset-backed securities.







Evaluating Investments for Other-Than-Temporary Impairment


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

Overview
The Company conducts periodic reviews of all debt securities with unrealized losses to evaluate whether the impairment is other-than-temporary. This review applies to all debt securities that are not measured at fair value through earnings.
An unrealized loss exists when the current fair value of an individual debt 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 debt securities. Temporary losses related to HTM debt securities generally are not recorded, as these investments are carried at adjusted amortized cost basis. However, for HTM debt securities with credit-related impairment, the credit loss is recognized in earnings as OTTI, and any difference between the cost basis adjusted for the OTTI and fair value is recognized in AOCI and amortized as an adjustment of yield over the remaining contractual life of the security. For debt securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer.
Regardless of the classification of debt securities as AFS or HTM, the Company assesses each position with an unrealized loss for OTTI. Factors considered in determining whether a loss is temporary include:

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

The Company’s review for impairment generally entails:

identification and evaluation of impaired investments;
analysis of individual 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.

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 debt securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings and any non-credit-related impairment is recorded in AOCI.
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 debt security types that have the most significant unrealized losses as of SeptemberJune 30, 2017.2019.


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.

Equity Method Investments
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 20 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:

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


Recognition and Measurement of OTTI
The following tables present total OTTI on Investmentsrecognized in earnings:

Three Months Ended 
 June 30, 2019		Six Months Ended  
  June 30, 2019
In millions of dollarsAFSHTMTotal
AFS(1)
HTMTotal
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:      
Total OTTI losses recognized during the period$—
$—
$—
$—
$—
$—
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
—
—
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
$—
$—
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise2
—
2
5
—
5
Total OTTI losses recognized in earnings$2
$—
$2
$5
$—
$5
OTTI on Investments and Other assetsThree Months Ended 
 September 30, 2017		Nine Months Ended  
  September 30, 2017
In millions of dollars
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 exercise12
1
—
13
43
2
—
45
Total impairment losses recognized in earnings$14
$1
$—
$15
$45
$2
$—
$47
(1)Includes OTTI on non-marketable equity securities.






Three Months Ended 
  June 30, 2018		Six Months Ended 
  June 30, 2018
In millions of dollarsAFSHTMTotalAFS(1)HTMTotal
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$—
$—
$—
$—
$—
$—
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
$—
$—
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 exercise12
—
12
39
—
39
Total impairment losses recognized in earnings$12
$—
$12
$39
$—
$39

OTTI on Investments and Other assetsThree 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
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:        
Total OTTI losses recognized during the period$—
$—
$—
$—
$3
$1
$—
$4
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
$3
$1
$—
$4
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses20
12
—
32
243
36
332
611
Total impairment losses recognized in earnings$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 nine months ended September 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 will likely will be required to sell:


Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsJun. 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 balanceMarch 31, 2019 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Changes due to
credit-impaired
securities sold,
transferred or
matured		June 30, 2019 balance
AFS debt securities      
Mortgage-backed securities(1)$—
$—
$—
$—
$—
$1
$—
$—
$—
$1
State and municipal4
—
—
—
4
—
—
—
—
—
Foreign government securities—
—
—
—
—
—
—
—
—
—
Corporate4
—
—
—
4
4
—
—
—
4
All other debt securities—
—
2
—
2
—
—
—
—
—
Total OTTI credit losses recognized for AFS debt securities$8
$—
$2
$—
$10
$5
$—
$—
$—
$5
HTM debt securities        
Mortgage-backed securities(1)(2)
$97
$—
$—
$—
$97
$—
$—
$—
$—
$—
State and municipal3
—
—
—
3
—
—
—
—
—
Total OTTI credit losses recognized for HTM debt securities$100
$—
$—
$—
$100
$—
$—
$—
$—
$—


 Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsMarch 31, 2018 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Changes due to
credit-impaired
securities sold,
transferred or
matured		June 30, 2018 balance
AFS debt securities     
Mortgage-backed securities (1)
$25
$—
$—
$(24)$1
State and municipal—
—
—
—
—
Foreign government securities—
—
—
—
—
Corporate4
—
—
—
4
All other debt securities2
—
—
—
2
Total OTTI credit losses recognized for AFS debt securities$31
$—
$—
$(24)$7
HTM debt securities     
Mortgage-backed securities(2)
$—
$—
$—
$—
$—
State and municipal—
—
—
—
—
Total OTTI credit losses recognized for HTM debt securities$—
$—
$—
$—
$—
(1)Primarily consists of Alt-APrime securities.



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



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

 Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsDecember 31, 2018 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Changes due to
credit-impaired
securities sold,
transferred or
matured		June 30, 2019 balance
AFS debt securities     
Mortgage-backed securities(1)
$1
$—
$—
$—
$1
State and municipal—
—
—
—
—
Foreign government securities—
—
—
—
—
Corporate4
—
—
—
4
All other debt securities—
—
—
—
—
Total OTTI credit losses recognized for AFS debt securities$5
$—
$—
$—
$5
HTM debt securities     
Mortgage-backed securities(2)
$—
$—
$—
$—
$—
State and municipal—
—
—
—
—
Total OTTI credit losses recognized for HTM debt securities$—
$—
$—
$—
$—
Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsDec. 31, 2016 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Reductions due to
credit-impaired
securities sold,
transferred or
matured		September 30, 2017 balanceDecember 31, 2017 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired
Changes due to
credit-impaired
securities sold,
transferred or
matured(3)
June 30, 2018 balance
AFS debt securities      
Mortgage-backed securities(1)$—
$—
$—
$—
$—
$38
$—
$—
$(37)$1
State and municipal4
—
—
—
4
4
—
—
(4)—
Foreign government securities—
—
—
—
—
—
—
—
—
—
Corporate5
—
—
(1)4
4
—
—
—
4
All other debt securities22
—
2
(22)2
2
—
—
—
2
Total OTTI credit losses recognized for AFS debt securities$31
$—
$2
$(23)$10
$48
$—
$—
$(41)$7
HTM debt securities        
Mortgage-backed securities(1)(2)
$101
$—
$—
$(4)$97
$54
$—
$—
$(54)$—
State and municipal3
—
—
—
3
3
—
—
(3)—
Total OTTI credit losses recognized for HTM debt securities$104
$—
$—
$(4)$100
$57
$—
$—
$(57)$—
(1)Primarily consists of Alt-APrime securities.



 Cumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsDec. 31, 2015 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Reductions due to
credit-impaired
securities sold,
transferred or
matured		September 30, 2016 balance
AFS debt securities     
Mortgage-backed securities$—
$1
$—
$(1)$—
State and municipal12
—
—
(8)4
Foreign government securities5
—
—
(5)—
Corporate9
1
2
(6)6
All other debt securities47
—
—
(24)23
Total OTTI credit losses recognized for AFS debt securities$73
$2
$2
$(44)$33
HTM debt securities     
Mortgage-backed securities(1)
$132
$—
$—
$(26)$106
State and municipal4
1
—
(1)4
Total OTTI credit losses recognized for HTM debt securities$136
$1
$—
$(27)$110
(1)(2)Primarily consists of Alt-A securities.
(3) Includes $18 million in cumulative OTTI reclassified from HTM to AFS due to the transfer of the related debt securities from HTM to AFS. Citi adopted ASU 2017-12, Targeted Improvements to Accounting for Hedge Activities, on January 1, 2018 and transferred approximately $4 billion of HTM debt securities into AFS classification as permitted as a one-time transfer under the standard.


Non-Marketable Equity Securities Not Carried at Fair Value
Non-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost.
The election to measure a non-marketable equity security using the measurement alternative is made on an instrument-by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. The carrying value of the equity security is adjusted to fair value on the date of an observed transaction. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.
Equity securities under the measurement alternative are also assessed for impairment. On a quarterly basis, management qualitatively assesses whether each equity security under the measurement alternative is impaired. Impairment indicators that are considered include, but are not limited to, the following:

a significant deterioration in the earnings performance, credit rating, asset quality or business prospects of the investee;
a significant adverse change in the regulatory, economic or technological environment of the investee;
a significant adverse change in the general market condition of either the geographical area or the industry in which the investee operates;
a bona fide offer to purchase, an offer by the investee to sell or a completed auction process for the same or similar investment for an amount less than the carrying amount of that investment; and
factors that raise significant concerns about the investee’s ability to continue as a going concern, such as negative cash flows from operations, working capital deficiencies or noncompliance with statutory capital requirements or debt covenants.

When the qualitative assessment indicates that impairment exists, the investment is written down to fair value, with the full difference between the fair value of the investment and its carrying amount recognized in earnings.


Below is the carrying value of non-marketable equity
securities measured using the measurement alternative at June 30, 2019 and December 31, 2018:
In millions of dollarsJune 30, 2019December 31, 2018
Measurement alternative:  
Carrying value$642
$538

Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:

 
Three Months Ended
June 30,
Six Months
Ended
June 30,
In millions of dollars2019201820192018
Measurement alternative:



  
Impairment losses(1)
$3
$3
$8
$4
Downward changes for observable prices(1)
12
2
12
4
Upward changes for observable prices(1)
19
4
85
112

(1)See Note 20 to the Consolidated Financial Statements for additional information on these nonrecurring fair value measurements.

 Life-to-date amounts on securities still held
In millions of dollarsJune 30, 2019
Measurement alternative: 
Impairment losses$15
Downward changes for observable prices30
Upward changes for observable prices304



A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three and six months ended June 30, 2019 and 2018, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.

Investments in Alternative Investment Funds That Calculate Net Asset Value
The Company holds investments in certain alternative investment funds that calculate net asset value (NAV), or its equivalent, including hedge funds, private equity funds, funds
of funds and real estate funds, as provided by third-party asset managers. Investments in such funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV of the Company’s ownership interest in the funds. Some of
these investments are in “covered funds” for purposes of the Volcker
Rule, which prohibits certain proprietary investment activities and limits the ownership of, and relationships with,
covered funds. On April 21, 2017, Citi’s request for extension of the permitted holding period under the Volcker Rule for certain of its investments in illiquid funds was approved, allowing the Company to hold such investments until the earlier of 5five years from the July 21, 2017 expiration date of the general conformance period, or the date such investments mature or are otherwise conformed with the Volcker Rule.





Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
In millions of dollarsSeptember 30,
2017		December 31, 2016September 30,
2017		December 31, 2016 June 30,
2019		December 31, 2018June 30,
2019		December 31, 2018 
Hedge funds$2
$4
$—
$—
Generally quarterly10–95 days$—
$—
$—
$—
Generally quarterly10–95 days
Private equity funds(1)(2)
369
348
82
82
—158
168
62
62
—
Real estate funds (2)(3)
34
56
23
20
—12
14
18
19
—
Mutual/collective investment funds26
25
—
—
—
Total$405
$408
$105
$102
—$196
$207
$80
$81
—
(1)Private equity funds include funds that invest in infrastructure, emerging markets and venture capital.
(2)With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.
(3)Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.




13.   LOANS


Citigroup loans are reported in two categories—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 20162018 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 dollarsSeptember 30, 2017December 31, 2016
In U.S. offices  
Mortgage and real estate(1)
$67,131
$72,957
Installment, revolving credit and other3,191
3,395
Cards131,476
132,654
Commercial and industrial7,619
7,159
 $209,417
$216,165
In offices outside the U.S.  
Mortgage and real estate(1)
$43,723
$42,803
Installment, revolving credit and other26,153
24,887
Cards25,443
23,783
Commercial and industrial20,015
16,568
Lease financing77
81
 $115,411
$108,122
Total consumer loans$324,828
$324,287
Net unearned income$748
776
Consumer loans, net of unearned income$325,576
$325,063

(1)Loans secured primarily by real estate.

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


 


















Consumer Loan DelinquencyLoans, Delinquencies and Non-Accrual Details at SeptemberJune 30, 20172019
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices(5)        
Residential first mortgages(5)(6)
$48,090
$563
$286
$1,279
$50,218
$724
$985
$44,122
$480
$224
$648
$45,474
$582
$407
Home equity loans(7)(8)
15,004
223
362
—
15,589
766
—
10,028
153
223
—
10,404
476
—
Credit cards129,261
1,541
1,440
—
132,242
—
1,440
137,091
1,536
1,639
—
140,266
—
1,639
Installment and other3,456
42
15
—
3,513
21
—
3,193
40
12
—
3,245
19
—
Commercial banking9,294
38
52
—
9,384
210
11
Commercial banking loans10,655
22
13
—
10,690
139
—
Total$205,105
$2,407
$2,155
$1,279
$210,946
$1,721
$2,436
$205,089
$2,231
$2,111
$648
$210,079
$1,216
$2,046
In offices outside North America(5)       
Residential first mortgages(5)(6)
$36,796
$225
$153
$—
$37,174
$400
$—
$36,226
$207
$147
$—
$36,580
$405
$—
Credit cards24,109
433
366
—
24,908
322
251
24,188
416
371
—
24,975
302
238
Installment and other25,207
283
124
—
25,614
164
—
26,970
241
110
—
27,321
146
—
Commercial banking26,788
58
86
—
26,932
176
—
Commercial banking loans26,926
60
54
—
27,040
159
—
Total$112,900
$999
$729
$—
$114,628
$1,062
$251
$114,310
$924
$682
$—
$115,916
$1,012
$238
Total GCB and Corporate/Other consumer
$318,005
$3,406
$2,884
$1,279
$325,574
$2,783
$2,687
Other(8)
2
—
—
—
2
—
—
Total Citigroup$318,007
$3,406
$2,884
$1,279
$325,576
$2,783
$2,687
Total Citigroup(9)
$319,399
$3,155
$2,793
$648
$325,995
$2,228
$2,284
(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$20 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$0.4 billion.
(5)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(6)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(6)(7)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(7)(8)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(8)(9)
RepresentsConsumer loans classified asare net of unearned income of $713 million. Unearned income on consumer loans on the Consolidated Balance Sheetprimarily represents unamortized origination fees and costs, premiums and discounts.


During the three and six months ended June 30, 2019 and 2018, the Company sold and/or reclassified to HFS $0.4 billion and $2.3 billion and $1.9 billion and $2.8 billion, respectively, of consumer loans.



Consumer Loans, Delinquencies and Non-Accrual Details at December 31, 2018
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices(5)
       
Residential first mortgages(6)
$45,953
$420
$253
$786
$47,412
$583
$549
Home equity loans(7)(8)
11,135
161
247
—
11,543
527
—
Credit cards141,106
1,687
1,764
—
144,557
—
1,764
Installment and other3,395
43
16
—
3,454
22
—
Commercial banking loans9,662
20
46
—
9,728
109
—
Total$211,251
$2,331
$2,326
$786
$216,694
$1,241
$2,313
In offices outside North America(5)
       
Residential first mortgages(6)
$35,624
$203
$145
$—
$35,972
$383
$—
Credit cards24,131
425
370
—
24,926
312
235
Installment and other25,773
254
107
—
26,134
152
—
Commercial banking loans26,657
51
53
—
26,761
138
—
Total$112,185
$933
$675
$—
$113,793
$985
$235
Total Citigroup(9)
$323,436
$3,264
$3,001
$786
$330,487
$2,226
$2,548
(1)Loans less than 30 days past due are presented as current.
(2)Includes $20 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 notguaranteed 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 $0.6 billion.
(5)North America includes the U.S., Canada and Puerto Rico. Mexico is included in the Corporate/Otheroffices outside North America.
(6)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(7)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(8)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(9)Consumer loans are net of unearned income of $708 million. Unearned income on consumer credit metrics.loans primarily represents unamortized origination fees and costs, premiums and discounts.


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)
September 30, 2017June 30, 2019
In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Less than
680		680 to 760Greater
than 760
Residential first mortgages$2,275
$2,053
$42,682
$3,803
$12,699
$26,618
Home equity loans1,432
1,166
12,622
2,172
3,920
3,994
Credit cards8,699
11,325
108,809
31,445
57,173
49,715
Installment and other270
252
2,414
602
967
1,078
Total$12,676
$14,796
$166,527
$38,022
$74,759
$81,405

 


FICO score distribution in U.S. portfolio(1)(2)
December 31, 2016December 31, 2018

In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Less than
680
680 to 760
Greater
than 760
Residential first mortgages$2,744
$2,422
$44,279
$4,530
$13,848
$26,546
Home equity loans1,750
1,418
14,743
2,438
4,296
4,471
Credit cards8,310
11,320
110,522
32,686
58,722
51,299
Installment and other284
271
2,601
625
1,097
1,121
Total$13,088
$15,431
$172,145
$40,279
$77,963
$83,437
(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, 2019
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$40,482
$2,577
$168
Home equity loans8,635
1,079
332
Total$49,117
$3,656
$500
LTV distribution in U.S. portfolio(1)(2)
September 30, 2017
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$44,253
$2,658
$262
Home equity loans11,808
2,397
928
Total$56,061
$5,055
$1,190

LTV distribution in U.S. portfolio(1)(2)
December 31, 2016December 31, 2018
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$45,849
$3,467
$324
$42,379
$2,474
$197
Home equity loans12,869
3,653
1,305
9,465
1,287
390
Total$58,718
$7,120
$1,629
$51,844
$3,761
$587
(1)Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where LTV was not available. Such amounts are not material.





Impaired Consumer Loans

The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
 Three Months Ended 
 September 30,		Nine Months Ended September 30, Three Months Ended 
 June 30,		Six Months Ended 
 June 30,
Balance at September 30, 20172017201620172016Balance at June 30, 20192019201820192018
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$2,938
$3,161
$289
$3,383
$29
$31
$97
$135
$2,022
$2,222
$219
$2,133
$18
$21
$35
$42
Home equity loans1,169
1,636
219
1,217
7
8
21
26
652
914
124
678
2
2
4
8
Credit cards1,819
1,852
603
1,793
37
42
110
122
1,873
1,892
711
1,838
26
25
52
55
Installment and other           
Individual installment and other429
456
177
421
5
8
18
22
400
431
142
401
6
6
11
12
Commercial banking402
657
49
474
4
7
18
11
365
534
35
316
7
5
10
8
Total$6,757
$7,762
$1,337
$7,288
$82
$96
$264
$316
$5,312
$5,993
$1,231
$5,366
$59
$59
$112
$125
(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)$622414 million of residential first mortgages, $376$245 million of home equity loans and $88$9 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.
(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, 2016Balance at December 31, 2018
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Mortgage and real estate  
Residential first mortgages$3,786
$4,157
$540
$4,632
$2,130
$2,329
$178
$2,483
Home equity loans1,298
1,824
189
1,326
684
946
122
698
Credit cards1,747
1,781
566
1,831
1,818
1,842
677
1,815
Installment and other  
Individual installment and other455
481
215
475
400
434
146
414
Commercial banking513
744
98
538
252
432
55
286
Total$7,799
$8,987
$1,608
$8,802
$5,284
$5,983
$1,178
$5,696
(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)$740484 million of residential first mortgages, $406$263 million of home equity loans and $97$2 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 September 30, 2017For the Three Months Ended June 30, 2019
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
In millions of dollars, except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages1,400
$199
$1
$—
$—
—%137
$21
$—
$—
$—
—%
Home equity loans830
70
5
—
—
1
188
22
1
—
—
1
Credit cards59,285
225
—
—
—
17
63,281
273
—
—
—
17
Installment and other revolving299
2
—
—
—
6
340
3
—
—
—
6
Commercial banking(6)
33
59
—
—
—
—
12
10
—
—
—
—
Total(8)
61,847
$555
$6
$—
$—


63,958
$329
$1
$—
$—


International      
Residential first mortgages703
$25
$—
$—
$—
—%638
$17
$—
$—
$—
—%
Credit cards28,254
103
—
—
2
11
18,453
73
—
—
3
16
Installment and other revolving11,725
70
—
—
3
11
7,073
44
—
—
2
10
Commercial banking(6)
97
11
—
—
—
—
89
9
—
—
—
—
Total(8)
40,779
$209
$—
$—
$5


26,253
$143
$—
$—
$5



At and for the three months ended September 30, 2016For the Three Months Ended June 30, 2018
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
In millions of dollars, except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages1,165
$165
$1
$—
$1
1%495
$77
$1
$—
$—
—%
Home equity loans1,117
61
—
—
—
2
380
37
1
—
—
1
Credit cards51,260
199
—
—
—
18
55,459
220
—
—
—
17
Installment and other revolving1,421
12
—
—
—
14
292
2
—
—
—
5
Commercial banking(6)
30
36
—
—
—
—
17
1
—
—
—
—
Total(8)
54,993
$473
$1
$—
$1
 
56,643
$337
$2
$—
$—
 
International      
Residential first mortgages973
$24
$—
$—
$—
—%624
$22
$—
$—
$—
—%
Credit cards28,530
94
—
—
2
12
17,782
78
—
—
2
16
Installment and other revolving12,283
69
—
—
2
8
7,172
43
—
—
2
11
Commercial banking(6)
44
39
—
—
—
—
157
22
—
—
—
—
Total(8)
41,830
$226
$—
$—
$4
 
25,735
$165
$—
$—
$4
 


(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $12$5 million of residential first mortgages and $5$2 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended SeptemberJune 30, 2017.2019. These amounts include $7$3 million of residential first mortgages and $5$1 million of home equity loans that were newly classified as TDRs in the three months ended SeptemberJune 30, 2017,2019, based on previously received OCC guidance.
(3)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(4)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(6)
(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 $8 million of residential first mortgages and $3 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended June 30, 2018. These amounts include $5 million of residential first mortgages and $3 million of home equity loans that were newly classified as TDRs in the three months ended June 30, 2018, based on previously received OCC guidance.
(8)The above tables reflect activity for loans outstanding that were considered TDRs as of the end of the reporting period.

(7) Post-modification balances in North America include $17 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 September 30, 2016. These amounts include $11 million of residential first mortgages and $5 million of home equity loans that were newly classified as TDRs in the three months ended September 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 nine months ended September 30, 2017For the Six Months Ended June 30, 2019
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
In millions of dollars, except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages3,172
$445
$5
$—
$2
1%630
$95
$—
$—
$—
—%
Home equity loans2,186
185
13
—
—
1
394
42
2
—
—
1
Credit cards171,702
659
—
—
—
17
135,528
578
—
—
—
17
Installment and other revolving770
6
—
—
—
5
691
6
—
—
—
6
Commercial banking(6)
89
107
—
—
—
—
27
48
—
—
—
—
Total(8)
177,919
$1,402
$18
$—
$2


137,270
$769
$2
$—
$—
 
International      
Residential first mortgages2,071
$80
$—
$—
$—
—%1,363
$37
$—
$—
$—
—%
Credit cards82,042
286
—
—
6
12
36,946
148
—
—
6
16
Installment and other revolving34,654
194
—
—
9
9
14,625
88
—
—
3
10
Commercial banking(6)
182
30
—
—
—
—
188
41
—
—
—
—
Total(8)
118,949
$590
$—
$—
$15


53,122
$314
$—
$—
$9
 

At and for the nine months ended September 30, 2016For the Six Months Ended June 30, 2018
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
In millions of dollars, except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages3,979
$582
$4
$—
$3
1%1,083
$166
$1
$—
$—
—%
Home equity loans2,789
121
1
—
—
2
836
78
3
—
—
1
Credit cards143,161
552
—
—
—
17
118,662
464
—
—
—
17
Installment and other revolving4,187
35
—
—
—
14
634
5
—
—
—
5
Commercial banking(6)
94
47
—
—
—
—
26
2
—
—
—
—
Total(8)
154,210
$1,337
$5
$—
$3
 121,241
$715
$4
$—
$—
 
International      
Residential first mortgages2,005
$62
$—
$—
$—
—%1,173
$41
$—
$—
$—
—%
Credit cards109,365
307
—
—
7
12
41,176
173
—
—
5
16
Installment and other revolving45,125
208
—
—
6
7
16,497
102
—
—
4
10
Commercial banking(6)
117
90
—
—
—
—
302
50
—
—
—
1
Total(8)
156,612
$667
$—
$—
$13
 59,148
$366
$—
$—
$9
 


(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $42$12 million of residential first mortgages and $16$4 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the ninesix months ended SeptemberJune 30, 2017.2019. These amounts include $28$7 million of residential first mortgages and $14$3 million of home equity loans that were newly classified as TDRs in the ninesix months ended SeptemberJune 30, 2017,2019, based on previously received OCC guidance.
(3)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(4)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(6)
(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 $19 million of residential first mortgages and $7 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2018. These amounts include $13 million of residential first mortgages and $6 million of home equity loans that were newly classified as TDRs in the six months ended June 30, 2018, based on previously received OCC guidance.
(8)The above tables reflect activity for loans outstanding that were considered TDRs as of the end of the reporting period.

(7) Post-modification balances in North America include $58 million of residential first mortgages and $15 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the nine months ended September 30, 2016. These amounts include $38 million of residential first mortgages and $14 million of home equity loans that were newly classified as TDRs in the nine months ended September 30, 2016, based on previously received OCC guidance.
(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,
In millions of dollars2019201820192018
North America    
Residential first mortgages$26
$30
$50
$74
Home equity loans4
6
7
16
Credit cards73
57
144
116
Installment and other revolving1
1
2
1
Commercial banking1
13
1
21
Total$105
$107
$204
$228
International    
Residential first mortgages$4
$2
$7
$4
Credit cards36
55
75
108
Installment and other revolving19
20
37
44
Commercial banking2
9
2
10
Total$61
$86
$121
$166
 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
North America    
Residential first mortgages$57
$49
$156
$188
Home equity loans8
6
25
20
Credit cards54
43
163
139
Installment and other revolving1
3
2
7
Commercial banking—
12
2
14
Total$120
$113
$348
$368
International    
Residential first mortgages$3
$3
$8
$9
Credit cards48
41
136
115
Installment and other revolving25
24
71
70
Commercial banking—
21
—
36
Total$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 dollarsSeptember 30,
2017		December 31,
2016		June 30,
2019		December 31,
2018
In U.S. offices 
In North America offices(1)
 
Commercial and industrial$51,679
$49,586
$54,519
$52,063
Financial institutions37,203
35,517
47,610
48,447
Mortgage and real estate(1)(2)
43,274
38,691
51,321
50,124
Installment, revolving credit and other32,464
34,501
33,555
32,425
Lease financing1,493
1,518
1,385
1,429
$166,113
$159,813
In offices outside the U.S.  
Total$188,390
$184,488
In offices outside North America(1)
  
Commercial and industrial$93,107
$81,882
$98,351
$94,701
Financial institutions33,050
26,886
37,523
36,837
Mortgage and real estate(1)(2)
6,383
5,363
7,577
7,376
Installment, revolving credit and other23,830
19,965
27,333
25,684
Lease financing216
251
92
103
Governments and official institutions5,628
5,850
3,409
4,520
$162,214
$140,197
Total corporate loans$328,327
$300,010
Net unearned income$(720)$(704)
Corporate loans, net of unearned income$327,607
$299,306
Total$174,285
$169,221
Corporate loans, net of unearned income(3)
$362,675
$353,709
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($815) million and ($822) million at June 30, 2019 and December 31, 2018, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
 


The Company sold and/or reclassified to held-for-sale $0.1$0.8 billion and $0.6$1.3 billion of corporate loans during the three and ninesix months ended SeptemberJune 30, 2017,2019, respectively, and $1.3$0.4 billion and $2.6$0.5 billion during the three and ninesix months ended SeptemberJune 30, 2016,2018, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and ninesix months ended SeptemberJune 30, 20172019 or 2016.2018.



Lease financing
Citi is a lessor in the power, railcars, shipping and aircraft sectors, where the Company has executed operating, direct financing and leveraged leases. Citi’s $1.5 billion of lease financing receivables, as of June 30, 2019, is composed of approximately equal balances of direct financing lease receivables and net investments in leveraged leases. Citi uses the interest rate implicit in the lease to determine the present value of its lease financing receivables. Citi recognized $21 million and $42 million, respectively, of interest income on direct financing and leveraged leases during the three and six months ended June 30, 2019.
The Company’s leases have an average remaining maturity of approximately four years. In certain cases, Citi obtains residual value insurance from third parties and/or the lessee to manage the risk associated with the residual value of the leased assets. The receivable related to the residual value of the leased assets is approximately $0.9 billion as of June 30, 2019, while the amount covered by residual value guarantees is approximately $0.3 billion.
The Company’s operating leases, where Citi is a lessor, are not significant to the Consolidated Financial Statements.



Corporate Loan Delinquency and Non-Accrual Details at SeptemberJune 30, 20172019
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
Commercial and industrial$473
$32
$505
$1,064
$149,418
$150,987
Financial institutions245
15
260
36
82,983
83,279
Mortgage and real estate234
4
238
204
58,438
58,880
Lease financing—
19
19
—
1,458
1,477
Other159
56
215
106
63,927
64,248
Loans at fair value     3,804
Total$1,111
$126
$1,237
$1,410
$356,224
$362,675

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$208
$58
$266
$1,468
$139,508
$141,242
Financial institutions348
1
349
224
69,232
69,805
Mortgage and real estate280
9
289
169
49,176
49,634
Leases31
18
49
60
1,590
1,699
Other402
30
432
133
60,381
60,946
Loans at fair value









4,281
Purchased distressed loans









—
Total$1,269
$116
$1,385
$2,054
$319,887
$327,607


Corporate Loan Delinquency and Non-Accrual Details at December 31, 20162018
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans (4)
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
Commercial and industrial$143
$52
$195
$1,909
$127,012
$129,116
$365
$42
$407
$919
$143,960
$145,286
Financial institutions119
2
121
185
61,254
61,560
87
7
94
102
83,672
83,868
Mortgage and real estate148
137
285
139
43,607
44,031
128
5
133
215
57,116
57,464
Leases27
8
35
56
1,678
1,769
Lease financing5
10
15
—
1,516
1,531
Other349
12
361
132
58,880
59,373
151
52
203
75
62,079
62,357
Loans at fair value









3,457
   3,203
Purchased distressed loans









—
Total$786
$211
$997
$2,421
$292,431
$299,306
$736
$116
$852
$1,311
$348,343
$353,709
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Non-accrual loans generally include those loans that are ≥ 90 days or more past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest and/or principal is doubtful.
(3)Loans less than 30 days past due are presented as current.
(4)Total loans include loans at fair value, which are not included in the various delinquency columns.











Corporate Loans Credit Quality Indicators
Recorded investment in loans(1)
Recorded investment in loans(1)
In millions of dollarsSeptember 30,
2017		December 31,
2016		June 30,
2019		December 31,
2018
Investment grade(2)
  
Commercial and industrial$100,024
$87,201
$106,432
$102,722
Financial institutions58,666
50,597
72,625
73,080
Mortgage and real estate22,102
18,718
26,569
25,855
Leases1,117
1,303
Lease financing945
1,036
Other55,231
52,828
56,651
57,299
Total investment grade$237,140
$210,647
$263,222
$259,992
Non-investment grade(2)
  
Accrual  
Commercial and industrial$39,750
$39,874
$43,491
$41,645
Financial institutions10,916
10,873
10,618
10,686
Mortgage and real estate2,256
1,821
3,222
3,793
Leases522
410
Lease financing532
496
Other5,580
6,450
7,491
4,981
Non-accrual   
Commercial and industrial1,468
1,909
1,064
919
Financial institutions224
185
36
102
Mortgage and real estate169
139
204
215
Leases60
56
Lease financing—
—
Other133
132
106
75
Total non-investment grade$61,078
$61,849
$66,764
$62,912
Non-rated private bank loans managed on a delinquency basis(2)
$25,108
$23,353
$28,885
$27,602
Loans at fair value4,281
3,457
3,804
3,203
Corporate loans, net of unearned income$327,607
$299,306
$362,675
$353,709
(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:
September 30, 2017Three Months Ended 
 September 30, 2017		Nine Months Ended 
 September 30, 2017		June 30, 2019Three Months Ended 
 June 30, 2019		Six Months Ended 
 June 30, 2019
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$1,468
$1,682
$336
$1,648
$10
$20
$1,064
$1,320
$138
$1,071
$1
$15
Financial institutions224
340
27
236
—
—
36
57
9
76
—
—
Mortgage and real estate169
293
9
169
—
9
204
416
16
215
—
—
Lease financing60
60
4
62
—
—
—
—
—
—
—
—
Other133
240
1
115
1
1
106
193
40
74
—
—
Total non-accrual corporate loans$2,054
$2,615
$377
$2,230
$11
$30
$1,410
$1,986
$203
$1,436
$1
$15
December 31, 2016December 31, 2018
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Non-accrual corporate loans  
Commercial and industrial$1,909
$2,259
$362
$1,919
$919
$1,070
$183
$1,099
Financial institutions185
192
16
183
102
123
35
99
Mortgage and real estate139
250
10
174
215
323
39
233
Lease financing56
56
4
44
—
28
—
21
Other132
197
—
87
75
165
6
83
Total non-accrual corporate loans$2,421
$2,954
$392
$2,407
$1,311
$1,709
$263
$1,535
September 30, 2017December 31, 2016June 30, 2019December 31, 2018
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans with valuation allowances      
Commercial and industrial$919
$336
$1,343
$362
$452
$138
$603
$183
Financial institutions58
27
45
16
10
9
76
35
Mortgage and real estate34
9
41
10
81
16
100
39
Lease financing48
4
55
4
—
—
—
—
Other3
1
1
—
73
40
24
6
Total non-accrual corporate loans with specific allowance$1,062
$377
$1,485
$392
$616
$203
$803
$263
Non-accrual corporate loans without specific allowance      
Commercial and industrial$549
 
$566
 
$612
 
$316
 
Financial institutions166
 
140
 
26
 
26
 
Mortgage and real estate135
 
98
 
123
 
115
 
Lease financing12
 
1
 
—
 
—
 
Other130
 
131
 
33
 
51
 
Total non-accrual corporate loans without specific allowance$992
N/A
$936
N/A
$794
N/A
$508
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-three and nine-month periodssix months ended SeptemberJune 30, 20162018 was $10$13 million and $36 million.$17 million, respectively.
N/A Not applicable



Corporate Troubled Debt Restructurings


At and forFor the three months ended SeptemberJune 30, 2017:2019:
In millions of dollarsCarrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$42
$19
$—
$23
Mortgage and real estate3
—
—
3
Other6
6
—
—
Total$51
$25
$—
$26

In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$175
$99
$—
$76
Mortgage and real estate14
—
—
14
Total$189
$99
$—
$90
At and forFor the three months ended SeptemberJune 30, 2016:2018:
In millions of dollarsCarrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$39
$3
$4
$32
Mortgage and real estate2
—
—
2
Total$41
$3
$4
$34

For the six months ended June 30, 2019:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Carrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$112
$103
$2
$7
$58
$19
$—
$39
Financial institutions10
10
—
—
Mortgage and real estate2
1
—
1
7
—
—
7
Other6
6
—
—
Total$124
$114
$2
$8
$71
$25
$—
$46
At and forFor the ninesix months ended SeptemberJune 30, 2017:2018:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$463
$131
$—
$332
Financial institutions15
—
—
15
Mortgage and real estate18
—
—
18
Total$496
$131
$—
$365
At and for the nine months ended September 30, 2016:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Carrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$316
$176
$34
$106
$41
$3
$4
$34
Financial institutions10
10
—
—
Mortgage and real estate7
1
—
6
3
—
—
3
Other142
—
142
—
Total$475
$187
$176
$112
$44
$3
$4
$37
(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.
  TDR loans in payment default TDR loans in payment default
In millions of dollarsTDR balances at June 30, 2019
Three Months Ended
June 30, 2019
Six Months Ended
June 30, 2019
TDR balances at
June 30, 2018
Three Months Ended
June 30, 2018
Six Months Ended
June 30, 2018
Commercial and industrial$424
$19
$19
$440
$11
$70
Financial institutions10
—
—
34
—
—
Mortgage and real estate112
—
—
87
—
—
Other6
—
—
37
—
—
Total(1)
$552
$19
$19
$598
$11
$70

In millions of dollarsTDR 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$686
$—
$12
$394
$—
$7
Loans to financial institutions24
—
3
10
—
—
Mortgage and real estate84
—
—
80
—
—
Other155
—
—
291
—
—
Total(1)
$949
$—
$15
$775
$—
$7


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










14. ALLOWANCE FOR CREDIT LOSSES
Three Months Ended September 30,Nine Months Ended 
 September 30,		Three Months Ended June 30,Six Months Ended 
 June 30,
In millions of dollars20172016201720162019201820192018
Allowance for loan losses at beginning of period$12,025
$12,304
$12,060
$12,626
$12,329
$12,354
$12,315
$12,355
Gross credit losses(2,120)(1,948)(6,394)(6,139)(2,354)(2,109)(4,699)(4,405)
Gross recoveries(1)
343
423
1,198
1,274
391
405
788
834
Net credit losses (NCLs)$(1,777)$(1,525)$(5,196)$(4,865)$(1,963)$(1,704)$(3,911)$(3,571)
NCLs$1,777
$1,525
$5,196
$4,865
$1,963
$1,704
$3,911
$3,571
Net reserve builds419
258
466
210
Net specific reserve releases(50)(37)(175)(53)
Net reserve builds (releases)53
31
120
133
Net specific reserve builds (releases)73
60
2
(106)
Total provision for loan losses$2,146
$1,746
$5,487
$5,022
$2,089
$1,795
$4,033
$3,598
Other, net (see table below)(28)(86)15
(344)11
(319)29
(256)
Allowance for loan losses at end of period$12,366
$12,439
$12,366
$12,439
$12,466
$12,126
$12,466
$12,126
Allowance for credit losses on unfunded lending commitments at beginning of period$1,406
$1,432
$1,418
$1,402
$1,391
$1,290
$1,367
$1,258
Release for unfunded lending commitments(175)(45)(190)(4)
Provision (release) for unfunded lending commitments(15)(4)9
24
Other, net1
1
4
(10)—
(8)—
(4)
Allowance for credit losses on unfunded lending commitments at end of period(2)
$1,232
$1,388
$1,232
$1,388
$1,376
$1,278
$1,376
$1,278
Total allowance for loans, leases and unfunded lending commitments$13,598
$13,827
$13,598
$13,827
$13,842
$13,404
$13,842
$13,404


(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,
In millions of dollars2019201820192018
Sales or transfers of various consumer loan portfolios to HFS    
Transfer of real estate loan portfolios$(4)$(33)$(4)$(86)
Transfer of other loan portfolios—
(104)—
(106)
Sales or transfers of various consumer loan portfolios to HFS$(4)$(137)$(4)$(192)
FX translation, consumer13
(164)39
(46)
Other2
(18)(6)(18)
Other, net$11
$(319)$29
$(256)

Other, net detailsThree Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars2017201620172016
Sales or transfers of various consumer loan portfolios to held-for-sale    
Transfer of real estate loan portfolios$(28)$(50)$(84)$(103)
Transfer of other loan portfolios(6)(8)(130)(204)
Sales or transfers of various consumer loan portfolios to held-for-sale$(34)$(58)$(214)$(307)
FX translation, consumer7
(46)221
(58)
Other(1)18
8
21
Other, net$(28)$(86)$15
$(344)




Allowance for Credit Losses and Investment inEnd-of-Period Loans
Three Months EndedThree Months Ended
September 30, 2017September 30, 2016June 30, 2019June 30, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,510
$9,515
$12,025
$2,872
$9,432
$12,304
$2,303
$10,026
$12,329
$2,315
$10,039
$12,354
Charge-offs(49)(2,071)(2,120)(63)(1,885)(1,948)(83)(2,271)(2,354)(20)(2,089)(2,109)
Recoveries6
337
343
23
400
423
13
378
391
22
383
405
Replenishment of net charge-offs43
1,734
1,777
40
1,485
1,525
70
1,893
1,963
(2)1,706
1,704
Net reserve builds (releases)(60)479
419
(110)368
258
38
15
53
(30)61
31
Net specific reserve builds (releases)21
(71)(50)(1)(36)(37)9
64
73
63
(3)60
Other3
(31)(28)5
(91)(86)3
8
11
(18)(301)(319)
Ending balance$2,474
$9,892
$12,366
$2,766
$9,673
$12,439
$2,353
$10,113
$12,466
$2,330
$9,796
$12,126






Nine Months EndedSix Months Ended
September 30, 2017September 30, 2016June 30, 2019June 30, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,702
$9,358
$12,060
$2,791
$9,835
$12,626
$2,365
$9,950
$12,315
$2,486
$9,869
$12,355
Charge-offs(248)(6,146)(6,394)(445)(5,694)(6,139)(156)(4,543)(4,699)(159)(4,246)(4,405)
Recoveries91
1,107
1,198
52
1,222
1,274
30
758
788
65
769
834
Replenishment of net charge-offs157
5,039
5,196
393
4,472
4,865
126
3,785
3,911
94
3,477
3,571
Net reserve builds (releases)(230)696
466
(122)332
210
45
75
120
(49)182
133
Net specific reserve builds (releases)(18)(157)(175)89
(142)(53)(52)54
2
(92)(14)(106)
Other20
(5)15
8
(352)(344)(5)34
29
(15)(241)(256)
Ending balance$2,474
$9,892
$12,366
$2,766
$9,673
$12,439
$2,353
$10,113
$12,466
$2,330
$9,796
$12,126



 June 30, 2019December 31, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
   
Collectively evaluated in accordance with ASC 450$2,150
$8,881
$11,031
$2,102
$8,770
$10,872
Individually evaluated in accordance with ASC 310-10-35203
1,231
1,434
263
1,178
1,441
Purchased credit impaired in accordance with ASC 310-30—
1
1
—
2
2
Total allowance for loan losses$2,353
$10,113
$12,466
$2,365
$9,950
$12,315
Loans, net of unearned income      
Collectively evaluated in accordance with ASC 450$357,487
$320,540
$678,027
$349,292
$325,055
$674,347
Individually evaluated in accordance with ASC 310-10-351,384
5,312
6,696
1,214
5,284
6,498
Purchased credit impaired in accordance with ASC 310-30—
123
123
—
128
128
Held at fair value3,804
20
3,824
3,203
20
3,223
Total loans, net of unearned income$362,675
$325,995
$688,670
$353,709
$330,487
$684,196







 September 30, 2017December 31, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
   
Collectively evaluated in accordance with ASC 450$2,098
$8,550
$10,648
$2,310
$7,744
$10,054
Individually evaluated in accordance with ASC 310-10-35376
1,337
1,713
392
1,608
2,000
Purchased credit-impaired in accordance with ASC 310-30—
5
5
—
6
6
Total allowance for loan losses$2,474
$9,892
$12,366
$2,702
$9,358
$12,060
Loans, net of unearned income     

Collectively evaluated in accordance with ASC 450$321,239
$318,615
$639,854
$293,294
$317,048
$610,342
Individually evaluated in accordance with ASC 310-10-352,087
6,757
8,844
2,555
7,799
10,354
Purchased credit-impaired in accordance with ASC 310-30—
177
177
—
187
187
Held at fair value4,281
27
4,308
3,457
29
3,486
Total loans, net of unearned income$327,607
$325,576
$653,183
$299,306
$325,063
$624,369








15.   GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in Goodwill were as follows:
In millions of dollarsGlobal Consumer BankingInstitutional Clients GroupTotal
Balance at December 31, 2018$12,743
$9,303
$22,046
Foreign currency translation—
(9)(9)
Balance at March 31, 2019$12,743
$9,294
$22,037
Foreign exchange translation$(15)$43
$28
Balance at June 30, 2019$12,728
$9,337
$22,065


There were no triggering events identified and no goodwill was impaired during the three and six months ended June 30, 2019.
Goodwill impairment testing is performed at the level below each business segment (referred to as a reporting
unit). See Note 3 for further information on business

segments. For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 16 to the Consolidated Financial Statements in Citi’s 20162018 Annual Report on Form 10-K.


Goodwill
The changes in Goodwill were as follows:
In millions of dollars 
Balance, December 31, 2016$21,659
Foreign exchange translation and other$634
Impairment of goodwill (1)
(28)
Balance at March 31, 2017$22,265
Foreign exchange translation and other$156
Impairment of goodwill—
Divestitures (2)
(72)
Balance at June 30, 2017$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 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.
For additional information on transfer of goodwill and results of interim testing performed during the first half of 2017, see Note 15 in Citi’s Second Quarter of 2017 Form 10-Q.
The Company performed its annual goodwill impairment test as of July 1, 2017. The fair values of the Company’s reporting units exceeded their carrying values and did not indicate a risk of impairment, except for Citi Holdings—Consumer Latin America reporting unit.
Citi Holdings—Consumer Latin America reporting unit only marginally exceeded its carrying 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 September 30, 2017 was 103%. There were no other triggering events identified during the third quarter of 2017.
The following table shows reporting units with goodwill balances as of September 30, 2017 and the fair value as a percentage of allocated book value as of the 2017 annual goodwill impairment test:

In millions of dollars  
Reporting unitGoodwillFair value as a % of allocated book value
North America Global Consumer Banking$6,732
157%
Asia Global Consumer Banking 
4,893
143
Latin America Global Consumer Banking1,174
191
ICG—Banking
2,986
268
ICG—Markets and Securities Services
6,544
132
Citi Holdings—Consumer Latin America(1)
16
103
Total as of September 30, 2017$22,345



(1)
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, 2019December 31, 2018
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$5,666
$3,964
$1,702
$5,733
$3,936
$1,797
Credit card contract-related intangibles(1)
5,375
2,959
2,416
5,225
2,791
2,434
Core deposit intangibles428
427
1
419
415
4
Other customer relationships465
302
163
470
299
171
Present value of future profits33
30
3
32
29
3
Indefinite-lived intangible assets222
—
222
218
—
218
Other82
71
11
84
75
9
Intangible assets (excluding MSRs)$12,271
$7,753
$4,518
$12,181
$7,545
$4,636
Mortgage servicing rights (MSRs)(2)
508
—
508
584
—
584
Total intangible assets$12,779
$7,753
$5,026
$12,765
$7,545
$5,220
 September 30, 2017December 31, 2016
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$5,377
$3,798
$1,579
$8,215
$6,549
$1,666
Credit card contract related intangibles(1)
5,045
2,357
2,688
5,149
2,177
2,972
Core deposit intangibles670
656
14
801
771
30
Other customer relationships462
269
193
474
272
202
Present value of future profits35
31
4
31
27
4
Indefinite-lived intangible assets232
—
232
210
—
210
Other113
91
22
504
474
30
Intangible assets (excluding MSRs)$11,934
$7,202
$4,732
$15,384
$10,270
$5,114
Mortgage servicing rights (MSRs)(2)
553
—
553
1,564
—
1,564
Total intangible assets$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
In millions of dollarsDecember 31,
2016
Acquisitions/
divestitures
AmortizationFX translation and otherSeptember 30,
2017
Purchased credit card relationships$1,666
$20
$(109)$2
$1,579
Credit card contract related intangibles(1)
2,972
9
(295)2
2,688
Core deposit intangibles30
—
(18)2
14
Other customer relationships202
—
(17)8
193
Present value of future profits4
—
—
—
4
Indefinite-lived intangible assets210
—
—
22
232
Other30
(14)(11)17
22
Intangible assets (excluding MSRs)$5,114
$15
$(450)$53
$4,732
Mortgage servicing rights (MSRs)(2)
1,564
   553
Total intangible assets$6,678
   $5,285

(1)Primarily reflects contract-related intangibles associated with the American Airlines, Sears, The Home Depot, Costco, Sears and AT&T credit card program agreements, which represented 97% of the aggregate net carrying amount as of June 30, 2019 and December 31, 2018.
(2)For additional information on Citi’s MSRs, see Note 18 to the Consolidated Financial Statements.



The changes in intangible assets were as follows:
 Net carrying
amount at		   
Net carrying
amount at
In millions of dollarsDecember 31,
2018
Acquisitions/
divestitures
AmortizationFX translation and otherJune 30,
2019
Purchased credit card relationships(1)
$1,797
$—
$(95)$—
$1,702
Credit card contract-related intangibles(2)
2,434
—
(168)150
2,416
Core deposit intangibles4
—
(4)1
1
Other customer relationships171
—
(12)4
163
Present value of future profits3
—
—
—
3
Indefinite-lived intangible assets218
—
—
4
222
Other9
—
(5)7
11
Intangible assets (excluding MSRs)$4,636
$—
$(284)$166
$4,518
Mortgage servicing rights (MSRs)(3)
584
   508
Total intangible assets$5,220
   $5,026
(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract intangibles and include credit card accounts primarily in the Costco, Macy’s and Sears portfolios.
(2)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco, Sears and AT&T credit card program agreements, which represented 97% of the aggregate net carrying amount at SeptemberJune 30, 20172019 and December 31, 2016.2018.
(2)(3)For additional information on Citi’s MSRs, including the rollforward for the ninesix months ended SeptemberJune 30, 2017,2019, 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 20162018 Annual Report on Form 10-K.


Short-Term Borrowings
In millions of dollarsJune 30,
2019		December 31,
2018
Commercial paper 
Bank(1)
$12,895
$13,238
Broker-dealer and other(2)
4,231
—
Total commercial paper$17,126
$13,238
Other borrowings(3)
25,316
19,108
Total$42,442
$32,346

In millions of dollarsSeptember 30,
2017		December 31,
2016
Commercial paper$10,033
$9,989
Other borrowings(1)
28,116
20,712
Total$38,149
$30,701


(1)Represents Citibank entities as well as other bank entities.
(2)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.
(3)Includes borrowings from Federal Home Loan Banks and other market participants. At SeptemberJune 30, 20172019 and December 31, 2016,2018, collateralized short-term advances from the Federal Home Loan Banks were $16.6$15.5 billion and $12.0$9.5 billion, respectively.


 


Long-Term Debt
In millions of dollarsSeptember 30,
2017		December 31, 2016June 30,
2019		December 31, 2018
Citigroup Inc.(1)
$151,914
$147,333
$152,141
$143,767
Bank(2)
62,078
49,454
62,619
61,237
Broker-dealer and other(3)
18,681
9,391
37,429
26,995
Total$232,673
$206,178
$252,189
$231,999


(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At SeptemberJune 30, 20172019 and December 31, 2016,2018, collateralized long-term advances from the Federal Home Loan Banks were $19.8$7.7 billion and $21.6$10.5 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 SeptemberJune 30, 20172019 and December 31, 2016.2018.




The following table summarizes Citi’s outstanding trust preferred securities at SeptemberJune 30, 2017:2019:
    Junior subordinated debentures owned by trust    Junior subordinated debentures owned by trust
Trust
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
In millions of dollars, except share amounts








In millions of dollars, except securities and share amounts
In millions of dollars, except securities and share amounts








Citigroup Capital IIIDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemableDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemable
Citigroup Capital XIIISept. 201089,840,000
2,246
3 mo LIBOR + 637 bps
1,000
2,246
Oct. 30, 2040Oct. 30, 2015Sept. 201089,840,000
2,246
3 mo LIBOR + 637 bps
1,000
2,246
Oct. 30, 2040Oct. 30, 2015
Citigroup Capital XVIIIJune 200799,901
134
3 mo LIBOR + 88.75 bps
50
134
June 28, 2067June 28, 2017Jun. 200799,901
127
3 mo LIBOR + 88.75 bps
50
127
Jun. 28, 2067June 28, 2017
Total obligated  
$2,574
  $2,580
   
$2,567
  $2,573
 


Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and Citigroup Capital XVIII and quarterly for Citigroup Capital XIII.
(1)Represents the notional value received by outside investors from the trusts at the time of issuance.
(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 SeptemberJune 30, 20172019
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 debt securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)
Balance, June 30, 2017$(102)$(496)$(445)$(5,311)$(23,545)$(29,899)
Balance, March 31, 2019$(1,115)$(379)$(442)$(6,321)$(28,012)$(39)$(36,308)
Other comprehensive income before reclassifications60
(125)(27)(71)218
55
1,050
(14)414
(305)91
44
1,280
Increase (decrease) due to amounts reclassified from AOCI(126)2
35
42
—
(47)(347)17
103
52
—
—
(175)
Change, net of taxes$(66)$(123)$8
$(29)$218
$8
$703
$3
$517
$(253)$91
$44
$1,105
Balance at September 30, 2017$(168)$(619)$(437)$(5,340)$(23,327)$(29,891)
Balance at June 30, 2019$(412)$(376)$75
$(6,574)$(27,921)$5
$(35,203)
NineSix Months Ended SeptemberJune 30, 20172019
In millions of dollarsNet
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on debt securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2016$(799)$(352)$(560)$(5,164)$(25,506)$(32,381)
Adjustment to opening balance, net of taxes(4)
504
—
—
—
—
504
Adjusted balance, beginning of period$(295)$(352)$(560)$(5,164)$(25,506)$(31,877)
Balance, December 31, 2018$(2,250)$192
$(728)$(6,257)$(28,070)$(57)$(37,170)
Other comprehensive income before reclassifications495
(259)59
(293)2,326
2,328
2,276
(589)600
(415)149
62
2,083
Increase (decrease) due to amounts reclassified from AOCI(368)(8)64
117
(147)(342)(438)21
203
98
—
—
(116)
Change, net of taxes
$127
$(267)$123
$(176)$2,179
$1,986
$1,838
$(568)$803
$(317)$149
$62
$1,967
Balance at September 30, 2017$(168)$(619)$(437)$(5,340)$(23,327)$(29,891)
Balance, June 30, 2019$(412)$(376)$75
$(6,574)$(27,921)$5
$(35,203)
Note: Footnotes to the tables above appear on the following page.



Three Months Ended SeptemberJune 30, 20162018
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)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded Component of fair value hedges (5)
Accumulated
other
comprehensive income (loss)
Balance, June 30, 2016$2,054
$190
$(149)$(5,608)$(22,602)$(26,115)
Balance, March 31, 2018$(2,219)$(793)$(920)$(6,095)$(24,588)$(4)$(34,619)
Other comprehensive income before reclassifications(270)(197)(136)(28)(375)(1,006)(433)316
(36)261
(2,867)(28)(2,787)
Increase (decrease) due to amounts reclassified from AOCI(162)(3)53
40
—
(72)(65)2
(65)40
—
—
(88)
Change, net of taxes
$(432)$(200)$(83)$12
$(375)$(1,078)$(498)$318
$(101)$301
$(2,867)$(28)$(2,875)
Balance, September 30, 2016$1,622
$(10)$(232)$(5,596)$(22,977)$(27,193)
Balance at June 30, 2018$(2,717)$(475)$(1,021)$(5,794)$(27,455)$(32)$(37,494)
NineSix Months Ended SeptemberJune 30, 20162018
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)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded Component of fair value hedges (5)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2015$(907)$—
$(617)$(5,116)$(22,704)$(29,344)
Balance, December 31, 2017$(1,158)$(921)$(698)$(6,183)$(25,708)$—
$(34,668)
Adjustment to opening balance, net of taxes (5)(6)
—
(15)—
—
—
(15)(3)—
—
—
—
—
(3)
Adjusted balance, beginning of period$(907)$(15)$(617)$(5,116)$(22,704)$(29,359)$(1,161)$(921)$(698)$(6,183)$(25,708)$—
$(34,671)
Other comprehensive income before reclassifications2,781
11
270
(594)(273)2,195
(1,383)417
(279)302
(1,747)(32)(2,722)
Increase (decrease) due to amounts reclassified from AOCI(252)(6)115
114
—
(29)(173)29
(44)87
—
—
(101)
Change, net of taxes$2,529
$5
$385
$(480)$(273)$2,166
$(1,556)$446
$(323)$389
$(1,747)$(32)$(2,823)
Balance, September 30, 2016$1,622
$(10)$(232)$(5,596)$(22,977)$(27,193)
Balance at June 30, 2018$(2,717)$(475)$(1,021)$(5,794)$(27,455)$(32)$(37,494)
(1)Changes in DVA are reflected as a component of AOCI, pursuant to the adoption of the provisions of ASU 2016-01 relating to the presentation of DVA on fair value options liabilities. See Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
(2)Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(2)(3)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s Significantsignificant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.
(3)(4)Primarily reflects the movements in (by order of impact) the Japanese Yen, Mexican Peso, Euro British pound, Chilean peso, and Brazilian realPolish Zloty against the U.S. dollar and changes in related tax effects and hedges for the quarterthree months ended SeptemberJune 30, 2017.2019. Primarily reflects the movements in (by order of impact) the Mexican peso, Euro, Korean won,Peso, Canadian Dollar, Chilean Peso, and Polish zlotyRussian Ruble against the U.S. dollar and changes in related tax effects and hedges for the quarter ninesix months ended SeptemberJune 30, 2017.2019. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Euro, and Korean won, Japanese yen,Won against the U.S. dollar and Australian dollarchanges in related tax effects and hedges for the quarterthree months ended SeptemberJune 30, 2016.2018. Primarily reflects the movements in (by order of impact) the Mexican peso, Japanese yen, Brazilian real, Indian Rupee, Argentine peso, and Korean won against the U.S. dollar and changes in related tax effects and hedges for the quarter and ninesix months ended SeptemberJune 30, 2016.
(4)
In2018. Amounts recorded in the second quarterCTA component 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, forAOCI remain in AOCI until the incremental amortizationsale or substantial liquidation of cumulative fair value hedge adjustments on callable state and municipal debt securities.  For additional information, see Note 1the foreign entity, at which point such amounts related to the Consolidated Financial Statements.
foreign entity are reclassified into earnings.
(5)
Beginning in the first quarter of 2016,2018, changes in DVAthe excluded component of fair value hedges are reflected as a component of AOCI, pursuant to the early adoption of only the provisions of ASU 2016-01 relating2017-12, Targeted Improvements to the presentation of DVA on fair value option liabilities.Accounting for Hedging Activities. See Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K 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 September 30, 2017
In millions of dollarsPretaxTax effectAfter-tax
Balance, June 30, 2017$(39,106)$9,207
$(29,899)
Change in net unrealized gains (losses) on investment securities(107)41
(66)
Debt valuation adjustment (DVA)(195)72
(123)
Cash flow hedges12
(4)8
Benefit plans(45)16
(29)
Foreign currency translation adjustment285
(67)218
Change$(50)$58
$8
Balance, September 30, 2017$(39,156)$9,265
$(29,891)

Nine Months Ended September 30, 2017
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2016$(42,035)$9,654
$(32,381)
Adjustment to opening balance (1)
803
(299)504
Adjusted balance, beginning of period$(41,232)$9,355
$(31,877)
Change in net unrealized gains (losses) on investment securities194
(67)127
Debt valuation adjustment (DVA)(422)155
(267)
Cash flow hedges198
(75)123
Benefit plans(266)90
(176)
Foreign currency translation adjustment2,372
(193)2,179
Change$2,076
$(90)$1,986
Balance, September 30, 2017$(39,156)$9,265
$(29,891)
(1)(6)
In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees2016-01 and Other Costs (Subtopic 310-20): Premium AmortizationASU 2018-03 on Purchased Callable Debt Securities.  January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to reduce retainedRetained earnings effective January 1, 2017, for the incremental amortization of cumulative fair value hedge adjustmentsnet unrealized gains on callable state and municipal debtformer AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements.Statements in Citi’s 2018 Annual Report on Form 10-K.





The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three Months Ended SeptemberJune 30, 20162019
In millions of dollarsPretaxTax effectAfter-taxPretaxTax effectAfter-tax
Balance, June 30, 2016$(33,714)$7,599
$(26,115)
Change in net unrealized gains (losses) on investment securities(686)254
(432)
Balance, March 31, 2019$(42,904)$6,596
$(36,308)
Change in net unrealized gains (losses) on debt securities936
(233)703
Debt valuation adjustment (DVA)(319)119
(200)3
—
3
Cash flow hedges(131)48
(83)680
(163)517
Benefit plans11
1
12
(329)76
(253)
Foreign currency translation adjustment(313)(62)(375)83
8
91
Excluded component of fair value hedges59
(15)44
Change$(1,438)$360
$(1,078)$1,432
$(327)$1,105
Balance, September 30, 2016$(35,152)$7,959
$(27,193)
Balance, June 30, 2019$(41,472)$6,269
$(35,203)
Six Months Ended June 30,2019
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2018$(44,082)$6,912
$(37,170)
Change in net unrealized gains (losses) on debt securities2,436
(598)1,838
Debt valuation adjustment (DVA)(722)154
(568)
Cash flow hedges1,058
(255)803
Benefit plans(397)80
(317)
Foreign currency translation adjustment152
(3)149
Excluded component of fair value hedges83
(21)62
Change$2,610
$(643)$1,967
Balance, June 30, 2019$(41,472)$6,269
$(35,203)


Nine
Three Months Ended SeptemberJune 30, 20162018
In millions of dollarsPretax
Tax effect(1)
After-tax
Balance, March 31, 2018$(41,519)$6,900
$(34,619)
Change in net unrealized gains (losses) on debt securities(671)173
(498)
Debt valuation adjustment (DVA)418
(100)318
Cash flow hedges(132)31
(101)
Benefit plans403
(102)301
Foreign currency translation adjustment(2,869)2
(2,867)
Excluded component of fair value hedges(37)9
(28)
Change$(2,888)$13
$(2,875)
Balance, June 30, 2018$(44,407)$6,913
$(37,494)

Six Months Ended June 30, 2018
In millions of dollarsPretaxTax effectAfter-taxPretax
Tax effect(1)
After-tax
Balance, December 31, 2015$(38,440)$9,096
$(29,344)
Balance, December 31, 2017(1)
$(41,228)$6,560
$(34,668)
Adjustment to opening balance (1)(2)
(26)11
(15)(4)1
(3)
Adjusted balance, beginning of period$(38,466)$9,107
$(29,359)$(41,232)$6,561
$(34,671)
Change in net unrealized gains (losses) on investment securities4,020
(1,491)2,529
Change in net unrealized gains (losses) on debt securities(2,051)495
(1,556)
Debt valuation adjustment (DVA)8
(3)5
585
(139)446
Cash flow hedges607
(222)385
(422)99
(323)
Benefit plans(747)267
(480)494
(105)389
Foreign currency translation adjustment(574)301
(273)(1,739)(8)(1,747)
Excluded component of fair value hedges(42)10
(32)
Change$3,314
$(1,148)$2,166
$(3,175)$352
$(2,823)
Balance, September 30, 2016$(35,152)$7,959
$(27,193)
Balance, June 30, 2018$(44,407)$6,913
$(37,494)
(1)Represents
Includes the ($15) million adjustment relatedimpact of ASU 2018-02, which transferred amounts from AOCI to Retained earnings. For additional information, see Note 19 to the initialConsolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
(2)
Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, of ASU 2016-01. Seea cumulative effect adjustment was recorded from AOCI to Retained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements.Statements in Citi’s 2018 Annual Report on Form 10-K.










The Company recognized pretax gain (loss)gains (losses) 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 Income
Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income
Three Months Ended September 30,Nine Months Ended September 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2017201720192019
Realized (gains) losses on sales of investments$(213)$(626)$(468)$(598)
OTTI gross impairment losses15
47
Gross impairment losses2
5
Subtotal, pretax$(198)$(579)$(466)$(593)
Tax effect72
211
119
155
Net realized (gains) losses on investment securities, after-tax(1)
$(126)$(368)
Net realized (gains) losses on investments after-tax(1)
$(347)$(438)
Realized DVA (gains) losses on fair value option liabilities$3
$(13)$22
$27
Subtotal, pretax$3
$(13)$22
$27
Tax effect(1)5
(5)(6)
Net realized debt valuation adjustment, after-tax$2
$(8)$17
$21
Interest rate contracts$48
$94
$134
$264
Foreign exchange contracts7
8
2
4
Subtotal, pretax$55
$102
$136
$268
Tax effect(20)(38)(33)(65)
Amortization of cash flow hedges, after-tax(2)
$35
$64
$103
$203
Amortization of unrecognized   
Prior service cost (benefit)$(10)$(32)$(2)$(6)
Net actuarial loss70
203
69
134
Curtailment/settlement impact(3)
5
12
2
2
Subtotal, pretax$65
$183
$69
$130
Tax effect(23)(66)(17)(32)
Amortization of benefit plans, after-tax(3)
$42
$117
$52
$98
Foreign currency translation adjustment$—
$(232)$—
$—
Tax effect—
85
—
—
Foreign currency translation adjustment$—
$(147)$—
$—
Total amounts reclassified out of AOCI, pretax$(75)$(539)$(239)$(168)
Total tax effect28
197
64
52
Total amounts reclassified out of AOCI, after-tax$(47)$(342)$(175)$(116)
(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on in 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)gains (losses) 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 Income
Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income
Three Months Ended September 30,Nine Months Ended September 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars201620162018
Realized (gains) losses on sales of investments$(287)$(673)$(102)$(272)
OTTI gross impairment losses32
283
15
43
Subtotal, pretax$(255)$(390)$(87)$(229)
Tax effect93
138
22
56
Net realized (gains) losses on investment securities, after-tax(1)
$(162)$(252)$(65)$(173)
Realized DVA (gains) losses on fair value option liabilities$(5)$(10)$2
$37
Subtotal, pretax$(5)$(10)$2
$37
Tax effect$2
$4
—
(8)
Net realized debt valuation adjustment, after-tax$(3)$(6)$2
$29
Interest rate contracts$39
$96
$(82)$(51)
Foreign exchange contracts46
89
(4)(6)
Subtotal, pretax$85
$185
$(86)$(57)
Tax effect(32)(70)21
13
Amortization of cash flow hedges, after-tax(2)
$53
$115
$(65)$(44)
Amortization of unrecognized   
Prior service cost (benefit)$(10)$(31)$(11)$(22)
Net actuarial loss73
208
64
133
Curtailment/settlement impact(3)
8
9
2
6
Subtotal, pretax$71
$186
$55
$117
Tax effect(31)(72)(15)(30)
Amortization of benefit plans, after-tax(3)
$40
$114
$40
$87
Foreign currency translation adjustment$—
$—
$—
$—
Tax effect—
—
Foreign currency translation adjustment$—
$—
Total amounts reclassified out of AOCI, pretax$(104)$(29)$(116)$(132)
Total tax effect32
—
28
31
Total amounts reclassified out of AOCI, after-tax$(72)$(29)$(88)$(101)


(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on in 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 20162018 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, 2019
    
Maximum exposure to loss in significant unconsolidated VIEs(1)
    
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$43,090
$43,090
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
        
U.S. agency-sponsored114,735
—
114,735
2,920
—
—
71
2,991
Non-agency-sponsored35,021
1,337
33,684
757
—
—
1
758
Citi-administered asset-backed commercial paper conduits16,419
16,419
—
—
—
—
—
—
Collateralized loan obligations (CLOs)19,062
—
19,062
4,945
—
—
8
4,953
Asset-based financing144,436
660
143,776
24,532
842
9,873
—
35,247
Municipal securities tender option bond trusts (TOBs)7,841
1,623
6,218
13
—
4,085
—
4,098
Municipal investments18,479
—
18,479
2,620
4,081
2,809
—
9,510
Client intermediation1,183
955
228
169
—
—
—
169
Investment funds1,054
264
790
15
—
20
—
35
Other369
2
367
213
—
15
—
228
Total$401,689
$64,350
$337,339
$36,184
$4,923
$16,802
$80
$57,989
 As of September 30, 2017
    
Maximum exposure to loss in significant unconsolidated VIEs(1)
    
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$49,739
$49,739
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
        
U.S. agency-sponsored(5)
116,257
—
116,257
2,528
—
—
63
2,591
Non-agency-sponsored21,123
932
20,191
280
36
—
1
317
Citi-administered asset-backed commercial paper conduits (ABCP)19,298
19,298
—
—
—
—
—
—
Collateralized loan obligations (CLOs)19,182
—
19,182
5,690
—
—
9
5,699
Asset-based financing51,393
672
50,721
15,412
599
5,016
—
21,027
Municipal securities tender option bond trusts (TOBs)6,777
2,178
4,599
13
—
3,063
—
3,076
Municipal investments17,830
11
17,819
2,627
3,855
2,345
—
8,827
Client intermediation2,664
1,131
1,533
782
—
491
6
1,279
Investment funds2,058
762
1,296
28
8
15
2
53
Other943
33
910
133
9
38
47
227
Total$307,264
$74,756
$232,508
$27,493
$4,507
$10,968
$128
$43,096

As of December 31, 2016As of December 31, 2018
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Funded exposures(2)
Unfunded exposures  
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$50,171
$50,171
$—
$—
$—
$—
$—
$—
$46,232
$46,232
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
     
U.S. agency-sponsored214,458
—
214,458
3,852
—
—
78
3,930
116,563
—
116,563
3,038
—
—
60
3,098
Non-agency-sponsored15,965
1,092
14,873
312
35
—
1
348
30,886
1,498
29,388
431
—
—
1
432
Citi-administered asset-backed commercial paper conduits (ABCP)19,693
19,693
—
—
—
—
—
—
Citi-administered asset-backed commercial paper conduits18,750
18,750
—
—
—
—
—
—
Collateralized loan obligations (CLOs)18,886
—
18,886
5,128
—
—
62
5,190
21,837
—
21,837
5,891
—
—
9
5,900
Asset-based financing53,168
733
52,435
16,553
475
4,915
—
21,943
99,433
628
98,805
21,640
715
9,757
—
32,112
Municipal securities tender option bond trusts (TOBs)7,070
2,843
4,227
40
—
2,842
—
2,882
7,998
1,776
6,222
9
—
4,262
—
4,271
Municipal investments17,679
14
17,665
2,441
3,578
2,580
—
8,599
18,044
3
18,041
2,813
3,922
2,738
—
9,473
Client intermediation515
371
144
49
—
—
3
52
858
614
244
172
—
—
2
174
Investment funds2,788
767
2,021
32
120
27
3
182
1,272
440
832
12
—
1
1
14
Other1,429
607
822
116
11
58
43
228
63
3
60
37
—
23
—
60
Total$401,822
$76,291
$325,531
$28,523
$4,219
$10,422
$190
$43,354
$361,936
$69,944
$291,992
$34,043
$4,637
$16,781
$73
$55,534


(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)Included on Citigroup’s SeptemberJune 30, 20172019 and December 31, 20162018 Consolidated Balance Sheet.
(3)A significant unconsolidated VIE is an entity wherein which the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss.
(4)Citigroup mortgage securitizations also include agency and non-agency (private-label)(private label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.
(5)See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs.



The previous tables do not include:


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 wherein which the Company holds securities in inventory, as these investments are made on arm’s-length terms;
certain positions in mortgage-backed and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, 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 September 30, 2017 and December 31, 2016, respectively;
•
certain positions in mortgage- and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, in which the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 12 and 20 to the Consolidated Financial Statements);
•
certain representations and warranties exposures in legacy ICG-sponsored mortgage- and asset-backed securitizations in which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 in which the Company has no variable interest or continuing involvement as servicer was approximately $7 billion at June 30, 2019 and December 31, 2018;
certain representations and warranties exposures in Citigroup residential mortgage securitizations, wherein which the original mortgage loan balances are no longer outstanding; and
VIEs such as trust preferredtrust-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 wherein which the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, unless fair value information is readily available to the Company.
The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE, adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.



Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:
 June 30, 2019December 31, 2018
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing$—
$9,873
$—
$9,757
Municipal securities tender option bond trusts (TOBs)4,085
—
4,262
—
Municipal investments—
2,809
—
2,738
Investment funds—
20
—
1
Other—
15
—
23
Total funding commitments$4,085
$12,717
$4,262
$12,519
 September 30, 2017December 31, 2016
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing$—
$5,016
$5
$4,910
Municipal securities tender option bond trusts (TOBs)3,063
—
2,842
—
Municipal investments—
2,345
—
2,580
Client intermediation—
491
—
—
Investment funds—
15
—
27
Other—
38
—
58
Total funding commitments$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, 2019December 31, 2018
Cash$—
$—
Trading account assets3.1
3.0
Investments10.0
10.7
Total loans, net of allowance27.5
24.5
Other0.6
0.5
Total assets$41.2
$38.7
In billions of dollarsSeptember 30, 2017December 31, 2016
Cash$0.1
$0.1
Trading account assets8.6
8.0
Investments4.7
4.4
Total loans, net of allowance18.2
18.8
Other0.5
1.5
Total assets$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 dollarsSeptember 30, 2017December 31, 2016June 30, 2019December 31, 2018
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$28.0
$22.7
$24.8
$27.3
Retained by Citigroup as trust-issued securities9.2
7.4
7.2
7.6
Retained by Citigroup via non-certificated interests12.5
20.6
11.2
11.3
Total$49.7
$50.7
$43.2
$46.2


The following tables summarizetable summarizes selected cash flow information related to Citigroup’s credit card securitizations:
 Three Months Ended June 30,
In billions of dollars20192018
Proceeds from new securitizations$—
$1.1
Pay down of maturing notes—
(2.6)
 Three Months Ended September 30,
In billions of dollars20172016
Proceeds from new securitizations$2.2
$—
Pay down of maturing notes(1.8)(2.8)

 Six Months Ended June 30,
In billions of dollars20192018
Proceeds from new securitizations$—
$3.9
Pay down of maturing notes(2.5)(5.4)

 Nine Months Ended September 30,
In billions of dollars20172016
Proceeds from new securitizations$9.8
$—
Pay down of maturing notes(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 SeptemberJune 30, 20172019 and 2.63.0 years as of December 31, 2016.2018.




 

In billions of dollarsJun. 30, 2019Dec. 31, 2018
Term notes issued to third parties$23.3
$25.8
Term notes retained by Citigroup affiliates5.3
5.7
Total Master Trust liabilities$28.6
$31.5

In billions of dollarsSept. 30, 2017Dec. 31, 2016
Term notes issued to third parties$27.0
$21.7
Term notes retained by Citigroup affiliates7.3
5.5
Total Master Trust liabilities$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 1.12.2 years as of SeptemberJune 30, 20172019 and 1.92.7 years as of December 31, 2016.2018.
In billions of dollarsSept. 30, 2017Dec. 31, 2016Jun. 30, 2019Dec. 31, 2018
Term notes issued to third parties$1.0
$1.0
$1.5
$1.5
Term notes retained by Citigroup affiliates1.9
1.9
1.9
1.9
Total Omni Trust liabilities$2.9
$2.9
$3.4
$3.4




Mortgage Securitizations
The following table summarizestables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
Three Months Ended September 30,Three Months Ended June 30,
2017201620192018
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(1)
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized$1.1
$6.1
$1.0
$1.0
Proceeds from new securitizations$11.7
$4.1
$11.7
$1.4
1.2
6.1
1.1
1.0
Contractual servicing fees received0.1
—
0.1
—
Purchases of previously transferred financial assets0.1
—
0.1
—
 Six Months Ended June 30,
 20192018
In billions of dollarsU.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized$2.1
$8.8
$2.2
$1.0
Proceeds from new securitizations2.2
8.8
2.3
2.6
Purchases of previously transferred financial assets0.1
—
0.2
—

 Nine Months Ended September 30,
 20172016
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
Proceeds from new securitizations$25.9
$6.9
$32.5
$8.0
Contractual servicing fees received0.2
—
0.3
—


Note: Excludes re-securitization transactions.
(1)The principal securitized and proceeds from new securitizations in 2019 include $0.2 billion related to personal loan securitizations.
(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 $14 million and $61$5 million for the three and ninesix months ended SeptemberJune 30, 2017, respectively.2019. For the three and ninesix months ended SeptemberJune 30, 2017,2019, gains recognized on the securitization of non-agency sponsored mortgages were $29$26 million and $75$43 million, respectively.

 
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $36$6 million and $81$11 million for the three and ninesix months ended SeptemberJune 30, 2016,2018, respectively. For the three and ninesix months ended SeptemberJune 30, 2016,2018, gains recognized on the securitization of non-agency sponsored mortgages were $37$7 million and $65$18 million, respectively.

 June 30, 2019December 31, 2018
  
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
In millions of dollarsU.S. agency-
sponsored mortgages
Senior
interests(3)
Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests(2)
$487
$804
$63
$564
$300
$51

(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Retained interests consist of Level 2 or Level 3 assets depending on the observability of significant inputs. See Note 20 to the Consolidated Financial Statements for more information about fair value measurements.
(3)Senior interests in non-agency-sponsored mortgages include $168 million related to personal loan securitizations at June 30, 2019.

Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
Three Months Ended September 30, 2017
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate2.0% to 13.2%
—
—
   Weighted average discount rate8.5%—
—
Constant prepayment rate6.6% to 31.6%
—
—
   Weighted average constant prepayment rate10.6%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life2.5 to 10.5 years
—
—
 Three Months Ended June 30, 2019
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Weighted average discount rate7.4%3.2%5.3%
Weighted average constant prepayment rate15.7%5.7%5.9%
Weighted average anticipated net credit losses(2)
NM
3.0%3.7%
Weighted average life5.9 years
3.2 years
15.6 years





Three Months Ended September 30, 2016
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate1.5% to 13.0%
—
—
   Weighted average discount rate10.0%—
—
Constant prepayment rate7.7% to 30.9%
—
—
   Weighted average constant prepayment rate13.7%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life2.0 to 9.8 years
—
—




 Three Months Ended June 30, 2018
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate9.4%3.8%3.5%
Weighted average constant prepayment rate5.7%8.0%8.0%
Weighted average anticipated net credit losses(2)
NM
4.6%4.6%
Weighted average life7.7 years
6.7 years
3.4 years
Nine Months Ended September 30, 2017
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate2.0% to 19.9%
—
—
   Weighted average discount rate9.1%—
—
Constant prepayment rate3.8% to 31.6%
—
—
   Weighted average constant prepayment rate9.6%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life2.5 to 14.5 years
—
—

 Six Months Ended June 30, 2019
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate7.0%3.5%5.5%
Weighted average constant prepayment rate14.8%5.8%5.9%
Weighted average anticipated net credit losses(2)
NM
4.4%3.7%
Weighted average life6.0 years
6.6 years
16.1 years
Nine Months Ended September 30, 2016
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.8% to 13.0%
—
—
   Weighted average discount rate9.1%—
—
Constant prepayment rate7.7% to 30.9%
—
—
   Weighted average constant prepayment rate12.8%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life0.5 to 17.5 years
—
—
 Six Months Ended June 30, 2018
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate9.9%3.6%3.2%
Weighted average constant prepayment rate5.1%9.8%9.9%
Weighted average anticipated net credit losses(2)
NM
4.9%3.3%
Weighted average life7.7 years
6.8 years
3.0 years


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


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 forthpresented in the tables below.
 
below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.
 September 30, 2017
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.0% to 82.4%
0.0% to 5.1%
4.8% to 33.9%
   Weighted average discount rate7.9%1.0%9.7%
Constant prepayment rate7.4% to 31.6%
8.9% to 13.9%
0.5% to 13.1%
   Weighted average constant prepayment rate12.3%12.9%7.0%
Anticipated net credit losses(2)
   NM
0.3% to 50.2%
35.1% to 52.1%
   Weighted average anticipated net credit losses   NM
12.2%43.2%
Weighted average life0.4 to 28.0 years
5.2 to 15.1 years
0.4 to 18.8 years
 June 30, 2019
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate8.0%7.5%4.9%
Weighted average constant prepayment rate13.1%3.1%4.2%
Weighted average anticipated net credit losses(2)
NM
9.0%—
Weighted average life5.8 years
7.9 years
24.3 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
 December 31, 2018
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate7.8%9.3%—
Weighted average constant prepayment rate9.1%8.0%—
Weighted average anticipated net credit losses(2)
   NM
40.0%—
Weighted average life6.4 years
6.6 years
—


(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.
September 30, 2017June 30, 2019
 
Non-agency-sponsored mortgages(1)
 Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Carrying value of retained interests$1,529
$156
$189
Discount rates 
Discount rate 
Adverse change of 10%$(45)$(3)$(4)$(14)$—
$(1)
Adverse change of 20%(87)(6)(8)(27)(1)(1)
Constant prepayment rate  
Adverse change of 10%(42)(1)(1)(23)—
—
Adverse change of 20%(87)(2)(3)(45)—
—
Anticipated net credit losses  
Adverse change of 10%NM
(4)(1)NM
—
—
Adverse change of 20%NM
(8)(1)NM
—
—


 December 31, 2018
  Non-agency-sponsored mortgages
In millions of dollarsU.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate   
   Adverse change of 10%$(16)$—
$—
   Adverse change of 20%(32)—
—
Constant prepayment rate   
   Adverse change of 10%(21)—
—
   Adverse change of 20%(41)—
—
Anticipated net credit losses   
   Adverse change of 10%NM
—
—
   Adverse change of 20%NM
—
—

 December 31, 2016
  
Non-agency-sponsored mortgages(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.





The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities:
     Liquidation losses
 Securitized assets90 days past dueThree Months Ended June 30,Six Months Ended June 30,
In billions of dollars, except liquidation losses in millionsJun. 30, 2019Dec. 31, 2018Jun. 30, 2019Dec. 31, 20182019201820192018
Securitized assets        
Residential mortgage$11.4
$5.2
$0.3
$0.4
$9
$18
$20
$32
Commercial and other14.4
13.1
—
—
—
—
—
—
Total$25.8
$18.3
$0.3
$0.4
$9
$18
$20
$32


Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $553$508 million and $1.3 billion$596 million at SeptemberJune 30, 20172019 and 2016,2018, respectively. The MSRs correspond to principal loan balances of $68$60 billion and $173$63 billion as of SeptemberJune 30, 20172019 and 2016,2018, respectively. The following table summarizes the changes in capitalized MSRs:
Three Months Ended September 30,Three Months Ended June 30,
In millions of dollars2017201620192018
Balance, as of June 30$560
$1,324
Balance, as of March 31$551
$587
Originations19
43
16
15
Changes in fair value of MSRs due to changes in inputs and assumptions(6)13
(37)11
Other changes(1)
(20)(78)(22)(16)
Sale of MSRs(2)
—
(32)—
(1)
Balance, as of September 30$553
$1,270
Balance, as of June 30$508
$596
Nine Months Ended September 30,Six Months Ended June 30,
In millions of dollars2017201620192018
Balance, beginning of year$1,564
$1,781
$584
$558
Originations75
111
28
32
Changes in fair value of MSRs due to changes in inputs and assumptions50
(349)(64)57
Other changes(1)
(90)(255)(40)(33)
Sale of MSRs(2)
(1,046)(18)—
(18)
Balance, as of September 30$553
$1,270
Balance, as of June 30$508
$596


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


The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, Citigroup economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities, all classified as Trading account assets.
The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2019201820192018
Servicing fees$35
$43
$76
$89
Late fees2
1
4
2
Ancillary fees—
3
1
6
Total MSR fees$37
$47
$81
$97

 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Servicing fees$65
$117
$236
$371
Late fees2
3
8
11
Ancillary fees3
4
11
13
Total MSR fees$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)(private label) securities to re-securitization entities during the threequarters ended June 30, 2019 and nine months ended September 30, 2017 and 2016.2018. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of SeptemberJune 30, 2017,2019, Citi held no retained interests in private label re-securitization transactions structured by Citi. As of December 31, 2018, the fair value of Citi-retained interests in private-labelprivate label re-securitization transactions structured by Citi totaled approximately $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$16 million (all related to re-securitization transactions executed prior to 2016). Of this amount, substantially all was related to subordinated beneficial interests. The original par value of private-labelprivate label re-securitization transactions in which Citi holdsheld a retained interest as of September 30, 2017 and December 31, 20162018 was approximately $954 million and $1.3 billion, respectively.$271 million.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the three and ninesix months ended SeptemberJune 30, 2017,2019, Citi transferred agency securities with a fair value of approximately $9.9$6.9 billion and $20.0$14.5 billion, respectively, to re-securitization entities compared to approximately $7.1$6.6 billion and $21.3$13.6 billion for the three and ninesix months ended SeptemberJune 30, 2016.2018.
As of SeptemberJune 30, 2017,2019, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.0$2.5 billion (including $713 million$1.1 billion related to re-securitization transactions executed in 2017)2019) compared to $2.3$2.5 billion as of December 31, 20162018 (including $741 million$1.4 billion related to re-securitization transactions executed in 2016)2018), which is recorded in Trading account assets. The original fair value of agency re-securitization transactions in


which Citi holds a retained interest as of SeptemberJune 30, 20172019 and December 31, 20162018 was approximately $67.6$69.9 billion and $71.8$70.9 billion, respectively.
As of SeptemberJune 30, 20172019 and December 31, 2016,2018, the Company did not consolidate any private-labelprivate label or agency re-securitization entities.




Citi-Administered Asset-Backed Commercial Paper Conduits
At SeptemberJune 30, 20172019 and December 31, 2016,2018, the commercial paper conduits administered by Citi had approximately $19.3$16.4 billion and $19.7$18.8 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $14.3$16.3 billion and $12.8$14.0 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At SeptemberJune 30, 20172019 and December 31, 2016,2018, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 5343 and 5553 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteed loan conduit, have obtained a letter of credit from the Company, which is equal to at least 8% to 10% of the conduit’s assets with a minimum of $200 million. The letters of credit provided by the Company to the conduits total approximately $1.8$1.5 billion and $1.7 billion as of SeptemberJune 30, 20172019 and December 31, 2016.2018, respectively. The net result across multi-seller conduits administered by the Company is that, in the event that defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.
At SeptemberJune 30, 20172019 and December 31, 2016,2018, the Company owned $9.3$3.5 billion and $9.7$5.5 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 (CLOs)
There were no new securitizations during the three or six months ended June 30, 2019 and 2018. The following table summarizes selected cash flow informationretained interests related to Citigroup CLOs:
In millions of dollarsJun. 30, 2019Dec. 31, 2018
Carrying value of retained interests$1,765
$3,142

 Three Months Ended September 30,
In billions of dollars20172016
Proceeds from new securitizations$1.1
$1.8

 Nine Months Ended September 30,
In billions of dollars20172016
Proceeds from new securitizations$2.5
$3.8

The key assumptions used to valueAll of Citi’s retained interests in CLOs,were held-to-maturity securities as of June 30, 2019 and the sensitivity of the fair value to adverse changes of 10% and 20% are set forth in the tables below:December 31, 2018.

Sept. 30, 2017Dec. 31, 2016
Discount rate   1.1% to 1.6%1.3% to 1.7%
In millions of dollarsSept. 30, 2017Dec. 31, 2016
Carrying value of retained interests$3,883
$4,261
Discount rates  
   Adverse change of 10%$(25)$(30)
   Adverse change of 20%(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.
September 30, 2017June 30, 2019
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$8,971
$3,068
$28,770
$6,803
Corporate loans2,763
1,706
8,701
7,254
Hedge funds and equities499
59
485
53
Airplanes, ships and other assets38,488
16,194
105,820
21,137
Total$50,721
$21,027
$143,776
$35,247
 December 31, 2018
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$23,918
$6,928
Corporate loans6,973
5,744
Hedge funds and equities388
53
Airplanes, ships and other assets67,526
19,387
Total$98,805
$32,112

 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 SeptemberJune 30, 20172019 and December 31, 2016, approximately $56 million and $82 million, respectively,2018, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At SeptemberJune 30, 20172019 and December 31, 2016,2018, liquidity agreements provided with respect to customer TOB trusts totaled $3.1$4.1 billion and $2.9$4.3 billion, respectively, of which $2.0 billion and $2.1$2.3 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the residual owned by the customer was at least 25% of the bond value at the inception of the transaction, no reimbursement agreement was executed.
The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $6.1$7.0 billion and $7.4$6.1 billion as of SeptemberJune 30, 20172019 and December 31, 2016,2018, 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 nine months ended September 30, 2017 totaled approximately $0.2 billion and $0.9 billion, respectively, compared to $0.5 billion and $1.9 billion for the three and nine months ended September 30, 2016.




19.  DERIVATIVES ACTIVITIES
In the ordinary course of business, Citigroup enters into various types of derivative transactions. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. For additional information regarding Citi’s use of and accounting for derivatives, see Note 22 to the Consolidated Financial Statements in Citi’s 20162018 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. AggregateIn addition, aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors.

 
























































Derivative Notionals
 Hedging instruments under
ASC 815		Trading derivative instruments
In millions of dollarsJune 30,
2019		December 31,
2018		June 30,
2019		December 31,
2018
Interest rate contracts    
Swaps$301,560
$273,636
$21,499,304
$18,138,686
Futures and forwards—
—
6,717,597
4,632,257
Written options—
—
2,924,051
3,018,469
Purchased options—
—
2,645,790
2,532,479
Total interest rate contracts$301,560
$273,636
$33,786,742
$28,321,891
Foreign exchange contracts    
Swaps$59,644
$57,153
$6,894,570
$6,738,158
Futures, forwards and spot41,395
41,410
5,769,581
5,115,504
Written options494
1,726
1,498,054
1,566,717
Purchased options517
2,104
1,519,070
1,543,516
Total foreign exchange contracts$102,050
$102,393
$15,681,275
$14,963,895
Equity contracts    
Swaps$—
$—
$237,294
$217,580
Futures and forwards—
—
58,086
52,053
Written options—
—
490,146
454,675
Purchased options—
—
361,189
341,018
Total equity contracts$—
$—
$1,146,715
$1,065,326
Commodity and other contracts    
Swaps$—
$—
$80,780
$79,133
Futures and forwards910
802
161,555
146,647
Written options—
—
84,958
62,629
Purchased options—
—
81,833
61,298
Total commodity and other contracts$910
$802
$409,126
$349,707
Credit derivatives(1)
    
Protection sold$—
$—
$666,733
$724,939
Protection purchased—
—
747,129
795,649
Total credit derivatives$—
$—
$1,413,862
$1,520,588
Total derivative notionals$404,520
$376,831
$52,437,720
$46,221,407

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

Trading derivatives
Management hedges(3)
In millions of dollarsSeptember 30,
2017		December 31,
2016		September 30,
2017		December 31,
2016		September 30,
2017		December 31,
2016
Interest rate contracts      
Swaps$186,553
$151,331
$20,878,378
$19,145,250
$38,964
$47,324
Futures and forwards—
97
6,926,108
6,864,276
13,504
30,834
Written options—


3,446,771
2,921,070
2,659
4,759
Purchased options—
—
3,195,655
2,768,528
3,580
7,320
Total interest rate contract notionals$186,553
$151,428
$34,446,912
$31,699,124
$58,707
$90,237
Foreign exchange contracts      
Swaps$35,431
$19,042
$6,870,504
$5,492,145
$27,052
$22,676
Futures, forwards and spot38,100
56,964
4,658,973
3,251,132
5,153
3,419
Written options4,027
—
1,466,308
1,194,325
—
—
Purchased options6,697
—
1,507,896
1,215,961
—
—
Total foreign exchange contract notionals$84,255
$76,006
$14,503,681
$11,153,563
$32,205
$26,095
Equity contracts      
Swaps$—
$—
$219,056
$192,366
$—
$—
Futures and forwards—
—
57,541
37,557
—
—
Written options—
—
410,746
304,579
—
—
Purchased options—
—
336,586
266,070
—
—
Total equity contract notionals$—
$—
$1,023,929
$800,572
$—
$—
Commodity and other contracts      
Swaps$—
$—
$81,208
$70,774
$—
$—
Futures and forwards139
182
158,757
142,530
—
—
Written options—
—
76,663
74,627
—
—
Purchased options—
—
74,620
69,629
—
—
Total commodity and other contract notionals$139
$182
$391,248
$357,560
$—
$—
Credit derivatives(4)
      
Protection sold$—
$—
$872,476
$859,420
$98
$—
Protection purchased—
—
900,866
883,003
13,201
19,470
Total credit derivatives$—
$—
$1,773,342
$1,742,423
$13,299
$19,470
Total derivative notionals$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 $63 million and $1,825 million at September 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)purchaser) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The 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 SeptemberJune 30, 20172019 and December 31, 2016.2018. Gross positive fair values are offset against gross negative fair values by counterparty, pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.
In addition, the table for September 30, 2017 reflectsfollowing tables reflect rule changes adopted by clearing organizations that require or allow entities to elect to treat certain derivative assets, liabilities and the related variation margin as settlement of the related derivative fair values for legal and accounting purposes, as
opposed to presenting gross derivative assets and liabilities that are subject to collateral, whereby the counterparties would also record a related collateral payable or receivable. As a result, the table for September 30, 2017 reflectstables reflect a reduction of approximately $160 billion and $100 billion as of June 30, 2019 and December 31, 2018, respectively, of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now legally settled and not subject to collateral.  The table for December 31, 2016 presents derivative assets and liabilities as gross amounts subject to variation margin collateral that were netted under enforceable master netting agreements. Therefore the net presentation of the affected items on the consolidated balance sheet is consistent for all periods. The tables also present amounts that are not permitted to be offset, such as security collateral or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent that an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.



Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at September 30, 2017
Derivatives classified
in Trading account
assets / liabilities(1)(2)(3)
Derivatives classified
in Other
assets / liabilities(2)(3)
In millions of dollars at June 30, 2019
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$440
$107
$1,291
$30
$523
$138
Cleared29
29
35
69
1,262
95
Interest rate contracts$469
$136
$1,326
$99
$1,785
$233
Over-the-counter$936
$676
$771
$147
$3,372
$684
Cleared—
5
Foreign exchange contracts$936
$676
$771
$147
$3,372
$689
Total derivatives instruments designated as ASC 815 hedges$1,405
$812
$2,097
$246
$5,157
$922
Derivatives instruments not designated as ASC 815 hedges


 
Over-the-counter$200,554
$179,000
$35
$1
$205,779
$183,048
Cleared6,843
8,520
73
105
5,860
7,317
Exchange traded116
93
—
—
220
163
Interest rate contracts$207,513
$187,613
$108
$106
$211,859
$190,528
Over-the-counter$130,399
$129,096
$—
$—
$126,634
$130,424
Cleared3,180
3,312
—
—
1,931
1,661
Exchange traded58
52
—
—
37
56
Foreign exchange contracts$133,637
$132,460
$—
$—
$128,602
$132,141
Over-the-counter$18,736
$24,317
$—
$—
$16,911
$21,437
Cleared16
20
—
—
83
53
Exchange traded8,532
8,179
—
—
10,194
10,304
Equity contracts$27,284
$32,516
$—
$—
$27,188
$31,794
Over-the-counter$11,444
$14,541
$—
$—
$14,042
$17,212
Exchange traded745
703
—
—
698
571
Commodity and other contracts$12,189
$15,244
$—
$—
$14,740
$17,783
Over-the-counter$15,169
$15,592
$23
$68
$9,886
$10,721
Cleared8,042
9,593
22
297
1,101
1,199
Credit derivatives(4)
$23,211
$25,185
$45
$365
Credit derivatives$10,987
$11,920
Total derivatives instruments not designated as ASC 815 hedges$403,834
$393,018
$153
$471
$393,376
$384,166
Total derivatives$405,239
$393,830
$2,250
$717
$398,533
$385,088
Cash collateral paid/received(5)(6)
$13,991
$15,848
$—
$9
Less: Netting agreements(7)
(325,424)(325,424)—
—
Less: Netting cash collateral received/paid(8)
(37,876)(32,390)(1,005)(17)
Net receivables/payables included on the Consolidated Balance Sheet(9)
$55,930
$51,864
$1,245
$709
Cash collateral paid/received(3)
$14,134
$14,041
Less: Netting agreements(4)
(311,423)(311,423)
Less: Netting cash collateral received/paid(5)
(47,136)(37,933)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$54,108
$49,773
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(861)$(61)$—
$—
$(752)$(110)
Less: Non-cash collateral received/paid(11,864)(9,798)(294)—
(13,600)(14,185)
Total net receivables/payables(9)
$43,205
$42,005
$951
$709
Total net receivables/payables(6)
$39,756
$35,478
(1)The trading derivatives fair values are also 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 tradedExchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(4)(3)The credit derivatives assets comprise $5,076 million related to protection purchased and $18,180 million related to protection sold as of September 30, 2017. The credit derivatives liabilities comprise $20,616 million related to protection purchased and $4,934 million related to protection sold as of September 30, 2017.
(5)For the trading account assets/liabilities, reflectsReflects the net amount of the $46,381$52,067 million and $53,724$61,177 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $32,390$37,933 million was used to offset trading derivative liabilities and, ofliabilities. Of the gross cash collateral received, $37,876$47,136 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 $17 million of gross cash collateral paid, of which $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 $1,014 million of gross cash collateral received, of which $1,005 million is netted against non-trading derivative positions within Other assets.
(7)(4)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $301$297 billion, $15$4 billion and $9$10 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(8)(5)Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.
(9)(6)The net receivables/payables include approximately $5 billion of derivative asset and $6$5 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)
In millions of dollars at December 31, 2018
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$716
$171
$1,927
$22
$1,631
$172
Cleared3,530
2,154
47
82
238
53
Interest rate contracts$4,246
$2,325
$1,974
$104
$1,869
$225
Over-the-counter$2,494
$393
$747
$645
$1,402
$736
Cleared—
4
Foreign exchange contracts$2,494
$393
$747
$645
$1,402
$740
Total derivatives instruments designated as ASC 815 hedges$6,740
$2,718
$2,721
$749
$3,271
$965
Derivatives instruments not designated as ASC 815 hedges


 
Over-the-counter$244,072
$221,534
$225
$5
$161,183
$146,909
Cleared120,920
130,855
240
349
8,489
7,594
Exchange traded87
47
—
—
91
99
Interest rate contracts$365,079
$352,436
$465
$354
$169,763
$154,602
Over-the-counter$182,659
$186,867
$—
$60
$159,099
$156,904
Cleared482
470
—
—
1,900
1,671
Exchange traded27
31
—
—
53
40
Foreign exchange contracts$183,168
$187,368
$—
$60
$161,052
$158,615
Over-the-counter$15,625
$19,119
$—
$—
$18,253
$21,527
Cleared1
21
—
—
17
32
Exchange traded8,484
7,376
—
—
11,623
12,249
Equity contracts$24,110
$26,516
$—
$—
$29,893
$33,808
Over-the-counter$13,046
$14,234
$—
$—
$16,661
$19,894
Exchange traded719
798
—
—
894
795
Commodity and other contracts$13,765
$15,032
$—
$—
$17,555
$20,689
Over-the-counter$19,033
$19,563
$159
$78
$6,967
$6,155
Cleared5,582
5,874
47
310
3,798
4,196
Credit derivatives(4)
$24,615
$25,437
$206
$388
Credit derivatives$10,765
$10,351
Total derivatives instruments not designated as ASC 815 hedges$610,737
$606,789
$671
$802
$389,028
$378,065
Total derivatives$617,477
$609,507
$3,392
$1,551
$392,299
$379,030
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
Cash collateral paid/received(3)
$11,518
$13,906
Less: Netting agreements(4)
(311,089)(311,089)
Less: Netting cash collateral received/paid(5)
(38,608)(29,911)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$54,120
$51,936
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(819)$(19)$—
$—
$(767)$(164)
Less: Non-cash collateral received/paid(11,767)(5,883)(530)—
(13,509)(13,354)
Total net receivables/payables(9)
$51,167
$50,525
$1,525
$1,499
Total net receivables/payables(6)
$39,844
$38,418
(1)The trading derivatives fair values are also 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 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)(3)For the trading account assets/liabilities, reflectsReflects the net amount of the $60,999$41,429 million and $61,643$52,514 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $49,811$29,911 million was used to offset trading derivative liabilities and, ofliabilities. Of the gross cash collateral received, $45,912$38,608 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)(4)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $383$296 billion, $128$4 billion and $8$11 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(8)(5)Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.
(9)(6)The net receivables/payables include approximately $7$5 billion of derivative asset and $9$7 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.



For the three and ninesix months ended SeptemberJune 30, 20172019 and 2016, the2018, amounts recognized in Principal transactions in the Consolidated Statement of Income related toinclude certain derivatives not designated in a qualifying hedging relationship, as well as the underlying non-derivative instruments, are presented in Note 6 to the Consolidated Financial Statements.relationship. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents how these portfolios are risk managed. See Note 6 to the Consolidated Financial Statements for further information.
The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains/lossesgains (losses) on the economically hedged items to the extent that such amounts are also recorded in Other revenue.
Gains (losses) included in
Other revenue
Gains (losses) included in
Other revenue

Three Months Ended September 30,Nine Months Ended September 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars20172016201720162019201820192018
Interest rate contracts$(9)$(28)$(44)$(2)$35
$(15)$62
$(43)
Foreign exchange—
11
26
26
71
(517)13
13
Credit derivatives(109)(399)(452)(960)
Total Citigroup$(118)$(416)$(470)$(936)
Total$106
$(532)$75
$(30)


Fair Value Hedges

Hedging of Benchmark Interest Rate Risk
Citigroup’s fair value hedges are primarily hedges of fixed-rate long-term debt or assets, such as available-for-sale debt securities or loans.
For qualifying fair value hedges of interest rate risk, the changes in the fair value of the derivative and the change in the fair value of the hedged item attributable to the hedged risk are presented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability.
In the first quarter of 2019, Citigroup executed a last-of-layer hedge, which permits an entity to hedge the interest rate risk of a stated portion of a closed portfolio of pre-payable financial assets that are expected to remain outstanding for the designated tenor of the hedge. In accordance with ASC 815, an entity may exclude prepayment risk when measuring the change in fair value of the hedged item attributable to interest rate risk under the last-of-layer approach. Similar to other fair value hedges, where the hedged item is an asset, the fair value of the hedged item attributable to interest rate risk will be presented in Interest revenue along with the change in the fair value of the hedging instrument.

 

Hedging of Foreign Exchange Risk

Citigroup hedges the change in fair value attributable to foreign exchange rate movements in available-for-sale debt securities and long-term debt that are denominated in currencies other than the functional currency of the entity holding the securities or issuing the debt. The hedging instrument is generally a forward foreign exchange contract or a cross-currency swap contract. Citigroup considers the premium associated with forward contracts (i.e., the differential between the spot and contractual forward rates) as the cost of hedging; this amount is excluded from the assessment of hedge effectiveness and is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records it in Other comprehensive income.



Hedging of Commodity Price Risk

Citigroup hedges the change in fair value attributable to spot price movements in physical commodities inventory. The hedging instrument is a futures contract to sell the underlying commodity. In this hedge, the change in the value of the hedged inventory is reflected in earnings, which offsets the change in the fair value of the futures contract that is also reflected in earnings. Although the change in the fair value of the hedging instrument recorded in earnings includes changes in forward rates, Citigroup excludes the differential between the spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness and reflects it directly in earnings over the life of the hedge.


























Fair Value Hedges
The following table summarizes the gains (losses) on the Company’s fair value hedges:
 
Gains (losses) on fair value hedges(1)
 Three Months Ended June 30,Six Months Ended June 30,
 2019201820192018
In millions of dollarsOther revenueNet interest revenueOther revenueNet interest revenue
Other
revenue
Net interest revenueOther revenueNet interest revenue
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges        
Interest rate hedges$—
$1,853
$—
$(518)$—
$2,816
$—
$360
Foreign exchange hedges(180)—
320
—
(12)—
499
—
Commodity hedges(172)—
2
—
(102)—
—
—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$(352)$1,853
$322
$(518)$(114)$2,816
$499
$360
Gain (loss) on the hedged item in designated and qualifying fair value hedges        
Interest rate hedges$—
$(1,783)$—
$520
$—
$(2,662)$—
$(346)
Foreign exchange hedges180
—
(347)—
12
—
(596)—
Commodity hedges172
—
—
—
102
—
1
—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$352
$(1,783)$(347)$520
$114
$(2,662)$(595)$(346)
Net gain (loss), on the hedging derivatives, excluded from assessment of the effectiveness of fair value hedges        
Interest rate hedges$—
$(4)$—
$(5)$—
$(4)$—
$(5)
Foreign exchange hedges(2)
(118)—
33
—
(121)—
56
—
Commodity hedges5
—
1
—
23
—
2
—
Total net gain (loss), on the hedging derivatives, excluded from assessment of the effectiveness of fair value hedges$(113)$(4)$34
$(5)$(98)$(4)$58
$(5)

 
Gains (losses) on fair value hedges(1)
 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Gain (loss) on the derivatives in designated and qualifying fair value hedges    
Interest rate contracts$(194)$(450)$(570)$2,747
Foreign exchange contracts(166)(602)(803)(2,360)
Commodity contracts(11)(57)(20)381
Total gain (loss) on the derivatives in designated and qualifying fair value hedges$(371)$(1,109)$(1,393)$768
Gain (loss) on the hedged item in designated and qualifying fair value hedges    
Interest rate hedges$189
$442
$532
$(2,701)
Foreign exchange hedges144
664
910
2,425
Commodity hedges12
59
22
(374)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$345
$1,165
$1,464
$(650)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges    
Interest rate hedges$(5)$(11)$(31)$48
Foreign exchange hedges(17)(3)32
(53)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges$(22)$(14)$1
$(5)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges    
Interest rate contracts$—
$3
$(7)$(2)
Foreign exchange contracts(2)
(5)65
75
118
Commodity hedges1
2
2
7
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges$(4)$70
$70
$123

(1)
AmountsGain (loss) amounts for hedges of interest rate risk are included in Other revenue on the Consolidated Statement of Income.Interest income/Interest expense. 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 that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis that was included in AOCI was $59 million and $83 million for the three and six months ended June 30, 2019 and $(37) million and $(42) million for the three and six months ended June 30, 2018, respectively.




Cash Flow Hedges
Cumulative Basis Adjustment
Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative changes in the hedged risk. The hedge basis adjustment, whether from an active or de-designated hedge relationship, remains with the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at June 30, 2019 and December 31, 2018, along with the cumulative hedge ineffectiveness onbasis adjustments included in the cash flow hedges recognized in earnings for the threecarrying value of those hedged assets and nine months ended September 30, 2017 and 2016 is not significant. The pretax change in AOCI from cash flow hedges is presented below:

liabilities.
In millions of dollars
Balance sheet line item in which hedged item is recordedCarrying amount of hedged asset/ liabilityCumulative fair value hedging adjustment increasing (decreasing) the carrying amount
ActiveDe-designated
As of June 30, 2019  
Debt securities
AFS(1)
$110,515
$360
$628
Long-term debt162,894
4,548
1,407
As of December 31, 2018  
Debt securities
AFS		$81,632
$(196)$295
Long-term
debt		149,054
1,211
869

 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Effective portion of cash flow hedges included in AOCI    
Interest rate contracts$(36)$(187)$103
$448
Foreign exchange contracts(7)(29)(7)(26)
Total effective portion of cash flow hedges included in AOCI$(43)$(216)$96
$422
Effective portion of cash flow hedges reclassified from AOCI to earnings

  
Interest rate contracts$(48)$(39)$(94)$(96)
Foreign exchange contracts(7)(46)(8)(89)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)
$(55)$(85)$(102)$(185)

(1)
Included primarilyThese amounts include a cumulative basis adjustment of $172 million as of June 30, 2019 related to certain prepayable financial assets designated as the hedged item in Other revenue and Net interest revenue ona fair value hedge using the Consolidated Income Statement.
last-of-layer approach. The Company designated $2 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $26.4 billion as of June 30, 2019) in a last-of-layer hedging relationship, which commenced in the first quarter of 2019.


Cash Flow Hedges
Citigroup hedges the variability of forecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. These cash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.
For cash flow hedges, the changesentire change in the fair value of the hedging derivative remainis recognized in AOCI on the Consolidated Balance Sheet and will be includedthen reclassified to earnings in the earnings of future periods to offsetsame period that the variability of theforecasted hedged cash flows when such cash flows affectimpact earnings. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCIwithin 12 months of SeptemberJune 30, 20172019 is approximately $(277)$91 million. The maximum length of time over which forecasted cash flows are hedged is 10 years.
The pretax change in AOCI from cash flow hedges is presented below. The after-tax impact of cash flow hedges on AOCI is shown in Note 17 to the Consolidated Financial Statements.
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2019201820192018
Amount of gain (loss) recognized in AOCI on derivative    
Interest rate contracts(1)
$545 $(222)$799 $(544)
Foreign exchange contracts(1)5 (9)(1)
Total gain (loss) recognized in AOCI$544 $(217)$790 $(545)
Amount of gain (loss) reclassified from AOCI to earnings
Other
revenue
Net interest
revenue
Other
revenue

Net interest
revenue

Other
revenue
Net interest
revenue
Other
revenue
Net interest
revenue
Interest rate contracts(1)
$—
$(134)$—
$(88)$—
$(264)$—
$(119)
Foreign exchange contracts(2)—
(6)—
(4)—
(4)—
Total gain (loss) reclassified from AOCI into earnings$(2)$(134)$(6)$(88)$(4)$(264)$(4)$(119)
Net pretax change in cash flow hedges included within AOCI
$680

$(123) $1,058
 $(422)
(1)
All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest revenue in the Consolidated Statement of Income.


Net Investment Hedges
The pretax gain (loss) recorded in the Foreignforeign currency translation adjustmentaccount within AOCI, related to the effective portion of the net investment hedges, is $(245)$(134) million and $(1,993)$(298) million for the three and ninesix months ended SeptemberJune 30, 20172019 and $(371)$1,633 million and $(1,791)$1,143 million for the three and ninesix months ended SeptemberJune 30, 2016,2018, respectively.




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


In millions of dollars at June 30, 2019
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty   
Banks$9,114
$8,454
$320,482
$338,723
$4,748
$4,551
$206,498
$204,392
Broker-dealers2,882
2,805
89,352
100,408
1,535
1,470
59,717
61,717
Non-financial28
93
2,154
1,501
77
119
2,323
1,567
Insurance and other financial institutions11,232
14,198
502,079
431,942
4,627
5,780
478,591
399,057
Total by industry/counterparty$23,256
$25,550
$914,067
$872,574
Total by industry of counterparty$10,987
$11,920
$747,129
$666,733
By instrument


   
Credit default swaps and options$23,013
$24,365
$890,913
$862,753
$10,384
$10,526
$720,153
$655,896
Total return swaps and other243
1,185
23,154
9,821
603
1,394
26,976
10,837
Total by instrument$23,256
$25,550
$914,067
$872,574
$10,987
$11,920
$747,129
$666,733
By rating


By rating of reference entity   
Investment grade$13,045
$13,758
$696,474
$665,764
$5,027
$5,281
$590,084
$515,070
Non-investment grade10,211
11,792
217,593
206,810
5,960
6,639
157,045
151,663
Total by rating$23,256
$25,550
$914,067
$872,574
Total by rating of reference entity$10,987
$11,920
$747,129
$666,733
By maturity


   
Within 1 year$2,520
$3,225
$279,201
$267,863
$1,733
$2,493
$240,625
$206,633
From 1 to 5 years17,459
18,823
547,675
522,437
7,542
7,760
452,460
417,738
After 5 years3,277
3,502
87,191
82,274
1,712
1,667
54,044
42,362
Total by maturity$23,256
$25,550
$914,067
$872,574
$10,987
$11,920
$747,129
$666,733


(1)The fair value amount receivable is composed of $5,076$3,931 million under protection purchased and $18,180$7,056 million under protection sold.
(2)The fair value amount payable is composed of $20,616$8,377 million under protection purchased and $4,934$3,543 million under protection sold.


Fair valuesNotionalsFair valuesNotionals
In millions of dollars at December 31, 2016
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty


In millions of dollars at December 31, 2018
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty   
Banks$11,895
$10,930
$407,992
$414,720
$4,785
$4,432
$214,842
$218,273
Broker-dealers3,536
3,952
115,013
119,810
1,706
1,612
62,904
63,014
Non-financial82
99
4,014
2,061
64
87
2,687
1,192
Insurance and other financial institutions9,308
10,844
375,454
322,829
4,210
4,220
515,216
442,460
Total by industry/counterparty$24,821
$25,825
$902,473
$859,420
Total by industry of counterparty$10,765
$10,351
$795,649
$724,939
By instrument


   
Credit default swaps and options$24,502
$24,631
$883,719
$852,900
$10,030
$9,755
$771,865
$712,623
Total return swaps and other319
1,194
18,754
6,520
735
596
23,784
12,316
Total by instrument$24,821
$25,825
$902,473
$859,420
$10,765
$10,351
$795,649
$724,939
By rating


By rating of reference entity   
Investment grade$9,605
$9,995
$675,138
$648,247
$4,725
$4,544
$637,790
$568,849
Non-investment grade15,216
15,830
227,335
211,173
6,040
5,807
157,859
156,090
Total by rating$24,821
$25,825
$902,473
$859,420
Total by rating of reference entity$10,765
$10,351
$795,649
$724,939
By maturity


   
Within 1 year$4,113
$4,841
$293,059
$287,262
$2,037
$2,063
$251,994
$225,597
From 1 to 5 years17,735
17,986
551,155
523,371
6,720
6,414
493,096
456,409
After 5 years2,973
2,998
58,259
48,787
2,008
1,874
50,559
42,933
Total by maturity$24,821
$25,825
$902,473
$859,420
$10,765
$10,351
$795,649
$724,939


(1)The fair value amount receivable is composed of $9,077$5,126 million under protection purchased and $15,744 million$5,639 under protection sold.
(2)The fair value amount payable is composed of $17,110$5,882 million under protection purchased and $8,715$4,469 million under protection sold.



Credit-Risk-RelatedCredit Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates.
The fair value (excluding CVA) of all derivative instruments with credit-risk-relatedcredit risk-related contingent features that were in a net liability position at both SeptemberJune 30, 20172019 and December 31, 20162018 was $28$30 billion and $26$33 billion, respectively. The Company posted $25$29 billion and $26$33 billion as collateral for this exposure in the normal course of business as of SeptemberJune 30, 20172019 and December 31, 2016,2018, respectively.
A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all three major rating agencies as of SeptemberJune 30, 2017,2019, the Company could be required to post an additional $1.2$0.7 billion as either collateral or settlement of the derivative transactions. Additionally, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.3$0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.5$0.8 billion.



Derivatives Accompanied by Financial Asset Transfers
For transfers of financial assets accounted for as a sale by the Company whereand for which the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed with the same counterparty in contemplation of the initial sale with the same counterparty and(and still outstanding as of September 30, 2017,outstanding), both the asset carrying amounts derecognized and the gross cash proceeds received as of the date of derecognition were $2.4 billion. $6.0 billion and $4.1 billion as of June 30, 2019 and December 31, 2018, respectively.
At SeptemberJune 30, 2017,2019, the fair value of these previously derecognized assets was $2.4$6.1 billion. The fair value of the total return swaps as of June 30, 2019 was $28$90 million recorded as gross derivative assets and $47$57 million recorded as gross derivative liabilities. At December 31, 2018, the fair value of these previously derecognized assets was $4.1 billion, and the fair value of the total return swaps was $55 million recorded as gross derivative assets and $9 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 20162018 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 SeptemberJune 30, 20172019 and December 31, 2016:2018:
Credit and funding valuation adjustments
contra-liability (contra-asset)
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsSeptember 30,
2017		December 31,
2016		June 30,
2019		December 31,
2018
Counterparty CVA$(1,114)$(1,488)$(866)$(1,085)
Asset FVA(462)(536)(563)(544)
Citigroup (own-credit) CVA318
459
375
482
Liability FVA51
62
105
135
Total CVA—derivative instruments(1)
$(1,207)$(1,503)$(949)$(1,012)


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


The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
Credit/funding/debt valuation
adjustments gain (loss)
Credit/funding/debt valuation
adjustments gain (loss)
Three Months Ended September 30,Nine Months Ended 
 September 30,		Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars20172016201720162019201820192018
Counterparty CVA$27
$112
$197
$19
$28
$—
$102
$23
Asset FVA(5)37
74
(59)(39)40
(19)49
Own-credit CVA(2)(60)(127)65
(13)24
(105)99
Liability FVA(16)(59)(10)(11)18
22
(30)15
Total CVA—derivative instruments$4
$30
$134
$14
$(6)$86
$(52)$186
DVA related to own FVO liabilities (1)
$(195)$(319)$(422)$8
$3
$418
$(722)$585
Total CVA and DVA(2)
$(191)$(289)$(288)$22
$(3)$504
$(774)$771


(1)See NoteNotes 1 and Note 17 to the Consolidated Financial Statements.Statements in Citi’s 2018 Annual Report on Form 10-K.
(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 SeptemberJune 30, 20172019 and December 31, 2016.2018. The Company may hedge positions that have been classified in the Level 3 category with other
financial instruments (hedging instruments) that may be
classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables:



Fair Value Levels
In millions of dollars at September 30, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at June 30, 2019Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets    
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$205,951
$664
$206,615
$(50,283)$156,332
Securities borrowed and purchased under agreements to resell$—
$263,499
$122
$263,621
$(85,513)$178,108
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
21,991
309
22,300
—
22,300
—
27,036
187
27,223
—
27,223
Residential—
529
351
880
—
880
—
540
131
671
—
671
Commercial—
1,061
112
1,173
—
1,173
—
1,482
53
1,535
—
1,535
Total trading mortgage-backed securities$—
$23,581
$772
$24,353
$—
$24,353
$—
$29,058
$371
$29,429
$—
$29,429
U.S. Treasury and federal agency securities$22,398
$2,999
$—
$25,397
$—
$25,397
$38,082
$5,231
$—
$43,313
$—
$43,313
State and municipal—
2,429
270
2,699
—
2,699
—
2,671
177
2,848
—
2,848
Foreign government45,503
18,525
95
64,123
—
64,123
59,912
24,133
20
84,065
—
84,065
Corporate247
14,924
391
15,562
—
15,562
2,288
14,809
454
17,551
—
17,551
Equity securities47,941
7,427
236
55,604
—
55,604
51,566
9,176
123
60,865
—
60,865
Asset-backed securities—
1,347
1,704
3,051
—
3,051
—
1,735
1,411
3,146
—
3,146
Other trading assets(3)(2)
3
10,034
2,151
12,188
—
12,188
10
10,756
740
11,506
—
11,506
Total trading non-derivative assets$116,092
$81,266
$5,619
$202,977
$—
$202,977
$151,858
$97,569
$3,296
$252,723
$—
$252,723
Trading derivatives
  
  
Interest rate contracts$147
$206,086
$1,749
$207,982
  $332
$211,668
$1,644
$213,644
  
Foreign exchange contracts42
133,963
568
134,573
  —
131,595
379
131,974
  
Equity contracts2,110
24,606
568
27,284
  364
26,355
469
27,188
  
Commodity contracts280
11,598
311
12,189
  —
13,717
1,023
14,740
  
Credit derivatives—
22,113
1,098
23,211
  —
10,291
696
10,987
  
Total trading derivatives$2,579
$398,366
$4,294
$405,239
  $696
$393,626
$4,211
$398,533
  
Cash collateral paid(4)(3)
 $13,991
   $14,134
  
Netting agreements $(325,424)  $(311,423) 
Netting of cash collateral received (37,876)  (47,136) 
Total trading derivatives$2,579
$398,366
$4,294
$419,230
$(363,300)$55,930
$696
$393,626
$4,211
$412,667
$(358,559)$54,108
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$42,257
$57
$42,314
$—
$42,314
$—
$37,829
$31
$37,860
$—
$37,860
Residential—
2,992
—
2,992
—
2,992
—
910
—
910
—
910
Commercial—
341
3
344
—
344
—
115
—
115
—
115
Total investment mortgage-backed securities$—
$45,590
$60
$45,650
$—
$45,650
$—
$38,854
$31
$38,885
$—
$38,885
U.S. Treasury and federal agency securities$107,085
$11,241
$—
$118,326
$—
$118,326
$101,889
$7,620
$—
$109,509
$—
$109,509
State and municipal—
7,918
1,272
9,190
—
9,190
—
5,144
1,026
6,170
—
6,170
Foreign government58,869
41,577
301
100,747
—
100,747
64,001
37,662
77
101,740
—
101,740
Corporate2,342
12,997
120
15,459
—
15,459
5,115
7,152
56
12,323
—
12,323
Equity securities287
14
3
304
—
304
Marketable equity securities57
476
—
533
—
533
Asset-backed securities—
4,461
830
5,291
—
5,291
—
559
59
618
—
618
Other debt securities—
338
10
348
—
348
—
4,190
—
4,190
—
4,190
Non-marketable equity securities(5)(4)
—
66
829
895
—
895
—
96
448
544
—
544
Total investments$168,583
$124,202
$3,425
$296,210
$—
$296,210
$171,062
$101,753
$1,697
$274,512
$—
$274,512
Table continues on the next page.



In millions of dollars at June 30, 2019Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—
$3,405
$419
$3,824
$—
$3,824
Mortgage servicing rights—
—
508
508
—
508
Non-trading derivatives and other financial assets measured on a recurring basis$16,669
$5,928
$—
$22,597
$—
$22,597
Total assets$340,285
$865,780
$10,253
$1,230,452
$(444,072)$786,380
Total as a percentage of gross assets(5)
28.0%71.2%0.8%





Liabilities      
Interest-bearing deposits$—
$1,457
$1,182
$2,639
$—
$2,639
Securities loaned and sold under agreements to repurchase—
129,565
1,085
130,650
(85,513)45,137
Trading account liabilities      
Securities sold, not yet purchased73,084
13,372
28
86,484
—
86,484
Other trading liabilities—
37
—
37
—
37
Total trading liabilities$73,084
$13,409
$28
$86,521
$—
$86,521
Trading derivatives      
Interest rate contracts$211
$188,797
$1,753
$190,761
  
Foreign exchange contracts—
132,354
476
132,830
  
Equity contracts296
29,835
1,663
31,794
  
Commodity contracts—
16,907
876
17,783
  
Credit derivatives—
11,310
610
11,920
  
Total trading derivatives$507
$379,203
$5,378
$385,088
  
Cash collateral received(6)
   $14,041
  
Netting agreements    $(311,423) 
Netting of cash collateral paid    (37,933) 
Total trading derivatives$507
$379,203
$5,378
$399,129
$(349,356)$49,773
Short-term borrowings$—
$5,137
$154
$5,291
$—
$5,291
Long-term debt—
34,550
14,938
49,488
—
49,488
Total non-trading derivatives and other financial liabilities measured on a recurring basis$16,669
$129
$1
$16,799
$—
$16,799
Total liabilities$90,260
$563,450
$22,766
$690,517
$(434,869)$255,648
Total as a percentage of gross liabilities(5)
13.3%83.3%3.4%   

In millions of dollars at September 30, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$3,764
$544
$4,308
$—
$4,308
Mortgage servicing rights—
—
553
553
—
553
Non-trading derivatives and other financial assets measured on a recurring basis, gross$14,434
$6,981
$14
$21,429
  
Cash collateral paid(6)
   —
  
Netting of cash collateral received    $(1,005) 
Non-trading derivatives and other financial assets measured on a recurring basis$14,434
$6,981
$14
$21,429
$(1,005)$20,424
Total assets$301,688
$820,530
$15,113
$1,151,322
$(414,588)$736,734
Total as a percentage of gross assets(7)
26.5%72.1%1.3%





Liabilities      
Interest-bearing deposits$—
$1,197
$300
$1,497
$—
$1,497
Federal funds purchased and securities loaned or sold under agreements to repurchase—
94,843
765
95,608
(50,283)45,325
Trading account liabilities      
Securities sold, not yet purchased73,549
9,688
684
83,921
—
83,921
Other trading liabilities—
3,035
—
3,035
—
3,035
Total trading liabilities$73,549
$12,723
$684
$86,956
$—
$86,956
Trading derivatives      
Interest rate contracts$118
$185,681
$1,950
$187,749
  
Foreign exchange contracts50
132,666
420
133,136
  
Equity contracts2,116
27,984
2,416
32,516
  
Commodity contracts166
12,428
2,650
15,244
  
Credit derivatives—
23,146
2,039
25,185
  
Total trading derivatives$2,450
$381,905
$9,475
$393,830
  
Cash collateral received(8)
   $15,848
  
Netting agreements    $(325,424) 
Netting of cash collateral paid    (32,390) 
Total trading derivatives$2,450
$381,905
$9,475
$409,678
$(357,814)$51,864
Short-term borrowings$—
$4,771
$56
$4,827
$—
$4,827
Long-term debt—
19,505
11,321
30,826
—
30,826
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$14,434
$716
$2
$15,152
  
Cash collateral received(9)
   9
  
Netting of cash collateral paid    $(17) 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$14,434
$716
$2
$15,161
$(17)$15,144
Total liabilities$90,433
$515,660
$22,603
$644,553
$(408,114)$236,439
Total as a percentage of gross liabilities(7)
14.4%82.0%3.6%   


(1)
For the three and nine months ended September 30, 2017, the Company transferred assets of approximately $0.6 billion and $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 nine months ended September 30, 2017, the Company transferred assets of approximately $0.9 billion and $3.1 billion from Level 2 to Level 1, primarily related to foreign government bonds traded with sufficient frequency to constitute an active market. For the three and nine months ended September 30, 2017, the Company transferred liabilities of approximately $0.2 billion and $0.3 billion from Level 1 to Level 2. During the three and nine months ended September 30, 2017, the Company transferred liabilities of approximately $0.1 billion and $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;repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 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)(3)Reflects the net amount of $46,381$52,067 million gross cash collateral paid, of which $32,390$37,933 million was used to offset trading derivative liabilities.
(5)(4)
Amounts exclude $0.40.2 billion of investments measured at Net Asset Valuenet asset value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(6)Reflects the net amount of $17 million of gross cash collateral paid, all of which was used to offset non-trading derivative liabilities.
(7)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.


(8)Reflects the net amount $53,724 million of gross cash collateral received, of which $37,876 million was used to offset trading derivative assets.
(9)Reflects the net amount of $1,014 million of gross cash collateral received, of which $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)(6)Reflects the net amount of $61,643$61,177 million of gross cash collateral received, of which $45,912$47,136 million was used to offset trading derivative assets.



Fair Value Levels
In millions of dollars at December 31, 2018Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$—
$214,570
$115
$214,685
$(66,984)$147,701
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed—
24,090
156
24,246
—
24,246
Residential—
709
268
977
—
977
Commercial—
1,323
77
1,400
—
1,400
Total trading mortgage-backed securities$—
$26,122
$501
$26,623
$—
$26,623
U.S. Treasury and federal agency securities$26,439
$4,802
$1
$31,242
$—
$31,242
State and municipal—
3,782
200
3,982
—
3,982
Foreign government43,309
21,179
31
64,519
—
64,519
Corporate1,026
14,510
360
15,896
—
15,896
Equity securities36,342
7,308
153
43,803
—
43,803
Asset-backed securities—
1,429
1,484
2,913
—
2,913
Other trading assets(2)
3
12,198
818
13,019
—
13,019
Total trading non-derivative assets$107,119
$91,330
$3,548
$201,997
$—
$201,997
Trading derivatives      
Interest rate contracts$101
$169,860
$1,671
$171,632
  
Foreign exchange contracts—
162,108
346
162,454
  
Equity contracts647
28,903
343
29,893
  
Commodity contracts—
16,788
767
17,555
  
Credit derivatives—
9,839
926
10,765
  
Total trading derivatives$748
$387,498
$4,053
$392,299
  
Cash collateral paid(3)
   $11,518
  
Netting agreements    $(311,089) 
Netting of cash collateral received    (38,608) 
Total trading derivatives$748
$387,498
$4,053
$403,817
$(349,697)$54,120
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$—
$42,988
$32
$43,020
$—
$43,020
Residential—
1,313
—
1,313
—
1,313
Commercial—
172
—
172
—
172
Total investment mortgage-backed securities$—
$44,473
$32
$44,505
$—
$44,505
U.S. Treasury and federal agency securities$107,577
$9,645
$—
$117,222
$—
$117,222
State and municipal—
8,498
708
9,206
—
9,206
Foreign government58,252
42,371
68
100,691
—
100,691
Corporate4,410
7,033
156
11,599
—
11,599
Marketable equity securities

206
14
—
220
—
220
Asset-backed securities—
656
187
843
—
843
Other debt securities—
3,972
—
3,972
—
3,972
Non-marketable equity securities(4)
—
96
586
682
—
682
Total investments$170,445
$116,758
$1,737
$288,940
$—
$288,940
Table continues on the next page.


In millions of dollars at December 31, 2018Level 1Level 2Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$2,946
$277
$3,223
$—
$3,223
Mortgage servicing rights—
—
584
584
—
584
Non-trading derivatives and other financial assets measured on a recurring basis$15,839
$4,949
$—
$20,788
$—
$20,788
Total assets$294,151
$818,051
$10,314
$1,134,034
$(416,681)$717,353
Total as a percentage of gross assets(5)
26.2%72.9%0.9%   
Liabilities      
Interest-bearing deposits$—
$980
$495
$1,475
$—
$1,475
Securities loaned and sold under agreements to repurchase—
110,511
983
111,494
(66,984)44,510
Trading account liabilities      
Securities sold, not yet purchased78,872
11,364
586
90,822
—
90,822
Other trading liabilities—
1,547
—
1,547
—
1,547
Total trading liabilities$78,872
$12,911
$586
$92,369
$—
$92,369
Trading account derivatives      
Interest rate contracts$71
$152,931
$1,825
$154,827
  
Foreign exchange contracts—
159,003
352
159,355
  
Equity contracts351
32,330
1,127
33,808
  
Commodity contracts—
19,904
785
20,689
  
Credit derivatives—
9,486
865
10,351
  
Total trading derivatives$422
$373,654
$4,954
$379,030
  
Cash collateral received(6)
   $13,906
  
Netting agreements    $(311,089) 
Netting of cash collateral paid    (29,911) 
Total trading derivatives$422
$373,654
$4,954
$392,936
$(341,000)$51,936
Short-term borrowings$—
$4,446
$37
$4,483
$—
$4,483
Long-term debt—
25,659
12,570
38,229
—
38,229
Non-trading derivatives and other financial liabilities measured on a recurring basis$15,839
$67
$—
$15,906
$—
$15,906
Total liabilities$95,133
$528,228
$19,625
$656,892
$(407,984)$248,908
Total as a percentage of gross liabilities(5)
14.8%82.1%3.1%   


(9)(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Reflects the net amount of $1,346$41,429 million of gross cash collateral paid, of which $29,911 million was used to offset trading derivative liabilities.
(4)
Amounts exclude $0.2 billion of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount of $52,514 million of gross cash collateral received, of which $1,345$38,608 million was used to offset non-tradingtrading 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 ninesix months ended SeptemberJune 30, 20172019 and 2016.2018. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are classified in a different level. For example, the gains and losses for assets and liabilities in the Level 3
 
category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:


Level 3 Fair Value Rollforward
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsJun. 30, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2017Mar. 31, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2019
Assets      
Federal funds sold and
securities borrowed or
purchased under
agreements to resell
$1,002
$(338)$—
$—
$—
$—
$—
$—
$—
$664
$(338)
Securities borrowed and
purchased under
agreements to resell
$66
$5
$—
$2
$—
$49
$—
$—
$—
$122
$—
Trading non-derivative assets                
Trading mortgage-
backed securities
      
U.S. government-sponsored agency guaranteed204
—
—
75
(21)174
—
(123)—
309
—
154
6
—
1
(2)42
(1)(13)—
187
4
Residential327
24
—
41
(9)39
—
(71)—
351
12
128
10
—
17
(9)61
—
(76)—
131
15
Commercial318
10
—
22
(17)11
—
(232)—
112
5
69
2
—
3
(34)38
—
(25)—
53
(6)
Total trading mortgage-
backed securities
$849
$34
$—
$138
$(47)$224
$—
$(426)$—
$772
$17
$351
$18
$—
$21
$(45)$141
$(1)$(114)$—
$371
$13
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal284
(2)—
—
—
49
—
(61)—
270
(1)178
—
—
—
—
—
—
(1)—
177
—
Foreign government108
(5)—
4
(114)161
—
(59)—
95
(2)39
2
—
—
—
—
—
(21)—
20
1
Corporate401
105
—
16
(11)148
—
(268)—
391
103
378
255
—
41
(5)109
—
(322)(2)454
55
Equity securities240
183
—
3
(41)29
—
(178)—
236
6
Marketable equity securities

127
13
—
(2)—
48
—
(63)—
123
(28)
Asset-backed securities1,570
114
—
5
(6)481
—
(460)—
1,704
26
1,429
20
—
6
(15)242
—
(271)—
1,411
10
Other trading assets1,803
(38)—
38
(607)1,349
4
(394)(4)2,151
29
1,042
45
—
2
(135)97
6
(312)(5)740
6
Total trading non-
derivative assets
$5,255
$391
$—
$204
$(826)$2,441
$4
$(1,846)$(4)$5,619
$178
$3,544
$353
$—
$68
$(200)$637
$5
$(1,104)$(7)$3,296
$57
Trading derivatives, net(4)
      
Interest rate contracts$(288)$196
$—
$4
$(4)$25
$—
$(20)$(114)$(201)$120
$(116)$(68)$—
$(59)$137
$(21)$19
$8
$(9)$(109)$(101)
Foreign exchange contracts184
(92)—
1
(4)(6)—
(3)68
148
(92)46
(109)—
15
9
—
—
(2)(56)(97)(124)
Equity contracts(1,647)201
—
(52)(34)31
—
(126)(221)(1,848)(10)(1,345)183
—
(38)100
2
(88)(2)(6)(1,194)193
Commodity contracts(2,024)(248)—
(29)(10)—
—
(3)(25)(2,339)(255)304
(243)—
9
(4)66
—
(12)27
147
(135)
Credit derivatives(1,339)(150)—
25
115
7
—
—
401
(941)(185)34
59
—
(1)(38)—
—
14
18
86
10
Total trading derivatives,
net(4)
$(5,114)$(93)$—
$(51)$63
$57
$—
$(152)$109
$(5,181)$(422)$(1,077)$(178)$—
$(74)$204
$47
$(69)$6
$(26)$(1,167)$(157)
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 dollarsJun. 30, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2017Mar. 31, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2019
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$50
$—
$12
$—
$(5)$—
$—
$—
$—
$57
$28
$32
$—
$(1)$—
$—
$—
$—
$—
$—
$31
$(1)
Residential—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Commercial—
—
—
3
—
—
—
—
—
3
—
—
—
—
—
—
—
—
—
—
—
—
Total investment mortgage-backed securities$50
$—
$12
$3
$(5)$—
$—
$—
$—
$60
$28
$32
$—
$(1)$—
$—
$—
$—
$—
$—
$31
$(1)
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal1,285
—
(2)21
(3)16
—
(45)—
1,272
17
910
—
42
11
—
236
—
(173)—
1,026
48
Foreign government358
—
(58)—
(18)122
—
(103)—
301
(7)71
—
5
—
—
17
—
(16)—
77
1
Corporate156
—
146
10
(2)41
—
(231)—
120
—
60
—
—
—
—
—
—
(4)—
56
—
Equity securities9
—
(1)—
—
—
—
(5)—
3
—
Marketable equity securities—
—
—
—
—
—
—
—
—
—
—
Asset-backed securities1,028
—
(280)2
(7)504
—
(417)—
830
(134)806
—
10
1
(585)—
—
(173)—
59
9
Other debt securities10
—
—
—
—
—
—
—
—
10
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities939
—
(61)—
—
1
—
(1)(49)829
(18)505
—
(2)6
—
3
—
(64)—
448
(12)
Total investments$3,836
$—
$(244)$36
$(35)$684
$—
$(803)$(49)$3,425
$(114)$2,384
$—
$54
$18
$(585)$256
$—
$(430)$—
$1,697
$45
Loans$577
$—
$73
$—
$—
$131
$—
$(236)$(1)$544
$264
$373
$—
$63
$3
$—
$5
$—
$(25)$—
$419
$174
Mortgage servicing rights560
—
(6)—
—
—
19
—
(20)553
3
551
—
(37)—
—
—
16
—
(22)508
(34)
Other financial assets measured on a recurring basis17
—
13
—
—
1
43
(4)(56)14
17
—
—
9
—
4
—
(3)(4)(6)—
—
Liabilities
   
Interest-bearing deposits$300
$—
$(2)$—
$—
$—
$—
$—
$(2)$300
$6
$1,047
$—
$(39)$2
$(18)$—
$129
$—
$(17)$1,182
$(211)
Federal funds purchased and securities loaned or sold under agreements to repurchase807
(1)—
—
—
—
—
—
(43)765
4
Securities loaned and sold under agreements to repurchase1,041
(42)—
2
—
—
—
—
—
1,085
(13)
Trading account liabilities
   
Securities sold, not yet purchased1,143
496
—
5
(10)—
—
88
(46)684
24
15
(6)—
15
(6)—
—
—
(2)28
(1)
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings29
(13)—
3
(1)—
12
—
—
56
7
170
2
—
—
(25)—
12
—
(1)154
(2)
Long-term debt11,831
1,057
—
181
(490)—
419
—
437
11,321
716
13,734
(819)—
747
(1,360)20
900
(1)79
14,938
(1,023)
Other financial liabilities measured on a recurring basis2
—
—
—
—
—
1
—
(1)2
(1)—
—
4
5
—
—
—
—
—
1
—


(1)
Changes in fair value forof available-for-sale investmentsdebt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments)debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at SeptemberJune 30, 2017.2019.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.








  Net realized/unrealized
gains (losses) 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		PurchasesIssuancesSalesSettlementsSept. 30, 2017
Assets           
Federal funds sold and securities borrowed or purchased under agreements to resell$1,496
$(340)$—
$—
$(491)$—
$—
$—
$(1)$664
$—
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed176
4
—
154
(86)438
—
(377)—
309
1
Residential399
61
—
88
(58)105
—
(244)—
351
35
Commercial206
7
—
66
(46)445
—
(566)—
112
(5)
Total trading mortgage-backed securities$781
$72
$—
$308
$(190)$988
$—
$(1,187)$—
$772
$31
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
State and municipal296
3
—
24
(48)137
—
(142)—
270
(1)
Foreign government40
2
—
88
(204)288
—
(119)—
95
(1)
Corporate324
320
—
132
(84)424
—
(725)—
391
167
Equity securities127
212
—
135
(54)38
—
(222)—
236
20
Asset-backed securities1,868
251
—
28
(87)1,185
—
(1,541)—
1,704
34
Other trading assets2,814
(88)—
470
(1,381)2,002
5
(1,652)(19)2,151
29
Total trading non-derivative assets$6,251
$772
$—
$1,185
$(2,048)$5,062
$5
$(5,589)$(19)$5,619
$279
Trading derivatives, net(4)
           
Interest rate contracts$(663)$4
$—
$(24)$647
$90
$—
$(225)$(30)$(201)$65
Foreign exchange contracts413
(389)—
54
(63)32
—
(37)138
148
(134)
Equity contracts(1,557)98
—
(34)(8)180
—
(263)(264)(1,848)(22)
Commodity contracts(1,945)(576)—
29
39
—
—
(3)117
(2,339)(255)
Credit derivatives(1,001)(535)—
(43)91
5
—
2
540
(941)(197)
Total trading derivatives, net(4)
$(4,753)$(1,398)$—
$(18)$706
$307
$—
$(526)$501
$(5,181)$(543)
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$101
$—
$15
$1
$(60)$—
$—
$—
$—
$57
$30
Residential50
—
2
—
(47)—
—
(5)—
—
—
Commercial—
—
—
3
—
8
—
(8)—
3
—
Total investment mortgage-backed securities$151
$—
$17
$4
$(107)$8
$—
$(13)$—
$60
$30
U.S. Treasury and federal agency securities$2
$—
$—
$—
$—
$—
$—
$(2)$—
$—
$—
State and municipal1,211
—
37
70
(36)92
—
(102)—
1,272
35
Foreign government186
—
(47)2
(37)455
—
(258)—
301
(5)
Corporate311
—
11
74
(6)224
—
(494)—
120
—
Equity securities9
—
(1)—
—
—
—
(5)—
3
—
Asset-backed securities660
—
(98)23
(20)864
—
(599)—
830
(134)
Other debt securities—
—
—
—
—
21
—
(11)—
10
—
Non-marketable equity securities1,331
—
(124)2
—
10
—
(228)(162)829
49
Total investments$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)
In millions of dollarsDec. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2019
Assets 
 
 
 
 
 
 
 
 
 
 
Securities borrowed and purchased under agreements to resell$115
$1
$—
$5
$(4)$94
$—
$—
$(89)$122
$3
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed156
6
—
1
(27)90
(1)(38)—
187
7
Residential268
11
—
22
(40)130
—
(260)—
131
15
Commercial77
4
—
5
(35)62
—
(60)—
53
(5)
Total trading mortgage-backed securities$501
$21
$—
$28
$(102)$282
$(1)$(358)$—
$371
$17
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$—
$(1)$—
$—
State and municipal200
(1)—
—
(19)1
—
(4)—
177
—
Foreign government31
1
—
9
—
3
—
(24)—
20
1
Corporate360
345
—
62
(31)178
(33)(425)(2)454
34
Marketable equity securities153
3
—
(1)(11)57
—
(78)—
123
(25)
Asset-backed securities1,484
(6)—
13
(47)463
—
(496)—
1,411
57
Other trading assets818
50
—
15
(167)437
10
(414)(9)740
(15)
Total trading non-derivative assets$3,548
$413
$—
$126
$(377)$1,421
$(24)$(1,799)$(12)$3,296
$69
Trading derivatives, net(4)
           
Interest rate contracts$(154)$(119)$—
$(74)$164
$(15)$31
$8
$50
$(109)$(85)
Foreign exchange contracts(6)(49)—
—
24
3
—
(6)(63)(97)(165)
Equity contracts(784)(111)—
(192)109
1
(147)—
(70)(1,194)(338)
Commodity contracts(18)37
—
6
6
120
—
(46)42
147
153
Credit derivatives61
(260)—
(19)194
—
—
14
96
86
(335)
Total trading derivatives, net(4)
$(901)$(502)$—
$(279)$497
$109
$(116)$(30)55
$(1,167)$(770)
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$32
$—
$(1)$—
$—
$—
$—
$—
$—
$31
$(3)
Residential—
—
—
—
—
—
—
—
—
—
—
Commercial—
—
—
—
—
—
—
—
—
—
—
Total investment mortgage-backed securities$32
$—
$(1)$—
$—
$—
$—
$—
$—
$31
$(3)
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal708
—
94
14
—
421
—
(211)—
1,026
84
Foreign government68
—
1
—
—
56
—
(48)—
77
1
Corporate156
—
—
—
(94)—
—
(6)—
56
—
Marketable equity securities—
—
—
—
—
—
—
—
—
—
—
Asset-backed securities187
—
8
95
(585)550
—
(196)—
59
9
Other debt securities—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities586
—
20
6
—
7
—
(150)(21)448
(15)
Total investments$1,737
$—
$122
$115
$(679)$1,034
$—
$(611)$(21)$1,697
$76



 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		PurchasesIssuancesSalesSettlementsSept. 30, 2017Dec. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2019
Loans$568
$—
$57
$80
$(16)$173
$—
$(312)$(6)$544
$266
$277
$—
$108
$128
$(70)$11
$—
$(35)$—
$419
$294
Mortgage servicing rights1,564
—
50
—
—
—
75
(1,046)(90)553
(40)584
—
(64)—
—
—
28
—
(40)508
(60)
Other financial assets measured on a recurring basis34
—
(147)3
(8)1
303
(8)(164)14
(68)—
—
25
—
4
—
(5)(8)(16)—
—
Liabilities      
Interest-bearing deposits$293
$—
$9
$40
$—
$—
$—
$—
$(24)$300
$6
$495
$—
$(49)$3
$(22)$—
$803
$—
$(146)$1,182
$(182)
Federal funds purchased and securities loaned or sold under agreements to repurchase849
7
—
—
—
—
—
—
(77)765
4
Securities loaned and sold under agreements to repurchase983
(38)—
1
4
—
—
1
58
1,085
(24)
Trading account liabilities      
Securities sold, not yet purchased1,177
490
—
18
(53)—
—
265
(233)684
24
586
118
—
16
(447)—
—
—
(9)28
—
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings42
18
—
4
(1)—
31
—
(2)56
7
37
25
—
9
(31)—
165
—
(1)154
(2)
Long-term debt9,744
456
—
702
(1,457)—
2,701
—
87
11,321
708
12,570
(1,226)—
1,624
(2,961)20
6,850
(4)(4,387)14,938
(769)
Other financial liabilities measured on a recurring basis8
—
—
—
—
—
3
(1)(8)2
(1)—
—
4
5
—
—
—
—
—
1
—
(1)
Changes in fair value of available-for-sale investmentsdebt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments)debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 30, 2017.December 31, 2018.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.








































 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsJun. 30, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2016Mar. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2018
Assets    
 
 
 
 
 
 
 
 
 
 
Federal funds sold and securities borrowed or purchased under agreements to resell$1,819
$(6)$—
$���
$—
$5
$—
$—
$(505)$1,313
$(3)
Securities borrowed and purchased under agreements to resell$16
$1
$—
$49
$—
$—
$—
$—
$—
$66
$—
Trading non-derivative assets                
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed730
1
—
67
(387)96
—
(286)7
228
—
206
1
—
3
(41)37
—
(107)—
99
1
Residential801
116
—
5
(66)18
—
(433)—
441
(58)143
(17)—
23
(11)45
—
(51)—
132
(4)
Commercial390
2
—
1
(107)309
—
(151)—
444
6
35
(2)—
7
(2)23
—
(10)—
51
(1)
Total trading mortgage-backed securities$1,921
$119
$—
$73
$(560)$423
$—
$(870)$7
$1,113
$(52)$384
$(18)$—
$33
$(54)$105
$—
$(168)$—
$282
$(4)
U.S. Treasury and federal agency securities$3
$—
$—
$—
$—
$—
$—
$(2)$—
$1
$—
$—
$—
$—
$6
$—
$1
$—
$—
$—
$7
$—
State and municipal117
18
—
118
(37)56
—
(115)—
157
(1)211
4
—
—
—
13
—
(2)—
226
2
Foreign government81
(19)—
—
—
24
—
(23)—
63
1
21
(1)—
—
(5)32
—
(11)—
36
(1)
Corporate405
39
—
49
(26)414
—
(208)12
685
(31)252
52
—
12
(19)245
—
(22)—
520
248
Equity securities3,970
348
—
12
(811)102
—
(61)—
3,560
(371)
Marketable equity securities237
7
—
16
(5)74
—
(36)—
293
30
Asset-backed securities2,670
47
—
38
(42)783
—
(747)—
2,749
(58)1,597
17
—
27
(32)373
—
(294)—
1,688
(16)
Other trading assets2,839
12
—
296
(897)966
9
(628)(17)2,580
(63)716
(52)—
27
(32)45
—
(158)(4)542
(21)
Total trading non-derivative assets$12,006
$564
$—
$586
$(2,373)$2,768
$9
$(2,654)$2
$10,908
$(575)$3,418
$9
$—
$121
$(147)$888
$—
$(691)$(4)$3,594
$238
Trading derivatives, net(4)
      
Interest rate contracts$(374)$(82)$—
$(59)$77
$5
$—
$(37)$(93)$(563)$(143)$(6)$206
$—
$—
$(109)$1
$—
$—
$(6)$86
$270
Foreign exchange contracts(29)10
—
69
(13)52
—
(50)50
89
149
88
167
—
(12)(5)6
—
(5)—
239
146
Equity contracts(1,071)29
—
14
123
17
—
(28)(51)(967)(189)(1,741)34
—
(16)279
4
—
(4)(2)(1,446)469
Commodity contracts(2,017)(76)—
(379)74
3
—
5
91
(2,299)(285)(1,909)(141)—
4
90
7
—
—
43
(1,906)(118)
Credit derivatives(754)(651)—
32
26
(4)—
(35)367
(1,019)450
(859)(36)—
(10)14
—
—
—
43
(848)(29)
Total trading derivatives, net(4)
$(4,245)$(770)$—
$(323)$287
$73
$—
$(145)$364
$(4,759)$(18)$(4,427)$230
$—
$(34)$269
$18
$—
$(9)$78
$(3,875)$738
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$94
$—
$(4)$3
$(10)$6
$—
$—
$—
$89
$(1)$23
$—
$11
$—
$—
$—
$—
$—
$—
$34
$12
Residential25
—
1
49
—
1
—
(23)—
53
—
—
—
—
—
—
—
—
—
—
—
—
Commercial5
—
(1)—
(4)—
—
—
—
—
—
5
—
—
1
—
—
—
—
—
6
—
Total investment mortgage-backed securities$124
$—
$(4)$52
$(14)$7
$—
$(23)$—
$142
$(1)$28
$—
$11
$1
$—
$—
$—
$—
$—
$40
$12
U.S. Treasury and federal agency securities$3
$—
$—
$—
$—
$—
$—
$(1)$—
$2
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal2,016
—
(54)5
(338)60
—
(33)—
1,656
40
682
—
3
—
(9)111
—
(25)—
762
3
Foreign government141
—
(14)5
—
42
—
(29)—
145
(5)70
—
(3)1
—
5
—
(19)—
54
(3)
Corporate460
—
42
1
(18)412
—
(8)(365)524
(1)76
—
—
—
(2)—
—
(6)—
68
—
Equity securities128
—
11
—
—
—
—
(129)—
10
—
Marketable equity securities1
—
—
—
—
—
—
—
—
1
—
Asset-backed securities597
—
(88)3
(25)121
—
(7)81
682
88
497
—
(25)1
(2)11
—
(26)—
456
(25)
Other debt securities5
—
—
10
—
1
—
(5)—
11
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities1,139
—
54
53
(23)1
—
(14)(29)1,181
(9)
Total investments$4,613
$—
$(53)$129
$(418)$644
$—
$(249)$(313)$4,353
$112



 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsJun. 30, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2016Mar. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2018
Non-marketable equity securities734
—
(54)—
—
—
—
(33)(36)611
(23)
Total investments$2,088
$—
$(68)$3
$(13)$127
$—
$(109)$(36)$1,992
$(36)
Loans$1,234
$—
$89
$24
$(196)$93
$—
$(137)$(25)$1,082
$(179)$554
$—
$(274)$—
$60
$47
$—
$(6)$—
$381
$40
Mortgage servicing rights1,324
—
13
—
—
—
43
(32)(78)1,270
15
587
—
11
—
—
—
15
(1)(16)596
11
Other financial assets measured on a recurring basis111
—
31
1
(41)1
72
(4)(105)66
(69)13
—
14
—
(11)—
—
(4)(12)—
14
Liabilities      
Interest-bearing deposits$433
$—
$41
$—
$(100)$—
$—
$—
$(32)$260
$42
$292
$—
$(3)$—
$—
$—
$25
$—
$—
$320
$(6)
Federal funds purchased and securities loaned or sold under agreements to repurchase1,107
10
—
—
(150)—
—
11
(35)923
8
Securities loaned and sold under agreements to repurchase857
25
—
—
—
—
96
—
38
966
16
Trading account liabilities      
Securities sold, not yet purchased12
(30)—
21
(42)(9)—
142
5
159
(30)48
(142)—
4
(12)—
—
6
1
189
(50)
Other Trading Liabilities—
—
—
1
—
—
—
—
—
1
—
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings53
(9)—
1
(32)—
15
—
(14)32
2
81
(6)—
3
(21)—
24
—
(3)90
10
Long-term debt9,138
(191)—
947
(1,550)—
1,719
—
(1,263)9,182
(191)13,484
(7)—
815
(540)—
4
—
11
13,781
92
Other financial liabilities measured on a recurring basis5
—
(26)2
—
(1)—
—
—
32
(2)3
—
(2)1
(5)—
—
—
(1)—
—


  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2016
Assets           
Federal funds sold and securities borrowed or purchased under agreements to resell$1,337
$2
$—
$—
$(28)$508
$—
$—
$(506)$1,313
$3
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed744
13
—
485
(969)857
—
(920)18
228
4
Residential1,326
104
—
134
(153)275
—
(1,239)(6)441
23
Commercial517
15
—
180
(209)661
—
(720)—
444
(23)
Total trading mortgage-backed securities$2,587
$132
$—
$799
$(1,331)$1,793
$—
$(2,879)$12
$1,113
$4
U.S. Treasury and federal agency securities$1
$—
$—
$2
$—
$—
$—
$(2)$—
$1
$—
State and municipal351
26
—
136
(253)224
—
(327)—
157
—
Foreign government197
(27)—
2
(17)99
—
(191)—
63
(2)
Corporate376
323
—
129
(102)748
—
(796)7
685
58
Equity securities3,684
(187)—
279
(871)851
—
(196)—
3,560
(125)
Asset-backed securities2,739
181
—
195
(237)1,969
—
(2,098)—
2,749
87
Other trading assets2,483
(104)—
1,754
(2,379)2,323
7
(1,468)(36)2,580
136
Total trading non-derivative assets$12,418
$344
$—
$3,296
$(5,190)$8,007
$7
$(7,957)$(17)$10,908
$158
Trading derivatives, net(4)
           
Interest rate contracts$(495)$(408)$—
$250
$116
$147
$(18)$(140)$(15)$(563)$84
Foreign exchange contracts620
(667)—
73
(73)158
—
(141)119
89
(428)
Equity contracts(800)137
—
78
(305)63
38
(99)(79)(967)191
Commodity contracts(1,861)(357)—
(428)48
359
—
(347)287
(2,299)11
Credit derivatives307
(1,803)—
(82)3
38
—
(35)553
(1,019)(1,272)
Total trading derivatives, net(4)
$(2,229)$(3,098)$—
$(109)$(211)$765
$20
$(762)$865
$(4,759)$(1,414)
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$139
$—
$(29)$15
$(72)$46
$—
$(9)$(1)$89
$49
Residential4
—
2
49
—
26
—
(28)—
53
1
Commercial2
—
(1)6
(7)—
—
—
—
—
—
Total investment mortgage-backed securities$145
$—
$(28)$70
$(79)$72
$—
$(37)$(1)$142
$50
U.S. Treasury and federal agency securities$4
$—
$—
$—
$—
$—
$—
$(2)$—
$2
$—
State and municipal2,192
—
108
396
(1,121)300
—
(219)—
1,656
45
Foreign government260
—
5
38
—
145
—
(300)(3)145
1
Corporate603
—
87
6
(63)506
—
(250)(365)524
1
Equity securities124
—
11
4
—
—
—
(129)—
10
—
Asset-backed securities596
—
(53)3
(48)325
—
(222)81
682
(35)
Other debt securities—
—
—
10
—
6
—
(5)—
11
—
Non-marketable equity securities1,135
—
78
104
(23)19
—
(14)(118)1,181
29
Total investments$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)
In millions of dollarsDec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2016
Loans$2,166
$—
$31
$113
$(734)$663
$219
$(812)$(564)$1,082
$383
Mortgage servicing rights1,781
—
(349)—
—
—
111
(18)(255)1,270
(154)
Other financial assets measured on a recurring basis180
—
64
41
(46)1
202
(128)(248)66
(260)
Liabilities           
Interest-bearing deposits$434
$—
$76
$322
$(309)$—
$5
$—
$(116)$260
$42
Federal funds purchased and securities loaned or sold under agreements to repurchase1,247
(11)—
—
(150)—
—
27
(212)923
(24)
Trading account liabilities           
Securities sold, not yet purchased199
(16)—
118
(85)(70)(41)212
(190)159
(61)
Other Trading Liabilities—
—
—
1
—
—
—
—
—
1
—
Short-term borrowings9
(36)—
18
(36)—
56
—
(51)32
2
Long-term debt7,543
(217)—
2,168
(3,393)—
4,591
61
(2,005)9,182
(277)
Other financial liabilities measured on a recurring basis14
—
(33)2
(10)(7)2
—
(2)32
(7)

(1)
Changes in fair value of available-for-sale investmentsdebt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments)debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at SeptemberJune 30, 2016.2018.
(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)
In millions of dollarsDec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2018
Assets 
 
 
 
 
 
 
 
 
 
 
Securities borrowed and purchased under agreements to resell$16
$19
$—
$49
$—
$—
$—
$—
$(18)$66
$10
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed163
2
—
89
(90)153
—
(218)—
99
1
Residential164
5
—
58
(88)91
—
(98)—
132
(4)
Commercial57
(1)—
11
(37)38
—
(17)—
51
3
Total trading mortgage-backed securities$384
$6
$—
$158
$(215)$282
$—
$(333)$—
$282
$—
U.S. Treasury and federal agency securities$—
$—
$—
$6
$—
$1
$—
$—
$—
$7
$—
State and municipal274
10
—
—
(44)13
—
(27)—
226
1
Foreign government16
(1)—
2
(5)46
—
(22)—
36
(1)
Corporate275
95
—
61
(91)279
—
(99)—
520
251
Marketable equity securities120
82
—
17
(20)242
—
(148)—
293
26
Asset-backed securities1,590
75
—
45
(47)689
—
(664)—
1,688
39
Other trading assets615
83
—
85
(42)157
5
(352)(9)542
(11)
Total trading non-derivative assets$3,274
$350
$—
$374
$(464)$1,709
$5
$(1,645)$(9)$3,594
$305
Trading derivatives, net(4)
           
Interest rate contracts$(422)$587
$—
$5
$(72)$8
$—
$(16)$(4)$86
$529
Foreign exchange contracts130
105
—
(13)3
7
—
(5)12
239
27
Equity contracts(2,027)(102)—
(73)751
17
—
(11)(1)(1,446)203
Commodity contracts(1,861)(174)—
(43)98
27
—
—
47
(1,906)(32)
Credit derivatives(799)(98)—
(9)12
2
—
1
43
(848)(219)
Total trading derivatives, net(4)
$(4,979)$318
$—
$(133)$792
$61
$—
$(31)$97
$(3,875)$508
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$24
$—
$10
$—
$—
$—
$—
$—
$—
$34
$(12)
Residential—
—
—
—
—
—
—
—
—
—
—
Commercial3
—
2
1
—
—
—
—
—
6
—
Total investment mortgage-backed securities$27
$—
$12
$1
$—
$—
$—
$—
$—
$40
$(12)
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal737
—
(13)—
(18)140
—
(84)—
762
(22)
Foreign government92
—
(4)1
(2)62
—
(95)—
54
(3)
Corporate71
—
(1)3
(2)3
—
(6)—
68
—
Marketable equity securities2
—
—
—
—
—
—
(1)—
1
—
Asset-backed securities827
—
(15)3
(344)11
—
(26)—
456
(25)
Other debt securities—
—
—
—
—
—
—
—
—
—
—


Non-marketable equity securities681
—
(30)30
—
15
—
(33)(52)611
(7)
Total investments$2,437
$—
$(51)$38
$(366)$231
$—
$(245)$(52)$1,992
$(69)

  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2018
Loans$550
$—
$(255)$—
$59
$51
$—
$(22)$(2)$381
$175
Mortgage servicing rights558
—
57
—
—
—
32
(18)(33)596
57
Other financial assets measured on a recurring basis16
—
22
—
(11)4
12
(4)(39)—
33
Liabilities           
Interest-bearing deposits$286
$—
$23
$12
$—
$—
$45
$—
$—
$320
$(60)
Securities loaned and sold under agreements to repurchase726
39
—
—
—
—
243
—
36
966
29
Trading account liabilities           
Securities sold, not yet purchased22
(247)—
7
(31)—
—
9
(65)189
(46)
Other trading liabilities5
5
—
—
—
—
—
—
—
—
—
Short-term borrowings18
1
—
48
(21)—
49
—
(3)90
(9)
Long-term debt13,082
(243)—
1,755
(1,304)36
7
(44)6
13,781
(735)
Other financial liabilities measured on a recurring basis8
—
(2)1
(10)—
2
—
(3)—
(4)



(1)
Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2018.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.


Level 3 Fair Value Rollforward
There were no significant Level 3 transfers for the period June 30, 2017 to September 30, 2017:

The following were the significant Level 3 transfers for the period December 31, 20162018 to SeptemberJune 30, 2017:2019:


•
During the three and six months ended June 30, 2019, transfers of Long-term debt of $0.7 billion and $1.6 billion from Level 2 to Level 3, and of $1.4 billion and $3.0 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.
Transfers of Long-term debt of $0.7 billion from Level 2 to Level 3, and of $1.5 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.
Transfers of 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 December 31, 2017 to June 30, 2016 to September 30, 2016.2018:


•
During the three and six months ended June 30, 2018, transfers of Long-term debt of $0.8 billion and $1.8 billion from Level 2 to Level 3, and of $0.5 billion and $1.3 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 $0.3 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 September 30, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of June 30, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets        
Federal funds sold and securities borrowed or purchased under agreements to resell$664
Model-basedIR Normal Volatility26.85 %77.79%64.45 %
Securities borrowed and purchased under agreements to resell$122
Model-basedInterest rate1.77 %3.67%2.90 %
Mortgage-backed securities$480
Price-basedPrice$5.90
$102.90
$73.64$220
Yield analysisYield1.94 %7.72%3.23 %
339
Yield AnalysisYield1.55 %13.72%4.96 %162
Price-basedPrice$15.00
$125.81
$86.87
Non-mortgage debt securities$2,830
Price-basedPrice$21.03
$108.46
$88.99
State and municipal, foreign government, corporate and other debt securities$1,261
Price-basedPrice$—
$1,127.39
$77.56
1,093
Model-basedCredit spread35bps
470bps
214 bps
Marketable equity securities(5)
$81
Price-basedPrice$0.01
$41,284.00
$5,730.26
41
Model-basedWAL1 year
1 year
1 year
Asset-backed securities$1,429
Price-basedPrice$2.75
$100.00
$78.27
Non-marketable equities$262
Comparables analysisEBITDA multiples8.10x
19.40x
11.72x
$1,535
Model-basedCredit Spread35 bps
375 bps
233 bps
152
Price-basedPrice$8.18
$1,540.00
$773.53
  Yield2.17 %16.04%5.92 %  Appraised value$381,810
$33,710,000
$14,639,552
Equity securities(5)
$156
Price-basedPrice$0.09
$1,402.80
$640.33
$80
Model-based 


Asset-backed securities$2,387
Price-basedPrice$36.50
$100.00
$85.34
Non-marketable equity$502
Comparable AnalysisEBITDA Multiples7.30x13.3x8.94x
283
Price-basedDiscount to price— %100.00%9.71 %  Discount to price— %10.00%2.30 %
  Price to book ratio0.05x1.12x0.85x
 Revenue multiple3.15x
26.12x
11.76x
Derivatives—gross(6)
      
Interest rate contracts (gross)$3,679
Model-basedIR Normal Volatility10.36 %79.60%59.26 %$3,307
Model-basedInflation volatility0.22 %2.67%0.79 %
  Mean reversion1.00 %20.00%10.50 %
  Mean Reversion1.00 %20.00%10.50 %  IR Normal volatility0.15 %80.37%49.53 %
Foreign exchange contracts (gross)$906
Model-basedFX Volatility5.98 %20.23%10.45 %$796
Model-basedFX volatility3.09 %15.04%9.83 %


 IR Basis(0.99)%0.38%(0.04)%
 IR-IR correlation(51.00)%40.00%33.10 %
  Credit Spread0.00 bps
602 bps
168 bps
  IR-FX correlation40.00 %60.00%50.00 %
  IR-IR Correlation(51.00)%40.00%35.65 %  Interest rate4.50 %11.33%9.24 %
  IR-FX Correlation(10.09)%60.00%49.13 %  IR Normal volatility— %80%24 %
Equity contracts (gross)$2,977
Model-basedEquity Volatility3.00 %54.00%24.61 %
  Credit Spread32bps
535bps
381bps
Equity contracts (gross)(7)
$2,130
Model-basedEquity volatility2.87 %88.26%48.13 %
  Forward price59.57 %129.82%119.02 %
  Equity-Equity correlation(48.61)%98.11%72.94 %
  Forward Price69.30 %114.48%94.45 %  Equity-FX correlation(75.00)%37.27%(20.58)%
Commodity and other contracts (gross)$2,939
Model-basedForward Price41.12 %405.15%141.97 %$1,900
Model-basedForward price26.15 %343.40%111.96 %
  Commodity Volatility8.99 %49.49%27.04 %  Commodity volatility10.08 %93.16%24.97 %
  Commodity Correlation(38.81)%90.59%37.73 %  Commodity correlation(40.55)%89.50%45.81 %
Credit derivatives (gross)$2,187
Model-basedRecovery Rate12.22 %55.00%36.93 %$708
Model-basedUpfront points4.99 %99.77%58.34 %
949
Price-basedCredit Correlation10.00 %85.00%42.46 %597
Price-basedCredit correlation25.00 %85.00%43.66 %
  Upfront Points10.94 %99.00%68.80 %  Credit spread4bps
334bps
70bps
  Credit Spread2 bps
1,407 bps
112 bps
  Price$12.00
$98.00
$69.20
  








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)$16
Model-basedRedemption Rate10.70 %99.50%74.48 %
As of June 30, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
  Recovery rate20.00 %60.00%41.00 %
Loans and leases$388
Model-basedPrice$29.16
$146.83
$137.53
$379
Model-basedEquity volatility27 %37%32 %


 Credit spread110bps
110bps
110bps
150
Price-basedYield2.53 %3.09%3.02 %  Yield— %—%— %
Mortgage servicing rights$465
Cash flowYield8.00 %18.96%12.59 %$424
Cash flowYield4.77 %16.26%8.00 %
88
Model-basedWAL4.06 years
7.30 years
6.02 years
83
Model-basedWAL3.4 years
7.1 years
5.8 years
Liabilities      
Interest-bearing deposits$300
Model-basedMean Reversion1.00 %20.00%10.50 %$1,182
Model-basedMean reversion1.00 %20.00%10.50 %
  Forward Price99.08 %99.65%99.13 %
Federal funds purchased and securities loaned or sold under agreement to repurchase$765
Model-basedInterest Rate1.11 %2.17%2.00 %
Securities loaned and sold under agreement to repurchase$1,085
Model-basedInterest rate1.77 %2.53%2.01 %
Trading account liabilities      
Securities sold, not yet purchased$612
Model-basedIR Normal Volatility26.85 %77.79%64.45 %$27
Price-basedPrice$—
$2,164.17
$86.14
Short-term borrowings and long-term debt$11,377
Model-basedForward Price69.30 %193.63%105.10 %$15,232
Model-basedMean reversion1.00 %20.00%10.50 %
  Forward price26.15 %343.40%118.53 %
  IR Normal volatility0.15 %80.37%44.02 %
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)

High(2)(3)
Weighted
average(4)
Assets       
 
Federal funds sold and securities borrowed or purchased under agreements to resell$1,496
Model-basedIR Log-Normal Volatility12.86 %75.50 %61.73 %
  Interest Rate(0.51)%5.76 %2.80 %
Securities borrowed and purchased under agreements to resell$115
Model-basedInterest rate2.52 %7.43%5.08 %
Mortgage-backed securities$509
Price-basedPrice$5.50
$113.48
$61.74
$313
Price-basedPrice$11.25
$110.35
$90.07
368
Yield analysisYield1.90 %14.54 %4.34 %198
Yield analysisYield2.27 %8.70%3.74 %
State and municipal, foreign government, corporate and other debt securities$3,308
Price-basedPrice$15.00
$103.60
$89.93
$1,212
Price-basedPrice$—
$103.75
$91.39
1,513
Cash flowCredit Spread35 bps
600 bps
230 bps
938
Model-basedCredit spread35 bps
446 bps
238 bps
Equity securities(5)
$69
Model-basedPrice$0.48
$104.00
$22.19
Marketable equity securities(5)
$108
Price-basedPrice$—
$20,255.00
$1,247.85
58
Price-based 





45
Model-basedWAL1.47years
1.47years
1.47years
Asset-backed securities$2,454
Price-basedPrice$4.00
$100.00
$71.51
$1,608
Price-basedPrice$2.75
$101.03
$66.18
Non-marketable equity$726
Price-basedDiscount to Price— %90.00 %13.36 %$293
Comparables analysisDiscount to price— %100.00%0.66 %
565
Comparables analysisEBITDA Multiples6.80x10.10x8.62x255
Price-basedEBITDA multiples5.00x
34.00x
9.73x
  Price-to-Book Ratio0.32x1.03x0.87x

 Net operating income multiple24.70x
24.70x
24.70x
  Price$—
$113.23
$54.40
  Price$2.38
$1,073.80
$420.24
  Revenue multiple2.25x
16.50x
7.06x
Derivatives—gross(6)
   
 


Interest rate contracts (gross)$4,897
Model-basedIR Log-Normal Volatility1.00 %93.97 %62.72 %$3,467
Model-basedMean reversion1.00 %20.00%10.50 %
  Inflation volatility0.22 %2.65%0.77 %
  Mean Reversion1.00 %20.00 %10.50 %  IR Normal volatility0.16 %86.31%56.24 %
Foreign exchange contracts (gross)$1,110
Model-basedForeign Exchange (FX) Volatility1.39 %26.85 %15.18 %$626
Model-basedForeign exchange (FX) volatility3.15 %17.35%11.37 %
134
Cash flowIR Basis(0.85)%(0.49)%(0.84)%73
Cash flowIR-IR correlation(51.00)%40.00%32.69 %
  Credit Spread4 bps
657 bps
266 bps
  IR-FX correlation40.00 %60.00%50.00 %
  IR-IR Correlation40.00 %50.00 %41.27 %

 Credit spread39bps
676bps
423bps
  IR-FX Correlation16.41 %60.00 %49.52 %  IR basis(0.65)%0.11%(0.17)%
  Yield6.98 %7.48%7.23 %
Equity contracts (gross)(7)
$2,701
Model-basedEquity Volatility3.00 %97.78 %29.52 %$1,467
Model-basedEquity volatility3.00 %78.39%37.53 %
  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)
As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)

High(2)(3)
Weighted
average(4)
  Forward price64.66 %144.45%98.55 %
  Equity-Equity correlation(81.39)%100.00%35.49 %
  Yield Volatility3.55 %14.77 %9.29 %  Equity-FX correlation(86.27)%70.00%(1.20)%
  Equity-Equity Correlation(87.70)%96.50 %67.45 %

 WAL1.47 years
1.47 years
1.47 years
Commodity contracts (gross)$2,955
Model-basedForward Price35.74 %235.35 %119.99 %$1,552
Model-basedForward price15.30 %585.07%145.08 %
  Commodity Volatility2.00 %32.19 %17.07 %  Commodity volatility8.92 %59.86%20.34 %
  Commodity Correlation(41.61)%90.42 %52.85 %

 Commodity correlation(51.90)%92.11%40.71 %
Credit derivatives (gross)$2,786
Model-basedRecovery Rate20.00 %75.00 %39.75 %$1,089
Model-basedCredit correlation5.00 %85.00%41.06 %
1,403
Price-basedCredit Correlation5.00 %90.00 %34.27 %701
Price-basedUpfront points7.41 %99.04%58.95 %
  Upfront Points6.00 %99.90 %72.89 %  Credit spread2 bps
1,127 bps
87 bps
  Price$1.00
$167.00
$77.35
  Recovery rate5.00 %65.00%46.40 %
  Credit Spread3 bps
1,515 bps
256 bps
  Price$16.59
$98.00
$81.19
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$42
Model-basedRecovery Rate40.00 %40.00 %40.00 %
  Redemption Rate3.92 %99.58 %74.69 %
  Upfront Points16.00 %20.50 %18.78 %
Loans$258
Price-basedPrice$31.55
$105.74
$56.46
Loans and leases$248
Model-basedCredit spread138 bps
255 bps
147 bps
221
Yield analysisYield2.75 %20.00 %11.09 %29
Price-basedYield0.30 %0.47%0.32 %
79
Model-based    Price$55.83
$110.00
$92.40
Mortgage servicing rights$1,473
Cash flowYield4.20 %20.56 %9.32 %$500
Cash flowYield4.60 %12.00%7.79 %
  WAL3.53 years
7.24 years
5.83 years
84
Model-basedWAL3.55 years
7.45 years
6.39 years
Liabilities      
Interest-bearing deposits$293
Model-basedMean Reversion1.00 %20.00 %10.50 %$495
Model-basedMean reversion1.00 %20.00%10.50 %
  Forward Price98.79 %104.07 %100.19 %  Forward price64.66 %144.45%98.55 %
Federal funds purchased and securities loaned or sold under agreements to repurchase$849
Model-basedInterest Rate0.62 %2.19 %1.99 %


 Equity volatility3.00 %78.39%43.49 %
Securities loaned and sold under agreements to repurchase$983
Model-basedInterest rate2.52 %3.21%2.87 %
Trading account liabilities      
Securities sold, not yet purchased$1,056
Model-basedIR Normal Volatility12.86 %75.50 %61.73 %$509
Model-basedForward price15.30 %585.07%105.69 %
77
Price-basedEquity volatility3.00 %78.39%43.49 %
  Equity-Equity correlation(81.39)%100.00%34.04 %
  Equity-FX correlation(86.27)%70.00%(1.20)%
  Commodity volatility8.92 %59.86%20.34 %
  Commodity correlation(51.90)%92.11%40.71 %
  Equity-IR correlation(40.00)%70.37%30.80 %
Short-term borrowings and long-term debt$9,774
Model-basedMean Reversion1.00 %20.00 %10.50 %$12,289
Model-basedMean reversion1.00 %20.00%10.50 %
  Commodity Correlation(41.61)%90.42 %52.85 %  IR normal volatility0.16 %86.31%56.61 %
  Commodity Volatility2.00 %32.19 %17.07 %  Forward price64.66 %144.45%98.58 %
  Forward Price69.05 %235.35 %103.28 %  Equity volatility3.00 %78.39%43.24 %
(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. These also include non-marketable equity securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for the identical or similar investment of the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market.market value.
The following table presentstables present the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:
In millions of dollarsFair valueLevel 2Level 3
June 30, 2019   
Loans HFS(1)
$3,634
$2,391
$1,243
Other real estate owned50
37
13
Loans(2)
482
172
310
Non-marketable equity securities measured using the measurement alternative125
108
17
Total assets at fair value on a nonrecurring basis$4,291
$2,708
$1,583
In millions of dollarsFair valueLevel 2Level 3
September 30, 2017   
Loans held-for-sale(1)
$3,211
$1,039
$2,172
Other real estate owned52
9
43
Loans(2)
718
267
451
Total assets at fair value on a nonrecurring basis$3,981
$1,315
$2,666

In millions of dollarsFair valueLevel 2Level 3
December 31, 2018   
Loans HFS(1)
$5,055
$3,261
$1,794
Other real estate owned78
62
16
Loans(2)
390
139
251
Non-marketable equity securities measured using the measurement alternative261
192
69
Total assets at fair value on a nonrecurring basis$5,784
$3,654
$2,130
In millions of dollarsFair valueLevel 2Level 3
December 31, 2016   
Loans held-for-sale(1)
$5,802
$3,389
$2,413
Other real estate owned75
15
60
Loans(2)
1,376
586
790
Total assets at fair value on a nonrecurring basis$7,253
$3,990
$3,263

(1)
Net of fair value amounts on the unfunded portion of loans held-for-sale,HFS recognized as Other liabilities on the Consolidated Balance Sheet.
(2)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.







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, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$839
Price-basedPrice$82.90
$100.00
$96.67
Other real estate owned$9
Price-based
Appraised value(4)
$2,953,240
$8,394,102
$6,978,072
Loans(5)
62
Price-basedPrice2.65
63.00
30.48
 59
Recovery analysisRecovery rate85.25%99.50%95.60%
Non-marketable equity securities measured using the measurement alternative$17
Price-basedPrice$13.78
$13.78
$13.78

As of September 30, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$2,114
Price-basedPrice$87.73
$100.00
$98.96
$1,729
Price-basedPrice$0.79
$100.00
$69.52
Other real estate owned$41
Price-basedAppraised Value$20,291
$4,491,044
$1,967,435
$15
Price-based
Appraised value(4)
$8,394,102
$8,394,102
$8,394,102
  Discount to price34.00%34.00%34.00%2
Recovery analysis
Discount to price(6)
13.00%13.00%13.00%
  Price$30.00
$54.49
$53.48


 Price$56.30
$83.08
$58.27
Loans(5)(6)
$231
Recovery AnalysisRecovery Rate48.00%91.97%65.20%$251
Recovery analysisRecovery rate30.60%100.00%50.51%
155
CashflowAppraised Value$70.00
$88.05
$79.61


 Price$2.60
$85.04
$28.21
50
Price-basedPrice$2.75
$100.00
$128.92
Non-marketable equity securities measured using the measurement alternative$66
Price-basedPrice$45.80
$1,514.00
$570.26
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.Appraised values are disclosed in whole dollars.
(5)Represents impaired loans held for investment whose carrying amounts are based on the fair value of the underlying collateral, primarily real estate.estate secured loans.
(6)Includes estimated costs to sell.




Nonrecurring Fair Value Changes
The following table presentstables present total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:
 Three Months Ended September 30,
In millions of dollars20172016
Loans held-for-sale$10
$(17)
Other real estate owned(4)(4)
Loans(1)
(66)(42)
Total nonrecurring fair value gains (losses)$(60)$(63)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.



Nine Months Ended September 30,Three Months Ended June 30,
In millions of dollars2017201620192018
Loans held-for-sale$11
$(15)
Loans HFS$(14)$(7)
Other real estate owned(4)(6)(1)(1)
Loans(1)
(80)(110)(44)(33)
Non-marketable equity securities measured using the measurement alternative

4
(1)
Total nonrecurring fair value gains (losses)$(73)$(131)$(55)$(42)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.



 Six Months Ended June 30,
In millions of dollars20192018
Loans HFS$(1)$(8)
Other real estate owned—
(1)
Loans(1)
(62)(33)
Non-marketable equity securities measured using the measurement alternative65
104
Total nonrecurring fair value gains (losses)$2
$62
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.




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 below therefore excludes items measured at fair value on a recurring basis presented in the tables above.


September 30, 2017Estimated fair valueJune 30, 2019Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$58.1
$58.6
$0.3
$56.3
$2.0
$74.4
$75.3
$1.9
$71.0
$2.4
Federal funds sold and securities borrowed or purchased under agreements to resell96.3
96.3
—
90.7
5.6
Securities borrowed and purchased under agreements to resell81.7
81.7
—
81.5
0.2
Loans(1)(2)
634.7
635.8
—
5.8
630.0
670.9
675.6
—
9.6
666.0
Other financial assets(2)(3)
251.2
251.7
7.2
179.2
65.3
281.0
281.4
187.6
15.6
78.2
Liabilities  
Deposits$962.5
$960.3
$—
$819.1
$141.2
$1,043.0
$1,039.8
$—
$837.5
$202.3
Federal funds purchased and securities loaned or sold under agreements to repurchase116.0
116.0
—
116.0
—
Securities loaned and sold under agreements to repurchase136.0
136.0
—
136.0
—
Long-term debt(4)
201.8
210.5
—
178.8
31.7
202.6
212.2
—
197.8
14.4
Other financial liabilities(5)
128.3
128.3
—
15.4
112.9
121.8
121.8
—
20.2
101.6


December 31, 2016Estimated fair valueDecember 31, 2018Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$52.1
$52.0
$0.8
$48.6
$2.6
$68.9
$68.5
$1.0
$65.4
$2.1
Federal funds sold and securities borrowed or purchased under agreements to resell103.6
103.6
—
98.5
5.1
Securities borrowed and purchased under agreements to resell123.0
123.0
—
121.6
1.4
Loans(1)(2)
607.0
607.3
—
7.0
600.3
667.1
666.9
—
5.6
661.3
Other financial assets(2)(3)
215.2
215.9
8.2
153.6
54.1
249.7
250.1
172.3
15.8
62.0
Liabilities  
Deposits$928.2
$927.6
$—
$789.7
$137.9
$1,011.7
$1,009.5
$—
$847.1
$162.4
Federal funds purchased and securities loaned or sold under agreements to repurchase108.2
108.2
—
107.8
0.4
Securities loaned and sold under agreements to repurchase133.3
133.3
—
133.3
—
Long-term debt(4)
179.9
185.5
—
156.5
29.0
193.8
193.7
—
178.4
15.3
Other financial liabilities(5)
115.3
115.3
—
16.2
99.1
103.8
103.8
—
17.2
86.6
(1)
The carrying value of loans is net of the Allowance for loan losses of $12.4$12.5 billion for SeptemberJune 30, 20172019 and $12.1$12.3 billion for December 31, 2016.2018. In addition, the carrying values exclude $1.8$1.5 billion and $1.9$1.6 billion of lease finance receivables at SeptemberJune 30, 20172019 and December 31, 2016,2018, respectively.
(2)Includes items measured at fair value on a nonrecurring basis.
(3)
Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(4)The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)
Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.


The estimated fair values of the Company’s corporate unfunded lending commitments at SeptemberJune 30, 20172019 and December 31, 20162018 were liabilities of $2.7$8.0 billion and $5.2$7.8 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of
consumer unfunded lending commitments, which are generally 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 isare reported in AOCI. Additional discussion regarding the applicable areas in which fair value elections were made is presented in Note 20 to the Consolidated Financial Statements.
The Company has elected fair value accounting for its mortgage servicing rights. See Note 18 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting of MSRs.


The following table presents the changes in fair value of those items for which the fair value option has been elected:
 Changes in fair value—gains (losses)
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2019201820192018
Assets    
Securities borrowed and purchased under agreements to resell$6
$19
$35
$3
Trading account assets45
(85)212
(101)
Investments—
—
—
—
Loans    
Certain corporate loans(80)(3)(213)(126)
Certain consumer loans—
—
—
—
Total loans$(80)$(3)$(213)$(126)
Other assets    
MSRs$(37)$11
$(64)$57
Certain mortgage loans HFS(1)
21
10
37
12
Total other assets$(16)$21
$(27)$69
Total assets$(45)$(48)$7
$(155)
Liabilities    
Interest-bearing deposits$(43)$10
$(134)$38
Securities loaned and sold under agreements to repurchase51
(15)86
(126)
Trading account liabilities2
(15)13
(21)
Short-term borrowings(2)
94
(59)(81)118
Long-term debt(2)
(1,113)921
(3,794)1,539
Total liabilities$(1,009)$842
$(3,910)$1,548
 Changes in fair value—gains (losses)
 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2017201620172016
Assets    
Federal funds sold and securities borrowed or purchased under agreements to resell—selected portfolios$(17)$(54)$(108)$(7)
Trading account assets581
571
1,243
509
Investments—
(4)(3)(25)
Loans  

Certain corporate loans(1)
(61)5
(42)65
Certain consumer loans(1)
1
1
3
—
Total loans$(60)$6
$(39)$65
Other assets  

MSRs$(6)$13
$50
$(349)
Certain mortgage loans held-for-sale(2)
34
100
115
271
Other assets—
6
—
376
Total other assets$28
$119
$165
$298
Total assets$532
$638
$1,258
$840
Liabilities    
Interest-bearing deposits$(16)$(16)$(60)$(84)
Federal funds purchased and securities loaned or sold under agreements to repurchase—selected portfolios97
32
183
24
Trading account liabilities19
4
70
101
Short-term borrowings(30)(173)(110)(207)
Long-term debt(198)(305)(669)(845)
Total liabilities$(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.
(2)Includes DVA that is included in AOCI. See Notes 17 and 20 to the Consolidated Financial Statements.



Own Debt Valuation Adjustments (DVA)
Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected using Citi’s credit spreads observed in the bond market. Effective January 1, 2016, 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.AOCI. See Note 1 to the Consolidated Financial Statements for additional information.
Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.
The estimated changechanges in the fair value of these liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) was a losswere gains of $195$3 million and $319$418 million for the three months ended SeptemberJune 30, 20172019 and 2016,2018, and a loss of $422$722 million and a gain of $8$585 million for the ninesix months ended SeptemberJune 30, 20172019 and 2016,2018, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.


The Fair Value Option for Financial Assets and Financial Liabilities


Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Non-Collateralized Short-Term Borrowings
The Company elected the fair value option for certain portfolios of fixed-incomefixed income securities purchased under agreements to resell and fixed-incomefixed 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 Interest revenue and Interest expense in the Consolidated Statement of Income.


Certain Loans and Other Credit Products
Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.
The following table provides information about certain credit products carried at fair value:
 June 30, 2019December 31, 2018
In millions of dollarsTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$8,448
$3,824
$10,108
$3,224
Aggregate unpaid principal balance in excess of (less than) fair value410
779
435
741
Balance of non-accrual loans or loans more than 90 days past due—
1
—
1
Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due—
—
—
—
 September 30, 2017December 31, 2016
In millions of dollarsTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$8,926
$4,308
$9,824
$3,486
Aggregate unpaid principal balance in excess of fair value518
82
758
18
Balance of non-accrual loans or loans more than 90 days past due—
1
—
1
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—
—
1




In addition to the amounts reported above, $653$1,057 million and $1,828$1,137 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of SeptemberJune 30, 20172019 and December 31, 2016,2018, respectively.
Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in the Company’sCiti’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 ninesix months ended SeptemberJune 30, 20172019 and 20162018 due to instrument-specific credit risk totaled to a gain of $57$53 million and $83a loss of $20 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$0.4 billion at SeptemberJune 30, 20172019 and December 31, 2016,2018, respectively. The amounts are expected to fluctuate based on trading activity in future periods.
As part of its commodity and foreign currency trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of SeptemberJune 30, 2017,2019, there were approximately $14.4$9.6 billion and $8.8$7.2 billion of notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.


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


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


The following table provides information about certain mortgage loans HFS carried at fair value:
In millions of dollarsJune 30,
2019		December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$648
$556
Aggregate fair value in excess of (less than) unpaid principal balance21
21
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—
—
In millions of dollarsSeptember 30,
2017		December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$448
$915
Aggregate fair value in excess of unpaid principal balance15
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 ninesix months ended SeptemberJune 30, 20172019 and 20162018 due to instrument-specific credit risk. Related interest income continues to be measured based on the contractual interest rates and reported as Interest revenue in the Consolidated Statement of Income.
 
Certain Structured Liabilities
The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks. The Company elected the fair value option because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (Trading account liabilities) on the Company’s Consolidated Balance Sheet according to their legal form.
The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument:
In billions of dollarsJune 30, 2019December 31, 2018
Interest rate linked$21.5
$17.3
Foreign exchange linked1.0
0.5
Equity linked19.5
14.8
Commodity linked1.2
1.2
Credit linked1.9
1.9
Total$45.1
$35.7
In billions of dollarsSeptember 30, 2017December 31, 2016
Interest rate linked$13.1
$10.6
Foreign exchange linked0.3
0.2
Equity linked11.9
12.3
Commodity linked1.2
0.3
Credit linked2.3
0.9
Total$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, theThe portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions.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, 2019December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$49,488
$38,229
Aggregate unpaid principal balance in excess of (less than) fair value1,357
3,814
In millions of dollarsSeptember 30, 2017December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$30,826
$26,254
Aggregate unpaid principal balance in excess of (less than) fair value12
(128)

The following table provides information about short-term borrowings carried at fair value:
In millions of dollarsJune 30, 2019December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$5,291
$4,483
Aggregate unpaid principal balance in excess of (less than) fair value729
861


In millions of dollarsSeptember 30, 2017December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$4,827
$2,700
Aggregate unpaid principal balance in excess of (less than) fair value21
(61)



22.   GUARANTEES, LEASES 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 20162018 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at SeptemberJune 30, 20172019 and December 31, 2016:2018:


Maximum potential amount of future payments Maximum potential amount of future payments 
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)
In billions of dollars at June 30, 2019
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$27.0
$66.2
$93.2
$166
$32.9
$66.2
$99.1
$132
Performance guarantees8.0
3.0
11.0
20
7.7
4.3
12.0
27
Derivative instruments considered to be guarantees13.8
86.7
100.5
676
39.3
63.6
102.9
413
Loans sold with recourse—
0.2
0.2
9
—
1.3
1.3
8
Securities lending indemnifications(1)
106.4
—
106.4
—
105.3
—
105.3
—
Credit card merchant processing(1)(2)
82.6
—
82.6
—
90.0
—
90.0
—
Credit card arrangements with partners0.1
1.3
1.4
205
0.1
0.8
0.9
136
Custody indemnifications and other—
54.6
54.6
59
—
31.7
31.7
41
Total$237.9
$212.0
$449.9
$1,135
$275.3
$167.9
$443.2
$757
Maximum potential amount of future payments 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)
In billions of dollars at December 31, 2018
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
$32.1
$67.5
$99.6
$131
Performance guarantees7.5
3.6
11.1
19
7.7
4.2
11.9
29
Derivative instruments considered to be guarantees7.2
80.0
87.2
747
23.5
87.4
110.9
567
Loans sold with recourse—
0.2
0.2
12
—
1.2
1.2
9
Securities lending indemnifications(1)
80.3
—
80.3
—
98.3
—
98.3
—
Credit card merchant processing(1)(2)
86.4
—
86.4
—
94.7
—
94.7
—
Credit card arrangements with partners—
1.5
1.5
206
0.3
0.8
1.1
162
Custody indemnifications and other—
45.4
45.4
58
—
35.4
35.4
41
Total$207.4
$197.8
$405.2
$1,183
$256.6
$196.5
$453.1
$939
(1)The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At SeptemberJune 30, 20172019 and December 31, 2016,2018, this maximum potential exposure was estimated to be $83$90 billion and $86$95 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.




















 























Loans soldSold with recourseRecourse
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 $72$43 million and
$107 $49 million at SeptemberJune 30, 20172019 and December 31, 2016,
2018, respectively, and these amounts are included in Other
liabilities on the Consolidated Balance Sheet.


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


Other guaranteesGuarantees and indemnificationsIndemnifications


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 SeptemberJune 30, 20172019 and December 31, 2016,2018, 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 transfervalue-transfer networks (VTNs) (payment, clearing and settlement
systems as well as exchanges) around the world. As a
condition of membership, many of these VTNs require that
members stand ready to pay a pro rata share of the losses
incurred by the organization due to another member’s default
on its obligations. Citi’s potential obligations may be limited
to its membership interests in the VTNs, contributions to the
 
VTN’s funds, or, in limited cases, the obligation may be unlimited. The maximum exposure cannot be estimated as
this would require an assessment of future claims that have
not yet occurred. Citi believes the risk of loss is remote
given historical experience with the VTNs. Accordingly,
Citi’s participation in VTNs is not reported in the guarantees
tables above, and there are no amounts reflected on the
Consolidated Balance Sheet as of SeptemberJune 30, 20172019 or
December 31, 20162018 for potential obligations that could arise
from Citi’s involvement with VTN associations.


Long-Term Care Insurance Indemnification
In connection with2000, Travelers Life & Annuity (Travelers), then a subsidiary of Citi, entered into a reinsurance agreement to transfer the 2005 salerisks and rewards 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 ofits long-term care (LTC) business (for the entire termto GE Life (now Genworth Financial Inc., or Genworth), then a subsidiary of the LTC policies) that is fully reinsuredGeneral Electric Company (GE). As part of this transaction, the reinsurance obligations were provided by two regulated insurance subsidiaries of GE Life, which funded two collateral trusts with securities. Presently, as discussed below, the trusts are referred to as the Genworth Financial Inc. (Genworth). In turn,Trusts.
As part of GE’s spin-off of Genworth has offsettingin 2004, GE retained the risks and rewards associated with the 2000 Travelers reinsurance agreements with MetLife and theagreement by providing a reinsurance contract to Genworth through its Union Fidelity Life Insurance Company (UFLIC), subsidiary that covers the Travelers LTC policies. In addition, GE provided a subsidiarycapital maintenance agreement in favor of the General Electric Company. Genworth has funded two trusts with securities whose fair value (approximately $7.4 billion at September 30, 2017, compared to $7.0 billion at December 31, 2016)UFLIC that is designed to cover Genworth’s statutory liabilitiesassure that UFLIC will have the funds to pay its reinsurance obligations. As a result of these reinsurance agreements and the spin-off of Genworth, Genworth has reinsurance protection from UFLIC (supported by GE) and has reinsurance obligations in connection with the Travelers LTC policies. As noted below, the Genworth reinsurance obligations now benefit Brighthouse Financial, Inc. (Brighthouse). While neither Brighthouse nor Citi are direct beneficiaries of the capital maintenance agreement between GE and UFLIC, Brighthouse and Citi benefit indirectly from the existence of the capital maintenance agreement, which helps assure that UFLIC will continue to have funds necessary to pay its reinsurance obligations to Genworth.
In connection with Citi’s 2005 sale of Travelers to MetLife Inc. (MetLife), Citi provided an indemnification to MetLife for losses (including policyholder claims) relating to the LTC business for the LTC policies. The trusts serve as collateral for Genworth's reinsurance obligations related toentire term of the MetLifeTravelers LTC policies, which, as noted above, are reinsured by subsidiaries of Genworth. In 2017, MetLife spun off its retail insurance business to Brighthouse. As a result, the Travelers LTC policies now reside with Brighthouse. The original reinsurance agreement between Travelers (now Brighthouse) and MetLife Insurance Company USAGenworth remains in place and Brighthouse is the sole beneficiary of the trusts.Genworth Trusts. The fair value of the Genworth Trusts is approximately $8.3 billion as of June 30, 2019, compared to approximately $7.5 billion at December 31, 2018. The Genworth Trusts are designed to provide collateral to Brighthouse in an amount equal to the statutory liabilities of Brighthouse in respect of the Travelers LTC policies. The assets in these truststhe Genworth Trusts are


evaluated and adjusted periodically to ensure that the fair value of the assets continues to cover theprovide collateral in an amount equal to these estimated statutory liabilities, related toas the LTC policies, as those statutory liabilities change over time.
If both (i) Genworth fails to perform under the original
Travelers/GE Life reinsurance agreement for any reason,
including insolvency or the failure of UFLIC to perform in a timely manner, and (ii) the assets inof the two trusts Genworth Trusts
are insufficient or unavailable, to MetLife, then Citi, through its LTC
reinsurance indemnification, must reimburse MetLifeBrighthouse 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 MetLifeBrighthouse pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no liability reflected inon the Consolidated Balance Sheet as of SeptemberJune 30, 20172019 and December 31, 20162018 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 clearingOver-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) derivativesderivative 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.variation. Where Citi obtains benefits from or controls cash initial margin (e.g., retains an interest
spread), cash initial margin collected from clients and
remitted to the CCP or depository institutions is reflected within Brokerage payables (payables to customers) and Brokerage receivables (receivables from brokers, dealers and clearing organizations) or Cash and due from banks., respectively.
However, for exchange-traded and OTC-cleared derivativesderivative 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;margin, (ii) Citi
will not utilize its right as a clearing member to transform cash margin into other assets;assets, (iii) Citi does not guarantee and is not liable to the client for the performance of the CCP or the depository institution;institution and (iv) the client cash balances are legally isolated from Citi’s bankruptcy estate. The total amount of cash initial margin collected and remitted in this manner was approximately $10.6$14.1 billion and $9.4$13.8 billion as of SeptemberJune 30, 20172019 and December 31, 2016,2018, respectively.
Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of nonperformancenon-performance by clients (e.g., failure of a client to post
variation margin to the CCP for negative changes in the
value of the client’s derivative contracts). In the event of
non-performance by a client, Citi would move to close out
the client’s positions. The CCP would typically utilize initial
margin posted by the client and held by the CCP, with any
remaining shortfalls required to be paid by Citi as clearing
member. Citi generally holds incremental cash or securities
margin posted by the client, which would typically be
expected to be sufficient to mitigate Citi’s credit risk in the
event 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 SeptemberJune 30, 20172019 and December 31, 2016,2018, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately $1.1$0.8 billion and $1.2$0.9 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.


Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $65$71 billion and $48$55 billion at SeptemberJune 30, 20172019 and December 31, 2016,2018, respectively. Securities and other marketable assets held as collateral amounted to $53 billion and $41$55 billion at Septemberboth June 30, 20172019 and December 31, 2016, respectively.2018. 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$4.0 billion and $4.1 billion at both SeptemberJune 30, 20172019 and December 31, 2016.2018, respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.



Performance riskRisk
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 payments
In billions of dollars at June 30, 2019
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$71.6
$11.7
$15.8
$99.1
Performance guarantees9.7
2.0
0.3
12.0
Derivative instruments deemed to be guarantees—
—
102.9
102.9
Loans sold with recourse—
—
1.3
1.3
Securities lending indemnifications—
—
105.3
105.3
Credit card merchant processing—
—
90.0
90.0
Credit card arrangements with partners—
—
0.9
0.9
Custody indemnifications and other19.1
12.6
—
31.7
Total$100.4
$26.3
$316.5
$443.2

 Maximum potential amount of future payments
In billions of dollars at December 31, 2018
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$71.3
$11.9
$16.4
$99.6
Performance guarantees9.2
2.1
0.6
11.9
Derivative instruments deemed to be guarantees—
—
110.9
110.9
Loans sold with recourse—
—
1.2
1.2
Securities lending indemnifications—
—
98.3
98.3
Credit card merchant processing—
—
94.7
94.7
Credit card arrangements with partners—
—
1.1
1.1
Custody indemnifications and other22.2
13.2
—
35.4
Total$102.7
$27.2
$323.2
$453.1



Leases
The Company’s operating leases, where Citi is a lessee, include real estate, such as office space and branches, and various types of equipment. These leases have a weighted-average remaining lease term of approximately six years as of June 30, 2019. The operating lease ROU asset and lease liability were $2.9 billion and $3.1 billion, respectively, as of June 30, 2019. The Company recognizes fixed lease costs on a straight-line basis throughout the lease term in the Consolidated Statement of Income. Additionally, variable lease costs are recognized in the period in which the obligation for those payments is incurred. The total operating lease expense (principally for offices, branches and equipment), net of approximately $14 million and $35 million of sublease income, was approximately $265 million and $537 million for the three and six months ended June 30, 2019, respectively. The decrease in the lease liability and related financial information for operating leases from March 31, 2019 reflects the impact of a purchase of a previously leased property in London during the second quarter of 2019. The purchased property is included in Other assets on the Consolidated Balance Sheet at June 30, 2019.
While Citi has, as a lessee, certain finance leases, such leases are not material to the Company's Consolidated Financial Statements.
Citi’s lease arrangements that have not yet commenced as of June 30, 2019 and the Company’s short-term lease costs, variable lease costs and finance lease costs, for the three and six months ended June 30, 2019 are not material to the Consolidated Financial Statements. Citi’s operating cash outflows related to operating leases were approximately $252 million and $486 million for the three and six months ended June 30, 2019, respectively, while the future lease payments are as follows:
 In millions of dollarsOperating leases
As of June 30, 2019 
Remaining 2019$436
2020716
2021592
2022464
2023355
Thereafter930
Total future lease payments$3,493
Less imputed interest (based on weighted-average discount rate of 3.7%)(391)
Lease liability$3,102



















 Maximum potential amount of future payments
In billions of dollars at September 30, 2017
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$65.9
$13.2
$14.1
$93.2
Performance guarantees7.2
3.0
0.8
11.0
Derivative instruments deemed to be guarantees—
—
100.5
100.5
Loans sold with recourse—
—
0.2
0.2
Securities lending indemnifications—
—
106.4
106.4
Credit card merchant processing—
—
82.6
82.6
Credit card arrangements with partners—
—
1.4
1.4
Custody indemnifications and other54.3
0.3
—
54.6
Total$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,
2019
December 31,
2018
Commercial and similar letters of credit$928
$4,485
$5,413
$5,461
One- to four-family residential mortgages2,367
1,783
4,150
2,671
Revolving open-end loans secured by one- to four-family residential properties9,769
1,283
11,052
11,374
Commercial real estate, construction and land development12,054
1,505
13,559
11,293
Credit card lines613,905
94,579
708,484
696,007
Commercial and other consumer loan commitments198,479
106,442
304,921
300,115
Other commitments and contingencies3,033
415
3,448
3,321
Total$840,535
$210,492
$1,051,027
$1,030,242

In millions of dollarsU.S.
Outside of 
U.S.
September 30,
2017
December 31,
2016
Commercial and similar letters of credit$756
$4,297
$5,053
$5,736
One- to four-family residential mortgages1,352
1,831
3,183
2,838
Revolving open-end loans secured by one- to four-family residential properties11,137
1,508
12,645
13,405
Commercial real estate, construction and land development9,166
1,973
11,139
10,781
Credit card lines579,285
100,624
679,909
664,335
Commercial and other consumer loan commitments167,736
95,939
263,675
259,934
Other commitments and contingencies2,115
1,325
3,440
3,202
Total$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 lendingborrowing agreements and unsettled repurchase and securities borrowinglending agreements
In addition, in the normal course of business, Citigroup enters into reverse repurchase and securities borrowing agreements, as well as repurchase and securities lending agreements, which settle at a future date. At SeptemberJune 30, 2017,2019 and December 31, 2016,2018, Citigroup had $44.8approximately $52.5 billion and $43.1$36.1 billion of unsettled reverse repurchase and securities borrowing agreements, respectively, and $23.9approximately $61.1 billion and $14.9$30.7 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 10.10 to the Consolidated Financial Statements.






Restricted Cash

Citigroup defines restricted cash (as cash subject to withdrawal restrictions) to include cash deposited with central banks that must be maintained to meet minimum regulatory requirements, and cash set aside for the benefit of customers or for other purposes such as compensating balance arrangements or debt retirement. Restricted cash includes minimum reserve requirements with the Federal

Reserve Bank and certain other central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the United States Securities and Exchange Commission (SEC), the Commodities Futures Trading Commission and the United Kingdom’s Prudential Regulation Authority.

Restricted cash is included on the Consolidated Balance Sheet within the following balance sheet lines:

In millions of dollarsJune 30,
2019
December 31,
2018
Cash and due from banks$2,624
$4,000
Deposits with banks29,519
27,208
Total$32,143
$31,208











23.   CONTINGENCIES


The following information supplements and amends, as applicable, the disclosuresdisclosure in Note 23 to the Consolidated Financial Statements of each of Citigroup’s First Quarter of 2017 Form 10-Q and Second Quarter of 20172019 Form 10-Q and Note 27 to the Consolidated Financial Statements of Citigroup’s 20162018 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, regulatory, and regulatorytax matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. 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 SeptemberJune 30, 2017,2019, Citigroup’s estimate of the reasonably possible unaccrued loss for these matters was materially unchanged from the estimate of approximately $1.5$1.2 billion in the aggregate as of June 30, 2017.aggregate.
As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation, and regulatory, proceedingstax or other matters 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, regulators, or regulators,tax authorities 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 the litigation, regulatory, and regulatorytax matters disclosed herein, see Note 27 to the Consolidated Financial Statements of Citigroup’s 20162018 Annual Report on Form 10-K.


Credit Crisis-Related Litigation and Other Matters

Mortgage-Related Litigation and Other Matters
Mortgage-Backed Securities Trustee Actions:On July 28, 2017, CitibankJune 7, 2019, plaintiffs withdrew their appeal and the case was dismissed in the federal court litigation captioned 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 numbers 14-cv-9373 (S.D.N.Y.) (Furman, J.) and 18-1196 (2d Cir.).
On June 7, 2019, plaintiffs filed an appeal withunopposed motion to discontinue the New York State Supreme Court Appellate Division, First Department, appealingaction in the portions of the June 27, 2017 New York State Supreme Court decision instate court litigation captioned FIXED INCOME SHARES: SERIES M, ET AL. v. CITIBANK N.A. denying its motion to dismiss.  Additional information concerning this action is publicly available in court filings under the docket number 653891/2015 (N.Y. Sup. Ct.) (Ramos,(Borrok, J.).


Lehman Brothers Bankruptcy ProceedingsForeign Exchange Matters
Regulatory Actions:On September 29, 2017, Lehman Brothers Holdings Inc. (LBHI) filedMay 16, 2019, the European Commission (EC) announced a motion for approval of a global settlement in LEHMAN BROTHERS HOLDINGS INC. ET AL. v. CITIBANK, N.A. ET AL.with Citigroup and Citibank resolving its foreign exchange spot investigation. Citi was among six banks settling the EC’s investigation. As part of the global settlement, Citi agreed to pay a fine of 310,776,000 Euro.
On June 6, 2019, the Swiss Competition Commission (COMCO) announced a settlement with Citigroup for the same conduct covered by the EC settlement. Citigroup was among six banks settling COMCO’s investigation. As part of the settlement, Citigroup agreed to pay a fine of 28,500,000 CHF.
Antitrust and Other Litigation: On June 11, 2019, in ALLIANZ GLOBAL INVESTORS, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., plaintiffs filed a second amended complaint. Plaintiffs allege that defendants manipulated, and colluded to manipulate, the foreign exchange market. Plaintiffs assert Sherman Act and unjust enrichment claims and seek consequential and punitive damages and other forms of relief. Additional information concerning this action is publicly available in court filings under the docket number 18 Civ. 10364 (S.D.N.Y.) (Schofield, J.).
On May 29, 2019, in CONTANT, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., plaintiffs filed an amended motion for preliminary approval of their settlement with Citigroup, Citibank, will retain $350 million from LBHI’s deposit atCiticorp, and Citigroup Global Markets Inc. (CGMI). Additional information concerning this


action is publicly available in court filings under the docket number 17 Civ. 3139 (S.D.N.Y.) (Schofield, J.).
On May 27, 2019, a putative class action captioned J WISBEY & ASSOCIATES PTY LTD v. UBS AG & ORS was filed in the Federal Court of Australia against Citibank and returnother defendants. Plaintiffs allege manipulation of foreign exchange markets in violation of Australian antitrust laws and seek compensatory damages and declaratory and injunctive relief. Additional information concerning this action is publicly available in court filings under the docket number VID567/2019.
On July 29, 2019, an application was made to LBHIthe U.K.’s Competition Appeal Tribunal, captionedMICHAEL O’HIGGINS FX CLASS REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS, requesting permission to commence collective proceedings against Citibank and its affiliates allother defendants. The application seeks compensatory damages for losses alleged to have arisen from the actions at issue in the EC settlement referenced above.
Interbank Offered Rates-Related Litigation and Other Matters
Antitrust and Other Litigation: On April 30, 2019, in 7 WEST 57th STREET REALTY CO. v. CITIGROUP, INC., ET AL., the United States Court of Appeals for the Second Circuit issued a summary order affirming the district court’s dismissal of the remaining deposited funds. In addition, LBHI will withdraw its remaining objections to the bankruptcy claims filed by Citibank and its affiliates.action. Additional information concerning this action is publicly available in court filings under the docket numbers 12-0104413 Civ. 981 (S.D.N.Y.) (Gardephe, J.) and 08-13555 (Bankr. S.D.N.Y.) (Chapman, J.18-1102 (2d Cir.).

Foreign Exchange Matters
Antitrust and Other Litigation: On August 3, 2017,May 17, 2019, in NYPLSULLIVAN, ET AL. v. JPMORGAN CHASE & CO.,BARCLAYS PLC, ET AL., the court ruled thatgranted final approval of the class settlement between plaintiffs sufficiently 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 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.)Citigroup, Citibank, and 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).
On August 11, 2017, defendants filed a motion to dismiss plaintiffs’ consolidated amended complaints in CONTANT ET AL. v. BANK OF AMERICA CORPORATION ET AL. and LAVENDER ET AL. v. BANK OF AMERICA CORPORATION ET 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 August 18, 2017, in NEGRETE v. CITIBANK, N.A., the parties stipulated to voluntary dismissal of plaintiffs’ sole 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 numbers 15 Civ. 7250 (S.D.N.Y.) (Sweet, J.) and 17-2783 (2d Cir.).
On September 11, 2017, in ALPARI (US), LLC v. CITIGROUP INC. AND CITIBANK, N.A., plaintiff filed a notice of dismissal, dismissing its case against Citigroup and Citibank in its entirety without prejudice. The court approved the dismissal on September 12, 2017 and ordered the case closed.other settling defendants. Additional information concerning this action is publicly available in court filings under the docket number 1713 Civ. 52692811 (S.D.N.Y.) (Castel, J.).

Interbank Offered Rates-Related Litigation and Other Matters
Antitrust and Other Litigation:On August 31, 2017,Following the court granted preliminary approval to a $130 million settlement with Citigroup and Citibank and the largest plaintiffs’ classcourt’s March 25, 2019 ruling in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION, which consistson July 1, 2019, the court ordered the stipulations of investors who purchased over-the-counter (OTC) derivatives from USD LIBOR panel banks. On October 11, 2017, the second largest plaintiffs’ class, made upparties regarding the status of investors who traded Eurodollar futuresclaims asserted by the Federal Deposit Insurance Corporation, Federal Home Loan Mortgage Corporation, and optionsNational Credit Union Administration Board. In the stipulations, the parties agreed on exchanges, filed a motion for preliminary approval of settlements with certain defendants, including Citigroupthe claims that remain viable, the claims that were dismissed, and Citibank.the claims whose viability remains in dispute. Additional information concerning these actions and related actions and appeals is publicly available in court filings under the docket numbers 11 MD 2262 (S.D.N.Y.) (Buchwald, J.) and 17-1569 (2d Cir.).
On August 18, 2017,May 23, 2019, in FRONTPOINT ASIAN EVENT DRIVEN FUND, LTD ET AL.SCS BANQUE DELUBAC & CIE v. CITIBANK, N.A.CITIGROUP INC. ET AL., Banque Delubac filed an appeal before France’s Court of Cassation challenging the Court of Appeal of Nîmes’s ruling that neither the Commercial Court of Aubenas nor the Commercial Court of Marseille has jurisdiction over Banque Delubac’s claims. Additional information concerning these actions is publicly available in court grantedfilings in part the defendants’ motionCourt of Cassation under the docket number W1916931 (AROB), and the Commercial Court of Marseille under the docket number RG no. 2018F0750.
On July 1, 2019, in PUTNAM BANK v. INTERCONTINENTAL EXCHANGE, INC., ET AL., the
plaintiffs filed a consolidated amended complaint. Additional information relating to dismiss. Thethis action is publicly available in court dismissed all claims against foreign bank defendants, antitrust claims asserted by onefilings under the docket number 19 Civ. 439 (S.D.N.Y.) (Daniels, J.).

Parmalat Litigation
On May 23, 2019, the Milan Court of Appeal rejected Parmalat’s appeal of the two named plaintiffs, and all RICO, implied covenant, and unjust enrichment claims. The court allowed one antitrust claim to proceed againstJanuary 2018 decision of the U.S. bank defendants, including Citigroup and Citibank. PlaintiffsMilan Commercial Court dismissing Parmalat’s claim. On June 28, 2019, Parmalat filed an amended complaint on September 18, 2017. On October 18, 2017, defendants filed a motion to dismissits appeal with the amended complaint.Italian Supreme Court. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 5263 (S.D.N.Y.) (Hellerstein, J.).20598/2019.


Sovereign Securities Matters
Antitrust and Other Litigation: InOn May 23, 2019, in IN RE TREASURY SECURITIES AUCTIONGSE BONDS ANTITRUST LITIGATION, pursuant to a court-ordered stipulation, plaintiffs will filefiled a consolidated amended complaint against CGMI and numerous other defendants, on behalf of a purported class of persons or entities that transacted in bonds issued by November 15, 2017.United States
government-sponsored entities with one or more of the defendants. Plaintiffs no longer assert any claims against Citigroup. Plaintiffs assert a claim under the Sherman Act based on defendants’ alleged conspiracy to manipulate the market for such bonds, and seek treble damages and injunctive relief. On June 13, 2019, CGMI and other defendants moved to dismiss the consolidated amended complaint. Additional information concerningrelating to this action is publicly available in court filings under the docket number 15 MD 267319 Civ. 1704 (S.D.N.Y.) (Gardephe,(Rakoff, J.).

Transaction Tax Matters
Citigroup and Citibank are engaged in litigation or examinations with tax authorities in India and Germany concerning the payment of transaction taxes and other non-income tax matters.

Variable Rate Demand Obligation Litigation
On October 6, 2017,May 31, 2019, plaintiffs in IN RE SSA BONDS ANTITRUST LITIGATIONthe consolidated actions CITY OF PHILADELPHIA v. BANK OF AMERICA CORP., ET AL. and MAYOR AND CITY COUNCIL OF BALTIMORE v. BANK OF AMERICA CORP., ET AL. filed a motionconsolidated complaint naming as defendants Citigroup, Citibank, CGMI, Citigroup Global Markets Limited, and numerous other industry participants. The consolidated complaint asserts violations of the Sherman Act, as well as claims for leavebreach of contract, breach of fiduciary duty, and unjust enrichment, and seeks damages and injunctive relief based on allegations that defendants served as remarketing agents for municipal bonds called variable rate demand obligations (VRDOs) and colluded to amend their complaint, along with a proposed second amended complaint.set artificially high VRDO interest rates.  Additional information concerning this actionthese actions is publicly available in court filings under the docket number 16 Civ. 03711numbers 19-CV-1608 (S.D.N.Y.) (Ramos,(Furman, J.) and 19-CV-2667 (S.D.N.Y.) (Furman, J.).



Settlement Payments
Payments required in settlement agreements described above have been made or are covered by existing litigation or other 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 ninesix months ended SeptemberJune 30, 20172019 and 2016,2018, Condensed Consolidating Balance Sheet as of SeptemberJune 30, 20172019 and December 31, 20162018 and Condensed Consolidating Statement of Cash Flows for the ninesix months ended SeptemberJune 30, 20172019 and 20162018 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, 2019
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$5,049
 $—
 $—
 $(5,049) $—
Interest revenue—
 3,184
 16,528
 —
 19,712
Interest revenue—intercompany1,327
 518
 (1,845) —
 —
Interest expense1,278
 1,911
 4,573
 —
 7,762
Interest expense—intercompany202
 1,152
 (1,354) —
 —
Net interest revenue$(153) $639
 $11,464
 $—
 $11,950
Commissions and fees$—
 $1,309
 $1,572
 $—
 $2,881
Commissions and fees—intercompany—
 94
 (94) —
 —
Principal transactions(565) 1,142
 1,297
 —
 1,874
Principal transactions—intercompany791
 (675) (116) —
 —
Other income(368) 498
 1,923
 —
 2,053
Other income—intercompany9
 14
 (23) —
 —
Total non-interest revenues$(133) $2,382
 $4,559
 $—
 $6,808
Total revenues, net of interest expense$4,763
 $3,021
 $16,023
 $(5,049) $18,758
Provisions for credit losses and for benefits and claims$—
 $—
 $2,093
 $—
 $2,093
Operating expenses    

    
Compensation and benefits$4
 $1,166
 $4,211
 $—
 $5,381
Compensation and benefits—intercompany17
 —
 (17) —
 —
Other operating9
 540
 4,570
 —
 5,119
Other operating—intercompany5
 582
 (587) —
 —
Total operating expenses$35
 $2,288
 $8,177
 $—
 $10,500
Equity in undistributed income of subsidiaries$(146) $—
 $—
 $146
 $—
Income (loss) from continuing operations before income taxes$4,582
 $733
 $5,753
 $(4,903) $6,165
Provision (benefit) for income taxes(217) 8
 1,582
 —
 1,373
Income (loss) from continuing operations$4,799
 $725
 $4,171
 $(4,903) $4,792
Income from discontinued operations, net of taxes—
 —
 17
 —
 17
Net income before attribution of noncontrolling interests$4,799
 $725
 $4,188
 $(4,903) $4,809
Noncontrolling interests—
 —
 10
 —
 10
Net income (loss)$4,799
 $725
 $4,178
 $(4,903) $4,799
Comprehensive income         
Add: Other comprehensive income (loss)$1,105
 $(12) $734
 $(722) $1,105
Total Citigroup comprehensive income (loss)$5,904

$713

$4,912

$(5,625)
$5,904
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
 $20
 $—
 $20
Add: Net income attributable to noncontrolling interests—
 —
 10
 —
 10
Total comprehensive income (loss)$5,904

$713

$4,942

$(5,625)
$5,934

 Three Months Ended September 30, 2017
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$5,360
 $—
 $—
 $(5,360) $—
Interest revenue—
 1,439
 14,382
 —
 15,821
Interest revenue—intercompany1,040
 313
 (1,353) —
 —
Interest expense1,195
 642
 2,542
 —
 4,379
Interest expense—intercompany240
 581
 (821) —
 —
Net interest revenue$(395) $529
 $11,308
 $—
 $11,442
Commissions and fees$—
 $1,284
 $1,647
 $—
 $2,931
Commissions and fees—intercompany—
 13
 (13) —
 —
Principal transactions610
 688
 872
 —
 2,170
Principal transactions—intercompany168
 (249) 81
 —
 —
Other income(860) 649
 1,841
 —
 1,630
Other income—intercompany33
 (21) (12) —
 —
Total non-interest revenues$(49) $2,364
 $4,416
 $—
 $6,731
Total revenues, net of interest expense$4,916
 $2,893
 $15,724
 $(5,360) $18,173
Provisions for credit losses and for benefits and claims$—
 $(1) $2,000
 $—
 $1,999
Operating expenses
 
 
 
 
Compensation and benefits$(3) $1,104
 $4,203
 $—
 $5,304
Compensation and benefits—intercompany46
 —
 (46) —
 —
Other operating(17) 457
 4,427
 —
 4,867
Other operating—intercompany8
 517
 (525) —
 —
Total operating expenses$34
 $2,078
 $8,059
 $—
 $10,171
Equity in undistributed income of subsidiaries$(1,015) $—
 $—
 $1,015
 $—
Income (loss) from continuing operations before income taxes$3,867
 $816
 $5,665
 $(4,345) $6,003
Provision (benefit) for income taxes(266) 324
 1,808
 —
 1,866
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$4,133
 $492
 $3,852
 $(4,345) $4,132
Noncontrolling interests—
 —
 (1) —
 (1)
Net income (loss)$4,133
 $492
 $3,853
 $(4,345) $4,133
Comprehensive income

 

 

 

 

Add: Other comprehensive income (loss)$8
 $(84) $(762) $846
 $8
Total Citigroup comprehensive income (loss)$4,141
 $408
 $3,091
 $(3,499) $4,141
Add: Other comprehensive income attributable to noncontrolling interests$—

$—

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

—

(1) —
 (1)
Total comprehensive income (loss)$4,141
 $408
 $3,102
 $(3,499) $4,152











Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended September 30, 2016Three Months Ended June 30, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$4,000
 $—
 $—
 $(4,000) $—
$3,115
 $—
 $—
 $(3,115) $—
Interest revenue2
 1,158
 13,493
 —
 14,653
14
 2,398
 15,138
 —
 17,550
Interest revenue—intercompany695
 148
 (843) —
 —
1,225
 399
 (1,624) —
 —
Interest expense1,102
 345
 1,727
 —
 3,174
813
 1,314
 3,758
 —
 5,885
Interest expense—intercompany61
 401
 (462) —
 —
716
 896
 (1,612) —
 —
Net interest revenue$(466) $560
 $11,385
 $—
 $11,479
$(290) $587
 $11,368
 $—
 $11,665
Commissions and fees$—
 $1,062
 $1,582
 $—
 $2,644
$—
 $1,347
 $1,764
 $—
 $3,111
Commissions and fees—intercompany—
 63
 (63) —
 —
(1) 91
 (90) —
 —
Principal transactions(1,103) 1,600
 1,741
 —
 2,238
(1,206) (697) 4,029
 —
 2,126
Principal transactions—intercompany977
 (470) (507) —
 —
(472) 1,279
 (807) —
 —
Other income482
 51
 866
 —
 1,399
1,480
 188
 (101) —
 1,567
Other income—intercompany(501) 51
 450
 —
 —
(121) (19) 140
 —
 —
Total non-interest revenues$(145) $2,357
 $4,069
 $—
 $6,281
$(320) $2,189
 $4,935

$—
 $6,804
Total revenues, net of interest expense$3,389
 $2,917
 $15,454
 $(4,000) $17,760
$2,505
 $2,776
 $16,303
 $(3,115) $18,469
Provisions for credit losses and for benefits and claims$—
 $—
 $1,736
 $—
 $1,736
$—
 $(24) $1,836
 $—
 $1,812
Operating expenses
 
 
 
 
         
Compensation and benefits$26
 $1,150
 $4,027
 $—
 $5,203
$1
 $1,282
 $4,169
 $—
 $5,452
Compensation and benefits—intercompany8
 —
 (8) —
 —
29
 —
 (29) —
 —
Other operating(103) 444
 4,860
 —
 5,201
(52) 578
 4,734
 —
 5,260
Other operating—intercompany133
 379
 (512) —
 —
13
 693
 (706) —
 —
Total operating expenses$64
 $1,973
 $8,367
 $—
 $10,404
$(9) $2,553
 $8,168
 $—
 $10,712
Equity in undistributed income of subsidiaries$120
 $—
 $—
 $(120) $—
$1,485
 $—
 $—
 $(1,485) $—
Income (loss) from continuing operations before income
taxes
$3,445
 $944
 $5,351
 $(4,120) $5,620
$3,999
 $247
 $6,299
 $(4,600) $5,945
Provision (benefit) for income taxes(395) 345
 1,783
 —
 1,733
(491)—
619
 1,316
 —
 1,444
Income (loss) from continuing operations$3,840
 $599
 $3,568
 $(4,120) $3,887
$4,490
 $(372) $4,983
 $(4,600) $4,501
Loss from discontinued operations, net of taxes—
 —
 (30) —
 (30)
Income from discontinued operations, net of taxes—
 —
 15
 —
 15
Net income (loss) before attribution of noncontrolling interests$3,840
 $599
 $3,538
 $(4,120) $3,857
$4,490
 $(372) $4,998
 $(4,600) $4,516
Noncontrolling interests—
 (9) 26
 —
 17
—
 —
 26
 —
 26
Net income (loss)$3,840
 $608
 $3,512
 $(4,120) $3,840
$4,490
 $(372) $4,972
 $(4,600) $4,490
Comprehensive income

 

 

 

 

         
Add: Other comprehensive income (loss)$(1,078) $(133) $(1,003) $1,136
 $(1,078)$(2,875) $(72) $5,401
 $(5,329) $(2,875)
Total Citigroup comprehensive income (loss)$2,762

$475


$2,509
 $(2,984) $2,762
$1,615


$(444)

$10,373

$(9,929)
$1,615
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
—
$10
 $—
 $10
$—
 $—
—
$(57) $—
 $(57)
Add: Net income attributable to noncontrolling interests—
 (9)

26
 —
 17
—
 —
—
26
 —
 26
Total comprehensive income (loss)$2,762

$466


$2,545
 $(2,984) $2,789
$1,615


$(444)

$10,342

$(9,929) $1,584












Condensed Consolidating Statements of Income and Comprehensive Income
 Nine Months Ended September 30, 2017
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$11,625
 $—
 $—
 $(11,625) $—
Interest revenue—
 3,870
 41,575
 —
 45,445
Interest revenue—intercompany2,909
 847
 (3,756) —
 —
Interest expense3,549
 1,584
 6,848
 —
 11,981
Interest expense—intercompany593
 1,660
 (2,253) —
 —
Net interest revenue$(1,233) $1,473
 $33,224
 $—
 $33,464
Commissions and fees$—
 $3,818
 $4,809
 $—
 $8,627
Commissions and fees—intercompany(1) 123
 (122) —
 —
Principal transactions1,569
 2,692
 3,493
 —
 7,754
Principal transactions—intercompany768
 (641) (127) —
 —
Other income(2,500) 810
 6,039
 —
 4,349
Other income—intercompany71
 6
 (77) —
 —
Total non-interest revenues$(93) $6,808
 $14,015
 $—
 $20,730
Total revenues, net of interest expense$10,299
 $8,281
 $47,239
 $(11,625) $54,194
Provisions for credit losses and for benefits and claims$—
 $—
 $5,378
 $—
 $5,378
Operating expenses         
Compensation and benefits$(18) $3,578
 $12,741
 $—
 $16,301
Compensation and benefits—intercompany97
 —
 (97) —
 —
Other operating(333) 1,306
 13,880
 —
 14,853
Other operating—intercompany(41) 1,487
 (1,446) —
 —
Total operating expenses$(295) $6,371
 $25,078
 $—
 $31,154
Equity in undistributed income of subsidiaries$755
 $—
 $—
 $(755) $—
Income (loss) from continuing operations before income
taxes

$11,349
 $1,910
 $16,783
 $(12,380) $17,662
Provision (benefit) for income taxes(746) 800
 5,470
 —
 5,524
Income (loss) from continuing operations$12,095
 $1,110
 $11,313
 $(12,380) $12,138
Loss from discontinued operations, net of taxes—
 —
 (2) —
 (2)
Net income (loss) before attribution of noncontrolling interests$12,095
 $1,110
 $11,311
 $(12,380) $12,136
Noncontrolling interests—
 —
 41
 —
 41
Net income (loss)$12,095
 $1,110
 $11,270
 $(12,380) $12,095
Comprehensive income         
Add: Other comprehensive income (loss)$1,986
 $(142) $(4,638) $4,780
 $1,986
Total Citigroup comprehensive income (loss)$14,081
 $968
 $6,632
 $(7,600) $14,081
Add: other comprehensive income attributable to noncontrolling interests$—
 $—
 $82
 $—
 $82
Add: Net income attributable to noncontrolling interests—
 —
 41
 —
 41
Total comprehensive income (loss)$14,081
 $968
 $6,755
 $(7,600) $14,204



Condensed Consolidating Statements of Income and Comprehensive Income
Nine Months Ended September 30, 2016Six Months Ended June 30, 2019
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$9,700
 $—
 $—
 $(9,700) $—
$14,216
 $—
 $—
 $(14,216) $—
Interest revenue5
 3,555
 39,616
 —
 43,176
—
 5,756
 33,032
 —
 38,788
Interest revenue—intercompany2,235
 423
 (2,658) —
 —
2,652
 1,021
 (3,673) —
 —
Interest expense3,266
 1,110
 4,858
 —
 9,234
2,549
 3,735
 8,795
 —
 15,079
Interest expense—intercompany140
 1,246
 (1,386) —
 —
514
 2,227
 (2,741) —
 —
Net interest revenue$(1,166) $1,622
 $33,486
 $—
 $33,942
$(411) $815
 $23,305
 $—
 $23,709
Commissions and fees$—
 $3,141
 $4,691
 $—
 $7,832
$—
 $2,616
 $3,191
 $—
 $5,807
Commissions and fees—intercompany(19) 33
 (14) —
 —
(1) 215
 (214) —
 —
Principal transactions(1,498) 3,857
 3,535
 —
 5,894
(1,390) 108
 5,960
 —
 4,678
Principal transactions—intercompany1,018
 (1,513) 495
 —
 —
1,238
 1,361
 (2,599) —
 —
Other income(3,197) 178
 8,214
 —
 5,195
(49) 597
 2,592
 —
 3,140
Other income—intercompany3,495
 250
 (3,745) —
 —
(25) 56
 (31) —
 —
Total non-interest revenues$(201) $5,946
 $13,176
 $—
 $18,921
$(227) $4,953
 $8,899
 $—
 $13,625
Total revenues, net of interest expense$8,333
 $7,568
 $46,662
 $(9,700) $52,863
$13,578
 $5,768
 $32,204
 $(14,216) $37,334
Provisions for credit losses and for benefits and claims$—
 $—
 $5,190
 $—
 $5,190
$—
 $—
 $4,073
 $—
 $4,073
Operating expenses
 
 
 
 
    
    
Compensation and benefits$18
 $3,641
 $12,329
 $—
 $15,988
$37
 $2,450
 $8,552
 $—
 $11,039
Compensation and benefits—intercompany34
 —
 (34) —
 —
43
 —
 (43) —
 —
Other operating377
 1,242
 13,689
 —
 15,308
14
 1,093
 8,938
 —
 10,045
Other operating—intercompany213
 1,008
 (1,221) —
 —
10
 1,164
 (1,174) —
 —
Total operating expenses$642
 $5,891
 $24,763
 $—
 $31,296
$104
 $4,707
 $16,273
 $—
 $21,084
Equity in undistributed income of subsidiaries$2,773
 $—
 $—
 $(2,773) $—
$(4,349) $—
 $—
 $4,349
 $—
Income (loss) from continuing operations before income taxes$10,464
 $1,677
 $16,709
 $(12,473) $16,377
$9,125
 $1,061
 $11,858
 $(9,867) $12,177
Provision (benefit) for income taxes(875) 539
 5,271
 —
 4,935
(384)—
148
 2,884
 —
 2,648
Income (loss) from continuing operations$11,339
 $1,138
 $11,438
 $(12,473) $11,442
$9,509
 $913
 $8,974
 $(9,867) $9,529
Loss from discontinued operations, net of taxes—
 —
 (55) —
 (55)
Income from discontinued operations, net of taxes—
 —
 15
 —
 15
Net income (loss) before attribution of noncontrolling interests$11,339
 $1,138
 $11,383
 $(12,473) $11,387
$9,509
 $913
 $8,989
 $(9,867) $9,544
Noncontrolling interests—
 (10) 58
 —
 48
—
 —
 35
 —
 35
Net income (loss)$11,339
 $1,148
 $11,325
 $(12,473) $11,339
$9,509
 $913
 $8,954
 $(9,867) $9,509
Comprehensive income

 

 

 

 

         
Add: Other comprehensive income (loss)$2,166
 $(28) $171
 $(143) $2,166
$1,967
 $(301) $1,733
 $(1,432) $1,967
Total Citigroup comprehensive income (loss)$13,505
 $1,120
 $11,496
 $(12,616) $13,505
$11,476
 $612
 $10,687
 $(11,299) $11,476
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
 $(13) $—
 $(13)$—
 $—
—
$7
 $—
 $7
Add: Net income attributable to noncontrolling interests—
 (10) 58
 —
 48
—
 —
—
35
 —
 35
Total comprehensive income (loss)$13,505
 $1,110
 $11,541
 $(12,616) $13,540
$11,476
 $612
 $10,729
 $(11,299) $11,518













Condensed Consolidating Statements of Income and Comprehensive Income
 Six Months Ended June 30, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$8,700
 $—
 $—
 $(8,700) $—
Interest revenue66
 4,053
 29,763
 —
 33,882
Interest revenue—intercompany2,355
 782
 (3,137) —
 —
Interest expense2,051
 2,327
 6,667
 —
 11,045
Interest expense—intercompany975
 1,668
 (2,643) —
 —
Net interest revenue$(605) $840
 $22,602
 $—
 $22,837
Commissions and fees$—
 $2,599
 $3,542
 $—
 $6,141
Commissions and fees—intercompany(1) 91
 (90) —
 —
Principal transactions(175) 224
 5,319
 —
 5,368
Principal transactions—intercompany(858) 1,471
 (613) —
 —
Other income552
 341
 2,102
 —
 2,995
Other income—intercompany(66) 31
 35
 —
 —
Total non-interest revenues$(548) $4,757
 $10,295

$—
 $14,504
Total revenues, net of interest expense$7,547
 $5,597
 $32,897
 $(8,700) $37,341
Provisions for credit losses and for benefits and claims$—
 $(24) $3,693
 $—
 $3,669
Operating expenses         
Compensation and benefits$135
 $2,547
 $8,577
 $—
 $11,259
Compensation and benefits—intercompany63
 —
 (63) —
 —
Other operating(9) 1,126
 9,261
 —
 10,378
Other operating—intercompany25
 1,271
 (1,296) —
 —
Total operating expenses$214
 $4,944
 $16,479
 $—
 $21,637
Equity in undistributed income of subsidiaries$1,039
 $—
 $—
 $(1,039) $—
Income (loss) from continuing operations before income
taxes
$8,372
 $677
 $12,725
 $(9,739) $12,035
Provision (benefit) for income taxes(738)—
684
 2,939
 —
 2,885
Income (loss) from continuing operations$9,110
 $(7) $9,786
 $(9,739) $9,150
Income from discontinued operations, net of taxes—
 —
 8
 —
 8
Net income (loss) before attribution of noncontrolling interests$9,110
 $(7) $9,794
 $(9,739) $9,158
Noncontrolling interests—
 —
 48
 —
 48
Net income (loss)$9,110
 $(7) $9,746
 $(9,739) $9,110
Comprehensive income         
Add: Other comprehensive income (loss)$(2,823) $10
 $2,245
 $(2,255) $(2,823)
Total Citigroup comprehensive income (loss)$6,287
 $3
 $11,991
 $(11,994) $6,287
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
—
$(43) $—
 $(43)
Add: Net income attributable to noncontrolling interests—
 —
—
48
 —
 48
Total comprehensive income (loss)$6,287
 $3
 $11,996
 $(11,994) $6,292




Condensed Consolidating Balance Sheet
September 30, 2017June 30, 2019
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$—
 $728
 $21,876
 $—
 $22,604
$—
 $689
 $24,308
 $—
 $24,997
Cash and due from banks—intercompany179
 3,791
 (3,970) —
 —
15
 3,790
 (3,805) —
 —
Federal funds sold and resale agreements—
 202,366
 50,242
 —
 252,608
Federal funds sold and resale agreements—intercompany—
 14,980
 (14,980) —
 —
Deposits with banks—
 4,420
 173,826
 —
 178,246
Deposits with banks—intercompany3,000
 5,701
 (8,701) —
 —
Securities borrowed and purchased under resale agreements—
 204,516
 55,253
 —
 259,769
Securities borrowed and purchased under resale agreements—intercompany—
 18,767
 (18,767) —
 —
Trading account assets—
 137,196
 121,711
 —
 258,907
323
 175,750
 130,758
 —
 306,831
Trading account assets—intercompany215
 1,208
 (1,423) —
 —
1,682
 2,034
 (3,716) —
 —
Investments28
 162
 354,484
 —
 354,674
1
 609
 349,092
 —
 349,702
Loans, net of unearned income—
 1,364
 651,819
 —
 653,183
—
 1,955
 686,715
 —
 688,670
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,366) —
 (12,366)—
 —
 (12,466) —
 (12,466)
Total loans, net$—
 $1,364
 $639,453
 $—
 $640,817
$—
 $1,955
 $674,249
 $—
 $676,204
Advances to subsidiaries$132,197
 $—
 $(132,197) $—
 $—
$146,408
 $—
 $(146,408) $—
 $—
Investments in subsidiaries229,142
 —
 —
 (229,142) —
202,418
 —
 —
 (202,418) —
Other assets (1)
24,032
 58,665
 276,826
 —
 359,523
11,700
 70,341
 110,436
 —
 192,477
Other assets—intercompany15,541
 49,032
 (64,573) —
 —
3,726
 51,954
 (55,680) —
 —
Total assets$401,334
 $469,492
 $1,247,449
 $(229,142) $1,889,133
$369,273
 $540,526
 $1,280,845
 $(202,418) $1,988,226
Liabilities and equity

 
 
 
 
        
Deposits$—
 $—
 $964,038
 $—
 $964,038
$—
 $—
 $1,045,607
 $—
 $1,045,607
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 135,520
 25,762
 —
 161,282
Federal funds purchased and securities loaned or sold—intercompany—
 19,127
 (19,127) —
 —
Securities loaned and sold under repurchase agreements—
 155,278
 25,855
 —
 181,133
Securities loaned and sold under repurchase agreements—intercompany—
 42,564
 (42,564) —
 —
Trading account liabilities—
 91,058
 47,762
 —
 138,820
6
 93,842
 42,446
 —
 136,294
Trading account liabilities—intercompany18
 1,071
 (1,089) —
 —
3,159
 1,832
 (4,991) —
 —
Short-term borrowings246
 3,221
 34,682
 —
 38,149
244
 8,633
 33,565
 —
 42,442
Short-term borrowings—intercompany—
 63,197
 (63,197) —
 —
—
 20,190
 (20,190) —
 —
Long-term debt151,914
 17,758
 63,001
 —
 232,673
152,141
 34,394
 65,654
 —
 252,189
Long-term debt—intercompany—
 30,609
 (30,609) —
 —
—
 72,039
 (72,039) —
 —
Advances from subsidiaries17,947
 —
 (17,947) —
 —
12,887
 —
 (12,887) —
 —
Other liabilities2,790
 62,950
 59,809
 —
 125,549
3,243
 68,497
 60,711
 —
 132,451
Other liabilities—intercompany785
 11,281
 (12,066) —
 —
234
 9,978
 (10,212) —
 —
Stockholders’ equity227,634
 33,700
 196,430
 (229,142) 228,622
197,359
 33,279
 169,890
 (202,418) 198,110
Total liabilities and equity$401,334
 $469,492
 $1,247,449
 $(229,142) $1,889,133
$369,273
 $540,526
 $1,280,845
 $(202,418) $1,988,226


(1)
Other assets for Citigroup parent company at SeptemberJune 30, 20172019 included $17.8$51.9 billion of placements to Citibank and its branches, of which $16.0$26.7 billion had a remaining term of less than 30 days.









Condensed Consolidating Balance Sheet
 December 31, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets         
Cash and due from banks$1
 $689
 $22,955
 $—
 $23,645
Cash and due from banks—intercompany19
 3,545
 (3,564) —
 —
Deposits with banks—
 4,915
 159,545
 —
 164,460
Deposits with banks—intercompany3,000
 6,528
 (9,528) —
 —
Securities borrowed and purchased under resale agreements—
 212,720
 57,964
 —
 270,684
Securities borrowed and purchased under resale agreements—intercompany—
 20,074
 (20,074) —
 —
Trading account assets302
 146,233
 109,582
 —
 256,117
Trading account assets—intercompany627
 1,728
 (2,355) —
 —
Investments7
 224
 358,376
 —
 358,607
Loans, net of unearned income—
 1,292
 682,904
 —
 684,196
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,315) —
 (12,315)
Total loans, net$—
 $1,292
 $670,589
 $—
 $671,881
Advances to subsidiaries$143,119
 $—
 $(143,119) $—
 $—
Investments in subsidiaries205,337
 —
 —
 (205,337) —
Other assets(1)
9,861
 59,734
 102,394
 —
 171,989
Other assets—intercompany3,037
 44,255
 (47,292) —
 —
Total assets$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383
Liabilities and equity         
Deposits$—
 $—
 $1,013,170
 $—
 $1,013,170
Deposits—intercompany—
 —
 —
 —
 —
Securities loaned and sold under repurchase agreements—
 155,830
 21,938
 —
 177,768
Securities loaned and sold under repurchase agreements—intercompany—
 21,109
 (21,109) —
 —
Trading account liabilities1
 95,571
 48,733
 —
 144,305
Trading account liabilities—intercompany410
 1,398
 (1,808) —
 —
Short-term borrowings207
 3,656
 28,483
 —
 32,346
Short-term borrowings—intercompany—
 11,343
 (11,343) —
 —
Long-term debt143,768
 25,986
 62,245
 —
 231,999
Long-term debt—intercompany—
 73,884
 (73,884) —
 —
Advances from subsidiaries21,471
 —
 (21,471) —
 —
Other liabilities3,010
 66,732
 50,979
 —
 120,721
Other liabilities—intercompany223
 13,763
 (13,986) —
 —
Stockholders’ equity196,220
 32,665
 173,526
 (205,337) 197,074
Total liabilities and equity$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383

 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, 20162018 included $20.7$34.7 billion of placements to Citibank and its branches, of which $6.8$22.4 billion had a remaining term of less than 30 days.







Condensed Consolidating Statement of Cash Flows
 Six Months Ended June 30, 2019
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$17,500
 $(39,793) $(15,463) $—
 $(37,756)
Cash flows from investing activities of continuing operations         
Purchases of investments$—
 $—
 $(118,132) $—
 $(118,132)
Proceeds from sales of investments4
 —
 63,591
 —
 63,595
Proceeds from maturities of investments—
 —
 57,684
 —
 57,684
Change in loans—
 —
 (7,803) —
 (7,803)
Proceeds from sales and securitizations of loans—
 —
 2,249
 —
 2,249
Change in securities borrowed and purchased under agreements to resell

—
 9,511
 1,404
 —
 10,915
Changes in investments and advances—intercompany(3,336) (10,607) 13,943
 —
 —
Other investing activities—
 (32) (3,178) —
 (3,210)
Net cash provided by (used in) investing activities of continuing operations$(3,332) $(1,128) $9,758
 $—
 $5,298
Cash flows from financing activities of continuing operations         
Dividends paid$(2,650) $—
 $—
 $—
 $(2,650)
Redemption of preferred stock(480) —
 —
 —
 (480)
Treasury stock acquired(7,518) —
 —
 —
 (7,518)
Proceeds (repayments) from issuance of long-term debt, net5,418
 10,817
 (2,814) —
 13,421
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (3,941) 3,941
 —
 —
Change in deposits—
 —
 32,437
 —
 32,437
Change in securities loaned and sold under agreements to repurchase

—
 20,903
 (17,538) —
 3,365
Change in short-term borrowings—
 4,977
 5,119
 —
 10,096
Net change in short-term borrowings and other advances—intercompany(8,584) 7,088
 1,496
 —
 —
Other financing activities(359) —
 —
 —
 (359)
Net cash provided by (used in) financing activities of continuing operations$(14,173) $39,844
 $22,641
 $—
 $48,312
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(716) $—
 $(716)
Change in cash and due from banks and deposits with banks

$(5)
$(1,077)
$16,220

$—
 $15,138
Cash and due from banks and deposits with banks at beginning of period3,020
 15,677
 169,408
 —
 188,105
Cash and due from banks and deposits with banks at end of period$3,015
 $14,600
 $185,628
 $—
 $203,243
Cash and due from banks$15
 $4,479
 $20,503
 $—
 $24,997
Deposits with banks3,000
 10,121
 165,125
 —
 178,246
Cash and due from banks and deposits with banks at end of period$3,015
 $14,600
 $185,628
 $—
 $203,243
Supplemental disclosure of cash flow information for continuing operations         
Cash paid during the year for income taxes$154
 $119
 $2,541
 $—
 $2,814
Cash paid during the year for interest1,753
 6,577
 5,670
 —
 14,000
Non-cash investing activities         
Transfers to loans HFS from loans$—
 $—
 $3,600
 $—
 $3,600
 Nine Months Ended September 30, 2017
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$15,381
 $(15,237) $(3,449) $—
 $(3,305)
Cash flows from investing activities of continuing operations         
Purchases of investments$—
 $—
 $(151,362) $—
 $(151,362)
Proceeds from sales of investments132
 —
 89,592
 —
 89,724
Proceeds from maturities of investments—
 —
 67,166
 —
 67,166
Change in deposits with banks—
 10,972
 (37,026) —
 (26,054)
Change in loans—
 —
 (41,569) —
 (41,569)
Proceeds from sales and securitizations of loans—
 —
 7,019
 —
 7,019
Proceeds from significant disposals—
 —
 3,411
 —
 3,411
Change in federal funds sold and resales—
 (8,840) (6,955) —
 (15,795)
Changes in investments and advances—intercompany13,269
 (5,439) (7,830) —
 —
Other investing activities—
 —
 (2,210) —
 (2,210)
Net cash provided by (used in) investing activities of continuing operations$13,401
 $(3,307) $(79,764) $—
 $(69,670)
Cash flows from financing activities of continuing operations         
Dividends paid$(2,639) $—
 $—
 $—
 $(2,639)
Treasury stock acquired(9,071) —
 —
 —
 (9,071)
Proceeds (repayments) from issuance of long-term debt, net6,665
 4,385
 11,458
 —
 22,508
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (1,300) 1,300
 —
 —
Change in deposits—
 —
 34,632
 —
 34,632
Change in federal funds purchased and repos—
 6,910
 12,551
 —
 19,461
Change in short-term borrowings44
 1,865
 5,539
 —
 7,448
Net change in short-term borrowings and other advances—intercompany(23,342) 6,573
 16,769
 —
 —
Capital contributions from parent—
 (60) 60
 —
 —
Other financing activities(402) —
 —
 —
 (402)
Net cash provided by (used in) financing activities of continuing operations$(28,745) $18,373
 $82,309
 $—
 $71,937
Effect of exchange rate changes on cash and due from banks$—
 $—
 $599
 $—
 $599
Change in cash and due from banks$37
 $(171) $(305) $—
 $(439)
Cash and due from banks at beginning of period142
 4,690
 18,211
 —
 23,043
Cash and due from banks at end of period$179
 $4,519
 $17,906
 $—
 $22,604
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 

Cash paid (received) during the year for income taxes$(772) $470
 $3,016
 $—
 $2,714
Cash paid during the year for interest3,319
 3,175
 5,110
 —
 11,604
Non-cash investing activities

 

 

 

 

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



Condensed Consolidating Statement of Cash Flows
 Six Months Ended June 30, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$5,156
 $1,207
 $1,956
 $—
 $8,319
Cash flows from investing activities of continuing operations        

Purchases of investments$(7,955) $—
 $(73,916) $—
 $(81,871)
Proceeds from sales of investments7,634
 —
 34,174
 —
 41,808
Proceeds from maturities of investments—
 —
 44,846
 —
 44,846
Change in loans—
 —
 (10,132) —
 (10,132)
Proceeds from sales and securitizations of loans—
 —
 3,217
 —
 3,217
Change in securities borrowed and purchased under agreements to resell

—
 (30,331) (2,717) —
 (33,048)
Changes in investments and advances—intercompany(4,780) (1,872) 6,652
 —
 —
Other investing activities212
 (26) (1,635) —
 (1,449)
Net cash provided by (used in) investing activities of continuing operations$(4,889) $(32,229) $489
 $—
 $(36,629)
Cash flows from financing activities of continuing operations         
Dividends paid$(2,232) $—
 $—
 $—
 $(2,232)
Redemption of preferred stock(218) —
 —
 —
 (218)
Treasury stock acquired(4,686) —
 —
 —
 (4,686)
Proceeds from issuance of long-term debt, net(1,167) 5,805
 1,032
 —
 5,670
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (1,025) 1,025
 —
 —
Change in deposits—
 —
 36,908
 —
 36,908
Change in securities loaned and sold under agreements to repurchase

—
 26,367
 (4,816) —
 21,551
Change in short-term borrowings32
 (459) (6,792) —
 (7,219)
Net change in short-term borrowings and other advances—intercompany497
 1,704
 (2,201) —
 —
Capital contributions from parent—
 (663) 663
 —
 —
Other financing activities(475) —
 —
 —
 (475)
Net cash provided by (used in) financing activities of continuing operations$(8,249) $31,729
 $25,819
 $—
 $49,299
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(603) $—
 $(603)
Change in cash and due from banks and deposits with banks

$(7,982) $707
 $27,661
 $—
 $20,386
Cash and due from banks and deposits with banks at beginning of period11,013
 12,695
 156,808
 —
 180,516
Cash and due from banks and deposits with banks at end of period$3,031
 $13,402
 $184,469
 $—
 $200,902
Cash and due from banks$31
—
$4,242
 $16,804
 $—
 $21,077
Deposits with banks3,000
 9,160
 167,665
 —
 179,825
Cash and due from banks and deposits with banks at end of period$3,031
 $13,402
 $184,469
 $—
 $200,902
Supplemental disclosure of cash flow information for continuing operations         
Cash paid (received) during the year for income taxes$941
 $42
 $1,256
 $—
 $2,239
Cash paid during the year for interest1,729
 3,676
 4,552
 —
 9,957
Non-cash investing activities         
Transfers to loans HFS from loans$—
 $—
 $2,900
 $—
 $2,900
Transfers to OREO and other repossessed assets—
 —
 55
 —
 55


 Nine Months Ended September 30, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$16,685
 $5,285
 $6,364
 $—
 $28,334
Cash flows from investing activities of continuing operations         
Purchases of investments$—
 $—
 $(155,804) $—
 $(155,804)
Proceeds from sales of investments229
 —
 98,943
 —
 99,172
Proceeds from maturities of investments61
 —
 52,546
 —
 52,607
Change in deposits with banks—
 (1,464) (18,910) —
 (20,374)
Change in loans—
 —
 (42,163) —
 (42,163)
Proceeds from sales and securitizations of loans—
 —
 12,676
 —
 12,676
Proceeds from significant disposals—
 —
 265
 —
 265
Change in federal funds sold and resales—
 (12,398) (3,972) —
 (16,370)
Changes in investments and advances—intercompany(14,378) (23) 14,401
 —
 —
Other investing activities2,962
 —
 (4,587) —
 (1,625)
Net cash used in investing activities of continuing operations$(11,126) $(13,885) $(46,605) $—
 $(71,616)
Cash flows from financing activities of continuing operations         
Dividends paid$(1,517) $—
 $—
 $—
 $(1,517)
Issuance of preferred stock2,498
 —
 —
 —
 2,498
Treasury stock acquired(5,167) —
 —
 —
 (5,167)
Proceeds (repayments) from issuance of long-term debt, net1,613
 4,196
 (2,806) —
 3,003
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (12,533) 12,533
 —
 —
Change in deposits—
 —
 32,365
 —
 32,365
Change in federal funds purchased and repos—
 12,251
 (5,623) —
 6,628
Change in short-term borrowings(163) 1,251
 7,360
 —
 8,448
Net change in short-term borrowings and other advances—intercompany(2,503) (726) 3,229
 —
 —
Capital contributions from parent—
 5,000
 (5,000) —
 —
Other financing activities(313) —
 —
 —
 (313)
Net cash provided by (used in) financing activities of continuing operations$(5,552) $9,439
 $42,058
 $—
 $45,945
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(144) $—
 $(144)
Change in cash and due from banks$7
 $839
 $1,673
 $—
 $2,519
Cash and due from banks at beginning of period124
 1,995
 18,781
 —
 20,900
Cash and due from banks at end of period$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$(265) $81
 $3,039
 $—
 $2,855
Cash paid during the year for interest3,402
 2,378
 3,980
 —
 9,760
Non-cash investing activities

 

 

 

 

Transfers to loans HFS from loans$—
 $—
 $8,600
 $—
 $8,600
Transfers to OREO and other repossessed assets—
 —
 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
July 2017  
April 2019  
Open market repurchases(1)
25.5
$67.33
$13,884
14.4
$67.51
$2,606
Employee transactions(2)
—
—
N/A
—
—
N/A
August 2017  
May 2019  
Open market repurchases(1)
31.0
67.84
11,782
22.8
66.05
1,100
Employee transactions(2)
—
—
N/A
—
—
N/A
September 2017  
June 2019  
Open market repurchases(1)
24.1
69.26
10,110
16.4
67.03
—
Employee transactions(2)
—
—
N/A
—
—
N/A
Total for 3Q17 and remaining program balance as of September 30, 201780.6
$68.10
$10,110
Total for 2Q19 and remaining program balance as of June 30, 201953.6
$66.74
$—
(1)Represents repurchases under the $15.6$17.6 billion 20172018 common stock repurchase program (2017(2018 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on June 28, 2017.2018. The 20172018 Repurchase Program was part of the planned capital actions included by Citi in its 2017as part of the 2018 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 20172018 Repurchase Program were added to treasury stock. The 2018 Repurchase Program expired on June 30, 2019. On June 27, 2019, Citigroup announced a $17.1 billion common stock repurchase program during the four quarters beginning in the third quarter of 2019 (2019 Repurchase Program), which was part of the planned capital actions included by Citi as part of the 2019 CCAR. The 2019 Repurchase Program expires on June 30, 2020. Shares repurchased under the 2019 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 programsshare awards 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 Stress Testing Component of Capital Planning” and “Capital Resources—Regulatory Capital Standards—Capital Planning and Stress Testing”Standards Developments” and “Risk Factors—Strategic Risks” in Citi’s 20162018 Annual Report on Form 10-K.
On June 27, 2019, Citi announced that the Federal Reserve Board did not object to its planned capital actions as part of the 2019 CCAR. In addition to the 2019 Repurchase Program discussed in the footnotes to the table above, the planned capital actions included an increase of Citi’s quarterly common stock dividend from $0.45 to $0.51 per share over the four quarters beginning with the third quarter of 2019 (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 toon its outstanding preferred stock.

For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 18 to the
Consolidated Financial Statements in Citi’s 20162018 Annual Report on Form 10-K.









SIGNATURES






Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on the 31st1st day of October, 2017.August, 2019.






CITIGROUP INC.
(Registrant)










By    /s/ John C. GerspachMark A. L. Mason
John C. GerspachMark A. L. Mason
Chief Financial Officer
(Principal Financial Officer)






By    /s/ Jeffrey R. WalshRaja J. Akram
Jeffrey R. WalshRaja J. Akram
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, 20162019 filed on April 30, 2019 (File No. 1-9924).
   
12.01+10.01*
 
Calculation of Ratio of IncomeCitigroup 2019 Stock Incentive Plan (effective April 16, 2019), incorporated by reference to Fixed Charges.Exhibit 10.1 to the Company’s Form 8-K filed on April 17, 2019 (File No. 1-09924).
   
12.02+31.01+
 
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+99.01+
 
Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL.

101.01+
Financial statements from the Quarterly Report on Form 10-Q of the Company for the quarter ended SeptemberJune 30, 2017,2019, filed on October 31, 2017,August 1, 2019, formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Shareholders’ Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to the Consolidated Financial Statements.
104Form 10-Q Cover Page Inline XBRL: The Company’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2019 Cover Page Inline XBRL data file does not appear in Exhibit 104 because its Inline XBRL tagging is embedded within the Form 10-Q Inline XBRL document.
 
The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.
 
* Denotes a management contract or compensatory plan or arrangement. 
+ Filed herewith.    








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